ProShares Trust II

For the period ended Dec 31, 2023. Filed Feb 28, 2024.

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FY2023 · Filed Feb 28, 2024

SCO$20.19+2.3%Stored close · as of Nov 10, 2026

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Contents

ProShares VIX Mid-Term Futures ETF

	December 31, 2023	December 31, 2022
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $– and $49,876,697, respectively)	$—	$49,882,348
Cash	31,674,194	19,575,939
Segregated cash balances with brokers for futures contracts	5,936,995	14,384,050
Receivable on open futures contracts	137,945	142,794
Interest receivable	141,818	88,180
Total assets	37,890,952	84,073,311
Liabilities and shareholders’ equity
Liabilities
Brokerage commissions and futures account fees payable	1,876	3,688
Payable to Sponsor	22,933	54,664
Total liabilities	24,809	58,352
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity	37,866,143	84,014,959
Total liabilities and shareholders’ equity	$37,890,952	$84,073,311
Shares outstanding	2,262,403	2,762,403
Net asset value per share	$16.74	$30.41
Market value per share (Note 2)	$16.75	$30.36

	Number of Contracts	Notional Amount at Value	Unrealized Appreciation (Depreciation)/Value
VIX Futures - Cboe, expires April 2024	424	$7,187,267	$(1,070,003)
VIX Futures – Cboe, expires May 2024	721	12,515,262	(2,326,922)
VIX Futures – Cboe, expires June 2024	721	12,787,800	(258,508)
VIX Futures – Cboe, expires July 2024	297	5,375,700	(90,243)
			$(3,745,676)

	Principal Amount	Value
Short-term U.S. government and agency obligations
(59% of shareholders’ equity)
U.S. Treasury Bills^^:
3.807% due 01/03/23	$35,000,000	$34,997,046
4.258% due 03/09/23	15,000,000	14,885,302
Total short-term U.S. government and agency obligations
(cost $49,876,697)		$49,882,348

	Number of Contracts	Notional Amount at Value	Unrealized Appreciation (Depreciation)/Value
VIX Futures – Cboe, expires April 2023	627	$16,223,876	$(1,915,279)
VIX Futures – Cboe, expires May 2023	1,066	27,929,200	(2,310,572)
VIX Futures – Cboe, expires June 2023	1,066	28,082,704	(528,018)
VIX Futures – Cboe, expires July 2023	439	11,759,537	(37,354)
			$(4,791,223)

^^	Rates shown represent discount rate at the time of purchase.

F-

	Year Ended December 31,
	2023	2022	2021
Investment Income
Interest	$2,412,485	$860,134	$41,362
Expenses
Management fee	499,363	809,060	858,979
Brokerage commissions	40,128	73,842	66,076
Futures account fees	40,387	73,303	122,120
Non-recurring fees and expenses	—	3,854	—
Total expenses	579,878	960,059	1,047,175
Net investment income (loss)	1,832,607	(99,925)	(1,005,813)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts	(38,709,532)	9,333,930	(15,267,976)
Short-term U.S. government and agency obligations	—	(336)	22,182
Net realized gain (loss)	(38,709,532)	9,333,594	(15,245,794)
Change in net unrealized appreciation (depreciation) on
Futures contracts	1,045,547	(4,166,835)	509,228
Short-term U.S. government and agency obligations	(5,651)	19,985	(14,993)
Change in net unrealized appreciation (depreciation)	1,039,896	(4,146,850)	494,235
Net realized and unrealized gain (loss)	(37,669,636)	5,186,744	(14,751,559)
Net income (loss)	$(35,837,029)	$5,086,819	$(15,757,372)

F-

	Year Ended December 31,
	2023	2022	2021
Shareholders’ equity, beginning of period	$84,014,959	$112,875,680	$72,075,095
Addition of 1,950,000, 2,275,000 and 3,100,000 shares, respectively	43,215,317	73,779,874	101,849,396
Redemption of 2,450,000, 3,200,000 and 1,375,000 shares, respectively	(53,527,104)	(107,727,414)	(45,291,439)
Net addition (redemption) of (500,000), (925,000) and 1,725,000 shares, respectively	(10,311,787)	(33,947,540)	56,557,957
Net investment income (loss)	1,832,607	(99,925)	(1,005,813)
Net realized gain (loss)	(38,709,532)	9,333,594	(15,245,794)
Change in net unrealized appreciation (depreciation)	1,039,896	(4,146,850)	494,235
Net income (loss)	(35,837,029)	5,086,819	(15,757,372)
Shareholders’ equity, end of period	$37,866,143	$84,014,959	$112,875,680

	Year Ended December 31,
	2023	2022	2021
Cash flow from operating activities
Net income (loss)	$(35,837,029)	$5,086,819	$(15,757,372)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Purchases of short-term U.S. government and agency obligations	(294,811,992)	(141,619,621)	(183,916,661)
Proceeds from sales or maturities of short-term U.S. government and agency obligations	345,000,000	177,998,548	143,022,182
Net amortization and accretion on short-term U.S. government and agency obligations	(311,311)	(318,657)	(21,569)
Net realized (gain) loss on investments	—	336	(22,182)
Change in unrealized (appreciation) depreciation on investments	5,651	(19,985)	14,993
Decrease (Increase) in receivable on open futures contracts	4,849	(79,397)	183,680
Decrease (Increase) in interest receivable	(53,638)	(87,083)	(454)
Increase (Decrease) in payable to Sponsor	(31,731)	(27,319)	32,974
Increase (Decrease) in brokerage commissions and futures account fees payable	(1,812)	(3,436)	(3,271)
Increase (Decrease) in payable on open futures contracts	—	(94,495)	94,495
Net cash provided by (used in) operating activities	13,962,987	40,835,710	(56,373,185)
Cash flow from financing activities
Proceeds from addition of shares	43,215,317	73,779,874	101,849,396
Payment on shares redeemed	(53,527,104)	(107,727,414)	(46,207,226)
Net cash provided by (used in) financing activities	(10,311,787)	(33,947,540)	55,642,170
Net increase (decrease) in cash	3,651,200	6,888,170	(731,015)
Cash, beginning of period	33,959,989	27,071,819	27,802,834
Cash, end of period	$37,611,189	$33,959,989	$27,071,819

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