Organization | NOTE 1 – ORGANIZATION ProShares Trust II (the “Trust”) is a Delaware statutory trust formed on October 9, 2007 and is currently organized into separate series (each, a “Fund” and collectively, the “Funds”). As of December 31, 2023, the following sixteen series of the Trust have commenced investment operations: (i) ProShares VIX Short-Term Futures ETF and ProShares VIX Mid-Term On March 11, 2022, ProShares Capital Management LLC announced that it planned to close and liquidate ProShares UltraShort Australian Dollar ETF (ticker symbol: CROC) and ProShares Short Euro ETF (ticker symbol: EUFX), together, the “liquidated funds”. The last day the liquidated funds accepted creation orders was on May 2, 2022. Trading in each liquidated fund was suspended prior to market open on May 3, 2022. Proceeds of the liquidation were sent to shareholders on May 12, 2022 (the “Distribution Date”). From May 3, 2022 through the Distribution Date, shares of the liquidated funds did not trade on the NYSE Arca nor was there a secondary market for the shares. Any shareholders that remained in a liquidated fund on the Distribution Date automatically had their shares redeemed for cash at the current net asset value on May 12, 2022. The Trust had no operations prior to November 24, 2008, other than matters relating to its organization, the registration of each series under the Securities Act of 1933, as amended, and the sale and issuance to ProShare Capital Management LLC (the “Sponsor”) of fourteen Shares at an aggregate purchase price of $350 in each of the following Funds: ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen. Groups of Funds are collectively referred to in several different ways. References to “Short Fund,” “UltraShort Funds,” or “Ultra Funds” refer to the different Funds based upon their investment objectives, but without distinguishing among the Funds’ benchmarks. References to “Commodity Index Funds,” “Commodity Funds” and “Currency Funds” refer to the different Funds according to their general benchmark categories without distinguishing among the Funds’ investment objectives or Fund-specific benchmarks. References to “VIX Funds” refer to the different Funds based upon their investment objective and their general benchmark categories. The “Short” Fund seeks daily investment results, before fees and expenses, that correspond to one-half (-0.5x) (-2x) one-half Each Matching VIX Fund seeks investment results, before fees and expenses, both for a single day The Geared Funds do not seek to achieve their stated investment objectives over a period of time greater than a single day because mathematical compounding prevents the Geared Funds from achieving such results. Accordingly, results over periods of time greater than a single day should not be expected to be a simple multiple (e.g., -0.5x, -2x, Forward and Reverse Splits The table below includes forward and reverse Share splits for the Funds during the years ended December 31, 2021, 2022 and 2023. The ticker symbols for these Funds did not change, and each Fund continues to trade on its primary listing exchange, as applicable. Fund Execution Date (Prior to Opening of Trading) Type of Split Date Trading Resumed at Post- Split Price ProShares Ultra VIX Short-Term Futures ETF May 25, 2021 1-for-10 reverse Share split May 26, 2021 ProShares UltraShort Bloomberg Crude Oil May 25, 2021 1-for-4 reverse Share split May 26, 2021 ProShares UltraShort Silver May 25, 2021 1-for-4 reverse Share split May 26, 2021 ProShares VIX Short-Term Futures ETF May 25, 2021 1-for-4 reverse Share split May 26, 2021 ProShares UltraShort Bloomberg Natural Gas January 13, 2022 1-for-5 reverse Share split January 14, 2022 ProShares UltraShort Yen May 25, 2022 2-for-1 forward Share split May 26, 2022 ProShares Ultra Bloomberg Crude Oil May 25, 2022 4-for-1 forward Share split May 26, 2022 ProShares UltraShort Bloomberg Natural Gas May 25, 2022 1-for-4 reverse Share split May 26, 2022 ProShares UltraShort Bloomberg Crude Oil May 25, 2022 1-for-5 reverse Share split May 26, 2022 ProShares VIX Short-Term Futures ETF June 22, 2023 1-for-5 reverse Share split June 23, 2023 ProShares Ultra VIX Short-Term Futures ETF June 22, 2023 1-for-10 reverse Share split June 23, 2023 ProShares Ultra Bloomberg Natural Gas June 22, 2023 1-for-20 reverse Share split June 23, 2023 The reverse splits were applied retroactively for all periods presented, reducing the number of Shares outstanding for each of the Funds, and resulted in a proportionate increase in the price per Share and per Share information of each such Fund. Therefore, the reverse splits did not change the aggregate net asset value of a shareholder’s investment at the time of the reverse split. The forward splits were applied retroactively for all periods presented, increasing the number of Shares outstanding for each of the Funds, and resulted in a proportionate decrease in the price per Share and per Share information of each such Fund. Therefore, the forward splits did not change the aggregate net asset value of a shareholder’s investment at the time of the forward split. Restatement of Previously Issued Form 10-Q and Form 10-K Filings ProShares Trust II (the “Trust”) identified an error related to the classification of amounts on the Statements of Financial Condition between “Segregated cash balances with brokers for futures contracts” and “Receivable (Payable) on open futures contracts” for Trust filings for each quarterly Form 10-Q and annual Form 10-K filing for the period December 31, 2021, through June 30, 2024, for five Funds. The Statement of Cash Flows was the only other statement affected by these misclassifications. No other financial statement or financial statement disclosure in the Forms 10-Q or Form 10-K filings were affected by these errors. The misclassifications did not change the Shareholder Equity, net asset value per share, or total return of any Fund. The Funds impacted were: ProShares Short VIX Short-Term Futures ETF, ProShares Ultra Bloomberg Natural Gas, ProShares Ultra VIX Short-Term Futures ETF, ProShares UltraShort Bloomberg Natural Gas, and ProShares VIX Short These misclassifications were caused by a misinterpretation of amounts on a futures commission merchant statement and resulted in reclassifications between accounts. There is no impact on the Affected Funds’ performance, investment results, net asset values or income. The impact of these adjustments is shown in the table below. Statements of Financial Condition PROSHARES SHORT VIX SHORT-TERM FUTURES ETF December 31, 2023 December 31, 2022 As Previously Adjustment As Restated As Previously Adjustment As Restated Assets Segregated cash balances with brokers for futures contracts 88,647,616 19,191,436 107,839,052 127,094,546 26,960,318 154,054,864 Receivable on open futures contracts 30,330,665 (19,116,505 ) 11,214,160 67,086,947 (26,960,318 ) 40,126,629 Total Assets 283,337,788 74,931 283,412,719 NR NR NR Liabilities and shareholders’ equity Payable on open futures contracts 372,680 74,931 447,611 NR NR NR Total Liabilities 16,153,429 74,931 16,228,360 NR NR NR Total liabilities and shareholders’ equity 283,337,788 74,931 283,412,719 NR NR NR Statements of Cash Flows Decrease (Increase) in receivable on open futures contracts 36,756,282 (7,843,813 ) 28,912,469 32,457,391 26,960,318 59,417,709 Increase (Decrease) in payable on futures contracts 372,680 74,931 447,611 — — — Net Cash provided by (used in) operating activities 241,184,249 (7,768,882 ) 233,415,367 35,215,021 26,960,318 62,175,339 Net Increase (decrease) in cash 9,192,910 (7,768,882 ) 1,424,028 (49,064,043 ) 26,960,318 (22,103,725 ) Cash, beginning of period 133,946,941 26,960,318 160,907,259 183,010,984 — 183,010,984 Cash, End of period 143,139,851 19,191,436 162,331,287 133,946,941 26,960,318 160,907,259 Statements of Financial Condition PROSHARES ULTRA BLOOMBERG NATURAL GAS December 31, 2023 December 31, 2022 December 31, 2021 As Previously Adjustment As Restated As Previously Adjustment As Restated As Previously Adjustment As Restated Assets Segregated cash balances with brokers for futures contracts 256,589,331 118,272,358 374,861,689 163,045,170 150,981,820 314,026,990 NR NR NR Receivable on open futures contracts 117,168,017 (117,168,017 ) — 149,650,221 (149,650,221 ) — NR NR NR Total Assets 770,676,725 1,104,341 771,781,066 590,298,965 1,331,599 591,630,564 NR NR NR Liabilities and shareholders’ equity Payable on open futures contracts 20,739,542 1,104,341 21,843,883 1,835,443 1,331,599 3,167,042 NR NR NR Total Liabilities 40,783,917 1,104,341 41,888,258 4,147,852 1,331,599 5,479,451 NR NR NR Total liabilities and shareholders’ equity 770,676,725 1,104,341 771,781,066 590,298,965 1,331,599 591,630,564 NR NR NR Statements of Cash Flows Decrease (Increase) in receivable on open futures contracts 32,482,204 (32,482,204 ) — (115,651,601 ) 124,674,721 9,023,120 (20,222,769 ) 24,975,500 4,752,731 Increase (Decrease) in payable on futures contracts 18,904,099 (227,258 ) 18,676,841 (3,568,215 ) 1,331,599 (2,236,616 ) 5,403,658 — 5,403,658 Net Cash provided by (used in) operating activities (1,455,785,289 ) (32,709,462 ) (1,488,494,751 ) (483,837,000 ) 126,006,320 (357,830,680 ) (143,849,326 ) 24,975,500 (118,873,826 ) Net Increase (decrease) in cash 406,107,359 (32,709,462 ) 373,397,897 122,598,939 126,006,320 248,605,259 (83,156,997 ) 24,975,500 (58,181,497 ) Cash, beginning of period 176,734,664 150,981,820 327,716,484 54,135,725 24,975,500 79,111,225 137,292,722 — 137,292,722 Cash, End of period 582,842,023 118,272,358 701,114,381 176,734,664 150,981,820 327,716,484 54,135,725 24,975,500 79,111,225 Statements of Financial Condition PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF December 31, 2023 December 31, 2022 As Previously Adjustment As Restated As Previously Adjustment As Restated Assets Segregated cash balances with brokers for futures contracts 210,845,154 39,950,507 250,795,661 323,761,025 188,366,332 512,127,357 Receivable on open futures contracts 50,510,206 (39,950,507 ) 10,559,699 209,470,270 (187,810,635 ) 21,659,635 Total Assets NR NR NR 640,296,551 555,697 640,852,248 Liabilities and shareholders’ equity Payable on open futures contracts NR NR NR 348,988 555,697 904,685 Total Liabilities NR NR NR 978,189 555,697 1,533,886 Total liabilities and shareholders’ equity NR NR NR 640,296,551 555,697 640,852,248 Statements of Cash Flows Decrease (Increase) in receivable on open futures contracts 158,960,064 (147,860,128 ) 11,099,936 (175,872,582 ) 187,810,635 11,938,053 Increase (Decrease) in payable on futures contracts (348,988 ) (555,697 ) (904,685 ) (9,098,468 ) 555,697 (8,542,771 ) Net Cash provided by (used in) operating activities (732,872,527 ) (148,415,825 ) (881,288,352 ) (66,837,780 ) 188,366,332 121,528,552 Net Increase (decrease) in cash (97,386,397 ) (148,415,825 ) (245,802,222 ) (177,273,372 ) 188,366,332 11,092,960 Cash, beginning of period 394,847,507 188,366,332 583,213,839 572,120,879 — 572,120,879 Cash, End of period 297,461,110 39,950,507 337,411,617 394,847,507 188,366,332 583,213,839 Statements of Financial Condition PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS December 31, 2023 December 31, 2022 December 31, 2021 As Previously Adjustment As Restated As Previously Adjustment As Restated As Previously Adjustment As Restated Assets Segregated cash balances with brokers for futures contracts 35,326,076 27,563,925 62,890,001 38,758,160 32,958,640 71,716,800 NR NR NR Receivable on open futures contracts 22,414,082 (17,967,880 ) 4,446,202 33,637,888 (32,958,640 ) 679,248 NR NR NR Total Assets 141,081,961 9,596,045 150,678,006 NR NR NR NR NR NR Liabilities and shareholders’ equity Payable on open futures contracts — 9,596,045 9,596,045 NR NR NR NR NR NR Total Liabilities 118,869 9,596,045 9,714,914 NR NR NR NR NR NR Total liabilities and shareholders’ equity 141,081,961 9,596,045 150,678,006 NR NR NR NR NR NR Statements of Cash Flows Decrease (Increase) in receivable on open futures contracts 11,223,806 (14,990,760 ) (3,766,954 ) (3,547,537 ) 4,908,670 1,361,133 (30,090,351 ) 28,049,970 (2,040,381 ) Increase (Decrease) in payable on futures contracts (282,362 ) 9,596,045 9,313,683 (8,260,076 ) (3,707,580 ) (11,967,656 ) 6,998,738 3,707,580 10,706,318 Net Cash provided by (used in) operating activities 292,981,900 (5,394,715 ) 287,587,185 (43,442,874 ) 1,201,090 (42,241,784 ) (116,257,029 ) 31,757,550 (84,499,479 ) Net Increase (decrease) in cash 64,126,100 (5,394,715 ) 58,731,385 (68,518,387 ) 1,201,090 (67,317,297 ) 93,853,545 31,757,550 125,611,095 Cash, beginning of period 44,482,540 32,958,640 77,441,180 113,000,927 31,757,550 144,758,477 19,147,382 — 19,147,382 Cash, End of period 108,608,640 27,563,925 136,172,565 44,482,540 32,958,640 77,441,180 113,000,927 31,757,550 144,758,477 Statements of Financial Condition PROSHARES VIX SHORT-TERM FUTURES ETF December 31, 2023 December 31, 2022 December 31, 2021 As Previously Adjustment As Restated As Previously Adjustment As Restated As Previously Reported Adjustment As Restated Assets Segregated cash balances with brokers for futures contracts 59,164,337 13,685,056 72,849,393 91,634,942 50,118,046 141,752,988 NR NR NR Receivable on open futures contracts 16,047,893 (13,685,056 ) 2,362,837 52,643,553 (49,971,770 ) 2,671,783 NR NR NR Total Assets NR NR NR 267,556,744 146,276 267,703,020 NR NR NR Liabilities and shareholders’ equity Payable on open futures contracts NR NR NR 223,719 146,276 369,995 NR NR NR Total Liabilities NR NR NR 976,424 146,276 1,122,700 NR NR NR Total liabilities and shareholders’ equity NR NR NR 267,556,744 146,276 267,703,020 NR NR NR Statements of Cash Flows Decrease (Increase) in receivable on open futures contracts 36,595,660 (36,286,714 ) 308,946 (50,528,321 ) 48,106,710 (2,421,611 ) 180,353 1,865,060 2,045,413 Increase (Decrease) in payable on futures contracts (223,139 ) (146,276 ) (369,415 ) (1,813,672 ) 119,336 (1,694,336 ) 1,805,491 26,940 1,832,431 Net Cash provided by (used in) operating activities (202,604,246 ) (36,432,990 ) (239,037,236 ) (7,027,597 ) 48,226,046 41,198,449 (451,908,759 ) 1,892,000 (450,016,759 ) Net Increase (decrease) in cash (43,719,891 ) (36,432,990 ) (80,152,881 ) 9,200,994 48,226,046 57,427,040 (90,601,331 ) 1,892,000 (88,709,331 ) Cash, beginning of period 125,161,810 50,118,046 175,279,856 115,960,816 1,892,000 117,852,816 206,562,147 — 206,562,147 Cash, End of period 81,441,919 13,685,056 95,126,975 125,161,810 50,118,046 175,279,856 115,960,816 1,892,000 117,852,816 Statements of Financial Condition PROSHARES TRUST II December 31, 2023 December 31, 2022 December 31, 2021 As Previously Adjustment As Restated As Previously Adjustment As Restated As Previously Adjustment As Restated Assets Segregated cash balances with brokers for futures contracts 810,718,438 218,663,282 1,029,381,720 925,792,861 449,385,156 1,375,178,017 NR NR NR Receivable on open futures contracts 237,610,648 (207,887,965 ) 29,722,683 522,770,291 (447,351,584 ) 75,418,707 NR NR NR Total Assets 3,359,443,290 10,775,317 3,370,218,607 3,944,857,469 2,033,572 3,946,891,041 NR NR NR Liabilities and shareholders’ equity Payable on open futures contracts 27,280,746 10,775,317 38,056,063 11,742,794 2,033,572 13,776,366 NR NR NR Total Liabilities 76,611,164 10,775,317 87,386,481 57,070,723 2,033,572 59,104,295 NR NR NR Total liabilities and shareholders’ equity 3,359,443,290 10,775,317 3,370,218,607 3,944,857,469 2,033,572 3,946,891,041 NR NR NR Statements of Cash Flows Decrease (Increase) in receivable on open futures contracts 285,159,643 (239,463,619 ) 45,696,024 (316,951,217 ) 392,461,054 75,509,837 (96,968,074 ) 54,890,530 (42,077,544 ) Increase (Decrease) in payable on futures contracts 15,537,952 8,741,745 24,279,697 (39,399,373 ) (1,700,948 ) (41,100,321 ) 23,267,774 3,734,520 27,002,294 Net Cash provided by (used in) operating activities (1,309,044,354 ) (230,721,874 ) (1,539,766,228 ) 769,944,341 390,760,106 1,160,704,447 (3,263,874,522 ) 58,625,050 (3,205,249,472 ) Net Increase (decrease) in cash 552,275,209 (230,721,874 ) 321,553,335 418,066,378 390,760,106 808,826,484 (1,847,762,219 ) 58,625,050 (1,789,137,169 ) Cash, beginning of period 1,826,767,616 449,385,156 2,276,152,772 1,408,701,238 58,625,050 1,467,326,288 3,256,463,457 — 3,256,463,457 Cash, End of period 2,379,042,825 218,663,282 2,597,706,107 1,826,767,616 449,385,156 2,276,152,772 1,408,701,238 58,625,050 1,467,326,288 NR - Not Restated. |