ProShares Trust II

For the period ended Mar 31, 2024. Filed May 9, 2024.

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A company's report for each of its first three quarters. The financial statements are not audited. It shows how the business has moved since the last annual report, and what management says changed.

Mar 31, 2024 · Filed May 9, 2024

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

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Contents

ProShares Short VIX Short-Term Futures ETF

	March 31, 2024 (unaudited)	December 31, 2023
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $148,766,040 and $109,391,681, respectively)	$148,757,467	$109,410,342
Cash	35,336,557	54,492,235
Segregated cash balances with brokers for futures contracts	92,929,810	88,647,616
Receivable on open futures contracts	38,527,249	30,330,665
Interest receivable	403,104	456,930
Total assets	315,954,187	283,337,788
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed	—	15,522,316
Payable on open futures contracts	1,713,926	372,680
Brokerage commissions and futures account fees payable	7,440	9,571
Payable to Sponsor	254,022	248,862
Total liabilities	1,975,388	16,153,429
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity	313,978,799	267,184,359
Total liabilities and shareholders’ equity	$315,954,187	$283,337,788
Shares outstanding (Note 8)	5,568,614	5,168,614
Net asset value per share (Note 8)	$56.38	$51.69
Market value per share (Note 8) (Note 2)	$56.37	$51.70

	Principal Amount	Value
Short-term U.S. government and agency obligations
(47% of shareholders’ equity)
U.S. Treasury Bills^^:
5.365% due 04/18/24	$50,000,000	$49,875,215
5.269% due 06/06/24	50,000,000	49,521,960
5.352% due 06/18/24	25,000,000	24,717,792
5.349% due 07/09/24	25,000,000	24,642,500
Total short-term U.S. government and agency obligations (cost $148,766,040)		$148,757,467

	Number of Contracts	Notional Amount at Value	Unrealized Appreciation (Depreciation)/Value
VIX Futures - Cboe, expires April 2024	6,720	$96,557,664	$7,932,302
VIX Futures - Cboe, expires May 2024	3,920	60,440,520	80,735
			$8,013,037

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

	Three Months Ended March 31,
	2024	2023
Investment Income
Interest	$3,309,285	$2,109,122
Expenses
Management fee	740,396	565,777
Brokerage commissions	171,599	126,503
Total expenses	911,995	692,280
Net investment income (loss)	2,397,290	1,416,842
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts	28,496,948	29,604,148
Short-term U.S. government and agency obligations	17,669	—
Net realized gain (loss)	28,514,617	29,604,148
Change in net unrealized appreciation (depreciation) on
Futures contracts	(4,627,587)	3,178,807
Short-term U.S. government and agency obligations	(27,234)	(23,630)
Change in net unrealized appreciation (depreciation)	(4,654,821)	3,155,177
Net realized and unrealized gain (loss)	23,859,796	32,759,325
Net income (loss)	$26,257,086	$34,176,167

	Three Months Ended March 31,
	2024	2023
Shareholders’ equity, beginning of period	$267,184,359	$339,591,638
Addition of 2,400,000 and 4,900,000 shares, respectively (Note 8)	128,429,751	147,299,334
Redemption of 2,000,000 and 7,200,000 shares, respectively (Note 8)	(107,892,397)	(225,726,746)
Net addition (redemption) of 400,000 and (2,300,000) shares, respectively (Note 8)	20,537,354	(78,427,412)
Net investment income (loss)	2,397,290	1,416,842
Net realized gain (loss)	28,514,617	29,604,148
Change in net unrealized appreciation (depreciation)	(4,654,821)	3,155,177
Net income (loss)	26,257,086	34,176,167
Shareholders’ equity, end of period	$313,978,799	$295,340,393

	Three Months Ended March 31,
	2024	2023
Cash flow from operating activities
Net income (loss)	$26,257,086	$34,176,167
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	(172,768,544)	(99,763,542)
Proceeds from sales or maturities of short-term U.S. government and agency obligations	135,017,669	150,000,000
Net amortization and accretion on short-term U.S. government and agency obligations	(1,605,815)	(813,036)
Net realized (gain) loss on investments	(17,669)	—
Change in unrealized (appreciation) depreciation on investments	27,234	23,630
Decrease (Increase) in receivable on open futures contracts	(8,196,584)	23,629,273
Decrease (Increase) in interest receivable	53,826	3,869
Increase (Decrease) in payable to Sponsor	5,160	(150,813)
Increase (Decrease) in brokerage commissions and futures account fees payable	(2,131)	(16,391)
Increase (Decrease) in payable on open futures contracts	1,341,246	—
Net cash provided by (used in) operating activities	(19,888,522)	107,089,157
Cash flow from financing activities
Proceeds from addition of shares	128,429,751	147,299,334
Payment on shares redeemed	(123,414,713)	(222,035,742)
Net cash provided by (used in) financing activities	5,015,038	(74,736,408)
Net increase (decrease) in cash	(14,873,484)	32,352,749
Cash, beginning of period	143,139,851	133,946,941
Cash, end of period	$128,266,367	$166,299,690

ContentsView on SEC.gov

The text of this filing, as the company filed it with the SEC, without its images or exhibits. This is not investment advice.