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 Natural Gas

	Number of Contracts	Notional Amount at Value	Unrealized Appreciation (Depreciation)/Value
Natural Gas - NYMEX, expires March 2024	12,109	$281,776,430	$(3,553,507)

	Principal Amount	Value
Short-term U.S. government and agency obligations (46% of shareholders’ equity)
U.S. Treasury Bills^^:
4.268% due 02/23/23	$22,000,000	$21,867,696
4.258% due 03/09/23	15,000,000	14,885,303
4.401% due 04/04/23	25,000,000	24,729,527
Total short-term U.S. government and agency obligations (cost $61,469,726)		$61,482,526

	Number of Contracts	Notional Amount at Value	Unrealized Appreciation (Depreciation)/Value
Natural Gas - NYMEX, expires March 2023	6,533	$268,114,320	$85,889,398

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

F-

	Year Ended December 31,
	2023	2022	2021
Investment Income
Interest	$5,542,278	$2,635,445	$44,855
Expenses
Management fee	1,226,758	2,255,264	1,104,237
Brokerage commissions	817,632	713,500	495,800
Futures account fees	104,966	283,983	212,771
Non-recurring fees and expenses	—	10,264	—
Total expenses	2,149,356	3,263,011	1,812,808
Net investment income (loss)	3,392,922	(627,566)	(1,767,953)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts	306,791,742	(165,347,108)	9,180,867
Short-term U.S. government and agency obligations	3,839	(106,181)	3,035
Net realized gain (loss)	306,795,581	(165,453,289)	9,183,902
Change in net unrealized appreciation (depreciation) on
Futures contracts	(89,442,905)	72,453,147	13,056,941
Short-term U.S. government and agency obligations	(12,800)	46,805	(34,254)
Change in net unrealized appreciation (depreciation)	(89,455,705)	72,499,952	13,022,687
Net realized and unrealized gain (loss)	217,339,876	(92,953,337)	22,206,589
Net income (loss)	$220,732,798	$(93,580,903)	$20,438,636

F-

	Year Ended December 31,
	2023	2022	2021
Shareholders’ equity, beginning of period	$134,109,520	$242,145,130	$24,977,745
Addition of 26,300,000, 134,540,000 and 3,005,000 shares, respectively	1,538,415,045	2,458,594,426	679,315,441
Redemption of 29,800,000, 130,551,886 and 2,052,500 shares, respectively	(1,752,294,271)	(2,473,049,133)	(482,586,692)
Net addition (redemption) of (3,500,000), 3,988,114 and 952,500 shares, respectively	(213,879,226)	(14,454,707)	196,728,749
Net investment income (loss)	3,392,922	(627,566)	(1,767,953)
Net realized gain (loss)	306,795,581	(165,453,289)	9,183,902
Change in net unrealized appreciation (depreciation)	(89,455,705)	72,499,952	13,022,687
Net income (loss)	220,732,798	(93,580,903)	20,438,636
Shareholders’ equity, end of period	$140,963,092	$134,109,520	$242,145,130

	Year Ended December 31,
	2023	2022	2021
Cash flow from operating activities
Net income (loss)	$220,732,798	$(93,580,903)	$20,438,636
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	(297,847,108)	(824,793,791)	(298,825,010)
Proceeds from sales or maturities of short-term U.S. government and agency obligations	360,999,575	888,104,364	184,998,514
Net amortization and accretion on short-term U.S. government and agency obligations	(1,678,902)	(1,030,927)	(26,410)
Net realized (gain) loss on investments	(3,839)	106,181	(3,035)
Change in unrealized (appreciation) depreciation on investments	12,800	(46,805)	34,254
Decrease (Increase) in receivable on open futures contracts	11,223,806	(3,547,537)	(30,090,351)
Decrease (Increase) in interest receivable	(154,043)	(292,069)	(1,201)
Increase (Decrease) in payable to Sponsor	(23,789)	(61,941)	172,109
Increase (Decrease) in brokerage commissions and futures account fees payable	2,964	(39,370)	46,867
Increase (Decrease) in payable on open futures contracts	(282,362)	(8,260,076)	6,998,738
Increase (Decrease) in non-recurring fees and expenses payable	—	—	(140)
Net cash provided by (used in) operating activities	292,981,900	(43,442,874)	(116,257,029)
Cash flow from financing activities
Proceeds from addition of shares	1,528,803,667	2,458,594,426	679,315,441
Payment on shares redeemed	(1,757,659,467)	(2,483,669,939)	(469,204,867)
Net cash provided by (used in) financing activities	(228,855,800)	(25,075,513)	210,110,574
Net increase (decrease) in cash	64,126,100	(68,518,387)	93,853,545
Cash, beginning of period	44,482,540	113,000,927	19,147,382
Cash, end of period	$108,608,640	$44,482,540	$113,000,927

	December 31, 2023	December 31, 2022
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $– and $39,991,822, respectively)	$—	$39,996,624
Cash	34,758,230	30,687,235
Segregated cash balances with brokers for foreign currency forward contracts	6,332,112	6,844,121
Unrealized appreciation on foreign currency forward contracts	38,029	193,192
Interest receivable	159,359	109,830
Total assets	41,287,730	77,831,002
Liabilities and shareholders’ equity
Liabilities
Payable to Sponsor	33,372	63,375
Unrealized depreciation on foreign currency forward contracts	1,886,808	2,654,448
Total liabilities	1,920,180	2,717,823
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity	39,367,550	75,113,179
Total liabilities and shareholders’ equity	$41,287,730	$77,831,002
Shares outstanding	1,350,000	2,550,000
Net asset value per share	$29.16	$29.46
Market value per share (Note 2)	$29.15	$29.45

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.