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 Ultra VIX Short-Term Futures ETF

	June 30, 2024 (unaudited)	December 31, 2023
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $49,941,817 and $–, respectively)	$49,941,835	$—
Cash	34,940,702	86,615,956
Segregated cash balances with brokers for futures contracts	120,823,595	210,845,154
Receivable on open futures contracts	26,176,118	50,510,206
Interest receivable	454,279	924,148
Total assets	232,336,529	348,895,464
Liabilities and shareholders’ equity
Liabilities
Brokerage commissions and futures account fees payable	16,333	36,088
Payable to Sponsor	184,998	303,633
Total liabilities	201,331	339,721
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity	232,135,198	348,555,743
Total liabilities and shareholders’ equity	$232,336,529	$348,895,464
Shares outstanding (Note 1)	9,843,643	8,264,891
Net asset value per share (Note 1)	$23.58	$42.17
Market value per share (Note 1) (Note 2)	$23.54	$42.20

	Principal Amount	Value
Short-term U.S. government and agency obligations
(22% of shareholders’ equity)
U.S. Treasury Bills^^:
5.304% due 07/09/24	$50,000,000	$49,941,835
Total short-term U.S. government and agency obligations (cost $49,941,817)		$49,941,835

Futures Contracts Purchased
	Number of Contracts	Notional Amount at Value	Unrealized Appreciation (Depreciation)/Value
VIX Futures - Cboe, expires July 2024	13,989	$196,164,949	$(3,927,708)
VIX Futures - Cboe, expires August 2024	10,175	152,016,535	(2,277,212)
			$(6,204,920)

^^	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	$2,335,823	$4,750,595	$5,094,065	$9,167,250
Expenses
Management fee	553,814	1,330,081	1,221,345	2,703,851
Brokerage commissions	454,606	712,511	941,152	1,490,212
Futures account fees	63,964	126,999	150,134	250,360
Total expenses	1,072,384	2,169,591	2,312,631	4,444,423
Net investment income (loss)	1,263,439	2,581,004	2,781,434	4,722,827
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts	(57,413,186)	(426,304,544)	(148,416,415)	(608,537,974)
Short-term U.S. government and agency obligations	500	4,188	11,137	(3,590)
Net realized gain (loss)	(57,412,686)	(426,300,356)	(148,405,278)	(608,541,564)
Change in net unrealized appreciation (depreciation) on
Futures contracts	11,693,863	(45,320,517)	24,978,991	(43,274,267)
Short-term U.S. government and agency obligations	4,577	5,340	18	(3,383)
Change in net unrealized appreciation (depreciation)	11,698,440	(45,315,177)	24,979,009	(43,277,650)
Net realized and unrealized gain (loss)	(45,714,246)	(471,615,533)	(123,426,269)	(651,819,214)
Net income (loss)	$(44,450,807)	$(469,034,529)	$(120,644,835)	$(647,096,387)

	Three Months Ended June 30,		Six Months Ended June 30,
	2024	2023	2024	2023
Shareholders’ equity, beginning of period	$278,240,649	$535,980,236	$348,555,743	$639,318,362
Addition of 7,030,000, 2,588,000, 9,850,000 and 4,262,000 shares, respectively (Note 1)	196,405,861	455,030,425	291,112,693	891,490,874
Redemption of 6,031,248, 710,000, 8,271,248 and 1,928,000 shares, respectively (Note 1)	(198,060,505)	(134,212,073)	(286,888,403)	(495,948,790)
Net addition (redemption) of 998,752, 1,878,000, 1,578,752 and 2,334,000 shares, respectively (Note 1)	(1,654,644)	320,818,352	4,224,290	395,542,084
Net investment income (loss)	1,263,439	2,581,004	2,781,434	4,722,827
Net realized gain (loss)	(57,412,686)	(426,300,356)	(148,405,278)	(608,541,564)
Change in net unrealized appreciation (depreciation)	11,698,440	(45,315,177)	24,979,009	(43,277,650)
Net income (loss)	(44,450,807)	(469,034,529)	(120,644,835)	(647,096,387)
Shareholders’ equity, end of period	$232,135,198	$387,764,059	$232,135,198	$387,764,059

	Six Months Ended June 30,
	2024	2023
Cash flow from operating activities
Net income (loss)	$(120,644,835)	$(647,096,387)
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	(145,539,355)	(1,156,102,958)
Proceeds from sales or maturities of short-term U.S. government and agency obligations	96,889,241	1,192,359,088
Net amortization and accretion on short-term U.S. government and agency obligations	(1,280,566)	(1,530,731)
Net realized (gain) loss on investments	(11,137)	3,590
Change in unrealized (appreciation) depreciation on investments	(18)	3,383
Decrease (Increase) in receivable on open futures contracts	24,334,088	159,024,755
Decrease (Increase) in interest receivable	469,869	293,885
Increase (Decrease) in payable to Sponsor	(118,635)	(209,095)
Increase (Decrease) in brokerage commissions and futures account fees payable	(19,755)	(14,116)
Increase (Decrease) in payable on open futures contracts	—	1,707,397
Net cash provided by (used in) operating activities	(145,921,103)	(451,561,189)
Cash flow from financing activities
Proceeds from addition of shares	291,112,693	891,490,874
Payment on shares redeemed	(286,888,403)	(495,948,790)
Net cash provided by (used in) financing activities	4,224,290	395,542,084
Net increase (decrease) in cash	(141,696,813)	(56,019,105)
Cash, beginning of period	297,461,110	394,847,507
Cash, end of period	$155,764,297	$338,828,402

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.