ProShares Trust II
For the period ended Dec 31, 2023. Filed Feb 28, 2024.
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FY2023 · Filed Feb 28, 2024
SCO$19.74+5.2%Stored close · as of Nov 9, 2026
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ProShares Trust II
COMBINED STATEMENTS OF FINANCIAL CONDITION
| December 31, 2023 | December 31, 2022 | |
|---|---|---|
| Assets | ||
| Short-term U.S. government and agency obligations (Note 3) (cost $690,346,244 and $1,466,423,925, respectively) | $690,474,277 | $1,466,680,542 |
| Cash | 1,209,034,101 | 625,964,378 |
| Segregated cash balances with brokers for futures contracts | 810,718,438 | 925,792,861 |
| Segregated cash balances with brokers for foreign currency forward contracts | 13,366,243 | 12,956,632 |
| Segregated cash balances with brokers for swap agreements | 345,924,043 | 262,053,745 |
| Unrealized appreciation on swap agreements | 21,033,528 | 119,880,255 |
| Unrealized appreciation on foreign currency forward contracts | 2,011,074 | 2,823,510 |
| Receivable from capital shares sold | 22,784,178 | 1,014,483 |
| Receivable on open futures contracts | 237,610,648 | 522,770,291 |
| Interest receivable | 6,486,760 | 4,920,772 |
| Total assets | 3,359,443,290 | 3,944,857,469 |
| Liabilities and shareholders’ equity | ||
| Liabilities | ||
| Payable for capital shares redeemed | 39,357,935 | 32,725,077 |
| Payable on open futures contracts | 27,280,746 | 11,742,794 |
| Brokerage commissions and futures account fees payable | 131,497 | 165,165 |
| Payable to Sponsor | 2,654,226 | 3,210,113 |
| Unrealized depreciation on swap agreements | 3,841,216 | 2,315,580 |
| Unrealized depreciation on foreign currency forward contracts | 3,345,544 | 6,911,994 |
| Total liabilities | 76,611,164 | 57,070,723 |
| Commitments and Contingencies (Note 2) | ||
| Shareholders’ equity | ||
| Shareholders’ equity | 3,282,832,126 | 3,887,786,746 |
| Total liabilities and shareholders’ equity | $3,359,443,290 | $3,944,857,469 |
| Shares outstanding (Note 1) | 142,039,214 | 89,444,047 |
F-
COMBINED STATEMENTS OF OPERATIONS
| Year Ended December 31, | |||
|---|---|---|---|
| 2023 | 2022* | 2021 | |
| Investment Income | |||
| Interest | $136,369,286 | $44,947,305 | $1,551,527 |
| Expenses | |||
| Management fee | 35,112,338 | 43,228,350 | 42,560,986 |
| Brokerage commissions | 8,606,195 | 7,805,056 | 8,889,232 |
| Futures account fees | 1,467,200 | 3,926,728 | 7,549,345 |
| Non-recurring fees and expenses | — | 176,724 | 27,975 |
| Total expenses | 45,185,733 | 55,136,858 | 59,027,538 |
| Net investment income (loss) | 91,183,553 | (10,189,553) | (57,476,011) |
| Realized and unrealized gain (loss) on investment activity | |||
| Net realized gain (loss) on | |||
| Futures contracts | (2,752,823,603) | 91,781,637 | (1,548,344,771) |
| Swap agreements | 38,451,228 | 216,079,482 | (17,091,298) |
| Foreign currency forward contracts | (1,988,872) | 13,717,111 | 9,440,376 |
| Short-term U.S. government and agency obligations | (159,628) | (264,402) | 529,886 |
| Net realized gain (loss) | (2,716,520,875) | 321,313,828 | (1,555,465,807) |
| Change in net unrealized appreciation (depreciation) on | |||
| Futures contracts | 241,673,235 | (218,950,927) | (106,029,049) |
| Swap agreements | (100,372,363) | 7,797,463 | 33,122,467 |
| Foreign currency forward contracts | 2,754,014 | (4,739,563) | 2,196,926 |
| Short-term U.S. government and agency obligations | (128,584) | 550,165 | (312,409) |
| Change in net unrealized appreciation (depreciation) | 143,926,302 | (215,342,862) | (71,022,065) |
| Net realized and unrealized gain (loss) | (2,572,594,573) | 105,970,966 | (1,626,487,872) |
| Net income (loss) | $(2,481,411,020) | $95,781,413 | $(1,683,963,883) |
| * | The operations include the activity of ProShares Short Euro ETF and ProShares UltraShort Australian Dollar ETF through May 12, 2022, the date of liquidation. |
|---|
F-
COMBINED STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
| Years Ended December 31, | |||
|---|---|---|---|
| 2023 | 2022* | 2021 | |
| Shareholders’ equity, beginning of period | $3,887,786,746 | $4,173,474,343 | $4,474,251,414 |
| Addition of 279,685,000, 278,787,500 and 76,444,750 shares, respectively (Note 1) | 11,067,788,777 | 12,319,404,610 | 7,879,243,191 |
| Redemption of 227,089,833, 288,475,926 and 115,421,117 shares, respectively (Note 1) | (9,191,332,377) | (12,700,873,620) | (6,496,056,379) |
| Net addition (redemption) of 52,595,167, (9,688,426) and (38,976,367) shares, respectively (Note 1) | 1,876,456,400 | (381,469,010) | 1,383,186,812 |
| Net investment income (loss) | 91,183,553 | (10,189,553) | (57,476,011) |
| Net realized gain (loss) | (2,716,520,875) | 321,313,828 | (1,555,465,807) |
| Change in net unrealized appreciation (depreciation) | 143,926,302 | (215,342,862) | (71,022,065) |
| Net income (loss) | (2,481,411,020) | 95,781,413 | (1,683,963,883) |
| Shareholders’ equity, end of period | $3,282,832,126 | $3,887,786,746 | $4,173,474,343 |
| * | The operations include the activity of ProShares Short Euro ETF and ProShares UltraShort Australian Dollar ETF through May 12, 2022, the date of liquidation. |
|---|
COMBINED STATEMENTS OF CASH FLOWS
| Year ended December 31, | |||
|---|---|---|---|
| 2023 | 2022* | 2021 | |
| Cash flow from operating activities | |||
| Net income (loss) | $(2,481,411,020) | $95,781,413 | $(1,683,963,883) |
| 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 | (29,326,977,643) | (55,926,795,459) | (9,150,624,906) |
| Proceeds from sales or maturities of short-term U.S government and agency obligations | 30,165,855,686 | 56,988,696,650 | 7,681,440,016 |
| Net amortization and accretion on short-term U.S government and agency obligations | (62,959,990) | (22,866,632) | (1,040,586) |
| Net realized (gain) loss on investments | 159,628 | 264,402 | (529,886) |
| Change in unrealized (appreciation) depreciation on investments | 97,746,933 | (3,608,065) | (35,006,984) |
| Decrease (Increase) in receivable on futures contracts | 285,159,643 | (316,951,217) | (96,968,074) |
| Decrease (Increase) in interest receivable | (1,565,988) | (4,897,829) | 43,928 |
| Increase (Decrease) in payable to Sponsor | (555,887) | 31,527 | (229,087) |
| Increase (Decrease) in brokerage commissions and futures account fees payable | (33,668) | (311,076) | (214,764) |
| Increase (Decrease) in payable on futures contracts | 15,537,952 | (39,399,373) | 23,267,774 |
| Increase (Decrease) in non-recurring fees and expenses payable | — | — | (48,070) |
| Net cash provided by (used in) operating activities | (1,309,044,354) | 769,944,341 | (3,263,874,522) |
| Cash flow from financing activities | |||
| Proceeds from addition of shares | 11,046,019,082 | 12,341,865,482 | 7,904,854,224 |
| Payment on shares redeemed | (9,184,699,519) | (12,693,743,445) | (6,488,741,921) |
| Net cash provided by (used in) financing activities | 1,861,319,563 | (351,877,963) | 1,416,112,303 |
| Net increase (decrease) in cash | 552,275,209 | 418,066,378 | (1,847,762,219) |
| Cash, beginning of period | 1,826,767,616 | 1,408,701,238 | 3,256,463,457 |
| Cash, end of period | $2,379,042,825 | $1,826,767,616 | $1,408,701,238 |
| * | The operations include the activity of ProShares Short Euro ETF and ProShares UltraShort Australian Dollar ETF through May 12, 2022, the date of liquidation. |
|---|
NOTES TO FINANCIAL STATEMENTS
December 31, 2023
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