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 Ultra Gold
| December 31, 2023 | December 31, 2022 | |
|---|---|---|
| Assets | ||
| Short-term U.S. government and agency obligations (Note 3) (cost $59,496,177 and $129,100,287, respectively) | $59,507,594 | $129,123,489 |
| Cash | 92,898,206 | 16,568,417 |
| Segregated cash balances with brokers for futures contracts | 4,523,500 | 2,611,350 |
| Segregated cash balances with brokers for swap agreements | 31,930,271 | 18,730,000 |
| Unrealized appreciation on swap agreements | 3,078,593 | 6,496,466 |
| Receivable on open futures contracts | — | 8,169 |
| Interest receivable | 276,736 | 126,595 |
| Total assets | 192,214,900 | 173,664,486 |
| Liabilities and shareholders’ equity | ||
| Liabilities | ||
| Payable on open futures contracts | 564,042 | — |
| Payable to Sponsor | 148,835 | 140,350 |
| Total liabilities | 712,877 | 140,350 |
| Commitments and Contingencies (Note 2) | ||
| Shareholders’ equity | ||
| Shareholders’ equity | 191,502,023 | 173,524,136 |
| Total liabilities and shareholders’ equity | $192,214,900 | $173,664,486 |
| Shares outstanding | 3,000,000 | 3,150,000 |
| Net asset value per share | $63.83 | $55.09 |
| Market value per share (Note 2) | $63.87 | $55.27 |
| Principal Amount | Value | |
|---|---|---|
| Short-term U.S. government and agency obligations | ||
| (31% of shareholders’ equity) | ||
| U.S. Treasury Bills^^: | ||
| 5.345% due 02/01/24 | $10,000,000 | $9,956,000 |
| 5.417% due 02/20/24† | 20,000,000 | 19,856,676 |
| 5.382% due 03/12/24† | 30,000,000 | 29,694,918 |
| Total short-term U.S. government and agency obligations | ||
| (cost $59,496,177) | $59,507,594 | |
| Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | |
|---|---|---|---|
| Gold Futures – COMEX, expires February 2024 | 543 | $112,498,740 | $4,096,275 |
^
| Rate Paid (Received)* | Termination Date | Notional Amount at Value** | Unrealized Appreciation (Depreciation)/Value | |
|---|---|---|---|---|
| Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex | 0.25% | 01/08/24 | $116,159,653 | $1,321,903 |
| Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex | 0.25 | 01/08/24 | 55,172,161 | 627,862 |
| Swap agreement with UBS AG based on Bloomberg Gold Subindex | 0.25 | 01/08/24 | 99,193,505 | 1,128,828 |
| Total Unrealized Appreciation | $3,078,593 | |||
| † | 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. |
|---|
| Principal Amount | Value | |
|---|---|---|
| Short-term U.S. government and agency obligations | ||
| (74% of shareholders’ equity) | ||
| U.S. Treasury Bills^^: | ||
| 4.037% due 02/07/23 | $30,000,000 | $29,885,814 |
| 4.268% due 02/23/23† | 50,000,000 | 49,699,310 |
| 4.258% due 03/09/23 | 25,000,000 | 24,808,838 |
| 4.401% due 04/04/23 | 25,000,000 | 24,729,527 |
| Total short-term U.S. government and agency obligations | ||
| (cost $129,100,287) | $129,123,489 | |
| Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | |
|---|---|---|---|
| Gold Futures - COMEX, expires February 2023 | 407 | $74,326,340 | $3,242,088 |
^
| Rate Paid (Received)* | Termination Date | Notional Amount at Value** | Unrealized Appreciation (Depreciation)/Value | |
|---|---|---|---|---|
| Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex | 0.25% | 01/06/23 | $108,414,576 | $2,582,849 |
| Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex | 0.25 | 01/06/23 | 51,493,495 | 1,226,772 |
| Swap agreement with UBS AG based on Bloomberg Gold Subindex | 0.25 | 01/06/23 | 112,779,772 | 2,686,845 |
| Total Unrealized Appreciation | $6,496,466 | |||
| † | 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. |
|---|
F-
| Year Ended December 31, | |||
|---|---|---|---|
| 2023 | 2022 | 2021 | |
| Investment Income | |||
| Interest | $7,285,355 | $2,321,780 | $92,581 |
| Expenses | |||
| Management fee | 1,735,128 | 2,259,459 | 2,262,422 |
| Brokerage commissions | 26,654 | 49,272 | 41,241 |
| Futures account fees | — | 28,169 | 77,793 |
| Non-recurring fees and expenses | — | 6,758 | — |
| Total expenses | 1,761,782 | 2,343,658 | 2,381,456 |
| Net investment income (loss) | 5,523,573 | (21,878) | (2,288,875) |
| Realized and unrealized gain (loss) on investment activity | |||
| Net realized gain (loss) on | |||
| Futures contracts | 849,905 | (23,226,760) | (12,433,003) |
| Swap agreements | 20,579,249 | (9,683,190) | (18,911,561) |
| Short-term U.S. government and agency obligations | (28,324) | (708) | 20,618 |
| Net realized gain (loss) | 21,400,830 | (32,910,658) | (31,323,946) |
| Change in net unrealized appreciation (depreciation) on | |||
| Futures contracts | 854,187 | 2,587,194 | (1,991,980) |
| Swap agreements | (3,417,873) | (2,142,722) | 3,498,208 |
| Short-term U.S. government and agency obligations | (11,785) | 31,050 | (9,032) |
| Change in net unrealized appreciation (depreciation) | (2,575,471) | 475,522 | 1,497,196 |
| Net realized and unrealized gain (loss) | 18,825,359 | (32,435,136) | (29,826,750) |
| Net income (loss) | $24,348,932 | $(32,457,014) | $(32,115,625) |
F-
| Year Ended December 31, | |||
|---|---|---|---|
| 2023 | 2022 | 2021 | |
| Shareholders’ equity, beginning of period | $173,524,136 | $232,780,534 | $263,540,473 |
| Addition of 1,000,000, 1,750,000 and 1,350,000 shares, respectively | 60,924,667 | 110,166,409 | 80,907,462 |
| Redemption of 1,150,000, 2,500,000 and 1,350,000 shares, respectively | (67,295,712) | (136,965,793) | (79,551,776) |
| Net addition (redemption) of (150,000), (750,000) and – shares, respectively | (6,371,045) | (26,799,384) | 1,355,686 |
| Net investment income (loss) | 5,523,573 | (21,878) | (2,288,875) |
| Net realized gain (loss) | 21,400,830 | (32,910,658) | (31,323,946) |
| Change in net unrealized appreciation (depreciation) | (2,575,471) | 475,522 | 1,497,196 |
| Net income (loss) | 24,348,932 | (32,457,014) | (32,115,625) |
| Shareholders’ equity, end of period | $191,502,023 | $173,524,136 | $232,780,534 |
| Year Ended December 31, | |||
|---|---|---|---|
| 2023 | 2022 | 2021 | |
| Cash flow from operating activities | |||
| Net income (loss) | $24,348,932 | $(32,457,014) | $(32,115,625) |
| 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 | (995,083,303) | (1,097,341,793) | (630,901,758) |
| Proceeds from sales or maturities of short-term U.S. government and agency obligations | 1,069,750,481 | 1,177,997,412 | 498,020,144 |
| Net amortization and accretion on short-term U.S. government and agency obligations | (5,091,392) | (1,792,446) | (63,653) |
| Net realized (gain) loss on investments | 28,324 | 708 | (20,618) |
| Change in unrealized (appreciation) depreciation on investments | 3,429,658 | 2,111,672 | (3,489,176) |
| Decrease (Increase) in receivable on open futures contracts | 8,169 | 936,475 | (795,860) |
| Decrease (Increase) in interest receivable | (150,141) | (125,905) | 5,841 |
| Increase (Decrease) in payable to Sponsor | 8,485 | (38,006) | (28,038) |
| Increase (Decrease) in brokerage commissions and futures account fees payable | — | (4,034) | 4,034 |
| Increase (Decrease) in payable on open futures contracts | 564,042 | — | — |
| Increase (Decrease) in non-recurring fees and expenses payable | — | — | (1,004) |
| Net cash provided by (used in) operating activities | 97,813,255 | 49,287,069 | (169,385,713) |
| Cash flow from financing activities | |||
| Proceeds from addition of shares | 60,924,667 | 110,166,409 | 80,907,462 |
| Payment on shares redeemed | (67,295,712) | (136,965,793) | (79,551,776) |
| Net cash provided by (used in) financing activities | (6,371,045) | (26,799,384) | 1,355,686 |
| Net increase (decrease) in cash | 91,442,210 | 22,487,685 | (168,030,027) |
| Cash, beginning of period | 37,909,767 | 15,422,082 | 183,452,109 |
| Cash, end of period | $129,351,977 | $37,909,767 | $15,422,082 |
The text of this filing, as the company filed it with the SEC, without its images or exhibits. This is not investment advice.