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 UltraShort Bloomberg Crude Oil

	December 31, 2023	December 31, 2022
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $49,673,923 and $89,407,308, respectively)	$49,683,885	$89,426,935
Cash	91,925,442	74,627,051
Segregated cash balances with brokers for futures contracts	49,648,726	65,184,460
Receivable from capital shares sold	—	41,694
Receivable on open futures contracts	654,887	1,604,847
Interest receivable	285,610	384,856
Total assets	192,198,550	231,269,843
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed	3,096,091	1,257,090
Payable on open futures contracts	—	7,102,680
Brokerage commissions and futures account fees payable	3,509	4,134
Payable to Sponsor	135,358	208,602
Total liabilities	3,234,958	8,572,506
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity	188,963,592	222,697,337
Total liabilities and shareholders’ equity	$192,198,550	$231,269,843
Shares outstanding	9,105,220	9,305,220
Net asset value per share	$20.75	$23.93
Market value per share (Note 2)	$20.89	$23.85

PROSHAR

ES UL

TRASHORT BLOOMBERG CRUDE OIL

	Principal Amount	Value
Short-term U.S. government and agency obligations (26% of shareholders’ equity)
U.S. Treasury Bills^^:
5.442% due 01/18/24	$15,000,000	$14,964,734
5.417% due 02/20/24	25,000,000	24,820,845
5.382% due 03/12/24	10,000,000	9,898,306
Total short-term U.S. government and agency obligations (cost $49,673,923)		$49,683,885

	Number of Contracts	Notional Amount at Value	Unrealized Appreciation (Depreciation)/Value
WTI Crude Oil - NYMEX, expires March 2024	1,688	$121,265,920	$2,345,922
WTI Crude Oil - NYMEX, expires June 2024	1,769	127,580,280	8,633,394
WTI Crude Oil - NYMEX, expires December 2024	1,836	129,070,800	11,457,003
			$22,436,319

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

	Principal Amount	Value
Short-term U.S. government and agency obligations (40% of shareholders’ equity)
U.S. Treasury Bills^^:
4.037% due 02/07/23	$40,000,000	$39,847,752
4.268% due 02/23/23	25,000,000	24,849,655
4.401% due 04/04/23	25,000,000	24,729,528
Total short-term U.S. government and agency obligations (cost $89,407,308)		$89,426,935

	Number of Contracts	Notional Amount at Value	Unrealized Appreciation (Depreciation)/Value
WTI Crude Oil - NYMEX, expires March 2023	1,780	$143,201,000	$(2,958,031)
WTI Crude Oil - NYMEX, expires June 2023	1,875	150,375,000	11,831,888
WTI Crude Oil - NYMEX, expires December 2023	1,963	151,759,530	1,371,036
			$10,244,893

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

	Year Ended December 31,
	2023	2022	2021
Investment Income
Interest	$8,581,404	$4,116,166	$51,207
Expenses
Management fee	1,871,453	3,324,952	847,440
Brokerage commissions	242,865	427,485	139,273
Futures account fees	—	214,920	103,661
Non-recurring fees and expenses	—	14,792	—
Total expenses	2,114,318	3,982,149	1,090,374
Net investment income (loss)	6,467,086	134,017	(1,039,167)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts	12,379,340	(108,954,702)	(105,340,654)
Short-term U.S. government and agency obligations	(11,670)	—	45,952
Net realized gain (loss)	12,367,670	(108,954,702)	(105,294,702)
Change in net unrealized appreciation (depreciation) on
Futures contracts	12,191,426	18,654,355	6,227,351
Short-term U.S. government and agency obligations	(9,665)	35,904	(16,277)
Change in net unrealized appreciation (depreciation)	12,181,761	18,690,259	6,211,074
Net realized and unrealized gain (loss)	24,549,431	(90,264,443)	(99,083,628)
Net income (loss)	$31,016,517	$(90,130,426)	$(100,122,795)

	Year Ended December 31,
	2023	2022	2021
Shareholders’ equity, beginning of period	$222,697,337	$114,167,602	$96,839,233
Addition of 32,700,000, 44,940,000 and 2,677,500 shares, respectively	695,900,455	1,196,365,904	244,778,776
Redemption of 32,900,000, 37,411,540 and 1,317,734 shares, respectively	(760,650,717)	(997,705,743)	(127,327,612)
Net addition (redemption) of (200,000), 7,528,460 and 1,359,766 shares, respectively	(64,750,262)	198,660,161	117,451,164
Net investment income (loss)	6,467,086	134,017	(1,039,167)
Net realized gain (loss)	12,367,670	(108,954,702)	(105,294,702)
Change in net unrealized appreciation (depreciation)	12,181,761	18,690,259	6,211,074
Net income (loss)	31,016,517	(90,130,426)	(100,122,795)
Shareholders’ equity, end of period	$188,963,592	$222,697,337	$114,167,602

	Year Ended December 31,
	2023	2022	2021
Cash flow from operating activities
Net income (loss)	$31,016,517	$(90,130,426)	$(100,122,795)
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	(975,397,647)	(8,926,116,784)	(206,906,890)
Proceeds from sales or maturities of short-term U.S. government and agency obligations	1,019,874,276	8,895,000,000	151,041,035
Net amortization and accretion on short-term U.S. government and agency obligations	(4,754,914)	(2,358,224)	(20,493)
Net realized (gain) loss on investments	11,670	—	(45,952)
Change in unrealized (appreciation) depreciation on investments	9,665	(35,904)	16,277
Decrease (Increase) in receivable on open futures contracts	949,960	2,459,592	(4,003,537)
Decrease (Increase) in interest receivable	99,246	(383,497)	1,940
Increase (Decrease) in payable to Sponsor	(73,244)	134,331	(6,309)
Increase (Decrease) in brokerage commissions and futures account fees payable	(625)	(3,810)	7,944
Increase (Decrease) in payable on open futures contracts	(7,102,680)	6,927,123	(81,853)
Increase (Decrease) in non-recurring fees and expenses payable	—	—	(351)
Net cash provided by (used in) operating activities	64,632,224	(114,507,599)	(160,120,984)
Cash flow from financing activities
Proceeds from addition of shares	695,942,149	1,196,324,210	244,778,776
Payment on shares redeemed	(758,811,716)	(996,448,653)	(127,327,612)
Net cash provided by (used in) financing activities	(62,869,567)	199,875,557	117,451,164
Net increase (decrease) in cash	1,762,657	85,367,958	(42,669,820)
Cash, beginning of period	139,811,511	54,443,553	97,113,373
Cash, end of period	$141,574,168	$139,811,511	$54,443,553

	December 31, 2023	December 31, 2022
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $– and $61,469,726, respectively)	$—	$61,482,526
Cash	73,282,564	5,724,380
Segregated cash balances with brokers for futures contracts	35,326,076	38,758,160
Receivable from capital shares sold	9,611,378	—
Receivable on open futures contracts	22,414,082	33,637,888
Interest receivable	447,861	293,818
Total assets	141,081,961	139,896,772
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed	—	5,365,196
Payable on open futures contracts	—	282,362
Brokerage commissions and futures account fees payable	10,461	7,497
Payable to Sponsor	108,408	132,197
Total liabilities	118,869	5,787,252
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity	140,963,092	134,109,520
Total liabilities and shareholders’ equity	$141,081,961	$139,896,772
Shares outstanding	1,466,856	4,966,856
Net asset value per share	$96.10	$27.00
Market value per share (Note 2)	$96.41	$27.56

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