ProShares Trust II

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

About this filing

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$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 exhibits

Contents

ProShares Ultra Bloomberg Crude Oil

	March 31, 2024 (unaudited)	December 31, 2023
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $301,987,549 and $233,435,026, respectively)	$301,974,899	$233,476,941
Cash	9,434,959	123,662,313
Segregated cash balances with brokers for futures contracts	33,977,462	70,781,753
Segregated cash balances with brokers for swap agreements	202,937,760	203,734,760
Unrealized appreciation on swap agreements	47,666,365	17,954,935
Receivable from capital shares sold	—	5,255,022
Receivable on open futures contracts	2,343,342	—
Interest receivable	217,730	568,017
Total assets	598,552,517	655,433,741
Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts	899,964	2,099,944
Brokerage commissions and futures account fees payable	3,652	5,682
Payable to Sponsor	472,006	534,678
Total liabilities	1,375,622	2,640,304
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity	597,176,895	652,793,437
Total liabilities and shareholders’ equity	$598,552,517	$655,433,741
Shares outstanding	17,993,096	24,843,096
Net asset value per share	$33.19	$26.28
Market value per share (Note 2)	$33.00	$26.10

	Principal Amount	Value
Short-term U.S. government and agency obligations
(51% of shareholders’ equity)
U.S. Treasury Bills^^:
5.365% due 04/18/24	$50,000,000	$49,875,215
5.273% due 05/14/24†	30,000,000	29,811,159
5.269% due 06/06/24†	75,000,000	74,282,940
5.352% due 06/18/24†	50,000,000	49,435,585
5.349% due 07/09/24	100,000,000	98,570,000
Total short-term U.S. government and agency obligations (cost $301,987,549)		$301,974,899

Futures Contracts Purchased
	Number of Contracts	Notional Amount at Value	Unrealized Appreciation (Depreciation)/Value
WTI Crude Oil - NYMEX, expires June 2024	1,009	$83,161,780	$12,762,625
WTI Crude Oil - NYMEX, expires December 2024	1,066	82,977,440	5,557,088
WTI Crude Oil - NYMEX, expires June 2025	1,108	82,723,280	3,592,032
			$21,911,745

Total Return Swap Agreements^
	Rate Paid (Received)*	Termination Date	Notional Amount at Value**	Unrealized Appreciation (Depreciation)/Value
Swap agreement with Citibank, N.A. based on Bloomberg Commodity Balanced WTI Crude Oil Index	0.35%	04/08/24	$207,504,255	$10,459,881
Swap agreement with Goldman Sachs International based on Bloomberg Commodity Balanced WTI Crude Oil Index	0.35	04/08/24	257,994,386	13,004,988
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Commodity Balanced WTI Crude Oil Index	0.35	04/08/24	129,073,877	6,506,359
Swap agreement with Societe Generale based on Bloomberg Commodity Balanced WTI Crude Oil Index	0.25	04/08/24	195,835,168	9,882,872
Swap agreement with UBS AG based on Bloomberg Commodity Balanced WTI Crude Oil Index	0.30	04/08/24	154,892,648	7,812,265
			Total Unrealized Appreciation	$47,666,365

†	All or partial amount pledged as collateral for swap agreements.

^	The positions and counterparties herein are as of March 31, 2024. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

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

*	Reflects the floating financing rate, as of March 31, 2024, 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.

	Three Months Ended March 31,
	2024	2023
Investment Income
Interest	$5,010,450	$6,007,908
Expenses
Management fee	1,477,017	1,874,618
Brokerage commissions	61,804	94,344
Total expenses	1,538,821	1,968,962
Net investment income (loss)	3,471,629	4,038,946
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts	16,466,837	10,834,024
Swap agreements	76,651,763	74,946,403
Short-term U.S. government and agency obligations	12,505	—
Net realized gain (loss)	93,131,105	85,780,427
Change in net unrealized appreciation (depreciation) on
Futures contracts	25,426,977	3,202,447
Swap agreements	29,711,430	(141,361,963)
Short-term U.S. government and agency obligations	(54,565)	(50,926)
Change in net unrealized appreciation (depreciation)	55,083,842	(138,210,442)
Net realized and unrealized gain (loss)	148,214,947	(52,430,015)
Net income (loss)	$151,686,576	$(48,391,069)

	Three Months Ended March 31,
	2024	2023
Shareholders’ equity, beginning of period	$652,793,437	$859,094,274
Addition of 4,050,000 and 19,100,000 shares, respectively	109,039,827	459,350,575
Redemption of 10,900,000 and 16,900,000 shares, respectively	(316,342,945)	(458,385,324)
Net addition (redemption) of (6,850,000) and 2,200,000 shares, respectively	(207,303,118)	965,251
Net investment income (loss)	3,471,629	4,038,946
Net realized gain (loss)	93,131,105	85,780,427
Change in net unrealized appreciation (depreciation)	55,083,842	(138,210,442)
Net income (loss)	151,686,576	(48,391,069)
Shareholders’ equity, end of period	$597,176,895	$811,668,456

	Three Months Ended March 31,
	2024	2023
Cash flow from operating activities
Net income (loss)	$151,686,576	$(48,391,069)
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	(379,945,998)	(7,526,215,542)
Proceeds from sales or maturities of short-term U.S. government and agency obligations	315,012,505	7,644,000,000
Net amortization and accretion on short-term U.S. government and agency obligations	(3,606,525)	(4,072,062)
Net realized (gain) loss on investments	(12,505)	—
Change in unrealized (appreciation) depreciation on investments	(29,656,865)	141,412,889
Decrease (Increase) in receivable on open futures contracts	(2,343,342)	(5,775,330)
Decrease (Increase) in interest receivable	350,287	(188,100)
Increase (Decrease) in payable to Sponsor	(62,672)	(31,541)
Increase (Decrease) in brokerage commissions and futures account fees payable	(2,030)	(667)
Increase (Decrease) in payable on open futures contracts	(1,199,980)	—
Net cash provided by (used in) operating activities	50,219,451	200,738,578
Cash flow from financing activities
Proceeds from addition of shares	114,294,849	459,350,575
Payment on shares redeemed	(316,342,945)	(424,214,999)
Net cash provided by (used in) financing activities	(202,048,096)	35,135,576
Net increase (decrease) in cash	(151,828,645)	235,874,154
Cash, beginning of period	398,178,826	476,600,261
Cash, end of period	$246,350,181	$712,474,415

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.