ProShares Trust II
For the period ended Dec 31, 2023. Filed Feb 28, 2024.
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FY2023 · Filed Feb 28, 2024
SCO$20.19+2.3%Stored close · as of Nov 10, 2026
Extracted filing text, with the paragraph anchors used by the comparison.
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ProShares Short VIX Short-Term Futures ETF
| December 31, 2023 | December 31, 2022 | |
|---|---|---|
| Assets | ||
| Short-term U.S. government and agency obligations (Note 3) (cost $109,391,681 and $144,283,581, respectively) | $109,410,342 | $144,307,676 |
| Cash | 54,492,235 | 6,852,395 |
| Segregated cash balances with brokers for futures contracts | 88,647,616 | 127,094,546 |
| Receivable on open futures contracts | 30,330,665 | 67,086,947 |
| Interest receivable | 456,930 | 475,930 |
| Total assets | 283,337,788 | 345,817,494 |
| Liabilities and shareholders’ equity | ||
| Liabilities | ||
| Payable for capital shares redeemed | 15,522,316 | 5,861,814 |
| Payable on open futures contracts | 372,680 | — |
| Brokerage commissions and futures account fees payable | 9,571 | 21,576 |
| Payable to Sponsor | 248,862 | 342,466 |
| Total liabilities | 16,153,429 | 6,225,856 |
| Commitments and Contingencies (Note 2) | ||
| Shareholders’ equity | ||
| Shareholders’ equity | 267,184,359 | 339,591,638 |
| Total liabilities and shareholders’ equity | $283,337,788 | $345,817,494 |
| Shares outstanding | 2,584,307 | 5,784,307 |
| Net asset value per share | $103.39 | $58.71 |
| Market value per share (Note 2) | $103.40 | $58.68 |
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| Principal Amount | Value | |
|---|---|---|
| Short-term U.S. government and agency obligations | ||
| (41% of shareholders’ equity) | ||
| U.S. Treasury Bills^^: | ||
| 5.442% due 01/18/24 | $25,000,000 | $24,941,223 |
| 5.345% due 02/01/24 | 50,000,000 | 49,780,000 |
| 5.417% due 02/20/24 | 15,000,000 | 14,892,507 |
| 5.382% due 03/12/24 | 20,000,000 | 19,796,612 |
| Total short-term U.S. government and agency obligations (cost $109,391,681) | $109,410,342 | |
| Futures Contracts Sold | |||
|---|---|---|---|
| Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | |
| VIX Futures - Cboe, expires January 2024 | 5,412 | $76,045,095 | $10,168,009 |
| VIX Futures - Cboe, expires February 2024 | 3,778 | 57,786,021 | 2,472,615 |
| $12,640,624 | |||
| ^^ | Rates shown represent discount rate at the time of purchase. |
|---|
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| Principal Amount | Value | |
|---|---|---|
| Short-term U.S. government and agency obligations | ||
| (42% of shareholders’ equity) | ||
| U.S. Treasury Bills^^: | ||
| 3.807% due 01/03/23 | $50,000,000 | $49,995,780 |
| 4.037% due 02/07/23 | 20,000,000 | 19,923,876 |
| 4.268% due 02/23/23 | 25,000,000 | 24,849,655 |
| 4.258% due 03/09/23 | 25,000,000 | 24,808,837 |
| 4.401% due 04/04/23 | 25,000,000 | 24,729,528 |
| Total short-term U.S. government and agency obligations (cost $144,283,581) | $144,307,676 | |
| Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | |
|---|---|---|---|
| VIX Futures - Cboe, expires January 2023 | 4,215 | $97,358,492 | $10,597,402 |
| VIX Futures - Cboe, expires February 2023 | 2,951 | 72,433,180 | 494,979 |
| $11,092,381 | |||
| ^^ | Rates shown represent discount rate at the time of purchase. |
|---|
F-
| Year Ended December 31, | |||
|---|---|---|---|
| 2023 | 2022 | 2021 | |
| Investment Income | |||
| Interest | $10,251,068 | $3,512,477 | $101,467 |
| Expenses | |||
| Management fee | 2,500,560 | 3,901,784 | 4,358,107 |
| Brokerage commissions | 543,461 | 663,288 | 848,956 |
| Futures account fees | — | 381,085 | 1,036,798 |
| Non-recurring fees and expenses | — | 16,339 | — |
| Total expenses | 3,044,021 | 4,962,496 | 6,243,861 |
| Net investment income (loss) | 7,207,047 | (1,450,019) | (6,142,394) |
| Realized and unrealized gain (loss) on investment activity | |||
| Net realized gain (loss) on | |||
| Futures contracts | 160,516,553 | 21,454,600 | 194,879,700 |
| Short-term U.S. government and agency obligations | (21,847) | (86,512) | 118,624 |
| Net realized gain (loss) | 160,494,706 | 21,368,088 | 194,998,324 |
| Change in net unrealized appreciation (depreciation) on | |||
| Futures contracts | 1,548,243 | (20,182,897) | 22,926,495 |
| Short-term U.S. government and agency obligations | (5,434) | 59,620 | (36,437) |
| Change in net unrealized appreciation (depreciation) | 1,542,809 | (20,123,277) | 22,890,058 |
| Net realized and unrealized gain (loss) | 162,037,515 | 1,244,811 | 217,888,382 |
| Net income (loss) | $169,244,562 | $(205,208) | $211,745,988 |
F-
| Year Ended December 31, | |||
|---|---|---|---|
| 2023 | 2022 | 2021 | |
| Shareholders’ equity, beginning of period | $339,591,638 | $423,812,594 | $409,371,468 |
| Addition of 4,100,000, 7,150,000 and 5,100,000 shares, respectively | 282,356,336 | 366,101,636 | 242,419,979 |
| Redemption of 7,300,000, 8,250,000 and 8,100,000 shares, respectively | (524,008,177) | (450,117,384) | (439,724,841) |
| Net addition (redemption) of (3,200,000), (1,100,000) and (3,000,000) shares, respectively | (241,651,841) | (84,015,748) | (197,304,862) |
| Net investment income (loss) | 7,207,047 | (1,450,019) | (6,142,394) |
| Net realized gain (loss) | 160,494,706 | 21,368,088 | 194,998,324 |
| Change in net unrealized appreciation (depreciation) | 1,542,809 | (20,123,277) | 22,890,058 |
| Net income (loss) | 169,244,562 | (205,208) | 211,745,988 |
| Shareholders’ equity, end of period | $267,184,359 | $339,591,638 | $423,812,594 |
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| Year Ended December 31, | |||
|---|---|---|---|
| 2023 | 2022 | 2021 | |
| Cash flow from operating activities | |||
| Net income (loss) | $169,244,562 | $(205,208) | $211,745,988 |
| 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 | (756,847,632) | (1,562,961,162) | (619,782,627) |
| Proceeds from sales or maturities of short-term U.S. government and agency obligations | 796,473,442 | 1,567,832,801 | 542,110,382 |
| Net amortization and accretion on short-term U.S. government and agency obligations | (4,755,757) | (1,390,488) | (61,648) |
| Net realized (gain) loss on investments | 21,847 | 86,512 | (118,624) |
| Change in unrealized (appreciation) depreciation on investments | 5,434 | (59,620) | 36,437 |
| Decrease (Increase) in receivable on open futures contracts | 36,756,282 | 32,457,391 | (25,317,513) |
| Decrease (Increase) in interest receivable | 19,000 | (473,062) | 1,516 |
| Increase (Decrease) in payable to Sponsor | (93,604) | 10,593 | 5,307 |
| Increase (Decrease) in brokerage commissions and futures account fees payable | (12,005) | (82,736) | (10,210) |
| Increase (Decrease) in payable on open futures contracts | 372,680 | — | (996,159) |
| Increase (Decrease) in non-recurring fees and expenses payable | — | — | (1,353) |
| Net cash provided by (used in) operating activities | 241,184,249 | 35,215,021 | 107,611,496 |
| Cash flow from financing activities | |||
| Proceeds from addition of shares | 282,356,336 | 366,101,636 | 242,419,979 |
| Payment on shares redeemed | (514,347,675) | (450,380,700) | (433,599,711) |
| Net cash provided by (used in) financing activities | (231,991,339) | (84,279,064) | (191,179,732) |
| Net increase (decrease) in cash | 9,192,910 | (49,064,043) | (83,568,236) |
| Cash, beginning of period | 133,946,941 | 183,010,984 | 266,579,220 |
| Cash, end of period | $143,139,851 | $133,946,941 | $183,010,984 |
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