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

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Contents

ProShares UltraShort Silver

	March 31, 2024 (unaudited)	December 31, 2023
Assets
Cash	$19,551,988	$46,444,776
Segregated cash balances with brokers for futures contracts	1,398,250	5,494,500
Segregated cash balances with brokers for swap agreements	5,505,236	12,657,595
Receivable from capital shares sold	—	907,025
Receivable on open futures contracts	—	329,629
Interest receivable	65,590	173,799
Total assets	26,521,064	66,007,324
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed	1,704,153	—
Payable on open futures contracts	72,258	—
Payable to Sponsor	17,114	43,464
Unrealized depreciation on swap agreements	482,510	814,174
Total liabilities	2,276,035	857,638
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity	24,245,029	65,149,686
Total liabilities and shareholders’ equity	$26,521,064	$66,007,324
Shares outstanding	1,441,329	3,591,329
Net asset value per share	$16.82	$18.14
Market value per share (Note 2)	$16.71	$18.24

Futures Contracts Sold
	Number of Contracts	Notional Amount at Value	Unrealized Appreciation (Depreciation)/Value
Silver Futures - COMEX, expires May 2024	163	$20,306,540	$(61,220)

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 Silver Subindex	0.25%	04/08/24	$(5,353,674)	$(91,685)
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex	0.25	04/08/24	(10,145,879)	(173,752)
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex	0.30	04/08/24	(1,399,517)	(24,009)
Swap agreement with UBS AG based on Bloomberg Silver Subindex	0.25	04/08/24	(11,273,405)	(193,064)
			Total Unrealized Depreciation	$(482,510)

^	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.

*	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	$381,433	$200,078
Expenses
Management fee	91,138	60,168
Brokerage commissions	6,024	5,703
Total expenses	97,162	65,871
Net investment income (loss)	284,271	134,207
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts	4,873,708	1,331,998
Swap agreements	906,312	1,381,625
Net realized gain (loss)	5,780,020	2,713,623
Change in net unrealized appreciation (depreciation) on
Futures contracts	(1,750,266)	116,463
Swap agreements	331,664	(1,299,699)
Change in net unrealized appreciation (depreciation)	(1,418,602)	(1,183,236)
Net realized and unrealized gain (loss)	4,361,418	1,530,387
Net income (loss)	$4,645,689	$1,664,594

	Three Months Ended March 31,
	2024	2023
Shareholders’ equity, beginning of period	$65,149,686	$31,932,799
Addition of 1,400,000 and 650,000 shares, respectively	25,818,888	13,789,540
Redemption of 3,550,000 and 1,200,000 shares, respectively	(71,369,234)	(27,051,242)
Net addition (redemption) of (2,150,000) and (550,000) shares, respectively	(45,550,346)	(13,261,702)
Net investment income (loss)	284,271	134,207
Net realized gain (loss)	5,780,020	2,713,623
Change in net unrealized appreciation (depreciation)	(1,418,602)	(1,183,236)
Net income (loss)	4,645,689	1,664,594
Shareholders’ equity, end of period	$24,245,029	$20,335,691

	Three Months Ended March 31,
	2024	2023
Cash flow from operating activities
Net income (loss)	$4,645,689	$1,664,594
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Change in unrealized (appreciation) depreciation on investments	(331,664)	1,299,699
Decrease (Increase) in receivable on open futures contracts	329,629	59,575
Decrease (Increase) in interest receivable	108,209	7,257
Increase (Decrease) in payable to Sponsor	(26,350)	(4,042)
Increase (Decrease) in payable on open futures contracts	72,258	192,643
Net cash provided by (used in) operating activities	4,797,771	3,219,726
Cash flow from financing activities
Proceeds from addition of shares	26,725,913	13,830,619
Payment on shares redeemed	(69,665,081)	(27,051,242)
Net cash provided by (used in) financing activities	(42,939,168)	(13,220,623)
Net increase (decrease) in cash	(38,141,397)	(10,000,897)
Cash, beginning of period	64,596,871	32,583,283
Cash, end of period	$26,455,474	$22,582,386

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.