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 VIX Mid-Term Futures ETF

	June 30, 2024 (unaudited)	December 31, 2023
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $49,519,896 and $–, respectively)	$49,522,415	$—
Cash	41,038,726	31,674,194
Segregated cash balances with brokers for futures contracts	4,704,894	5,936,995
Receivable on open futures contracts	10,823,502	137,945
Interest receivable	220,924	141,818
Total assets	106,310,461	37,890,952
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed	72,839,263	—
Brokerage commissions and futures account fees payable	3,084	1,876
Payable to Sponsor	66,662	22,933
Total liabilities	72,909,009	24,809
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity	33,401,452	37,866,143
Total liabilities and shareholders’ equity	$106,310,461	$37,890,952
Shares outstanding	2,337,403	2,262,403
Net asset value per share	$14.29	$16.74
Market value per share (Note 2)	$14.33	$16.75

	Principal Amount	Value
Short-term U.S. government and agency obligations
(148% of shareholders’ equity)
U.S. Treasury Bills^^:
5.295% due 09/05/24	$50,000,000	$49,522,415
Total short-term U.S. government and agency obligations (cost $49,519,896)		$49,522,415

	Number of Contracts	Notional Amount at Value	Unrealized Appreciation (Depreciation)/Value
VIX Futures - Cboe, expires October 2024	367	$6,671,142	$(285,377)
VIX Futures - Cboe, expires November 2024	633	10,966,725	211,863
VIX Futures - Cboe, expires December 2024	633	10,951,280	210,194
VIX Futures - Cboe, expires January 2025	267	4,792,650	295
			$136,975

^^	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	$1,106,849	$650,585	$1,622,013	$1,298,505
Expenses
Management fee	191,320	134,066	288,207	284,189
Brokerage commissions	66,049	12,200	86,212	21,369
Futures account fees	10,537	11,856	16,541	23,296
Total expenses	267,906	158,122	390,960	328,854
Net investment income (loss)	838,943	492,463	1,231,053	969,651
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts	(8,949,418)	(6,943,333)	(15,057,887)	(22,764,053)
Short-term U.S. government and agency obligations	—	—	3,278	—
Net realized gain (loss)	(8,949,418)	(6,943,333)	(15,054,609)	(22,764,053)
Change in net unrealized appreciation (depreciation) on
Futures contracts	1,092,860	(9,677,526)	3,882,651	(5,086,991)
Short-term U.S. government and agency obligations	2,519	2,424	2,519	(5,651)
Change in net unrealized appreciation (depreciation)	1,095,379	(9,675,102)	3,885,170	(5,092,642)
Net realized and unrealized gain (loss)	(7,854,039)	(16,618,435)	(11,169,439)	(27,856,695)
Net income (loss)	$(7,015,096)	$(16,125,972)	$(9,938,386)	$(26,887,044)

	Three Months Ended June 30,		Six Months Ended June 30,
	2024	2023	2024	2023
Shareholders’ equity, beginning of period	$84,603,064	$67,306,087	$37,866,143	$84,014,959
Addition of 5,250,000, 575,000, 8,625,000 and 850,000 shares, respectively	80,762,930	14,067,422	135,188,877	21,818,758
Redemption of 8,250,000, 675,000, 8,550,000 and 1,200,000 shares, respectively	(124,949,446)	(15,826,124)	(129,715,182)	(29,525,260)
Net addition (redemption) of (3,000,000), (100,000), 75,000 and (350,000) shares, respectively	(44,186,516)	(1,758,702)	5,473,695	(7,706,502)
Net investment income (loss)	838,943	492,463	1,231,053	969,651
Net realized gain (loss)	(8,949,418)	(6,943,333)	(15,054,609)	(22,764,053)
Change in net unrealized appreciation (depreciation)	1,095,379	(9,675,102)	3,885,170	(5,092,642)
Net income (loss)	(7,015,096)	(16,125,972)	(9,938,386)	(26,887,044)
Shareholders’ equity, end of period	$33,401,452	$49,421,413	$33,401,452	$49,421,413

	Six Months Ended June 30,
	2024	2023
Cash flow from operating activities
Net income (loss)	$(9,938,386)	$(26,887,044)
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	(49,330,764)	(254,817,825)
Proceeds from sales or maturities of short-term U.S. government and agency obligations	3,278	305,000,000
Net amortization and accretion on short-term U.S. government and agency obligations	(189,132)	(305,478)
Net realized (gain) loss on investments	(3,278)	—
Change in unrealized (appreciation) depreciation on investments	(2,519)	5,651
Decrease (Increase) in receivable on open futures contracts	(10,685,557)	142,794
Decrease (Increase) in interest receivable	(79,106)	(101,568)
Increase (Decrease) in payable to Sponsor	43,729	(19,128)
Increase (Decrease) in brokerage commissions and futures account fees payable	1,208	995
Increase (Decrease) in payable on open futures contracts	—	962,275
Net cash provided by (used in) operating activities	(70,180,527)	23,980,672
Cash flow from financing activities
Proceeds from addition of shares	135,188,877	21,818,758
Payment on shares redeemed	(56,875,919)	(29,525,260)
Net cash provided by (used in) financing activities	78,312,958	(7,706,502)
Net increase (decrease) in cash	8,132,431	16,274,170
Cash, beginning of period	37,611,189	33,959,989
Cash, end of period	$45,743,620	$50,234,159

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.