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 March 31, 2024, the following sixteen Mid-Term 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 Funds,” “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 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, Share Splits The table below includes forward and reverse Share splits for the Funds during the three months March 31, 2024, and during the year ended December 31, 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 Type of Split Date Trading ProShares VIX Short-Term Futures June 22, 2023 1-for-5 reverse Share split June 23, 2023 ProShares Ultra VIX Short-Term Futures 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. 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-Term Futures ETF (the “Affected Funds”). 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. PROSHARES SHORT VIX SHORT-TERM FUTURES ETF March 31, 2024 (unaudited) December 31, 2023 As Previously Adjustment As Restated As Previously Adjustment As Restated Assets Segregated cash balances with brokers for futures contracts 92,929,810 19,555,492 112,485,302 88,647,616 19,191,436 107,839,052 Receivable on open futures contracts 38,527,249 (19,555,492 ) 18,971,757 30,330,665 (19,116,505 ) 11,214,160 Total Assets NR NR NR 283,337,788 74,931 283,412,719 Liabilities and shareholders’ equity Payble on open futures contracts NR NR NR 372,680 74,931 447,611 Total Liabilities NR NR NR 16,153,429 74,931 16,228,360 Total liabilities and shareholders’ equity NR NR NR 283,337,788 74,931 283,412,719 March 31, 2024 (unaudited) March 31, 2023 (unaudited) As Previously Adjustment As Restated As Previously Adjustment As Restated Statements of Cash Flows Decrease (Increase) in receivable on open futures contracts (8,196,584 ) 438,987 (7,757,597 ) 23,629,273 (7,769,894 ) 15,859,379 Increase (Decrease) in payable on futures contracts 1,341,246 (74,931 ) 1,266,315 NR NR NR Net Cash provided by (used in) operating activities (19,888,522 ) 364,056 (19,524,466 ) 107,089,157 (7,769,894 ) 99,319,263 Net Increase (decrease) in cash (14,873,484 ) 364,056 (14,509,428 ) 32,352,749 (7,769,894 ) 24,582,855 Cash, beginninng of period 143,139,851 19,191,436 162,331,287 133,946,941 26,960,318 160,907,259 Cash, End of period 128,266,367 19,555,492 147,821,859 166,299,690 19,190,424 185,490,114 PROSHARES ULTRA BLOOMBERG NATURAL GAS March 31, 2024 (unaudited) December 31, 2023 As Previously Adjustment As Restated As Previously Adjustment As Restated Assets Segregated cash balances with brokers for futures contracts 211,412,836 90,616,964 302,029,800 256,589,331 118,272,358 374,861,689 Receivable on open futures contracts 101,640,598 (86,603,669 ) 15,036,929 117,168,017 (117,168,017 ) — Total Assets 597,162,268 4,013,295 601,175,563 770,676,725 1,104,341 771,781,066 Liabilities and shareholders’ equity Payble on open futures contracts 15,959,212 4,013,295 19,972,507 20,739,542 1,104,341 21,843,883 Total Liabilities 16,420,891 4,013,295 20,434,186 40,783,917 1,104,341 41,888,258 Total liabilities and shareholders’ equity 597,162,268 4,013,295 601,175,563 770,676,725 1,104,341 771,781,066 March 31, 2024 (unaudited) March 31, 2023 (unaudited) As Previously Adjustment As Restated As Previously Adjustment As Restated Statements of Cash Flows Decrease (Increase) in receivable on open futures contracts 15,527,419 (30,564,348 ) (15,036,929 ) (82,107,988 ) (4,256,332 ) (86,364,320 ) Increase (Decrease) in payable on futures contracts (4,780,330 ) 2,908,954 (1,871,376 ) (1,835,443 ) 13,196,912 11,361,469 Net Cash provided by (used in) operating activities (298,210,213 ) (27,655,394 ) (325,865,607 ) (1,191,161,155 ) 8,940,580 (1,182,220,575 ) Net Increase (decrease) in cash (130,104,172 ) (27,655,394 ) (157,759,566 ) 486,780,969 8,940,580 495,721,549 Cash, beginninng of period 582,842,023 118,272,358 701,114,381 176,734,664 150,981,820 327,716,484 Cash, End of period 452,737,851 90,616,964 543,354,815 663,515,633 159,922,400 823,438,033 PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF March 31, 2024 (unaudited) December 31, 2023 As Previously Adjustment As Restated As Previously Adjustment As Restated Assets Segregated cash balances with brokers for futures contracts 136,617,804 26,949,692 163,567,496 210,845,154 39,950,507 250,795,661 Receivable on open futures contracts 37,710,482 (26,949,692 ) 10,760,790 50,510,206 (39,950,507 ) 10,559,699 Total Assets NR NR NR NR NR NR Liabilities and shareholders’ equity Payble on open futures contracts NR NR NR NR NR NR Total Liabilities NR NR NR NR NR NR Total liabilities and shareholders’ equity NR NR NR NR NR NR March 31, 2024 (unaudited) March 31, 2023 (unaudited) As Previously Adjustment As Restated As Previously Adjustment As Restated Statements of Cash Flows Decrease (Increase) in receivable on open futures contracts 12,799,724 (13,000,815 ) (201,091 ) 109,195,498 (112,108,554 ) (2,913,056 ) Increase (Decrease) in payable on futures contracts 648,632 — 648,632 371,040 18,883,334 19,254,374 Net Cash provided by (used in) operating activities (121,769,190 ) (13,000,815 ) (134,770,005 ) (103,864,069 ) (93,225,220 ) (197,089,289 ) Net Increase (decrease) in cash (119,668,078 ) (13,000,815 ) (132,668,893 ) (42,564,228 ) (93,225,220 ) (135,789,448 ) Cash, beginninng of period 297,461,110 39,950,507 337,411,617 394,847,507 188,366,332 583,213,839 Cash, End of period 177,793,032 26,949,692 204,742,724 352,283,279 95,141,112 447,424,391 PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS March 31, 2024 (unaudited) December 31, 2023 As Previously Adjustment As Restated As Previously Adjustment As Restated Assets Segregated cash balances with brokers for futures contracts 27,668,768 10,222,232 37,891,000 35,326,076 27,563,925 62,890,001 Receivable on open futures contracts 12,531,347 (10,222,232 ) 2,309,115 22,414,082 (17,967,880 ) 4,446,202 Total Assets NR NR NR 141,081,961 9,596,045 150,678,006 Liabilities and shareholders’ equity Payble on open futures contracts NR NR NR — 9,596,045 9,596,045 Total Liabilities NR NR NR 118,869 9,596,045 9,714,914 Total liabilities and shareholders’ equity NR NR NR 141,081,961 9,596,045 150,678,006 March 31, 2024 (unaudited) March 31, 2023 (unaudited) As Previously Adjustment As Restated As Previously Adjustment As Restated Statements of Cash Flows Decrease (Increase) in receivable on open futures contracts 9,882,735 (7,745,648 ) 2,137,087 14,440,205 (13,760,955 ) 679,250 Increase (Decrease) in payable on futures contracts 3,043,723 (9,596,045 ) (6,552,322 ) 11,040,838 8,566,315 19,607,153 Net Cash provided by (used in) operating activities 28,006,220 (17,341,693 ) 10,664,527 201,106,823 (5,194,640 ) 195,912,183 Net Increase (decrease) in cash (70,217,387 ) (17,341,693 ) (87,559,080 ) 41,072,059 (5,194,640 ) 35,877,419 Cash, beginninng of period 108,608,640 27,563,925 136,172,565 44,482,540 32,958,640 77,441,180 Cash, End of period 38,391,253 10,222,232 48,613,485 85,554,599 27,764,000 113,318,599 PROSHARES VIX SHORT-TERM FUTURES ETF March 31, 2024 (unaudited) December 31, 2023 As Previously Adjustment As Restated As Previously Adjustment As Restated Assets Segregated cash balances with brokers for futures contracts 49,390,884 14,320,306 63,711,190 59,164,337 13,685,056 72,849,393 Receivable on open futures contracts 19,465,649 (14,320,306 ) 5,145,343 16,047,893 (13,685,056 ) 2,362,837 Total Assets NR NR NR NR NR NR Liabilities and shareholders’ equity Payble on open futures contracts NR NR NR NR NR NR Total Liabilities NR NR NR NR NR NR Total liabilities and shareholders’ equity NR NR NR NR NR NR March 31, 2024 (unaudited) March 31, 2023 (unaudited) As Previously Adjustment As Restated As Previously Adjustment As Restated Statements of Cash Flows Decrease (Increase) in receivable on open futures contracts (3,417,756 ) 635,250 (2,782,506 ) 26,481,863 (27,374,358 ) (892,495 ) Increase (Decrease) in payable on futures contracts (580 ) — (580 ) 129,396 7,727,764 7,857,160 Net Cash provided by (used in) operating activities (40,386,893 ) 635,250 (39,751,643 ) (32,507,848 ) (19,646,594 ) (52,154,442 ) Net Increase (decrease) in cash (8,953,133 ) 635,250 (8,317,883 ) (34,804,306 ) (19,646,594 ) (54,450,900 ) Cash, beginninng of period 81,441,919 13,685,056 95,126,975 125,161,810 50,118,046 175,279,856 Cash, End of period 72,488,786 14,320,306 86,809,092 90,357,504 30,471,452 120,828,956 PROSHARES TRUST II March 31, 2024 (unaudited) December 31, 2023 As Previously Adjustment As Restated As Previously Adjustment As Restated Assets Segregated cash balances with brokers for futures contracts 641,544,576 161,664,686 803,209,262 810,718,438 218,663,282 1,029,381,720 Receivable on open futures contracts 214,903,522 (157,651,391 ) 57,252,131 237,610,648 (207,887,965 ) 29,722,683 Total Assets 3,132,206,914 4,013,295 3,136,220,209 3,359,443,290 10,775,317 3,370,218,607 Liabilities and shareholders’ equity Payble on open futures contracts 28,050,589 4,013,295 32,063,884 27,280,746 10,775,317 38,056,063 Total Liabilities 43,527,233 4,013,295 47,540,528 76,611,164 10,775,317 87,386,481 Total liabilities and shareholders’ equity 3,132,206,914 4,013,295 3,136,220,209 3,359,443,290 10,775,317 3,370,218,607 March 31, 2024 (unaudited) March 31, 2023 (unaudited) As Previously Adjustment As Restated As Previously Adjustment As Restated Statements of Cash Flows Decrease (Increase) in receivable on open futures contracts 22,707,126 (50,236,574 ) (27,529,448 ) 85,542,272 (165,270,093 ) (79,727,821 ) Increase (Decrease) in payable on futures contracts 769,843 (6,762,022 ) (5,992,179 ) 9,174,527 48,374,325 57,548,852 Net Cash provided by (used in) operating activities (664,000,583 ) (56,998,596 ) (720,999,179 ) (577,930,825 ) (116,895,768 ) (694,826,593 ) Net Increase (decrease) in cash (695,240,253 ) (56,998,596 ) (752,238,849 ) 807,718,286 (116,895,768 ) 690,822,518 Cash, beginninng of period 2,379,042,825 218,663,282 2,597,706,107 1,826,767,616 449,385,156 2,276,152,772 Cash, End of period 1,683,802,572 161,664,686 1,845,467,258 2,634,485,902 332,489,388 2,966,975,290 NR - Not Restated. |