ProShares Trust II [GLL] Filings

ProShares Trust II [GLL] Filings

ProShares Trust II [EUO] Filings

ProShares Trust II [YCL] Filings

ProShares Trust II [SCO] Filings

ProShares Trust II [VIXM] Filings

ProShares Trust II [BOIL] Filings

ProShares Trust II [KOLD] Filings

ProShares Trust II [UCO] Filings

ProShares Trust II [SVXY] Filings

ProShares Trust II [UVXY] Filings

ProShares Trust II [VIXY] Filings

ProShares Trust II [ZSL] Filings

ProShares Trust II [ULE] Filings

ProShares Trust II [AGQ] Filings

Table of Contents

Table of Contents

Table of Contents

10-Q 1 d280285d10q.htm 10-Q 10-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM

10-Q

☒	Quarterly report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

for the quarterly period ended March 31, 2023.

☐	Transition report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

for the transition period from

Commission file number:

001-34200

PROSHARES TRUST II

(Exact name of registrant as specified in its charter)


Delaware		87-6284802
(State or other jurisdiction of incorporation or organization)		(I.R.S. Employer Identification No.)

c/o ProShare Capital Management LLC

7272 Wisconsin Avenue, 21

Floor

Bethesda, Maryland 20814

(Address of principal executive offices) (Zip Code)

(240)

497-6400

(Registrant’s telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Act:


Title of each class	Trading Symbol(s)	Name of each exchange on which registered
ProShares Short VIX Short-Term Futures ETF	SVXY	Cboe BZX Exchange
ProShares Ultra Bloomberg Crude Oil	UCO	NYSE Arca
ProShares Ultra Bloomberg Natural Gas	BOIL	NYSE Arca
ProShares Ultra Euro	ULE	NYSE Arca
ProShares Ultra Gold	UGL	NYSE Arca
ProShares Ultra Silver	AGQ	NYSE Arca
ProShares Ultra VIX Short-Term Futures ETF	UVXY	Cboe BZX Exchange
ProShares Ultra Yen	YCL	NYSE Arca
ProShares UltraShort Bloomberg Crude Oil	SCO	NYSE Arca
ProShares UltraShort Bloomberg Natural Gas	KOLD	NYSE Arca
ProShares UltraShort Euro	EUO	NYSE Arca
ProShares UltraShort Gold	GLL	NYSE Arca
ProShares UltraShort Silver	ZSL	NYSE Arca
ProShares UltraShort Yen	YCS	NYSE Arca
ProShares VIX Mid-Term Futures ETF	VIXM	Cboe BZX Exchange
ProShares VIX Short-Term Futures ETF	VIXY	Cboe BZX Exchange

Securities registered pursuant to Section 12(g) of the Act: None

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. ☒ Yes ☐ No

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation

S-T

(§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files). ☒ Yes ☐ No

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a

non-accelerated

filer, smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer”, “accelerated filer”, “smaller reporting company” and “emerging growth company” in Rule

12b-2

of the Exchange Act.

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐

Indicate by check mark whether the registrant is a shell company (as defined in Rule

12b-2

of the Exchange Act.). ☐ Yes ☒ No

Indicate by check mark whether the registrant has filed all documents and reports required to be filed by Sections 12, 13 or 15(d) of the Securities Exchange Act of 1934 subsequent to the distribution of securities under a plan confirmed by a court. ☒ Yes ☐ No

As of May 3, 2023, the registrant had 631,519,037 shares of common stock, $0 par value per share, outstanding.

PROSHARES TRUST II

Table of Contents


	Page
Part I. FINANCIAL INFORMATION
Item 1. Financial Statements.		F-1
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations.		1
Item 3. Quantitative and Qualitative Disclosures About Market Risk.		25
Item 4. Controls and Procedures.		39

Part II. OTHER INFORMATION
Item 1. Legal Proceedings.		40
Item 1A. Risk Factors.		40
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.		42
Item 3. Defaults Upon Senior Securities.		44
Item 4. Mine Safety Disclosures.		44
Item 5. Other Information.		44
Item 6. Exhibits.		45

Part I. FINANCIAL INFORMATION

Item 1.

Financial Statements.


Index
Documents	Page
Statements of Financial Condition, Schedule of Investments, Statements of Operations, Statements of Changes in Shareholders’ Equity, and Statements of Cash Flows:
ProShares Short VIX Short-Term Futures ETF		F-2
ProShares Ultra Bloomberg Crude Oil		F-7
ProShares Ultra Bloomberg Natural Gas		F-12
ProShares Ultra Euro		F-17
ProShares Ultra Gold		F-22
ProShares Ultra Silver		F-27
ProShares Ultra VIX Short-Term Futures ETF		F-32
ProShares Ultra Yen		F-37
ProShares UltraShort Bloomberg Crude Oil		F-42
ProShares UltraShort Bloomberg Natural Gas		F-47
ProShares UltraShort Euro		F-52
ProShares UltraShort Gold		F-57
ProShares UltraShort Silver		F-62
ProShares UltraShort Yen		F-67
ProShares VIX Mid-Term Futures ETF		F-72
ProShares VIX Short-Term Futures ETF		F-77
ProShares Trust II		F-85
Notes to Financial Statements		F-86

F-1

Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2023 (unaudited)		December 31, 2022
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $94,860,159 and $144,283,581, respectively)	$	94,860,624	$	144,307,676
Cash		71,307,875		6,852,395
Segregated cash balances with brokers for futures contracts		94,991,815		127,094,546
Receivable on open futures contracts		43,457,674		67,086,947
Interest receivable		472,061		475,930

Total assets		305,090,049		345,817,494

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		9,552,818		5,861,814
Brokerage commissions and futures account fees payable		5,185		21,576
Payable to Sponsor		191,653		342,466

Total liabilities		9,749,656		6,225,856

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		295,340,393		339,591,638

Total liabilities and shareholders’ equity	$	305,090,049	$	345,817,494

Shares outstanding		4,634,307		5,784,307

Net asset value per share	$	63.73	$	58.71

Market value per share (Note 2)	$	63.75	$	58.68

See accompanying notes to financial statements.

F-2

Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

MARCH 31, 2023

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(32% of shareholders’ equity)
U.S. Treasury Bills ^^ :
4.401% due 04/04/23	$	25,000,000	$	24,996,803
3.874% due 04/11/23		25,000,000		24,973,528
4.156% due 04/18/23		20,000,000		19,960,876
4.205% due 04/25/23		25,000,000		24,929,417

Total short-term U.S. government and agency obligations
(cost $94,860,159)			$	94,860,624

Futures Contracts Sold


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/Value
VIX Futures – Cboe, expires April 2023		4,007	$	83,202,149	$	11,676,653
VIX Futures – Cboe, expires May 2023		2,915		64,504,578		2,594,535

					$	14,271,188

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

See accompanying notes to financial statements.

F-3

Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

(unaudited)


	Three Months Ended March 31,
	2023			2022
Investment Income
Interest	$	2,109,122		$	94,343

Expenses
Management fee		565,777			986,537
Brokerage commissions		126,503			187,698
Futures accounts fees		—			217,030

Total expenses		692,280			1,391,265

Net investment income (loss)		1,416,842			(1,296,922	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		29,604,148			(41,100,614	)
Short-term U.S. government and agency obligations		—			(10,494	)

Net realized gain (loss)		29,604,148			(41,111,108	)

Change in net unrealized appreciation (depreciation) on
Futures contracts		3,178,807			4,709,184
Short-term U.S. government and agency obligations		(23,630	)		(411,277	)

Change in net unrealized appreciation (depreciation)		3,155,177			4,297,907

Net realized and unrealized gain (loss)		32,759,325			(36,813,201	)

Net income (loss)	$	34,176,167		$	(38,110,123	)

See accompanying notes to financial statements.

F-4

Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)


	Three Months Ended March 31,
	2023			2022
Shareholders’ equity, beginning of period	$	339,591,638		$	423,812,594

Addition of 2,450,000 and 3,000,000 shares, respectively		147,299,334			156,515,471
Redemption of 3,600,000 and 800,000 shares, respectively		(225,726,746	)		(46,629,093	)

Net addition (redemption) of (1,150,000) and 2,200,000 shares, respectively		(78,427,412	)		109,886,378

Net investment income (loss)		1,416,842			(1,296,922	)
Net realized gain (loss)		29,604,148			(41,111,108	)
Change in net unrealized appreciation (depreciation)		3,155,177			4,297,907

Net income (loss)		34,176,167			(38,110,123	)

Shareholders’ equity, end of period	$	295,340,393		$	495,588,849

See accompanying notes to financial statements.

F-5

Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

(unaudited)


	Three Months Ended March 31,
	2023			2022
Cash flow from operating activities
Net income (loss)	$	34,176,167		$	(38,110,123	)
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		(99,763,542	)		(184,846,445	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		150,000,000			151,980,347
Net amortization and accretion on short-term U.S. government and agency obligations		(813,036	)		(97,211	)
Net realized (gain) loss on investments		—			10,494
Change in unrealized (appreciation) depreciation on investments		23,630			411,277
Decrease (Increase) in receivable on open futures contracts		23,629,273			2,719,889
Decrease (Increase) in interest receivable		3,869			2,868
Increase (Decrease) in payable to Sponsor		(150,813	)		33,446
Increase (Decrease) in brokerage commissions and futures account fees payable		(16,391	)		(34,038	)
Increase (Decrease) in payable on open futures contracts		—			12,542,043

Net cash provided by (used in) operating activities		107,089,157			(55,387,453	)

Cash flow from financing activities
Proceeds from addition of shares		147,299,334			156,515,471
Payment on shares redeemed		(222,035,742	)		(52,754,223	)

Net cash provided by (used in) financing activities		(74,736,408	)		103,761,248

Net increase (decrease) in cash		32,352,749			48,373,795
Cash, beginning of period		133,946,941			183,010,984

Cash, end of period	$	166,299,690		$	231,384,779

See accompanying notes to financial statements.

F-6

Table of Contents

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2023 (unaudited)		December 31, 2022
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $199,701,287 and $313,413,683, respectively)	$	199,701,685	$	313,465,007
Cash		340,933,444		224,296,858
Segregated cash balances with brokers for futures contracts		65,465,226		76,813,658
Segregated cash balances with brokers for swap agreements		306,075,745		175,489,745
Unrealized appreciation on swap agreements		—		74,159,577
Receivable on open futures contracts		14,241,357		8,466,027
Interest receivable		806,649		618,549

Total assets		927,224,106		873,309,421

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		47,715,339		13,545,014
Brokerage commissions and futures account fees payable		6,487		7,154
Payable to Sponsor		631,438		662,979
Unrealized depreciation on swap agreements		67,202,386		—

Total liabilities		115,555,650		14,215,147

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		811,668,456		859,094,274

Total liabilities and shareholders’ equity	$	927,224,106	$	873,309,421

Shares outstanding (Note 1)		30,593,096		28,393,096

Net asset value per share (Note 1)	$	26.53	$	30.26

Market value per share (Note 1) (Note 2)	$	26.47	$	30.31

See accompanying notes to financial statements.

F-7

Table of Contents

PROSHARES ULTRA BLOOMBERG CRUDE OIL

SCHEDULE OF INVESTMENTS

MARCH 31, 2023

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(25% of shareholders’ equity)
U.S. Treasury Bills ^^ :
4.401% due 04/04/23 †	$	50,000,000	$	49,993,605
3.874% due 04/11/23		50,000,000		49,947,055
4.156% due 04/18/23 †		50,000,000		49,902,190
4.205% due 04/25/23 †		50,000,000		49,858,835

Total short-term U.S. government and agency obligations
(cost $199,701,287)			$	199,701,685

Futures Contracts Purchased


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/Value
WTI Crude Oil – NYMEX, expires June 2023		2,112	$	160,089,600	$	12,570,821
WTI Crude Oil – NYMEX, expires December 2023		2,182		160,486,100		10,055,416
WTI Crude Oil – NYMEX, expires June 2024		2,261		161,051,030		6,867,926

					$	29,494,163

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	%		04/06/23	$	180,552,235	$	(10,629,759	)
Swap agreement with Goldman Sachs International based on Bloomberg Commodity Balanced WTI Crude Oil Index		0.35			04/06/23		224,484,374		(13,216,202	)
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Commodity Balanced WTI Crude Oil Index		0.35			04/06/23		312,723,926		(18,411,182	)
Swap agreement with Societe Generale based on Bloomberg Commodity Balanced WTI Crude Oil Index		0.25			04/06/23		170,398,805		(10,019,635	)
Swap agreement with UBS AG based on Bloomberg Commodity Balanced WTI Crude Oil Index		0.30			04/06/23		253,675,785		(14,925,608	)

							Total Unrealized Depreciation	$	(67,202,386	)

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

^	The positions and counterparties herein are as of March 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.

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

*	Reflects the floating financing rate, as of March 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.

See accompanying notes to financial statements.

F-8

Table of Contents

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF OPERATIONS

(unaudited)


	Three Months Ended March 31,
	2023		2022
Investment Income
Interest	$	6,007,908	$	308,880

Expenses
Management fee		1,874,618		3,084,812
Brokerage commissions		94,344		195,541
Futures accounts fees		—		252,687

Total expenses		1,968,962		3,533,040

Net investment income (loss)		4,038,946		(3,224,160	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on

ProShares Trust II [GLL] Filings
ProShares Trust II [EUO] Filings
ProShares Trust II [YCL] Filings
ProShares Trust II [SCO] Filings
ProShares Trust II [VIXM] Filings
ProShares Trust II [BOIL] Filings
ProShares Trust II [KOLD] Filings
ProShares Trust II [UCO] Filings
ProShares Trust II [SVXY] Filings
ProShares Trust II [UVXY] Filings
ProShares Trust II [VIXY] Filings
ProShares Trust II [ZSL] Filings
ProShares Trust II [ULE] Filings
ProShares Trust II [AGQ] Filings
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