ProShares Trust II [VIXY] Filings

ProShares Trust II [VIXY] Filings

ProShares Trust II [AGQ] Filings

ProShares Trust II [BOIL] Filings

ProShares Trust II [EUO] Filings

ProShares Trust II [GLL] Filings

ProShares Trust II [VIXM] Filings

ProShares Trust II [YCL] Filings

ProShares Trust II [YCS] Filings

ProShares Trust II [ZSL] Filings

ProShares Trust II [SVXY] Filings

ProShares Trust II [UCO] Filings

ProShares Trust II [UGL] Filings

ProShares Trust II [ULE] Filings

ProShares Trust II [UVXY] Filings

ProShares Trust II [KOLD] Filings

ProShares Trust II [SCO] Filings

10-Q 1 d880616d10q.htm 10-Q 10-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM

10-Q

☒	Quarterly report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 for the quarterly period ended June 30, 2024.

☐	Transition report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 for the transition period from to .

Commission file number:

001-34200

PROSHARES TRUST II

(Exact name of registrant as specified in its charter)


Delaware		87-6284802
(State or other jurisdiction of incorporation or organization)		(I.R.S. Employer Identification No.)

c/o ProShare Capital Management LLC

7272 Wisconsin Avenue, 21

Floor

Bethesda, Maryland 20814

(Address of principal executive offices) (Zip Code)

(240)

497-6400

(Registrant’s telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Act:


Title of each class	Trading Symbol(s)	Name of each exchange on which registered
ProShares Short VIX Short-Term Futures ETF	SVXY	Cboe BZX Exchange
ProShares Ultra Bloomberg Crude Oil	UCO	NYSE Arca
ProShares Ultra Bloomberg Natural Gas	BOIL	NYSE Arca
ProShares Ultra Euro	ULE	NYSE Arca
ProShares Ultra Gold	UGL	NYSE Arca
ProShares Ultra Silver	AGQ	NYSE Arca
ProShares Ultra VIX Short-Term Futures ETF	UVXY	Cboe BZX Exchange
ProShares Ultra Yen	YCL	NYSE Arca
ProShares UltraShort Bloomberg Crude Oil	SCO	NYSE Arca
ProShares UltraShort Bloomberg Natural Gas	KOLD	NYSE Arca
ProShares UltraShort Euro	EUO	NYSE Arca
ProShares UltraShort Gold	GLL	NYSE Arca
ProShares UltraShort Silver	ZSL	NYSE Arca
ProShares UltraShort Yen	YCS	NYSE Arca
ProShares VIX Mid-Term Futures ETF	VIXM	Cboe BZX Exchange
ProShares VIX Short-Term Futures ETF	VIXY	Cboe BZX Exchange

Securities registered pursuant to Section 12(g) of the Act: None

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. ☒ Yes ☐ No

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation

S-T

(§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files). ☒ Yes ☐ No

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a

non-accelerated

filer, smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer”, “accelerated filer”, “smaller reporting company” and “emerging growth company” in Rule

12b-2

of the Exchange Act.

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐

Indicate by check mark whether the registrant is a shell company (as defined in Rule

12b-2

of the Exchange Act.). ☐ Yes ☒ No

Indicate by check mark whether the registrant has filed all documents and reports required to be filed by Sections 12, 13 or 15(d) of the Securities Exchange Act of 1934 subsequent to the distribution of securities under a plan confirmed by a court.

☒

Yes ☐ No

As of August 4, 2024, the registrant had

147,109,561

shares of common stock, $0 par value per share, outstanding.

Table of Contents

PROSHARES TRUST II

Table of Contents


	Page
Part I. FINANCIAL INFORMATION
Item 1. Financial Statements (unaudited).		1
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations.		126
Item 3. Quantitative and Qualitative Disclosures About Market Risk.		173
Item 4. Controls and Procedures.		187

Part II. OTHER INFORMATION
Item 1. Legal Proceedings.		189
Item 1A. Risk Factors.		189
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.		190
Item 3. Defaults Upon Senior Securities.		192
Item 4. Mine Safety Disclosures.		192
Item 5. Other Information.		192
Item 6. Exhibits.		192

Table of Contents

Part I. FINANCIAL INFORMATION

Item 1.

Financial Statements.

Index


Documents	Page
Statements of Financial Condition, Schedule of Investments, Statements of Operations, Statements of Changes in Shareholders’ Equity, and Statements of Cash Flows:
ProShares Short VIX Short-Term Futures ETF		2
ProShares Ultra Bloomberg Crude Oil		7
ProShares Ultra Bloomberg Natural Gas		12
ProShares Ultra Euro		17
ProShares Ultra Gold		22
ProShares Ultra Silver		27
ProShares Ultra VIX Short-Term Futures ETF		32
ProShares Ultra Yen		37
ProShares UltraShort Bloomberg Crude Oil		42
ProShares UltraShort Bloomberg Natural Gas		47
ProShares UltraShort Euro		52
ProShares UltraShort Gold		57
ProShares UltraShort Silver		62
ProShares UltraShort Yen		67
ProShares VIX Mid-Term Futures ETF		72
ProShares VIX Short-Term Futures ETF		77
ProShares Trust II		82
Notes to Financial Statements		86

Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION


	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

See accompanying notes to financial statements.

Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

JUNE 30, 2024

(unaudited)


	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.

See accompanying notes to financial statements.

Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

(unaudited)


	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

See accompanying notes to financial statements.

Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)


	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

ProShares Trust II [VIXY] Filings
ProShares Trust II [AGQ] Filings
ProShares Trust II [BOIL] Filings
ProShares Trust II [EUO] Filings
ProShares Trust II [GLL] Filings
ProShares Trust II [VIXM] Filings
ProShares Trust II [YCL] Filings
ProShares Trust II [YCS] Filings
ProShares Trust II [ZSL] Filings
ProShares Trust II [SVXY] Filings
ProShares Trust II [UCO] Filings
ProShares Trust II [UGL] Filings
ProShares Trust II [ULE] Filings
ProShares Trust II [UVXY] Filings
ProShares Trust II [KOLD] Filings
ProShares Trust II [SCO] Filings
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