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

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Contents

ProShares Ultra Bloomberg Crude Oil

	December 31, 2023	December 31, 2022
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $233,435,026 and $313,413,683, respectively)	$233,476,941	$313,465,007
Cash	123,662,313	224,296,858
Segregated cash balances with brokers for futures contracts	70,781,753	76,813,658
Segregated cash balances with brokers for swap agreements	203,734,760	175,489,745
Unrealized appreciation on swap agreements	17,954,935	74,159,577
Receivable from capital shares sold	5,255,022	—
Receivable on open futures contracts	—	8,466,027
Interest receivable	568,017	618,549
Total assets	655,433,741	873,309,421
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed	—	13,545,014
Payable on open futures contracts	2,099,944	—
Brokerage commissions and futures account fees payable	5,682	7,154
Payable to Sponsor	534,678	662,979
Total liabilities	2,640,304	14,215,147
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity	652,793,437	859,094,274
Total liabilities and shareholders’ equity	$655,433,741	$873,309,421
Shares outstanding	24,843,096	28,393,096
Net asset value per share	$26.28	$30.26
Market value per share (Note 2)	$26.10	$30.31

F-

	Principal Amount	Value
Short-term U.S. government and agency obligations
(36% of shareholders’ equity)
U.S. Treasury Bills^^:
5.442% due 01/18/24	$40,000,000	$39,905,956
5.345% due 02/01/24†	70,000,000	69,692,000
5.417% due 02/20/24†	50,000,000	49,641,690
5.382% due 03/12/24	75,000,000	74,237,295
Total short-term U.S. government and agency obligations
(cost $233,435,026)		$233,476,941

Futures Contracts Purchased
	Number of Contracts	Notional Amount at Value	Unrealized Appreciation (Depreciation)/Value
WTI Crude Oil - NYMEX, expires March 2024	2,085	$149,786,400	$(584,505)
WTI Crude Oil - NYMEX, expires June 2024	2,185	157,582,200	2,237,052
WTI Crude Oil - NYMEX, expires December 2024	2,270	159,581,000	(5,167,779)
			$(3,515,232)

Total Return Swap Agreements^
	Rate Paid (Received)*	Termination Date	Notional Amount at Value**	Unrealized Appreciation (Depreciation)/Value
Swap agreement with Citibank, N.A. based on Bloomberg Commodity Balanced WTI Crude Oil Index	0.35%	01/08/24	$184,008,385	$3,938,035
Swap agreement with Goldman Sachs International based on Bloomberg Commodity Balanced WTI Crude Oil Index	0.35	01/08/24	228,781,478	4,896,240
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Commodity Balanced WTI Crude Oil Index	0.35	01/08/24	114,458,740	2,449,576
Swap agreement with Societe Generale based on Bloomberg Commodity Balanced WTI Crude Oil Index	0.25	01/08/24	173,660,597	3,727,284
Swap agreement with UBS AG based on Bloomberg Commodity Balanced WTI Crude Oil Index	0.30	01/08/24	137,354,031	2,943,800
			Total Unrealized Appreciation	$17,954,935

†	All or partial amount pledged as collateral for swap agreements.

^	The positions and counterparties herein are as of December 31, 2023. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

^^	Rates shown represent discount rate at the time of purchase.

*	Reflects the floating financing rate, as of December 31, 2023, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.

**	For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.

F-

	Principal Amount	Value
Short-term U.S. government and agency obligations
(36% of shareholders’ equity)
U.S. Treasury Bills^^:
3.807% due 01/03/23	$100,000,000	$99,991,560
4.037% due 02/07/23†	40,000,000	39,847,752
4.268% due 02/23/23†	75,000,000	74,548,965
4.258% due 03/09/23†	50,000,000	49,617,675
4.401% due 04/04/23†	50,000,000	49,459,055
Total short-term U.S. government and agency obligations
(cost $313,413,683)		$313,465,007

Futures Contracts Purchased
	Number of Contracts	Notional Amount at Value	Unrealized Appreciation (Depreciation)/Value
WTI Crude Oil - NYMEX, expires March 2023	2,041	$164,198,450	$7,859,596
WTI Crude Oil - NYMEX, expires June 2023	2,149	172,349,800	9,949,643
WTI Crude Oil - NYMEX, expires December 2023	2,251	174,024,810	8,482,477
			$26,291,716

Total Return Swap Agreements^
	Rate Paid (Received)*	Termination Date	Notional Amount at Value**	Unrealized Appreciation (Depreciation)/Value
Swap agreement with Citibank, N.A. based on Bloomberg Commodity Balanced WTI Crude Oil Index	0.35%	01/06/23	$190,907,386	$11,723,388
Swap agreement with Goldman Sachs International based on Bloomberg Commodity Balanced WTI Crude Oil Index	0.35	01/06/23	237,359,151	14,575,933
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Commodity Balanced WTI Crude Oil Index	0.35	01/06/23	330,659,477	20,305,392
Swap agreement with Societe Generale based on Bloomberg Commodity Balanced WTI Crude Oil Index	0.25	01/06/23	180,171,630	11,075,235
Swap agreement with UBS AG based on Bloomberg Commodity Balanced WTI Crude Oil Index	0.30	01/06/23	268,224,768	16,479,629
			Total Unrealized Appreciation	$74,159,577

†	All or partial amount pledged as collateral for swap agreements.

^	The positions and counterparties herein are as of December 31, 2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

^^	Rates shown represent discount rate at the time of purchase.

*	Reflects the floating financing rate, as of December 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.

**	For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.

	Year Ended December 31,
	2023	2022	2021
Investment Income
Interest	$22,579,489	$8,777,690	$488,829
Expenses
Management fee	6,801,744	10,254,003	10,774,039
Brokerage commissions	317,243	512,547	871,807
Futures account fees	—	400,349	798,214
Non-recurring fees and expenses	—	32,416	27,975
Total expenses	7,118,987	11,199,315	12,472,035
Net investment income (loss)	15,460,502	(2,421,625)	(11,983,206)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts	62,486,794	466,568,654	696,172,213
Swap agreements	38,380,744	262,267,915	256,577,496
Short-term U.S. government and agency obligations	(58,817)	(7,789)	76,422
Net realized gain (loss)	100,808,721	728,828,780	952,826,131
Change in net unrealized appreciation (depreciation) on
Futures contracts	(29,806,948)	(121,163,809)	2,891,486
Swap agreements	(56,204,642)	10,231,284	45,686,098
Short-term U.S. government and agency obligations	(9,409)	94,066	(44,983)
Change in net unrealized appreciation (depreciation)	(86,020,999)	(110,838,459)	48,532,601
Net realized and unrealized gain (loss)	14,787,722	617,990,321	1,001,358,732
Net income (loss)	$30,248,224	$615,568,696	$989,375,526

	Year Ended December 31,
	2023	2022	2021
Shareholders’ equity, beginning of period	$859,094,274	$1,103,783,570	$902,739,250
Addition of 47,050,000, 31,700,000 and 29,200,000 shares, respectively	1,174,232,354	1,045,684,983	448,859,664
Redemption of 50,600,000, 54,550,000 and 77,200,000 shares, respectively	(1,410,781,415)	(1,905,942,975)	(1,237,190,870)
Net addition (redemption) of (3,550,000), (22,850,000) and (48,000,000) shares, respectively	(236,549,061)	(860,257,992)	(788,331,206)
Net investment income (loss)	15,460,502	(2,421,625)	(11,983,206)
Net realized gain (loss)	100,808,721	728,828,780	952,826,131
Change in net unrealized appreciation (depreciation)	(86,020,999)	(110,838,459)	48,532,601
Net income (loss)	30,248,224	615,568,696	989,375,526
Shareholders’ equity, end of period	$652,793,437	$859,094,274	$1,103,783,570

	Year Ended December 31,
	2023	2022	2021
Cash flow from operating activities
Net income (loss)	$30,248,224	$615,568,696	$989,375,526
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	(9,464,242,100)	(25,166,543,607)	(2,786,468,099)
Proceeds from sales or maturities of short-term U.S. government and agency obligations	9,559,522,567	25,708,412,141	2,158,071,076
Net amortization and accretion on short-term U.S. government and agency obligations	(15,360,627)	(6,489,697)	(330,711)
Net realized (gain) loss on investments	58,817	7,789	(76,422)
Change in unrealized (appreciation) depreciation on investments	56,214,051	(10,325,350)	(45,641,115)
Decrease (Increase) in receivable on open futures contracts	8,466,027	(8,466,027)	1,611,608
Decrease (Increase) in interest receivable	50,532	(615,026)	17,865
Increase (Decrease) in payable to Sponsor	(128,301)	(187,986)	122,010
Increase (Decrease) in brokerage commissions and futures account fees payable	(1,472)	(17,523)	24,677
Increase (Decrease) in payable on open futures contracts	2,099,944	(25,317,560)	25,317,560
Increase (Decrease) in non-recurring fees and expenses payable	—	—	(37,042)
Net cash provided by (used in) operating activities	176,927,662	1,106,025,850	341,986,933
Cash flow from financing activities
Proceeds from addition of shares	1,168,977,332	1,045,684,983	448,859,664
Payment on shares redeemed	(1,424,326,429)	(1,892,397,961)	(1,240,818,804)
Net cash provided by (used in) financing activities	(255,349,097)	(846,712,978)	(791,959,140)
Net increase (decrease) in cash	(78,421,435)	259,312,872	(449,972,207)
Cash, beginning of period	476,600,261	217,287,389	667,259,596
Cash, end of period	$398,178,826	$476,600,261	$217,287,389

	December 31, 2023	December 31, 2022
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $64,445,510 and $263,209,299, respectively)	$64,459,117	$263,260,158
Cash	326,252,692	13,689,494
Segregated cash balances with brokers for futures contracts	256,589,331	163,045,170
Receivable from capital shares sold	4,281,925	—
Receivable on open futures contracts	117,168,017	149,650,221
Interest receivable	1,925,643	653,922
Total assets	770,676,725	590,298,965
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed	19,366,361	1,826,653
Payable on open futures contracts	20,739,542	1,835,443
Brokerage commissions and futures account fees payable	52,349	35,242
Payable to Sponsor	625,665	450,514
Total liabilities	40,783,917	4,147,852
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity	729,892,808	586,151,113
Total liabilities and shareholders’ equity	$770,676,725	$590,298,965
Shares outstanding (Note 1)	25,568,544	1,614,376
Net asset value per share (Note 1)	$28.55	$363.08
Market value per share (Note 1) (Note 2)	$28.44	$355.60

ContentsView on SEC.gov

The text of this filing, as the company filed it with the SEC, without its images or exhibits. This is not investment advice.