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 Ultra VIX Short-Term Futures ETF

	March 31, 2024 (unaudited)	December 31, 2023
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $59,312,431 and $–, respectively)	$59,307,872	$—
Cash	41,175,228	86,615,956
Segregated cash balances with brokers for futures contracts	136,617,804	210,845,154
Receivable from capital shares sold	3,777,822	—
Receivable on open futures contracts	37,710,482	50,510,206
Interest receivable	533,452	924,148
Total assets	279,122,660	348,895,464
Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts	648,632	—
Brokerage commissions and futures account fees payable	23,097	36,088
Payable to Sponsor	210,282	303,633
Total liabilities	882,011	339,721
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity	278,240,649	348,555,743
Total liabilities and shareholders’ equity	$279,122,660	$348,895,464
Shares outstanding (Note 8)	8,844,891	8,264,891
Net asset value per share (Note 8)	$31.46	$42.17
Market value per share (Note 8) (Note 2)	$31.60	$42.20

	Principal Amount	Value
Short-term U.S. government and agency obligations
(21% of shareholders’ equity)
U.S. Treasury Bills^^:
5.269% due 06/06/24	$35,000,000	$34,665,372
5.349% due 07/09/24	25,000,000	24,642,500
Total short-term U.S. government and agency obligations (cost $59,312,431)		$59,307,872

	Number of Contracts	Notional Amount at Value	Unrealized Appreciation (Depreciation)/Value
VIX Futures - Cboe, expires April 2024	17,863	$160,660,770	$(17,550,463)
VIX Futures - Cboe, expires May 2024	10,420	256,668,088	(348,320)
			$(17,898,783)

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

	Three Months Ended March 31,
	2024	2023
Investment Income
Interest	$2,758,242	$4,416,655
Expenses
Management fee	667,531	1,373,770
Brokerage commissions	486,546	777,701
Futures accounts fees	86,170	123,361
Total expenses	1,240,247	2,274,832
Net investment income (loss)	1,517,995	2,141,823
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts	(91,003,229)	(182,233,430)
Short-term U.S. government and agency obligations	10,637	(7,778)
Net realized gain (loss)	(90,992,592)	(182,241,208)
Change in net unrealized appreciation (depreciation) on
Futures contracts	13,285,128	2,046,250
Short-term U.S. government and agency obligations	(4,559)	(8,723)
Change in net unrealized appreciation (depreciation)	13,280,569	2,037,527
Net realized and unrealized gain (loss)	(77,712,023)	(180,203,681)
Net income (loss)	$(76,194,028)	$(178,061,858)

	Three Months Ended March 31,
	2024	2023
Shareholders’ equity, beginning of period	$348,555,743	$639,318,362
Addition of 2,820,000 and 1,674,000 shares, respectively (Note 1) (Note 8)	94,706,832	436,460,449
Redemption of 2,240,000 and 1,218,000 shares, respectively (Note 1) (Note 8)	(88,827,898)	(361,736,717)
Net addition (redemption) of 580,000 and 456,000 shares, respectively (Note 1) (Note 8)	5,878,934	74,723,732
Net investment income (loss)	1,517,995	2,141,823
Net realized gain (loss)	(90,992,592)	(182,241,208)
Change in net unrealized appreciation (depreciation)	13,280,569	2,037,527
Net income (loss)	(76,194,028)	(178,061,858)
Shareholders’ equity, end of period	$278,240,649	$535,980,236

	Three Months Ended March 31,
	2024	2023
Cash flow from operating activities
Net income (loss)	$(76,194,028)	$(178,061,858)
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	(105,703,000)	(664,522,118)
Proceeds from sales or maturities of short-term U.S. government and agency obligations	46,921,617	629,900,478
Net amortization and accretion on short-term U.S. government and agency obligations	(520,411)	(526,310)
Net realized (gain) loss on investments	(10,637)	7,778
Change in unrealized (appreciation) depreciation on investments	4,559	8,723
Decrease (Increase) in receivable on open futures contracts	12,799,724	109,195,498
Decrease (Increase) in interest receivable	390,696	(107,914)
Increase (Decrease) in payable to Sponsor	(93,351)	(112,552)
Increase (Decrease) in brokerage commissions and futures account fees payable	(12,991)	(16,834)
Increase (Decrease) in payable on open futures contracts	648,632	371,040
Net cash provided by (used in) operating activities	(121,769,190)	(103,864,069)
Cash flow from financing activities
Proceeds from addition of shares	90,929,010	423,036,558
Payment on shares redeemed	(88,827,898)	(361,736,717)
Net cash provided by (used in) financing activities	2,101,112	61,299,841
Net increase (decrease) in cash	(119,668,078)	(42,564,228)
Cash, beginning of period	297,461,110	394,847,507
Cash, end of period	$177,793,032	$352,283,279

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.