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 VIX Short-Term Futures ETF

	March 31, 2024 (unaudited)	December 31, 2023
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $69,205,152 and $59,648,776, respectively)	$69,201,410	$59,660,373
Cash	23,097,902	22,277,582
Segregated cash balances with brokers for futures contracts	49,390,884	59,164,337
Receivable from capital shares sold	1,617,143	—
Receivable on open futures contracts	19,465,649	16,047,893
Interest receivable	249,471	254,671
Total assets	163,022,459	157,404,856
Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts	—	580
Brokerage commissions and futures account fees payable	8,607	11,961
Payable to Sponsor	77,801	70,569
Total liabilities	86,408	83,110
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity	162,936,051	157,321,746
Total liabilities and shareholders’ equity	$163,022,459	$157,404,856
Shares outstanding	12,600,947	10,150,947
Net asset value per share	$12.93	$15.50
Market value per share (Note 2)	$12.96	$15.51

	Principal Amount	Value
Short-term U.S. government and agency obligations
(42% of shareholders’ equity)
U.S. Treasury Bills^^:
5.269% due 06/06/24	$30,000,000	$29,713,176
5.352% due 06/18/24	20,000,000	19,774,234
5.349% due 07/09/24	20,000,000	19,714,000
Total short-term U.S. government and agency obligations (cost $69,205,152)		$69,201,410

	Number of Contracts	Notional Amount at Value	Unrealized Appreciation (Depreciation)/Value
VIX Futures - Cboe, expires April 2024	6,974	$100,207,314	$(6,554,137)
VIX Futures - Cboe, expires May 2024	4,068	62,722,458	(125,438)
			$(6,679,575)

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

	Three Months Ended March 31,
	2024	2023
Investment Income
Interest	$1,758,262	$2,120,561
Expenses
Management fee	336,376	517,488
Brokerage commissions	40,259	96,497
Futures accounts fees	33,271	50,659
Total expenses	409,906	664,644
Net investment income (loss)	1,348,356	1,455,917
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts	(31,758,964)	(46,096,702)
Short-term U.S. government and agency obligations	4,830	8
Net realized gain (loss)	(31,754,134)	(46,096,694)
Change in net unrealized appreciation (depreciation) on
Futures contracts	2,984,519	1,147,992
Short-term U.S. government and agency obligations	(15,339)	(17,966)
Change in net unrealized appreciation (depreciation)	2,969,180	1,130,026
Net realized and unrealized gain (loss)	(28,784,954)	(44,966,668)
Net income (loss)	$(27,436,598)	$(43,510,751)

	Three Months Ended March 31,
	2024	2023
Shareholders’ equity, beginning of period	$157,321,746	$266,580,320
Addition of 3,800,000 and 2,300,000 shares, respectively (Note 1)	52,780,309	108,467,352
Redemption of 1,350,000 and 1,955,000 shares, respectively (Note 1)	(19,729,406)	(104,771,717)
Net addition (redemption) of 2,450,000 and 345,000 shares, respectively (Note 1)	33,050,903	3,695,635
Net investment income (loss)	1,348,356	1,455,917
Net realized gain (loss)	(31,754,134)	(46,096,694)
Change in net unrealized appreciation (depreciation)	2,969,180	1,130,026
Net income (loss)	(27,436,598)	(43,510,751)
Shareholders’ equity, end of period	$162,936,051	$226,765,204

	Three Months Ended March 31,
	2024	2023
Cash flow from operating activities
Net income (loss)	$(27,436,598)	$(43,510,751)
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	(108,597,450)	(124,671,570)
Proceeds from sales or maturities of short-term U.S. government and agency obligations	99,944,134	109,979,608
Net amortization and accretion on short-term U.S. government and agency obligations	(898,230)	(819,344)
Net realized (gain) loss on investments	(4,830)	(8)
Change in unrealized (appreciation) depreciation on investments	15,339	17,966
Decrease (Increase) in receivable on open futures contracts	(3,417,756)	26,481,863
Decrease (Increase) in interest receivable	5,200	(108,848)
Increase (Decrease) in payable to Sponsor	7,232	6,899
Increase (Decrease) in brokerage commissions and futures account fees payable	(3,354)	(13,059)
Increase (Decrease) in payable on open futures contracts	(580)	129,396
Net cash provided by (used in) operating activities	(40,386,893)	(32,507,848)
Cash flow from financing activities
Proceeds from addition of shares	51,163,166	103,045,732
Payment on shares redeemed	(19,729,406)	(105,342,190)
Net cash provided by (used in) financing activities	31,433,760	(2,296,458)
Net increase (decrease) in cash	(8,953,133)	(34,804,306)
Cash, beginning of period	81,441,919	125,161,810
Cash, end of period	$72,488,786	$90,357,504

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.