ProShares Trust II

For the period ended Mar 31, 2024. Filed May 9, 2024.

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A company's report for each of its first three quarters. The financial statements are not audited. It shows how the business has moved since the last annual report, and what management says changed.

Mar 31, 2024 · Filed May 9, 2024

SCO$19.74+5.2%Stored close · as of Nov 9, 2026

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Contents

ProShares Trust II

COMBINED STATEMENTS OF FINANCIAL CONDITION

	March 31, 2024 (unaudited)	December 31, 2023
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $1,101,228,826 and $690,346,244, respectively)	$1,101,171,661	$690,474,277
Cash	686,826,766	1,209,034,101
Segregated cash balances with brokers for futures contracts	641,544,576	810,718,438
Segregated cash balances with brokers for foreign currency forward contracts	13,994,228	13,366,243
Segregated cash balances with brokers for swap agreements	341,437,002	345,924,043
Unrealized appreciation on swap agreements	63,733,847	21,033,528
Unrealized appreciation on foreign currency forward contracts	2,797,020	2,011,074
Receivable from capital shares sold	61,874,968	22,784,178
Receivable on open futures contracts	214,903,522	237,610,648
Interest receivable	3,923,324	6,486,760
Total assets	3,132,206,914	3,359,443,290
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed	9,773,354	39,357,935
Payable on open futures contracts	28,050,589	27,280,746
Brokerage commissions and futures account fees payable	72,259	131,497
Payable to Sponsor	2,352,890	2,654,226
Unrealized depreciation on swap agreements	964,091	3,841,216
Unrealized depreciation on foreign currency forward contracts	2,314,050	3,345,544
Total liabilities	43,527,233	76,611,164
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity	3,088,679,681	3,282,832,126
Total liabilities and shareholders’ equity	$3,132,206,914	$3,359,443,290
Shares outstanding (Note 8)	131,485,809	113,030,809

COMBINED STATEMENTS OF OPERATIONS

	Three Months Ended March 31,
	2024	2023
Investment Income
Interest	$30,789,270	$33,875,375
Expenses
Management fee	7,170,260	9,254,328
Brokerage commissions	1,843,552	2,374,632
Futures account fees	230,463	402,762
Total expenses	9,244,275	12,031,722
Net investment income (loss)	21,544,995	21,843,653
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts	(288,399,020)	(1,085,860,567)
Swap agreements	89,484,514	90,224,693
Foreign currency forward contracts	(1,125,591)	(2,453,816)
Short-term U.S. government and agency obligations	69,945	(13,530)
Net realized gain (loss)	(199,970,152)	(998,103,220)
Change in net unrealized appreciation (depreciation) on
Futures contracts	(100,372,675)	(32,561,423)
Swap agreements	45,577,444	(150,345,998)
Foreign currency forward contracts	1,817,440	1,417,263
Short-term U.S. government and agency obligations	(185,198)	(217,091)
Change in net unrealized appreciation (depreciation)	(53,162,989)	(181,707,249)
Net realized and unrealized gain (loss)	(253,133,141)	(1,179,810,469)
Net income (loss)	$(231,588,146)	$(1,157,966,816)

COMBINED STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

	Three Months Ended March 31,
	2024	2023
Shareholders’ equity, beginning of period	$3,282,832,126	$3,887,786,746
Addition of 76,945,000 and 70,821,500 shares, respectively (Note 1) (Note 8)	1,797,533,442	4,125,870,321
Redemption of 58,490,000 and 66,280,500 shares, respectively (Note 1) (Note 8)	(1,760,097,741)	(2,717,059,358)
Net addition (redemption) of 18,455,000 and 4,541,000 shares, respectively (Note 1) (Note 8)	37,435,701	1,408,810,963
Net investment income (loss)	21,544,995	21,843,653
Net realized gain (loss)	(199,970,152)	(998,103,220)
Change in net unrealized appreciation (depreciation)	(53,162,989)	(181,707,249)
Net income (loss)	(231,588,146)	(1,157,966,816)
Shareholders’ equity, end of period	$3,088,679,681	$4,138,630,893

COMBINED STATEMENTS OF CASH FLOWS

	Three Months Ended March 31,
	2024	2023
Cash flow from operating activities
Net income (loss)	$(231,588,146)	$(1,157,966,816)
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	(1,454,832,843)	(18,561,204,980)
Proceeds from sales or maturities of short-term U.S. government and agency obligations	1,056,718,779	18,914,616,336
Net amortization and accretion on short-term U.S. government and agency obligations	(12,698,573)	(15,486,607)
Net realized (gain) loss on investments	(69,945)	13,530
Change in unrealized (appreciation) depreciation on investments	(47,209,686)	149,145,826
Decrease (Increase) in receivable on futures contracts	22,707,126	85,542,272
Decrease (Increase) in interest receivable	2,563,436	(1,775,294)
Increase (Decrease) in payable to Sponsor	(301,336)	19,076
Increase (Decrease) in brokerage commissions and futures account fees payable	(59,238)	(8,695)
Increase (Decrease) in payable on futures contracts	769,843	9,174,527
Net cash provided by (used in) operating activities	(664,000,583)	(577,930,825)
Cash flow from financing activities
Proceeds from addition of shares	1,758,442,652	4,047,735,876
Payment on shares redeemed	(1,789,682,322)	(2,662,086,765)
Net cash provided by (used in) financing activities	(31,239,670)	1,385,649,111
Net increase (decrease) in cash	(695,240,253)	807,718,286
Cash, beginning of period	2,379,042,825	1,826,767,616
Cash, end of period	$1,683,802,572	$2,634,485,902

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.