ProShares Trust II

For the period ended Dec 31, 2023. Filed Feb 28, 2024.

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A company's yearly report to the SEC, with audited financial statements. It is the fullest account a company gives of its business, its finances and the risks it sees.

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 Natural Gas

	Principal Amount	Value
Short-term U.S. government and agency obligations
(9% of shareholders’ equity)
U.S. Treasury Bills^^:
5.417% due 02/20/24	$40,000,000	$39,713,352
5.382% due 03/12/24	25,000,000	24,745,765
Total short-term U.S. government and agency obligations
(cost $64,445,510)		$64,459,117

	Number of Contracts	Notional Amount at Value	Unrealized Appreciation (Depreciation)/Value
Natural Gas - NYMEX, expires March 2024	62,768	$1,460,611,360	$43,607,070

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

	Principal Amount	Value
Short-term U.S. government and agency obligations
(45% of shareholders’ equity)
U.S. Treasury Bills^^:
3.807% due 01/03/23	$35,000,000	$34,997,046
4.037% due 02/07/23	40,000,000	39,847,752
4.268% due 02/23/23	65,000,000	64,609,103
4.258% due 03/09/23	50,000,000	49,617,675
4.401% due 04/04/23	75,000,000	74,188,582
Total short-term U.S. government and agency obligations
(cost $263,209,299)		$263,260,158

Futures Contracts Purchased
	Number of Contracts	Notional Amount at Value	Unrealized Appreciation (Depreciation)/Value
Natural Gas - NYMEX, expires March 2023	28,571	$1,172,553,840	$(310,613,969)

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

	Year Ended December 31,
	2023	2022	2021
Investment Income
Interest	$34,926,670	$4,362,018	$50,091
Expenses
Management fee	9,157,296	2,676,608	1,031,508
Brokerage commissions	3,527,713	626,331	352,618
Futures account fees	662,807	278,411	275,824
Non-recurring fees and expenses	—	15,397	—
Total expenses	13,347,816	3,596,747	1,659,950
Net investment income (loss)	21,578,854	765,271	(1,609,859)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts	(2,054,254,551)	109,680,104	(51,858,807)
Swap agreements	(26,402,152)	—	—
Short-term U.S. government and agency obligations	892	(4,317)	8,324
Net realized gain (loss)	(2,080,655,811)	109,675,787	(51,850,483)
Change in net unrealized appreciation (depreciation) on
Futures contracts	354,221,039	(302,407,808)	(14,706,882)
Short-term U.S. government and agency obligations	(37,252)	65,140	(14,585)
Change in net unrealized appreciation (depreciation)	354,183,787	(302,342,668)	(14,721,467)
Net realized and unrealized gain (loss)	(1,726,472,024)	(192,666,881)	(66,571,950)
Net income (loss)	$(1,704,893,170)	$(191,901,610)	$(68,181,809)

	Year Ended December 31,
	2023	2022	2021
Shareholders’ equity, beginning of period	$586,151,113	$193,892,178	$169,800,371
Addition of 68,615,000, 3,167,500 and 767,500 shares, respectively (Note 1)	4,896,232,861	2,558,661,553	613,708,303
Redemption of 44,660,832, 1,932,500 and 792,500 shares, respectively (Note 1)	(3,047,597,996)	(1,974,501,008)	(521,434,687)
Net addition (redemption) of 23,954,168, 1,235,000 and (25,000) shares, respectively (Note 1)	1,848,634,865	584,160,545	92,273,616
Net investment income (loss)	21,578,854	765,271	(1,609,859)
Net realized gain (loss)	(2,080,655,811)	109,675,787	(51,850,483)
Change in net unrealized appreciation (depreciation)	354,183,787	(302,342,668)	(14,721,467)
Net income (loss)	(1,704,893,170)	(191,901,610)	(68,181,809)
Shareholders’ equity, end of period	$729,892,808	$586,151,113	$193,892,178

F-

	Year Ended December 31,
	2023	2022	2021
Cash flow from operating activities
Net income (loss)	$(1,704,893,170)	$(191,901,610)	$(68,181,809)
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	(11,178,803,468)	(2,226,855,145)	(289,900,679)
Proceeds from sales or maturities of short-term U.S. government and agency obligations	11,391,373,123	2,056,848,583	229,000,330
Net amortization and accretion on short-term U.S. government and agency obligations	(13,804,974)	(2,270,335)	(28,461)
Net realized (gain) loss on investments	(892)	4,317	(8,324)
Change in unrealized (appreciation) depreciation on investments	37,252	(65,140)	14,585
Decrease (Increase) in receivable on open futures contracts	32,482,204	(115,651,601)	(20,222,769)
Decrease (Increase) in interest receivable	(1,271,721)	(652,792)	3,196
Increase (Decrease) in payable to Sponsor	175,151	303,324	7,735
Increase (Decrease) in brokerage commissions and futures account fees payable	17,107	(28,386)	63,628
Increase (Decrease) in payable on open futures contracts	18,904,099	(3,568,215)	5,403,658
Increase (Decrease) in non-recurring fees and expenses payable	—	—	(416)
Net cash provided by (used in) operating activities	(1,455,785,289)	(483,837,000)	(143,849,326)
Cash flow from financing activities
Proceeds from addition of shares	4,891,950,936	2,579,110,294	593,259,562
Payment on shares redeemed	(3,030,058,288)	(1,972,674,355)	(532,567,233)
Net cash provided by (used in) financing activities	1,861,892,648	606,435,939	60,692,329
Net increase (decrease) in cash	406,107,359	122,598,939	(83,156,997)
Cash, beginning of period	176,734,664	54,135,725	137,292,722
Cash, end of period	$582,842,023	$176,734,664	$54,135,725

F-

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