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 Short-Term Futures ETF

	June 30, 2024 (unaudited)	December 31, 2023
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $64,756,905 and $59,648,776, respectively)	$64,756,617	$59,660,373
Cash	21,351,037	22,277,582
Segregated cash balances with brokers for futures contracts	47,977,287	59,164,337
Receivable on open futures contracts	14,144,463	16,047,893
Interest receivable	249,142	254,671
Total assets	148,478,546	157,404,856
Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts	—	580
Brokerage commissions and futures account fees payable	11,302	11,961
Payable to Sponsor	47,216	70,569
Total liabilities	58,518	83,110
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity	148,420,028	157,321,746
Total liabilities and shareholders’ equity	$148,478,546	$157,404,856
Shares outstanding	13,700,947	10,150,947
Net asset value per share	$10.83	$15.50
Market value per share (Note 2)	$10.85	$15.51

	Principal Amount	Value
Short-term U.S. government and agency obligations
(44% of shareholders’ equity)
U.S. Treasury Bills^^:
5.300% due 07/09/24	$45,000,000	$44,947,651
5.354% due 09/05/24	20,000,000	19,808,966
Total short-term U.S. government and agency obligations (cost $64,756,905)		$64,756,617

	Number of Contracts	Notional Amount at Value	Unrealized Appreciation (Depreciation)/Value
VIX Futures - Cboe, expires July 2024	5,961	$83,589,911	$(1,712,575)
VIX Futures - Cboe, expires August 2024	4,335	64,765,767	(948,245)
			$(2,660,820)

^^	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	$1,619,921	$2,440,291	$3,378,183	$4,560,852
Expenses
Management fee	310,061	530,826	646,437	1,048,314
Brokerage commissions	39,404	95,391	79,663	191,888
Futures account fees	31,267	48,732	64,538	99,391
Total expenses	380,732	674,949	790,638	1,339,593
Net investment income (loss)	1,239,189	1,765,342	2,587,545	3,221,259
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts	(27,512,354)	(127,229,299)	(59,271,318)	(173,326,001)
Short-term U.S. government and agency obligations	—	(10,613)	4,830	(10,605)
Net realized gain (loss)	(27,512,354)	(127,239,912)	(59,266,488)	(173,336,606)
Change in net unrealized appreciation (depreciation) on
Futures contracts	4,018,755	(21,324,056)	7,003,274	(20,176,064)
Short-term U.S. government and agency obligations	3,454	20,803	(11,885)	2,837
Change in net unrealized appreciation (depreciation)	4,022,209	(21,303,253)	6,991,389	(20,173,227)
Net realized and unrealized gain (loss)	(23,490,145)	(148,543,165)	(52,275,099)	(193,509,833)
Net income (loss)	$(22,250,956)	$(146,777,823)	$(49,687,554)	$(190,288,574)

	Three Months Ended June 30,		Six Months Ended June 30,
	2024	2023	2024	2023
Shareholders’ equity, beginning of period	$162,936,051	$226,765,204	$157,321,746	$266,580,320
Addition of 3,700,000, 4,460,000, 7,500,000 and 6,760,000 shares, respectively	42,851,982	159,301,302	95,632,291	267,768,654
Redemption of 2,600,000, 255,000, 3,950,000 and 2,210,000 shares, respectively	(35,117,049)	(9,060,853)	(54,846,455)	(113,832,570)
Net addition (redemption) of 1,100,000, 4,205,000, 3,550,000 and 4,550,000 shares, respectively	7,734,933	150,240,449	40,785,836	153,936,084
Net investment income (loss)	1,239,189	1,765,342	2,587,545	3,221,259
Net realized gain (loss)	(27,512,354)	(127,239,912)	(59,266,488)	(173,336,606)
Change in net unrealized appreciation (depreciation)	4,022,209	(21,303,253)	6,991,389	(20,173,227)
Net income (loss)	(22,250,956)	(146,777,823)	(49,687,554)	(190,288,574)
Shareholders’ equity, end of period	$148,420,028	$230,227,830	$148,420,028	$230,227,830

	Six Months Ended June 30,
	2024	2023
Cash flow from operating activities
Net income (loss)	$(49,687,554)	$(190,288,574)
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	(153,292,911)	(318,231,573)
Proceeds from sales or maturities of short-term U.S. government and agency obligations	149,944,134	334,754,108
Net amortization and accretion on short-term U.S. government and agency obligations	(1,754,522)	(1,966,043)
Net realized (gain) loss on investments	(4,830)	10,605
Change in unrealized (appreciation) depreciation on investments	11,885	(2,837)
Decrease (Increase) in receivable on open futures contracts	1,903,430	34,137,415
Decrease (Increase) in interest receivable	5,529	18,196
Increase (Decrease) in payable to Sponsor	(23,353)	(36,534)
Increase (Decrease) in brokerage commissions and futures account fees payable	(659)	(7,961)
Increase (Decrease) in payable on open futures contracts	(580)	1,907,775
Net cash provided by (used in) operating activities	(52,899,431)	(139,705,423)
Cash flow from financing activities
Proceeds from addition of shares	95,632,291	267,768,654
Payment on shares redeemed	(54,846,455)	(114,403,043)
Net cash provided by (used in) financing activities	40,785,836	153,365,611
Net increase (decrease) in cash	(12,113,595)	13,660,188
Cash, beginning of period	81,441,919	125,161,810
Cash, end of period	$69,328,324	$138,821,998

ContentsView on SEC.gov

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