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.
See the whole filing, with its images and exhibitsContents
ProShares UltraShort Euro
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| Settlement Date | Contract Amount in Local Currency | Contract Amount in U.S. Dollars | Unrealized Appreciation (Depreciation)/ Value | |
|---|---|---|---|---|
| Contracts to Purchase | ||||
| Euro with Goldman Sachs International | 01/19/24 | 5,315,000 | $5,872,288 | $27,910 |
| Euro with UBS AG | 01/19/24 | 3,395,000 | 3,750,972 | 10,119 |
| Total Unrealized Appreciation | $38,029 | |||
| Contracts to Sell | ||||
| Euro with Goldman Sachs International | 01/19/24 | (41,248,263) | $(45,573,223) | $(992,052) |
| Euro with UBS AG | 01/19/24 | (38,689,199) | (42,745,837) | (894,756) |
| Total Unrealized Depreciation | $(1,886,808) | |||
| ^ | 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. |
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| Principal Amount | Value | |
|---|---|---|
| Short-term U.S. government and agency obligations | ||
| (53% of shareholders’ equity) | ||
| U.S. Treasury Bills^^: | ||
| 3.807% due 01/03/23† | $40,000,000 | $39,996,624 |
| Total short-term U.S. government and agency obligations (cost $39,991,822) | $39,996,624 | |
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| Settlement Date | Contract Amount in Local Currency | Contract Amount in U.S. Dollars | Unrealized Appreciation (Depreciation)/ Value | |
|---|---|---|---|---|
| Contracts to Purchase | ||||
| Euro with UBS AG | 01/13/23 | 21,858,000 | $23,419,999 | $193,192 |
| Total Unrealized Appreciation | $193,192 | |||
| Contracts to Sell | ||||
| Euro with Goldman Sachs International | 01/13/23 | (68,000,263) | $(72,859,645) | $(1,121,150) |
| Euro with UBS AG | 01/13/23 | (94,167,199) | (100,896,501) | (1,533,298) |
| Total Unrealized Depreciation | $(2,654,448) | |||
| † | All or partial amount pledged as collateral for foreign currency forward contracts. |
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| ^ | 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. |
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| ^^ | Rates shown represent discount rate at the time of purchase. |
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| Year Ended December 31, | |||
|---|---|---|---|
| 2023 | 2022 | 2021 | |
| Investment Income | |||
| Interest | $2,251,539 | $906,928 | $24,790 |
| Expenses | |||
| Management fee | 505,085 | 676,052 | 480,737 |
| Non-recurring fees and expenses | — | 3,838 | — |
| Total expenses | 505,085 | 679,890 | 480,737 |
| Net investment income (loss) | 1,746,454 | 227,038 | (455,947) |
| Realized and unrealized gain (loss) on investment activity | |||
| Net realized gain (loss) on | |||
| Foreign currency forward contracts | (2,624,737) | 6,792,065 | 6,280,362 |
| Short-term U.S. government and agency obligations | — | 210,974 | 31,420 |
| Net realized gain (loss) | (2,624,737) | 7,003,039 | 6,311,782 |
| Change in net unrealized appreciation (depreciation) on | |||
| Foreign currency forward contracts | 612,477 | (2,253,215) | 928,663 |
| Short-term U.S. government and agency obligations | (4,802) | 11,965 | (7,412) |
| Change in net unrealized appreciation (depreciation) | 607,675 | (2,241,250) | 921,251 |
| Net realized and unrealized gain (loss) | (2,017,062) | 4,761,789 | 7,233,033 |
| Net income (loss) | $(270,608) | $4,988,827 | $6,777,086 |
| Year Ended December 31, | |||
|---|---|---|---|
| 2023 | 2022 | 2021 | |
| Shareholders’ equity, beginning of period | $75,113,179 | $54,263,045 | $52,953,339 |
| Addition of 300,000, 2,200,000 and 1,050,000 shares, respectively | 9,033,520 | 70,696,876 | 26,353,725 |
| Redemption of 1,500,000, 1,750,000 and 1,300,000 shares, respectively | (44,508,541) | (54,835,569) | (31,821,105) |
| Net addition (redemption) of (1,200,000), 450,000 and (250,000) shares, respectively | (35,475,021) | 15,861,307 | (5,467,380) |
| Net investment income (loss) | 1,746,454 | 227,038 | (455,947) |
| Net realized gain (loss) | (2,624,737) | 7,003,039 | 6,311,782 |
| Change in net unrealized appreciation (depreciation) | 607,675 | (2,241,250) | 921,251 |
| Net income (loss) | (270,608) | 4,988,827 | 6,777,086 |
| Shareholders’ equity, end of period | $39,367,550 | $75,113,179 | $54,263,045 |
| Year Ended December 31, | |||
|---|---|---|---|
| 2023 | 2022 | 2021 | |
| Cash flow from operating activities | |||
| Net income (loss) | $(270,608) | $4,988,827 | $6,777,086 |
| 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 | (54,925,175) | (274,581,000) | (131,953,354) |
| Proceeds from sales or maturities of short-term U.S. government and agency obligations | 95,000,000 | 282,210,974 | 95,031,384 |
| Net amortization and accretion on short-term U.S. government and agency obligations | (83,003) | (442,534) | (15,286) |
| Net realized (gain) loss on investments | — | (210,974) | (31,420) |
| Change in unrealized (appreciation) depreciation on investments | (607,675) | 2,241,250 | (921,251) |
| Decrease (Increase) in interest receivable | (49,529) | (109,227) | 1,545 |
| Increase (Decrease) in payable to Sponsor | (30,003) | 18,668 | 733 |
| Increase (Decrease) in non-recurring fees and expenses payable | — | — | (220) |
| Net cash provided by (used in) operating activities | 39,034,007 | 14,115,984 | (31,110,783) |
| Cash flow from financing activities | |||
| Proceeds from addition of shares | 9,033,520 | 70,696,876 | 26,353,725 |
| Payment on shares redeemed | (44,508,541) | (54,835,569) | (31,821,105) |
| Net cash provided by (used in) financing activities | (35,475,021) | 15,861,307 | (5,467,380) |
| Net increase (decrease) in cash | 3,558,986 | 29,977,291 | (36,578,163) |
| Cash, beginning of period | 37,531,356 | 7,554,065 | 44,132,228 |
| Cash, end of period | $41,090,342 | $37,531,356 | $7,554,065 |
| December 31, 2023 | December 31, 2022 | |
|---|---|---|
| Assets | ||
| Cash | $9,309,908 | $12,252,100 |
| Segregated cash balances with brokers for futures contracts | 261,450 | 232,313 |
| Segregated cash balances with brokers for swap agreements | 2,375,125 | 3,536,000 |
| Receivable on open futures contracts | 17,324 | — |
| Interest receivable | 41,501 | 42,135 |
| Total assets | 12,005,308 | 16,062,548 |
| Liabilities and shareholders’ equity | ||
| Liabilities | ||
| Payable on open futures contracts | — | 700 |
| Payable to Sponsor | 9,708 | 12,854 |
| Unrealized depreciation on swap agreements | 199,821 | 592,957 |
| Total liabilities | 209,529 | 606,511 |
| Commitments and Contingencies (Note 2) | ||
| Shareholders’ equity | ||
| Shareholders’ equity | 11,795,779 | 15,456,037 |
| Total liabilities and shareholders’ equity | $12,005,308 | $16,062,548 |
| Shares outstanding | 446,977 | 496,977 |
| Net asset value per share | $26.39 | $31.10 |
| Market value per share (Note 2) | $26.37 | $30.99 |
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