10-Q 1 dba-20230930.htm 10-Q 10-Q
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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 September 30, 2023

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: (800) 983-0903

 

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 September 30, 2023: 38,050,000

 

 

INVESCO DB AGRICULTURE FUND

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

QUARTER ENDED SEPTEMBER 30, 2023

TABLE OF CONTENTS

 

 

 

Page

PART I.

 

FINANCIAL INFORMATION

1

 

 

 

 

ITEM 1.

Financial Statements

1

 

Notes to Unaudited Financial Statements

10

 

ITEM 2.

Management's Discussion and Analysis of Financial Condition and Results of Operations

21

 

ITEM 3.

Quantitative and Qualitative Disclosures About Market Risk

31

 

ITEM 4.

Controls and Procedures

33

 

 

 

PART II.

 

OTHER INFORMATION

34

 

 

 

 

Item 1.

Legal Proceedings

34

 

Item 1A.

Risk Factors

34

 

Item 2.

Unregistered Sales of Equity Securities, Use of Proceeds, and Issuer Purchases of Equity Securities

34

 

Item 3.

Defaults Upon Senior Securities

34

 

Item 4.

Mine Safety Disclosures

34

 

Item 5.

Other Information

34

 

Item 6.

Exhibits

34

 

 

 

SIGNATURES

36

 

 

 

 

 

PART I. FINANCIAL INFORMATION

ITEM 1. FINANCIAL STATEMENTS.

 

Invesco DB Agriculture Fund

Statements of Financial Condition

September 30, 2023 and December 31, 2022

(Unaudited)

 

 

 

September 30,

 

 

December 31,

 

 

 

2023

 

 

2022

 

Assets

 

 

 

 

 

 

United States Treasury Obligations, at value (cost $346,474,953 and
   $571,517,656, respectively)

 

$

346,559,364

 

 

$

571,698,186

 

Affiliated Investments, at value (cost $486,140,213 and $517,626,772,
   respectively)

 

 

486,236,058

 

 

 

517,562,602

 

Receivable for:

 

 

 

 

 

 

Dividends from affiliates

 

 

1,621,940

 

 

 

1,766,452

 

Total assets

 

$

834,417,362

 

 

$

1,091,027,240

 

Liabilities

 

 

 

 

 

 

Other investments:

 

 

 

 

 

 

Variation margin payable- Commodity Futures Contracts

 

$

14,506,306

 

 

$

1,359,934

 

Payable for:

 

 

 

 

 

 

Fund shares reacquired

 

 

4,284,381

 

 

 

16,131,716

 

Management fees

 

 

549,632

 

 

 

826,520

 

Brokerage commissions and fees

 

 

4,997

 

 

 

2,140

 

Total liabilities

 

 

19,345,316

 

 

 

18,320,310

 

Commitments and Contingencies (Note 10)

 

 

 

 

 

 

Equity

 

 

 

 

 

 

Shareholder's equity—General Shares

 

 

857

 

 

 

806

 

Shareholders' equity—Shares

 

 

815,071,189

 

 

 

1,072,706,124

 

Total shareholders' equity

 

 

815,072,046

 

 

 

1,072,706,930

 

Total liabilities and equity

 

$

834,417,362

 

 

$

1,091,027,240

 

General Shares outstanding

 

40

 

 

 

40

 

Shares outstanding

 

 

38,050,000

 

 

 

53,200,000

 

Net asset value per share

 

$

21.42

 

 

$

20.16

 

Market value per share

 

$

21.40

 

 

$

20.15

 

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

 

1

 

Invesco DB Agriculture Fund

Schedule of Investments

September 30, 2023

(Unaudited)

 

Description

 

Percentage of
Shareholders'
Equity

 

 

Value

 

 

Principal Value

 

United States Treasury Obligations (a)

 

 

 

 

 

 

 

 

 

U.S. Treasury Bill, 5.340% due November 30, 2023 (b)

 

 

36.48

%

 

$

297,381,876

 

 

$

300,000,000

 

U.S. Treasury Bill, 5.315% due December 7, 2023

 

 

3.03

 

 

 

24,756,625

 

 

 

25,000,000

 

U.S. Treasury Bill, 5.300% due March 7, 2024

 

 

3.00

 

 

 

24,420,863

 

 

 

25,000,000

 

Total United States Treasury Obligations (cost $346,474,953)

 

 

42.51

%

 

$

346,559,364

 

 

 

 

Affiliated Investments

 

 

 

 

 

 

 

Shares

 

Exchange-Traded Fund

 

 

 

 

 

 

 

 

 

Invesco Treasury Collateral ETF (cost $119,520,055) (c)

 

 

14.68

%

 

$

119,615,900

 

 

 

1,133,800

 

Money Market Mutual Fund

 

 

 

 

 

 

 

 

 

Invesco Government & Agency Portfolio,
   Institutional Class, 5.26% (cost $366,620,158) (c)(d)

 

 

44.98

 

 

 

366,620,158

 

 

 

366,620,158

 

Total Affiliated Investments (cost $486,140,213)

 

 

59.66

%

 

$

486,236,058

 

 

 

 

Total Investments in Securities (cost $832,615,166)

 

 

102.17

%

 

$

832,795,422

 

 

 

 

 

(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 $148,680,000 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 September 30, 2023.

 

Open Commodity Futures Contracts

 

Number of Contracts

 

 

Expiration Date

 

Notional
Value

 

 

Value(e)

 

 

Unrealized
Appreciation
(Depreciation)(e)

 

Long Futures Contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

CBOT Corn

 

 

2,936

 

 

September - 2024

 

$

73,877,100

 

 

$

(1,529,805

)

 

$

(1,529,805

)

CBOT Soybean

 

 

1,418

 

 

November - 2023

 

 

90,397,500

 

 

 

(5,571,108

)

 

 

(5,571,108

)

CBOT Wheat

 

 

1,038

 

 

July - 2024

 

 

31,775,775

 

 

 

(3,676,374

)

 

 

(3,676,374

)

CBOT Wheat KCB

 

 

1,109

 

 

July - 2024

 

 

37,733,725

 

 

 

(4,976,830

)

 

 

(4,976,830

)

CME Feeder Cattle

 

 

308

 

 

November - 2023

 

 

39,254,600

 

 

 

(729,604

)

 

 

(729,604

)

CME Lean Hogs

 

 

1,870

 

 

December - 2023

 

 

53,687,700

 

 

 

(2,245,917

)

 

 

(2,245,917

)

CME Live Cattle

 

 

1,561

 

 

December - 2023

 

 

117,340,370

 

 

 

714,976

 

 

 

714,976

 

NYB-ICE Cocoa

 

 

3,464

 

 

December - 2023

 

 

118,399,520

 

 

 

(2,219,455

)

 

 

(2,219,455

)

NYB-ICE Coffee

 

 

1,463

 

 

December - 2023

 

 

80,181,544

 

 

 

(9,177,113

)

 

 

(9,177,113

)

NYB-ICE Cotton

 

 

526

 

 

December - 2023

 

 

22,920,450

 

 

 

1,448,480

 

 

 

1,448,480

 

NYB-ICE Sugar

 

 

5,512

 

 

June - 2024

 

 

150,014,592

 

 

 

10,910,040

 

 

 

10,910,040

 

Total Commodity Futures Contracts

 

 

 

 

 

 

 

 

 

$

(17,052,710

)

 

$

(17,052,710

)

 

(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, 2022

(Unaudited)

 

Description

 

Percentage of
Shareholders’
Equity

 

 

Value

 

 

Principal Value

 

United States Treasury Obligations (a)

 

 

 

 

 

 

 

 

 

U.S. Treasury Bill, 3.340% due January 5, 2023

 

 

9.32

%

 

$

99,979,833

 

 

$

100,000,000

 

U.S. Treasury Bill, 4.285% due March 2, 2023 (b)

 

39.35

 

 

 

422,100,973

 

 

 

425,000,000

 

U.S. Treasury Bill, 4.270% due March 9, 2023

 

4.63

 

 

 

49,617,380

 

 

 

50,000,000

 

Total United States Treasury Obligations (cost $571,517,656)

 

 

53.30

%

 

$

571,698,186

 

 

 

 

Affiliated Investments

 

 

 

 

 

 

 

Shares

 

Exchange-Traded Fund

 

 

 

 

 

 

 

 

 

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

 

 

8.29

%

 

$

88,980,698

 

 

 

844,700

 

Money Market Mutual Fund

 

 

 

 

 

 

 

 

 

Invesco Government & Agency Portfolio,
   Institutional Class, 4.22% (cost $428,581,904) (c)(d)

 

 

39.95

 

 

 

428,581,904

 

 

 

428,581,904

 

Total Affiliated Investments (cost $517,626,772)

 

 

48.24

%

 

$

517,562,602

 

 

 

 

Total Investments in Securities (cost $1,089,144,428)

 

 

101.54

%

 

$

1,089,260,788

 

 

 

 

 

(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 $397,240,000 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, 2022.

Open Commodity Futures Contracts

 

Number of Contracts

 

 

Expiration Date

 

Notional
Value

 

 

Value(e)

 

 

Unrealized
Appreciation
(Depreciation)(e)

 

Long Futures Contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

CBOT Corn

 

 

4,225

 

 

September - 2023

 

$

132,453,750

 

 

$

6,908,542

 

 

$

6,908,542

 

CBOT Soybean

 

 

1,923

 

 

November - 2023

 

 

136,220,513

 

 

 

5,878,684

 

 

 

5,878,684

 

CBOT Wheat

 

 

1,548

 

 

July - 2023

 

 

62,152,200

 

 

 

(20,805,661

)

 

 

(20,805,661

)

CBOT Wheat KCB

 

 

1,433

 

 

July - 2023

 

 

62,801,225

 

 

 

(16,415,477

)

 

 

(16,415,477

)

CME Feeder Cattle

 

 

489

 

 

March - 2023

 

 

45,532,013

 

 

 

352,262

 

 

 

352,262

 

CME Lean Hogs

 

 

2,513

 

 

February - 2023

 

 

88,156,040

 

 

 

4,307

 

 

 

4,307

 

CME Live Cattle

 

 

2,155

 

 

February - 2023

 

 

136,109,800

 

 

 

2,711,290

 

 

 

2,711,290

 

NYB-ICE Cocoa

 

 

4,699

 

 

March - 2023

 

 

122,174,000

 

 

 

6,081,100

 

 

 

6,081,100

 

NYB-ICE Coffee

 

 

1,926

 

 

March - 2023

 

 

120,832,425

 

 

 

504,273

 

 

 

504,273

 

NYB-ICE Cotton

 

 

691

 

 

March - 2023

 

 

28,804,335

 

 

 

(617,404

)

 

 

(617,404

)

NYB-ICE Sugar

 

 

6,811

 

 

June - 2023

 

 

137,157,193

 

 

 

6,430,405

 

 

 

6,430,405

 

Total Commodity Futures Contracts

 

 

 

 

 

 

 

 

 

$

(8,967,679

)

 

$

(8,967,679

)

 

(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 and Nine Months Ended September 30, 2023 and 2022

(Unaudited)

 

 

 

Three Months Ended

 

 

Nine Months Ended

 

 

 

September 30,

 

 

September 30,

 

 

 

2023

 

 

2022

 

 

2023

 

 

2022

 

Income

 

 

 

 

 

 

 

 

 

 

 

 

Interest Income

 

$

4,788,543

 

 

$

3,141,756

 

 

$

14,291,035

 

 

$

4,698,003

 

Dividends from Affiliates

 

 

6,380,385

 

 

 

3,674,151

 

 

 

18,235,721

 

 

 

6,294,003

 

Total Income

 

 

11,168,928

 

 

 

6,815,907

 

 

 

32,526,756

 

 

 

10,992,006

 

Expenses

 

 

 

 

 

 

 

 

 

 

 

 

Management Fees

 

 

1,799,485

 

 

 

3,325,068

 

 

 

5,722,675

 

 

 

10,725,764

 

Brokerage Commissions and Fees

 

 

111,690

 

 

 

302,134

 

 

 

423,216

 

 

 

880,786

 

Interest Expense

 

 

36,350

 

 

 

39,452

 

 

 

109,570

 

 

 

57,803

 

Total Expenses

 

 

1,947,525

 

 

 

3,666,654

 

 

 

6,255,461

 

 

 

11,664,353

 

Less: Waivers

 

 

(118,617

)

 

 

(173,488

)

 

 

(352,996

)

 

 

(556,974

)

Net Expenses

 

 

1,828,908

 

 

 

3,493,166

 

 

 

5,902,465

 

 

 

11,107,379

 

Net Investment Income (Loss)

 

 

9,340,020

 

 

 

3,322,741

 

 

 

26,624,291

 

 

 

(115,373

)

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

 

 

 

 

 

 

 

 

 

 

 

 

United States Treasury Obligations

 

 

139

 

 

 

—

 

 

 

74

 

 

 

1

 

Commodity Futures Contracts

 

 

12,986,866

 

 

 

(63,789,914

)

 

 

31,335,023

 

 

 

26,647,801

 

Net Realized Gain (Loss)

 

 

12,987,005

 

 

 

(63,789,914

)

 

 

31,335,097

 

 

 

26,647,802

 

Net Change in Unrealized Gain (Loss) on

 

 

 

 

 

 

 

 

 

 

 

 

United States Treasury Obligations

 

 

(178,241

)

 

 

708,668

 

 

 

(96,119

)

 

 

(1,065,981

)

Affiliated Investments

 

 

34,014

 

 

 

(185,834

)

 

 

160,015

 

 

 

(206,952

)

Commodity Futures Contracts

 

 

(9,017,234

)

 

 

25,433,737

 

 

 

(8,085,031

)

 

 

(102,237,000

)

Net Change in Unrealized Gain (Loss)

 

 

(9,161,461

)

 

 

25,956,571

 

 

 

(8,021,135

)

 

 

(103,509,933

)

Net Realized and Net Change in Unrealized Gain (Loss) on
   United States Treasury Obligations, Affiliated Investments
   and Commodity Futures Contracts

 

 

3,825,544

 

 

 

(37,833,343

)

 

 

23,313,962

 

 

 

(76,862,131

)

Net Income (Loss)

 

$

13,165,564

 

 

$

(34,510,602

)

 

$

49,938,253

 

 

$

(76,977,504

)

 

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 September 30, 2023

(Unaudited)

 

 

 

General Shares

 

 

Shares

 

 

Total

 

 

 

Shares

 

 

Total
Equity

 

 

Shares

 

 

Total
Equity

 

 

Shareholders'
Equity

 

Balance at June 30, 2023

 

 

40

 

 

$

844

 

 

 

39,650,000

 

 

$

836,534,898

 

 

$

836,535,742

 

Purchases of Shares

 

 

 

 

 

 

 

 

800,000

 

 

 

17,302,168

 

 

 

17,302,168

 

Redemption of Shares

 

 

 

 

 

 

 

 

(2,400,000

)

 

 

(51,931,428

)

 

 

(51,931,428

)

Net Increase (Decrease) due to Share Transactions

 

 

 

 

 

 

 

 

(1,600,000

)

 

 

(34,629,260

)

 

 

(34,629,260

)

Net Income (Loss)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Investment Income (Loss)

 

 

 

 

 

9

 

 

 

 

 

 

9,340,011

 

 

 

9,340,020

 

Net Realized Gain (Loss) on United States Treasury
   Obligations, Affiliated Investments and
   Commodity Futures Contracts

 

 

 

 

 

13

 

 

 

 

 

 

12,986,992

 

 

 

12,987,005

 

Net Change in Unrealized Gain (Loss) on United
   States Treasury Obligations, Affiliated
   Investments and Commodity Futures Contracts

 

 

 

 

 

(9

)

 

 

 

 

 

(9,161,452

)

 

 

(9,161,461

)

Net Income (Loss)

 

 

 

 

 

13

 

 

 

 

 

 

13,165,551

 

 

 

13,165,564

 

Net Change in Shareholders' Equity

 

 

—

 

 

 

13

 

 

 

(1,600,000

)

 

 

(21,463,709

)

 

 

(21,463,696

)

Balance at September 30, 2023

 

 

40

 

 

$

857

 

 

 

38,050,000

 

 

$

815,071,189

 

 

$

815,072,046

 

 

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 September 30, 2022

(Unaudited)

 

 

 

General Shares

 

 

Shares

 

 

Total

 

 

 

Shares

 

 

Total
Equity

 

 

Shares

 

 

Total
Equity

 

 

Shareholders'
Equity

 

Balance at June 30, 2022

 

 

40

 

 

$

815

 

 

 

89,600,000

 

 

$

1,826,389,518

 

 

$

1,826,390,333

 

Purchases of Shares

 

 

 

 

 

 

 

 

3,600,000

 

 

 

73,208,679

 

 

 

73,208,679

 

Redemption of Shares

 

 

 

 

 

 

 

 

(19,700,000

)

 

 

(390,552,461

)

 

 

(390,552,461

)

Net Increase (Decrease) due to Share Transactions

 

 

 

 

 

 

 

 

(16,100,000

)

 

 

(317,343,782

)

 

 

(317,343,782

)

Net Income (Loss)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Investment Income (Loss)

 

 

 

 

 

(2

)

 

 

 

 

 

3,322,743

 

 

 

3,322,741

 

Net Realized Gain (Loss) on United States Treasury
   Obligations, Affiliated Investments and
   Commodity Futures Contracts

 

 

 

 

 

51

 

 

 

 

 

 

(63,789,965

)

 

 

(63,789,914

)

Net Change in Unrealized Gain (Loss) on United
   States Treasury Obligations, Affiliated
   Investments and Commodity Futures Contracts

 

 

 

 

 

(62

)

 

 

 

 

 

25,956,633

 

 

 

25,956,571

 

Net Income (Loss)

 

 

 

 

 

(13

)

 

 

 

 

 

(34,510,589

)

 

 

(34,510,602

)

Net Change in Shareholders' Equity

 

 

—

 

 </