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 Silver

	December 31, 2023	December 31, 2022
Assets
Cash	$46,444,776	$21,887,346
Segregated cash balances with brokers for futures contracts	5,494,500	2,820,937
Segregated cash balances with brokers for swap agreements	12,657,595	7,875,000
Receivable from capital shares sold	907,025	972,789
Receivable on open futures contracts	329,629	59,575
Interest receivable	173,799	60,480
Total assets	66,007,324	33,676,127
Liabilities and shareholders’ equity
Liabilities
Payable to Sponsor	43,464	20,705
Unrealized depreciation on swap agreements	814,174	1,722,623
Total liabilities	857,638	1,743,328
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity	65,149,686	31,932,799
Total liabilities and shareholders’ equity	$66,007,324	$33,676,127
Shares outstanding	3,591,329	1,641,329
Net asset value per share	$18.14	$19.46
Market value per share (Note 2)	$18.24	$19.30

	Number of Contracts	Notional Amount at Value	Unrealized Appreciation (Depreciation)/Value
Silver Futures—COMEX, expires March 2024	610	$73,462,300	$1,689,046

	Rate Paid (Received)*	Termination Date	Notional Amount at Value**	Unrealized Appreciation (Depreciation)/Value
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex	0.25%	01/08/24	$(22,017,624)	$126,314
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex	0.25	01/08/24	(9,901,355)	56,804
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex	0.30	01/08/24	(1,365,787)	7,793
Swap agreement with UBS AG based on Bloomberg Silver Subindex	0.25	01/08/24	(23,534,661)	(1,005,085)
			Total Unrealized Depreciation	$(814,174)

^	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.

*	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.

	Number of Contracts	Notional Amount at Value	Unrealized Appreciation (Depreciation)/Value
Silver Futures—COMEX, expires March 2023	330	$39,666,000	$(940,500)

	Rate Paid (Received)*	Termination Date	Notional Amount at Value**	Unrealized Appreciation (Depreciation)/Value
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex	0.25%	01/06/23	$(2,869,720)	$(203,969)
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex	0.25	01/06/23	(10,453,997)	(743,029)
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex	0.30	01/06/23	(8,265,858)	(587,758)
Swap agreement with UBS AG based on Bloomberg Silver Subindex	0.25	01/06/23	(2,643,157)	(187,867)
			Total Unrealized Depreciation	$(1,722,623)

^	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.

*	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.

	Year Ended December 31,
	2023	2022	2021
Investment Income
Interest	$1,118,150	$215,031	$12,422
Expenses
Management fee	287,739	246,718	330,111
Brokerage commissions	39,452	26,948	26,469
Futures account fees	—	4,443	25,766
Non-recurring fees and expenses	—	1,106	—
Total expenses	327,191	279,215	382,346
Net investment income (loss)	790,959	(64,184)	(369,924)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts	13,011,200	796,029	(2,577,082)
Swap agreements	427,289	(2,464,174)	2,554,615
Short-term U.S. government and agency obligations	(906)	(2,014)	4,672
Net realized gain (loss)	13,437,583	(1,670,159)	(17,795)
Change in net unrealized appreciation (depreciation) on
Futures contracts	2,629,546	(1,592,993)	872,569
Swap agreements	908,449	198,791	1,276,147
Short-term U.S. government and agency obligations	—	860	(860)
Change in net unrealized appreciation (depreciation)	3,537,995	(1,393,342)	2,147,856
Net realized and unrealized gain (loss)	16,975,578	(3,063,501)	2,130,061
Net income (loss)	$17,766,537	$(3,127,685)	$1,760,137

	Year Ended December 31,
	2023	2022	2021
Shareholders’ equity, beginning of period	$31,932,799	$26,537,000	$28,885,775
Addition of 11,850,000, 4,200,000 and 4,650,000 shares, respectively	209,998,518	109,036,263	117,038,546
Redemption of 9,900,000, 3,550,000 and 4,700,415 shares, respectively	(194,548,168)	(100,512,779)	(121,147,458)
Net addition (redemption) of 1,950,000, 650,000 and (50,415) shares, respectively	15,450,350	8,523,484	(4,108,912)
Net investment income (loss)	790,959	(64,184)	(369,924)
Net realized gain (loss)	13,437,583	(1,670,159)	(17,795)
Change in net unrealized appreciation (depreciation)	3,537,995	(1,393,342)	2,147,856
Net income (loss)	17,766,537	(3,127,685)	1,760,137
Shareholders’ equity, end of period	$65,149,686	$31,932,799	$26,537,000

F-

	Year Ended December 31,
	2023	2022	2021
Cash flow from operating activities
Net income (loss)	$17,766,537	$(3,127,685)	$1,760,137
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	(39,876,608)	(20,979,052)	(67,987,944)
Proceeds from sales or maturities of short-term U.S. government and agency obligations	39,937,156	43,997,092	45,004,575
Net amortization and accretion on short-term U.S. government and agency obligations	(61,454)	(24,933)	(7,080)
Net realized (gain) loss on investments	906	2,014	(4,672)
Change in unrealized (appreciation) depreciation on investments	(908,449)	(199,651)	(1,275,287)
Decrease (Increase) in receivable on open futures contracts	(270,054)	(44,129)	23,999
Decrease (Increase) in interest receivable	(113,319)	(60,102)	436
Increase (Decrease) in payable to Sponsor	22,759	(7,855)	3,003
Increase (Decrease) in brokerage commissions and futures account fees payable	—	(747)	747
Increase (Decrease) in payable on open futures contracts	—	(5,840)	(80,442)
Increase (Decrease) in non-recurring fees and expenses payable	—	—	(133)
Net cash provided by (used in) operating activities	16,497,474	19,549,112	(22,562,661)
Cash flow from financing activities
Proceeds from addition of shares	210,064,282	108,063,474	117,038,546
Payment on shares redeemed	(194,548,168)	(100,512,779)	(121,147,458)
Net cash provided by (used in) financing activities	15,516,114	7,550,695	(4,108,912)
Net increase (decrease) in cash	32,013,588	27,099,807	(26,671,573)
Cash, beginning of period	32,583,283	5,483,476	32,155,049
Cash, end of period	$64,596,871	$32,583,283	$5,483,476

F-

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