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 VIX Short-Term Futures ETF

Futures Contracts Purchased
	Number of Contracts	Notional Amount at Value	Unrealized Appreciation (Depreciation)/Value
VIX Futures - Cboe, expires January 2024	21,109	$296,606,781	$(21,045,144)
VIX Futures - Cboe, expires February 2024	14,767	225,867,172	(10,138,767)
			$(31,183,911)

F-

	Principal Amount	Value
Short-term U.S. government and agency obligations
(5% of shareholders’ equity)
U.S. Treasury Bills^^:
4.258% due 03/09/23	$35,000,000	$34,732,372
Total short-term U.S. government and agency obligations (cost $34,728,989)		$34,732,372

	Number of Contracts	Notional Amount at Value	Unrealized Appreciation (Depreciation)/ Value
VIX Futures - Cboe, expires January 2023	23,808	$549,919,565	$(33,313,323)
VIX Futures - Cboe, expires February 2023	16,666	409,071,970	(3,242,130)
			$(36,555,453)

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

	Year Ended December 31,
	2023	2022	2021
Investment Income
Interest	$15,951,926	$8,744,418	$249,487
Expenses
Management fee	4,392,607	8,937,342	11,128,589
Brokerage commissions	2,596,882	3,993,956	5,427,481
Futures account fees	476,293	1,749,320	3,850,402
Non-recurring fees and expenses	—	37,189	—
Total expenses	7,465,782	14,717,807	20,406,472
Net investment income (loss)	8,486,144	(5,973,389)	(20,156,985)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts	(940,116,773)	(173,487,606)	(1,860,561,641)
Swap agreements	—	22,556,586	(122,952,954)
Short-term U.S. government and agency obligations	13,721	(368,413)	99,746
Net realized gain (loss)	(940,103,052)	(151,299,433)	(1,983,414,849)
Change in net unrealized appreciation (depreciation) on
Futures contracts	5,371,542	89,801,304	(77,832,091)
Swap agreements	—	477,437	(452,630)
Short-term U.S. government and agency obligations	(3,383)	68,399	(70,194)
Change in net unrealized appreciation (depreciation)	5,368,159	90,347,140	(78,354,915)
Net realized and unrealized gain (loss)	(934,734,893)	(60,952,293)	(2,061,769,764)
Net income (loss)	$(926,248,749)	$(66,925,682)	$(2,081,926,749)

	Year Ended December 31,
	2023	2022	2021
Shareholders’ equity, beginning of period	$639,318,362	$816,679,636	$1,356,204,199
Addition of 62,810,000, 27,415,000 and 13,523,500 shares, respectively (Note 1)	1,481,923,040	3,377,960,087	4,325,482,924
Redemption of 30,793,383, 24,690,000 and 8,211,967 shares, respectively (Note 1)	(846,436,910)	(3,488,395,679)	(2,783,080,738)
Net addition (redemption) of 32,016,617, 2,725,000 and 5,311,533 shares, respectively (Note 1)	635,486,130	(110,435,592)	1,542,402,186
Net investment income (loss)	8,486,144	(5,973,389)	(20,156,985)
Net realized gain (loss)	(940,103,052)	(151,299,433)	(1,983,414,849)
Change in net unrealized appreciation (depreciation)	5,368,159	90,347,140	(78,354,915)
Net income (loss)	(926,248,749)	(66,925,682)	(2,081,926,749)
Shareholders’ equity, end of period	$348,555,743	$639,318,362	$816,679,636

	Year Ended December 31,
	2023	2022	2021
Cash flow from operating activities
Net income (loss)	$(926,248,749)	$(66,925,682)	$(2,081,926,749)
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	(1,592,777,850)	(6,484,457,979)	(1,538,510,892)
Proceeds from sales or maturities of short-term U.S. government and agency obligations	1,630,711,623	6,673,261,241	1,562,047,456
Net amortization and accretion on short-term U.S. government and agency obligations	(3,191,063)	(2,175,055)	(171,636)
Net realized (gain) loss on investments	(13,721)	368,413	(99,746)
Change in unrealized (appreciation) depreciation on investments	3,383	(545,836)	522,824
Decrease (Increase) in receivable on open futures contracts	158,960,064	(175,872,582)	(17,175,176)
Decrease (Increase) in interest receivable	322,254	(1,241,342)	1,994
Increase (Decrease) in payable to Sponsor	(266,796)	(41,407)	(428,746)
Increase (Decrease) in brokerage commissions and futures account fees payable	(22,684)	(109,083)	(317,184)
Increase (Decrease) in payable on open futures contracts	(348,988)	(9,098,468)	(12,977,019)
Increase (Decrease) in non-recurring fees and expenses payable	—	—	(4,817)
Net cash provided by (used in) operating activities	(732,872,527)	(66,837,780)	(2,089,039,691)
Cash flow from financing activities
Proceeds from addition of shares	1,481,923,040	3,377,960,087	4,374,569,312
Payment on shares redeemed	(846,436,910)	(3,488,395,679)	(2,783,080,738)
Net cash provided by (used in) financing activities	635,486,130	(110,435,592)	1,591,488,574
Net increase (decrease) in cash	(97,386,397)	(177,273,372)	(497,551,117)
Cash, beginning of period	394,847,507	572,120,879	1,069,671,996
Cash, end of period	$297,461,110	$394,847,507	$572,120,879

ContentsView on SEC.gov

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