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.
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ProShares VIX Short-Term Futures ETF
| December 31, 2023 | December 31, 2022 | |
|---|---|---|
| Assets | ||
| Short-term U.S. government and agency obligations (Note 3) (cost $59,648,776 and $89,329,814, respectively) | $59,660,373 | $89,347,714 |
| Cash | 22,277,582 | 33,526,868 |
| Segregated cash balances with brokers for futures contracts | 59,164,337 | 91,634,942 |
| Receivable on open futures contracts | 16,047,893 | 52,643,553 |
| Interest receivable | 254,671 | 403,667 |
| Total assets | 157,404,856 | 267,556,744 |
| Liabilities and shareholders’ equity | ||
| Liabilities | ||
| Payable for capital shares redeemed | — | 570,473 |
| Payable on open futures contracts | 580 | 223,719 |
| Brokerage commissions and futures account fees payable | 11,961 | 27,102 |
| Payable to Sponsor | 70,569 | 155,130 |
| Total liabilities | 83,110 | 976,424 |
| Commitments and Contingencies (Note 2) | ||
| Shareholders’ equity | ||
| Shareholders’ equity | 157,321,746 | 266,580,320 |
| Total liabilities and shareholders’ equity | $157,404,856 | $267,556,744 |
| Shares outstanding (Note 1) | 10,150,947 | 4,676,565 |
| Net asset value per share (Note 1) | $15.50 | $57.00 |
| Market value per share (Note 1) (Note 2) | $15.51 | $56.90 |
| Principal Amount | Value | |
|---|---|---|
| Short-term U.S. government and agency obligations | ||
| (38% of shareholders’ equity) | ||
| U.S. Treasury Bills^^: | ||
| 5.442% due 01/18/24 | $25,000,000 | $24,941,222 |
| 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 $59,648,776) | $59,660,373 | |
| Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | |
|---|---|---|---|
| VIX Futures—Cboe, expires January 2024 | 6,347 | $89,182,966 | $(6,686,210) |
| VIX Futures—Cboe, expires February 2024 | 4,444 | 67,972,758 | (2,977,884) |
| $(9,664,094) | |||
| ^^ | Rates shown represent discount rate at the time of purchase. |
|---|
| Principal Amount | Value | |
|---|---|---|
| Short-term U.S. government and agency obligations | ||
| (34% of shareholders’ equity) | ||
| U.S. Treasury Bills^^: | ||
| 4.037% due 02/07/23 | $30,000,000 | $29,885,814 |
| 4.258% due 03/09/23 | 35,000,000 | 34,732,372 |
| 4.401% due 04/04/23 | 25,000,000 | 24,729,528 |
| Total short-term U.S. government and agency obligations | ||
| (cost $89,329,814) | $89,347,714 | |
| Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | |
|---|---|---|---|
| VIX Futures—Cboe, expires January 2023 | 6,618 | $152,863,226 | $(8,913,772) |
| VIX Futures—Cboe, expires February 2023 | 4,632 | 113,693,830 | (883,051) |
| $(9,796,823) | |||
| ^^ | Rates shown represent discount rate at the time of purchase. |
|---|
| Year Ended December 31, | |||
|---|---|---|---|
| 2023 | 2022 | 2021 | |
| Investment Income | |||
| Interest | $8,917,672 | $3,668,406 | $101,051 |
| Expenses | |||
| Management fee | 1,893,306 | 3,056,712 | 2,825,547 |
| Brokerage commissions | 318,288 | 570,374 | 459,431 |
| Futures account fees | 182,747 | 483,606 | 739,024 |
| Non-recurring fees and expenses | — | 15,841 | — |
| Total expenses | 2,394,341 | 4,126,533 | 4,024,002 |
| Net investment income (loss) | 6,523,331 | (458,127) | (3,922,951) |
| Realized and unrealized gain (loss) on investment activity | |||
| Net realized gain (loss) on | |||
| Futures contracts | (275,353,500) | (35,674,319) | (360,342,488) |
| Short-term U.S. government and agency obligations | (9,659) | 429 | 37,661 |
| Net realized gain (loss) | (275,363,159) | (35,673,890) | (360,304,827) |
| Change in net unrealized appreciation (depreciation) on | |||
| Futures contracts | 132,729 | 20,333,796 | (23,766,529) |
| Short-term U.S. government and agency obligations | (6,303) | 43,873 | (27,120) |
| Change in net unrealized appreciation (depreciation) | 126,426 | 20,377,669 | (23,793,649) |
| Net realized and unrealized gain (loss) | (275,236,733) | (15,296,221) | (384,098,476) |
| Net income (loss) | $(268,713,402) | $(15,754,348) | $(388,021,427) |
| Year Ended December 31, | |||
|---|---|---|---|
| 2023 | 2022 | 2021 | |
| Shareholders’ equity, beginning of period | $266,580,320 | $269,703,164 | $293,390,549 |
| Addition of 13,260,000, 8,100,000 and 4,521,250 shares, respectively (Note 1) | 402,345,393 | 625,710,255 | 696,075,984 |
| Redemption of 7,785,618, 6,990,000 and 2,021,001 shares, respectively (Note 1) | (242,890,565) | (613,078,751) | (331,741,942) |
| Net addition (redemption) of 5,474,382, 1,110,000 and 2,500,249 shares, respectively (Note 1) | 159,454,828 | 12,631,504 | 364,334,042 |
| Net investment income (loss) | 6,523,331 | (458,127) | (3,922,951) |
| Net realized gain (loss) | (275,363,159) | (35,673,890) | (360,304,827) |
| Change in net unrealized appreciation (depreciation) | 126,426 | 20,377,669 | (23,793,649) |
| Net income (loss) | (268,713,402) | (15,754,348) | (388,021,427) |
| Shareholders’ equity, end of period | $157,321,746 | $266,580,320 | $269,703,164 |
| Year Ended December 31, | |||
|---|---|---|---|
| 2023 | 2022 | 2021 | |
| Cash flow from operating activities | |||
| Net income (loss) | $(268,713,402) | $(15,754,348) | $(388,021,427) |
| 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 | (712,835,220) | (4,010,889,547) | (561,816,463) |
| Proceeds from sales or maturities of short-term U.S. government and agency obligations | 746,625,222 | 4,073,968,933 | 496,034,743 |
| Net amortization and accretion on short-term U.S. government and agency obligations | (4,118,623) | (1,520,900) | (70,054) |
| Net realized (gain) loss on investments | 9,659 | (429) | (37,661) |
| Change in unrealized (appreciation) depreciation on investments | 6,303 | (43,873) | 27,120 |
| Decrease (Increase) in receivable on open futures contracts | 36,595,660 | (50,528,321) | 180,353 |
| Decrease (Increase) in interest receivable | 148,996 | (401,893) | 1,041 |
| Increase (Decrease) in payable to Sponsor | (84,561) | (31,723) | 30,221 |
| Increase (Decrease) in brokerage commissions and futures account fees payable | (15,141) | (11,824) | (42,123) |
| Increase (Decrease) in payable on open futures contracts | (223,139) | (1,813,672) | 1,805,491 |
| Net cash provided by (used in) operating activities | (202,604,246) | (7,027,597) | (451,908,759) |
| Cash flow from financing activities | |||
| Proceeds from addition of shares | 402,345,393 | 628,736,869 | 693,049,370 |
| Payment on shares redeemed | (243,461,038) | (612,508,278) | (331,741,942) |
| Net cash provided by (used in) financing activities | 158,884,355 | 16,228,591 | 361,307,428 |
| Net increase (decrease) in cash | (43,719,891) | 9,200,994 | (90,601,331) |
| Cash, beginning of period | 125,161,810 | 115,960,816 | 206,562,147 |
| Cash, end of period | $81,441,919 | $125,161,810 | $115,960,816 |
The text of this filing, as the company filed it with the SEC, without its images or exhibits. This is not investment advice.