10-Q 1 dba-10q_20220331.htm 10-Q dba-10q_20220331.htm
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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM 10-Q

 

(Mark One)

QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended March 31, 2022

OR

TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from                      to                     

Commission File Number:                    001-33238

 

INVESCO DB AGRICULTURE FUND

(A Series of Invesco DB Multi-Sector Commodity Trust)

(Exact name of registrant as specified in its charter)

 

Delaware

87-0778078

(State or Other Jurisdiction of

Incorporation or Organization)

(I.R.S. Employer

Identification No.)

 

 

c/o Invesco Capital Management LLC

3500 Lacey Road, Suite 700

Downers Grove, Illinois

60515

(Address of Principal Executive Offices)

(Zip Code)

 

Registrant’s telephone number, including area code: (800983-0903

 

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

 

Title of each class

Trading Symbol(s)

Name of each exchange on which registered

Common Units of Beneficial Interest

DBA

NYSE Arca, Inc.

 

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, a 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.

 

Large Accelerated Filer

Accelerated Filer

 

 

 

 

Non-Accelerated Filer

  

Smaller reporting company

 

 

 

 

 

 

Emerging growth company

 

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 the number of outstanding Shares as of March 31, 2022: 85,900,000

 

 

 


 

INVESCO DB AGRICULTURE FUND

(A SERIES OF INVESCO DB MULTI-SECTOR COMMODITY TRUST)

QUARTER ENDED MARCH 31, 2022

TABLE OF CONTENTS

 

 

 

 

 

 


 

PART I. FINANCIAL INFORMATION

ITEM 1.

FINANCIAL STATEMENTS.

 

Invesco DB Agriculture Fund

Statements of Financial Condition

March 31, 2022 and December 31, 2021

(Unaudited)

 

 

 

March 31,

 

 

December 31,

 

 

 

2022

 

 

2021

 

Assets

 

 

 

 

 

 

 

 

United States Treasury Obligations, at value (cost $275,739,530 and

   $203,006,323, respectively)

 

$

275,588,239

 

 

$

203,008,216

 

Affiliated Investments, at value (cost $1,587,305,566 and $827,467,069,

   respectively)

 

 

1,587,418,783

 

 

 

827,643,639

 

Receivable for:

 

 

 

 

 

 

 

 

Dividends from affiliates

 

 

158,978

 

 

 

16,060

 

Fund shares sold

 

 

26,233,833

 

 

 

 

Total assets

 

$

1,889,399,833

 

 

$

1,030,667,915

 

Liabilities

 

 

 

 

 

 

 

 

Other investments:

 

 

 

 

 

 

 

 

Variation margin payable- Commodity Futures Contracts

 

$

10,315,997

 

 

$

11,724,005

 

Payable for:

 

 

 

 

 

 

 

 

Management fees

 

 

1,177,650

 

 

 

738,857

 

Brokerage commissions and fees

 

 

 

 

 

5,006

 

Total liabilities

 

 

11,493,647

 

 

 

12,467,868

 

Commitments and Contingencies (Note 10)

 

 

 

 

 

 

 

 

Equity

 

 

 

 

 

 

 

 

Shareholder's equity—General Shares

 

 

874

 

 

 

789

 

Shareholders' equity—Shares

 

 

1,877,905,312

 

 

 

1,018,199,258

 

Total shareholders' equity

 

 

1,877,906,186

 

 

 

1,018,200,047

 

Total liabilities and equity

 

$

1,889,399,833

 

 

$

1,030,667,915

 

General Shares outstanding

 

40

 

 

 

40

 

Shares outstanding

 

 

85,900,000

 

 

 

51,600,000

 

Net asset value per share

 

$

21.86

 

 

$

19.73

 

Market value per share

 

$

21.87

 

 

$

19.75

 

 

See accompanying Notes to Unaudited Financial Statements which are an integral part of the financial statements.

 

 

1


 

Invesco DB Agriculture Fund

Schedule of Investments

March 31, 2022

(Unaudited)

 

Description

 

Percentage of

Shareholders'

Equity

 

 

Value

 

 

Principal Value

 

United States Treasury Obligations (a)

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury Bills, 0.090% due April 7, 2022 (b)

 

 

1.60

%

 

$

29,999,300

 

 

$

30,000,000

 

U.S. Treasury Bills, 0.170% due April 21, 2022

 

 

0.69

 

 

 

12,999,115

 

 

 

13,000,000

 

U.S. Treasury Bills, 0.190% due April 28, 2022 (b)

 

 

2.14

 

 

 

39,996,092

 

 

 

40,000,000

 

U.S. Treasury Bills, 0.360% due June 2, 2022 (b)

 

 

1.33

 

 

 

24,986,007

 

 

 

25,000,000

 

U.S. Treasury Bills, 0.380% due June 9, 2022 (b)

 

 

1.06

 

 

 

19,985,702

 

 

 

20,000,000

 

U.S. Treasury Bills, 0.220% due July 7, 2022 (b)

 

 

1.60

 

 

 

29,954,014

 

 

 

30,000,000

 

U.S. Treasury Bills, 0.365% due July 21, 2022 (b)

 

 

0.69

 

 

 

12,973,495

 

 

 

13,000,000

 

U.S. Treasury Bills, 0.380% due July 28, 2022 (b)

 

 

2.12

 

 

 

39,901,339

 

 

 

40,000,000

 

U.S. Treasury Bills, 0.500% due August 4, 2022 (b)

 

 

2.12

 

 

 

39,889,792

 

 

 

40,000,000

 

U.S. Treasury Bills, 0.670% due September 1, 2022 (b)

 

 

1.33

 

 

 

24,903,383

 

 

 

25,000,000

 

Total United States Treasury Obligations (cost $275,739,530)

 

 

14.68

%

 

$

275,588,239

 

 

 

 

 

Affiliated Investments

 

 

 

 

 

 

 

 

 

Shares

 

Exchange-Traded Fund

 

 

 

 

 

 

 

 

 

 

 

 

Invesco Treasury Collateral ETF (cost $89,044,868) (c)

 

 

4.75

%

 

$

89,158,085

 

 

 

844,700

 

Money Market Mutual Fund

 

 

 

 

 

 

 

 

 

 

 

 

Invesco Government & Agency Portfolio,

   Institutional Class, 0.25% (cost $1,498,260,698) (c)(d)

 

 

79.78

 

 

 

1,498,260,698

 

 

 

1,498,260,698

 

Total Affiliated Investments (cost $1,587,305,566)

 

 

84.53

%

 

$

1,587,418,783

 

 

 

 

 

Total Investments in Securities (cost $1,863,045,096)

 

 

99.21

%

 

$

1,863,007,022

 

 

 

 

 

 

(a)

Security may be traded on a discount basis. The interest rate shown represents the discount rate at the most recent auction date of the security prior to period end.

(b)

United States Treasury Obligations of $262,584,700 are on deposit with the Commodity Broker and held as maintenance margin for open futures contracts.

(c)

Affiliated issuer. The issuer and/or the Fund is a wholly-owned subsidiary of Invesco Ltd., or is affiliated by having an investment adviser that is under common control of Invesco Ltd. See Note 8.

(d)

The rate shown is the 7-day SEC standardized yield as of March 31, 2022.

 

Open Commodity Futures Contracts

 

Number of Contracts

 

 

Expiration Date

 

Notional

Value

 

 

Value(e)

 

 

Unrealized

Appreciation

(Depreciation)(e)

 

Long Futures Contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

CBOT Corn

 

 

7,531

 

 

September - 2022

 

$

262,172,938

 

 

$

41,787,032

 

 

$

41,787,032

 

CBOT Soybean

 

 

3,422

 

 

November - 2022

 

 

243,047,550

 

 

 

14,022,836

 

 

 

14,022,836

 

CBOT Wheat

 

 

2,647

 

 

July - 2022

 

 

132,614,700

 

 

 

18,885,864

 

 

 

18,885,864

 

CBOT Wheat KCB

 

 

2,650

 

 

July - 2022

 

 

136,441,875

 

 

 

23,748,972

 

 

 

23,748,972

 

CME Feeder Cattle

 

 

792

 

 

May - 2022

 

 

65,953,800

 

 

 

575,372

 

 

 

575,372

 

CME Lean Hogs

 

 

3,603

 

 

June - 2022

 

 

173,844,750

 

 

 

8,562,345

 

 

 

8,562,345

 

CME Live Cattle

 

 

3,719

 

 

June - 2022

 

 

203,987,150

 

 

 

3,696,188

 

 

 

3,696,188

 

NYB-ICE Cocoa

 

 

7,216

 

 

May - 2022

 

 

191,224,000

 

 

 

(1,215,200

)

 

 

(1,215,200

)

NYB-ICE Coffee

 

 

2,402

 

 

May - 2022

 

 

203,929,800

 

 

 

(10,325,111

)

 

 

(10,325,111

)

NYB-ICE Cotton

 

 

826

 

 

May - 2022

 

 

56,039,970

 

 

 

5,150,035

 

 

 

5,150,035

 

NYB-ICE Sugar

 

 

9,638

 

 

September - 2022

 

 

208,766,790

 

 

 

6,651,165

 

 

 

6,651,165

 

Total Commodity Futures Contracts

 

 

 

 

 

 

 

 

 

 

 

$

111,539,498

 

 

$

111,539,498

 

 

(e)

Unrealized Appreciation (Depreciation) and Value are presented above, net by contract.

See accompanying Notes to Unaudited Financial Statements which are an integral part of the financial statements.

2


Invesco DB Agriculture Fund

Schedule of Investments

December 31, 2021

(Unaudited)

 

Description

 

Percentage of

Shareholders’

Equity

 

 

Value

 

 

Principal Value

 

United States Treasury Obligations (a)

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury Bills, 0.040% due January 6, 2022 (b)

 

 

3.93

%

 

$

40,000,003

 

 

$

40,000,000

 

U.S. Treasury Bills, 0.055% due January 20, 2022

 

2.46

 

 

 

24,999,911

 

 

 

25,000,000

 

U.S. Treasury Bills, 0.055% due January 27, 2022 (b)

 

7.85

 

 

 

79,998,800

 

 

 

80,000,000

 

U.S. Treasury Bills, 0.050% due February 3, 2022 (b)

 

3.93

 

 

 

40,010,739

 

 

 

40,011,600

 

U.S. Treasury Bills, 0.070% due March 10, 2022

 

 

1.77

 

 

 

17,998,763

 

 

 

18,000,000

 

Total United States Treasury Obligations (cost $203,006,323)

 

 

19.94

%

 

$

203,008,216

 

 

 

 

 

Affiliated Investments

 

 

 

 

 

 

 

 

 

Shares

 

Exchange-Traded Fund

 

 

 

 

 

 

 

 

 

 

 

 

Invesco Treasury Collateral ETF (cost $89,044,868) (c)

 

 

8.76

%

 

$

89,221,438

 

 

 

844,700

 

Money Market Mutual Fund

 

 

 

 

 

 

 

 

 

 

 

 

Invesco Government & Agency Portfolio,

   Institutional Class, 0.03% (cost $738,422,201) (c)(d)

 

 

72.52

 

 

 

738,422,201

 

 

 

738,422,201

 

Total Affiliated Investments (cost $827,467,069)

 

 

81.28

%

 

$

827,643,639

 

 

 

 

 

Total Investments in Securities (cost $1,030,473,392)

 

 

101.22

%

 

$

1,030,651,855

 

 

 

 

 

 

(a)

Security may be traded on a discount basis. The interest rate shown represents the discount rate at the most recent auction date of the security prior to period end.

(b)

United States Treasury Obligations of $159,984,000 are on deposit with the Commodity Broker and held as maintenance margin for open futures contracts.

(c)

Affiliated issuer. The issuer and/or the Fund is a wholly-owned subsidiary of Invesco Ltd., or is affiliated by having an investment adviser that is under common control of Invesco Ltd. See Note 8.

(d)

The rate shown is the 7-day SEC standardized yield as of December 31, 2021.

Open Commodity Futures Contracts

 

Number of Contracts

 

 

Expiration Date

 

Notional

Value

 

 

Value(e)

 

 

Unrealized

Appreciation

(Depreciation)(e)

 

Long Futures Contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

CBOT Corn

 

 

4,536

 

 

September - 2022

 

$

127,631,700

 

 

$

7,035,918

 

 

$

7,035,918

 

CBOT Soybean

 

 

2,060

 

 

November - 2022

 

 

130,732,750

 

 

 

2,692,504

 

 

 

2,692,504

 

CBOT Wheat

 

 

1,595

 

 

July - 2022

 

 

60,968,875

 

 

 

4,006,554

 

 

 

4,006,554

 

CBOT Wheat KCB

 

 

1,595

 

 

July - 2022

 

 

63,620,563

 

 

 

8,923,678

 

 

 

8,923,678

 

CME Feeder Cattle

 

 

507

 

 

March - 2022

 

 

43,082,325

 

 

 

657,514

 

 

 

657,514

 

CME Lean Hogs

 

 

2,601

 

 

February - 2022

 

 

84,766,590

 

 

 

2,233,661

 

 

 

2,233,661

 

CME Live Cattle

 

 

2,257

 

 

February - 2022

 

 

126,121,160

 

 

 

2,781,310

 

 

 

2,781,310

 

NYB-ICE Cocoa

 

 

4,438

 

 

March - 2022

 

 

111,837,600

 

 

 

1,598,320

 

 

 

1,598,320

 

NYB-ICE Coffee

 

 

1,450

 

 

March - 2022

 

 

122,941,875

 

 

 

8,040,844

 

 

 

8,040,844

 

NYB-ICE Cotton

 

 

485

 

 

March - 2022

 

 

27,305,500

 

 

 

(326,900

)

 

 

(326,900

)

NYB-ICE Sugar

 

 

5,808

 

 

September - 2022

 

 

119,431,066

 

 

 

(2,647,607

)

 

 

(2,647,607

)

Total Commodity Futures Contracts

 

 

 

 

 

 

 

 

 

 

 

$

34,995,796

 

 

$

34,995,796

 

 

(e)

Unrealized Appreciation (Depreciation) and Value are presented above, net by contract.

See accompanying Notes to Unaudited Financial Statements which are an integral part of the financial statements.

 

 

3


 

Invesco DB Agriculture Fund

Statements of Income and Expenses

For the Three Months Ended March 31, 2022 and 2021

(Unaudited)

 

 

 

Three Months Ended

 

 

 

March 31,

 

 

 

2022

 

 

2021

 

Income

 

 

 

 

 

 

 

 

Interest Income

 

$

138,382

 

 

$

50,565

 

Dividends from Affiliates

 

 

198,867

 

 

 

43,692

 

Total Income

 

 

337,249

 

 

 

94,257

 

Expenses

 

 

 

 

 

 

 

 

Management Fees

 

 

2,719,934

 

 

 

1,618,012

 

Brokerage Commissions and Fees

 

 

192,628

 

 

 

124,284

 

Interest Expense

 

 

3,427

 

 

 

1,623

 

Total Expenses

 

 

2,915,989

 

 

 

1,743,919

 

Less: Waivers

 

 

(33,705

)

 

 

(101,570

)

Net Expenses

 

 

2,882,284

 

 

 

1,642,349

 

Net Investment Income (Loss)

 

 

(2,545,035

)

 

 

(1,548,092

)

Net Realized and Net Change in Unrealized Gain (Loss) on

   United States Treasury Obligations, Affiliated Investments

   and Commodity Futures Contracts

 

 

 

 

 

 

 

 

Net Realized Gain (Loss) on

 

 

 

 

 

 

 

 

Commodity Futures Contracts

 

 

45,644,549

 

 

 

40,274,232

 

Net Realized Gain (Loss)

 

 

45,644,549

 

 

 

40,274,232

 

Net Change in Unrealized Gain (Loss) on

 

 

 

 

 

 

 

 

United States Treasury Obligations

 

 

(153,184

)

 

 

39,941

 

Affiliated Investments

 

 

(63,353

)

 

 

12,671

 

Commodity Futures Contracts

 

 

76,543,702

 

 

 

(7,533,636

)

Net Change in Unrealized Gain (Loss)

 

 

76,327,165

 

 

 

(7,481,024

)

Net Realized and Net Change in Unrealized Gain (Loss) on

   United States Treasury Obligations, Affiliated Investments

   and Commodity Futures Contracts

 

 

121,971,714

 

 

 

32,793,208

 

Net Income (Loss)

 

$

119,426,679

 

 

$

31,245,116

 

 

See accompanying Notes to Unaudited Financial Statements which are an integral part of the financial statements.

 

 


4


 

Invesco DB Agriculture Fund

Statement of Changes in Shareholders’ Equity

For the Three Months Ended March 31, 2022

(Unaudited)

 

 

 

General Shares

 

 

Shares

 

 

Total

 

 

 

Shares

 

 

Total

Equity

 

 

Shares

 

 

Total

Equity

 

 

Shareholders'

Equity

 

Balance at December 31, 2021

 

 

40

 

 

$

789

 

 

 

51,600,000

 

 

$

1,018,199,258

 

 

$

1,018,200,047

 

Purchases of Shares

 

 

 

 

 

 

 

 

 

 

40,000,000

 

 

 

861,165,818

 

 

 

861,165,818

 

Redemption of Shares

 

 

 

 

 

 

 

 

 

 

(5,700,000

)

 

 

(120,886,358

)

 

 

(120,886,358

)

Net Increase (Decrease) due to Share Transactions

 

 

 

 

 

 

 

 

 

 

34,300,000

 

 

 

740,279,460

 

 

 

740,279,460

 

Net Income (Loss)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Investment Income (Loss)

 

 

 

 

 

 

(2

)

 

 

 

 

 

 

(2,545,033

)

 

 

(2,545,035

)

Net Realized Gain (Loss) on United States Treasury

   Obligations, Affiliated Investments and

   Commodity Futures Contracts

 

 

 

 

 

 

33

 

 

 

 

 

 

 

45,644,516

 

 

 

45,644,549

 

Net Change in Unrealized Gain (Loss) on United

   States Treasury Obligations, Affiliated

   Investments and Commodity Futures Contracts

 

 

 

 

 

 

54

 

 

 

 

 

 

 

76,327,111

 

 

 

76,327,165

 

Net Income (Loss)

 

 

 

 

 

 

85

 

 

 

 

 

 

 

119,426,594

 

 

 

119,426,679

 

Net Change in Shareholders' Equity

 

 

 

 

 

85

 

 

 

34,300,000

 

 

 

859,706,054

 

 

 

859,706,139

 

Balance at March 31, 2022

 

 

40

 

 

$

874

 

 

 

85,900,000

 

 

$

1,877,905,312

 

 

$

1,877,906,186

 

 

See accompanying Notes to Unaudited Financial Statements which are an integral part of the financial statements.

 

5


 

Invesco DB Agriculture Fund

Statement of Changes in Shareholders’ Equity

For the Three Months Ended March 31, 2021

(Unaudited)

 

 

 

General Shares

 

 

Shares

 

 

Total

 

 

 

Shares

 

 

Total

Equity

 

 

Shares

 

 

Total

Equity

 

 

Shareholders'

Equity

 

Balance at December 31, 2020

 

 

40

 

 

$

645

 

 

 

40,200,000

 

 

$

648,462,788

 

 

$

648,463,433

 

Purchases of Shares

 

 

 

 

 

 

 

 

 

 

12,600,000

 

 

 

213,129,234

 

 

 

213,129,234

 

Redemption of Shares

 

 

 

 

 

 

 

 

 

 

(5,000,000

)

 

 

(84,594,516

)

 

 

(84,594,516

)

Net Increase (Decrease) due to Share Transactions

 

 

 

 

 

 

 

 

 

 

7,600,000

 

 

 

128,534,718

 

 

 

128,534,718

 

Net Income (Loss)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Investment Income (Loss)

 

 

 

 

 

 

(2

)

 

 

 

 

 

 

(1,548,090

)

 

 

(1,548,092

)

Net Realized Gain (Loss) on United States Treasury

   Obligations, Affiliated Investments and

   Commodity Futures Contracts

 

 

 

 

 

 

40

 

 

 

 

 

 

 

40,274,192

 

 

 

40,274,232

 

Net Change in Unrealized Gain (Loss) on United

   States Tr