ProShares Trust II

For the period ended Jun 30, 2024. Filed Aug 8, 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.

Jun 30, 2024 · Filed Aug 8, 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

	June 30, 2024 (unaudited)	December 31, 2023
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $169,045,239 and $109,391,681, respectively)	$169,047,283	$109,410,342
Cash	33,687,181	54,492,235
Segregated cash balances with brokers for futures contracts	90,095,318	88,647,616
Receivable on open futures contracts	7,748,578	30,330,665
Interest receivable	496,309	456,930
Total assets	301,074,669	283,337,788
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed	—	15,522,316
Payable on open futures contracts	2,131,041	372,680
Brokerage commissions and futures account fees payable	—	9,571
Payable to Sponsor	231,113	248,862
Total liabilities	2,362,154	16,153,429
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity	298,712,515	267,184,359
Total liabilities and shareholders’ equity	$301,074,669	$283,337,788
Shares outstanding (Note 1)	4,868,614	5,168,614
Net asset value per share (Note 1)	$61.35	$51.69
Market value per share (Note 1) (Note 2)	$61.39	$51.70

	Principal Amount	Value
Short-term U.S. government and agency obligations
(57% of shareholders’ equity)
U.S. Treasury Bills^^:
5.288% due 07/09/24	$80,000,000	$79,906,936
5.321% due 09/05/24	90,000,000	89,140,347
Total short-term U.S. government and agency obligations (cost $169,045,239)		$169,047,283

Futures Contracts Sold
	Number of Contracts	Notional Amount at Value	Unrealized Appreciation (Depreciation)/Value
VIX Futures - Cboe, expires July 2024	5,997	$84,094,732	$2,965,349
VIX Futures - Cboe, expires August 2024	4,360	65,139,272	869,850
			$3,835,199

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

	Three Months Ended June 30,		Six Months Ended June 30,
	2024	2023	2024	2023
Investment Income
Interest	$3,457,223	$2,437,210	$6,766,508	$4,546,332
Expenses
Management fee	702,645	617,036	1,443,041	1,182,813
Brokerage commissions	170,317	123,422	341,916	249,925
Total expenses	872,962	740,458	1,784,957	1,432,738
Net investment income (loss)	2,584,261	1,696,752	4,981,551	3,113,594
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts	26,761,918	65,228,142	55,258,866	94,832,290
Short-term U.S. government and agency obligations	—	(25,811)	17,669	(25,811)
Net realized gain (loss)	26,761,918	65,202,331	55,276,535	94,806,479
Change in net unrealized appreciation (depreciation) on
Futures contracts	(4,177,838)	9,658,017	(8,805,425)	12,836,824
Short-term U.S. government and agency obligations	10,617	15,084	(16,617)	(8,546)
Change in net unrealized appreciation (depreciation)	(4,167,221)	9,673,101	(8,822,042)	12,828,278
Net realized and unrealized gain (loss)	22,594,697	74,875,432	46,454,493	107,634,757
Net income (loss)	$25,178,958	$76,572,184	$51,436,044	$110,748,351

	Three Months Ended June 30,		Six Months Ended June 30,
	2024	2023	2024	2023
Shareholders’ equity, beginning of period	$313,978,799	$295,340,393	$267,184,359	$339,591,638
Addition of 350,000, 1,100,000, 2,750,000 and 6,000,000 shares, respectively (Note 1)	18,814,510	38,020,154	147,244,261	185,319,488
Redemption of 1,050,000, 3,700,000, 3,050,000 and 10,900,000 shares, respectively (Note 1)	(59,259,752)	(127,579,464)	(167,152,149)	(353,306,210)
Net addition (redemption) of (700,000), (2,600,000), (300,000) and (4,900,000) shares, respectively (Note 1)	(40,445,242)	(89,559,310)	(19,907,888)	(167,986,722)
Net investment income (loss)	2,584,261	1,696,752	4,981,551	3,113,594
Net realized gain (loss)	26,761,918	65,202,331	55,276,535	94,806,479
Change in net unrealized appreciation (depreciation)	(4,167,221)	9,673,101	(8,822,042)	12,828,278
Net income (loss)	25,178,958	76,572,184	51,436,044	110,748,351
Shareholders’ equity, end of period	$298,712,515	$282,353,267	$298,712,515	$282,353,267

	Six Months Ended June 30,
	2024	2023
Cash flow from operating activities
Net income (loss)	$51,436,044	$110,748,351
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	(316,469,775)	(278,358,687)
Proceeds from sales or maturities of short-term U.S. government and agency obligations	260,017,669	334,826,194
Net amortization and accretion on short-term U.S. government and agency obligations	(3,183,783)	(1,921,222)
Net realized (gain) loss on investments	(17,669)	25,811
Change in unrealized (appreciation) depreciation on investments	16,617	8,546
Decrease (Increase) in receivable on open futures contracts	22,582,087	48,261,408
Decrease (Increase) in interest receivable	(39,379)	43,386
Increase (Decrease) in payable to Sponsor	(17,749)	(131,814)
Increase (Decrease) in brokerage commissions and futures account fees payable	(9,571)	(12,820)
Increase (Decrease) in payable on open futures contracts	1,758,361	—
Net cash provided by (used in) operating activities	16,072,852	213,489,153
Cash flow from financing activities
Proceeds from addition of shares	147,244,261	185,319,488
Payment on shares redeemed	(182,674,465)	(359,168,024)
Net cash provided by (used in) financing activities	(35,430,204)	(173,848,536)
Net increase (decrease) in cash	(19,357,352)	39,640,617
Cash, beginning of period	143,139,851	133,946,941
Cash, end of period	$123,782,499	$173,587,558

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.