INVESCO DB BASE METALS FUND [DBB] Filings

10-Q 1 dbb-20230930.htm 10-Q 10-Q

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


☐	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: 001-33236

INVESCO DB BASE METALS FUND

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

(Exact name of registrant as specified in its charter)


Delaware	87-0778075
(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	DBB	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: 8,000,000

INVESCO DB BASE METALS 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	20
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 Base Metals 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 $56,458,691 and $146,136,233, respectively)	$	56,462,743	$	146,181,951
Affiliated investments, at value (cost $84,806,376 and $163,663,402, respectively)		84,771,038		163,597,696
Other investments:
Unrealized appreciation on LME Commodity Futures Contracts		3,002,900		426,498
Deposits with brokers:
Cash collateral - Commodity Futures Contracts		15,000,000		15,000,000
Cash held by custodian		—		1,964,633
Receivable for:
Dividends from affiliates		308,686		525,910
Total assets	$	159,545,367	$	327,696,688
Liabilities
Other Investments:
LME Commodity Futures Contracts payable		2,387,524		62,908,834
Unrealized depreciation on LME Commodity Futures Contracts		4,070,229		38,400,145
Payable for:
Fund shares reacquired		—		1,964,633
Management fees		89,958		143,081
Brokerage commissions and fees		4,716		4,585
Total liabilities	$	6,552,427	$	103,421,278
Commitments and Contingencies (Note 10)
Equity
Shareholder's equity—General Shares		765		780
Shareholders' equity—Shares		152,992,175		224,274,630
Total shareholders' equity		152,992,940		224,275,410
Total liabilities and equity	$	159,545,367	$	327,696,688

General Shares outstanding		40		40
Shares outstanding		8,000,000		11,500,000
Net asset value per share	$	19.12	$	19.50
Market value per share	$	19.15	$	19.57

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

Invesco DB Base Metals Fund

Schedule of Investments

September 30, 2023

(Unaudited)


Description	Percentage of Shareholders' Equity			Value		Principal Value
United States Treasury Obligations (a)
U.S. Treasury Bills, 5.330% due November 16, 2023(b)		12.96	%	$	19,825,458	$	20,000,000
U.S. Treasury Bills, 5.340% due November 30, 2023(b)		16.23			24,834,688		25,000,000
U.S. Treasury Bills, 5.315% due December 7, 2023		3.88			5,941,590		6,000,000
U.S. Treasury Bills, 5.300% due March 7, 2024(b)		3.84			5,861,007		6,000,000
Total United States Treasury Obligations (cost $56,458,691)		36.91	%	$	56,462,743
Affiliated Investments						Shares
Exchange-Traded Fund
Invesco Treasury Collateral ETF (cost $20,059,238)(c)		13.09	%	$	20,023,900		189,800
Money Market Mutual Fund
Invesco Government & Agency Portfolio, Institutional Class 5.26% (cost $64,747,138)(c)(d)		42.32			64,747,138		64,747,138
Total Affiliated Investments (cost $84,806,376)		55.41	%	$	84,771,038
Total Investments in Securities (cost $141,265,067)		92.32	%	$	141,233,781

(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 $50,517,300 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(e)	Number of Contracts		Expiration Date	Notional Value		Value(f)			Unrealized Appreciation (Depreciation)(f)
Long Futures Contracts
LME Aluminum		830	May-2024	$	49,706,625	$	(978,019	)	$	(978,019	)
LME Copper		262	May-2024		54,623,725		(3,092,210	)		(3,092,210	)
LME Zinc		729	October-2024		48,610,631		3,002,900			3,002,900
Total Commodity Futures Contracts						$	(1,067,329	)	$	(1,067,329	)

(e)

Futures contracts collateralized by $15,000,000 cash held with Morgan Stanley & Co. LLC, the futures commission merchant.

(f)

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.

Invesco DB Base Metals Fund

Schedule of Investments

December 31, 2022

(Unaudited)


Description	Percentage of Shareholders' Equity			Value		Principal Value
United States Treasury Obligations (a)
U.S. Treasury Bills, 3.820% due January 19, 2023(b)		4.45	%	$	9,983,933	$	10,000,000
U.S. Treasury Bills, 4.155% due February 16, 2023(b)		24.40			54,726,826		55,000,000
U.S. Treasury Bills, 4.220% due February 23, 2023(b)		22.16			49,699,446		50,000,000
U.S. Treasury Bills, 4.285% due March 2, 2023(b)		8.86			19,863,575		20,000,000
U.S. Treasury Bills, 4.270% due March 9, 2023(b)		5.31			11,908,171		12,000,000
Total United States Treasury Obligations (cost $146,136,233)		65.18	%	$	146,181,951
Affiliated Investments						Shares
Exchange-Traded Fund
Invesco Treasury Collateral ETF (cost $20,059,238)(c)		8.91	%	$	19,993,532		189,800
Money Market Mutual Fund
Invesco Government & Agency Portfolio, Institutional Class 4.22% (cost $143,604,164)(c)(d)		64.03			143,604,164		143,604,164
Total Affiliated Investments (cost $163,663,402)		72.94	%	$	163,597,696
Total Investments in Securities (cost $309,799,635)		138.12	%	$	309,779,647

(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 $146,177,600 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(e)	Number of Contracts		Expiration Date	Notional Value		Value(f)			Unrealized Appreciation (Depreciation)(f)
Long Futures Contracts
LME Aluminum		1,225	May-2023	$	73,346,875	$	(24,812,824	)	$	(24,812,824	)
LME Copper		362	May-2023		75,773,388		(13,587,321	)		(13,587,321	)
LME Zinc		1,024	August-2023		75,116,800		426,498			426,498
Total Commodity Futures Contracts						$	(37,973,647	)	$	(37,973,647	)

(e)

Futures contracts collateralized by $15,000,000 cash held with Morgan Stanley & Co. LLC, the futures commission merchant.

(f)

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.

Invesco DB Base Metals 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	$	924,382		$	760,504		$	4,075,849		$	1,177,194
Dividends from Affiliates		1,347,224			1,298,415			4,946,184			1,877,905
Total Income		2,271,606			2,058,919			9,022,033			3,055,099
Expenses
Management Fees		307,606			650,666			1,124,011			2,777,567
Brokerage Commissions and Fees		31,967			28,660			64,878			99,226
Interest Expense		3,593			1,558			40,176			1,559
Total Expenses		343,166			680,884			1,229,065			2,878,352
Less: Waivers		(25,344	)		(60,779	)		(97,281	)		(148,114	)
Net Expenses		317,822			620,105			1,131,784			2,730,238
Net Investment Income (Loss)		1,953,784			1,438,814			7,890,249			324,861
Net Realized Gain (Loss) on
Commodity Futures Contracts		(10,413,705	)		(36,971,931	)		(53,263,341	)		43,466,990
Net Realized Gain (Loss)		(10,413,705	)		(36,960,677	)		(53,263,341	)		43,478,244
Net Change in Unrealized Gain (Loss) on
United States Treasury Obligations		(9,110	)		112,273			(41,666	)		(219,055	)
Affiliated Investments		5,694			(75,979	)		30,368			(84,517	)
Commodity Futures Contracts		18,581,227			7,516,207			36,906,318			(134,161,945	)
Net Change in Unrealized Gain (Loss)		18,577,811			7,552,501			36,895,020			(134,465,517	)
Net Realized and Net Change in Unrealized Gain (Loss) on United States Treasury Obligations, Affiliated Investments and Commodity Futures Contracts		8,164,106			(29,408,176	)		(16,368,321	)		(90,987,273	)
Net Income (Loss)	$	10,117,890		$	(27,969,362	)	$	(8,478,072	)	$	(90,662,412	)

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

Invesco DB Base Metals 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		$	718			9,100,000		$	163,294,204		$	163,294,922
Purchases of Shares							50,000			913,477			913,477
Redemption of Shares							(1,150,000	)		(21,333,349	)		(21,333,349	)
Net Increase (Decrease) due to Share Transactions							(1,100,000	)		(20,419,872	)		(20,419,872	)
Net Income (Loss)
Net Investment Income (Loss)				(6	)					1,953,790			1,953,784
Net Realized Gain (Loss) on United States Treasury Obligations, Affiliated Investments and Commodity Futures Contracts				49						(10,413,754	)		(10,413,705	)
Net Change in Unrealized Gain (Loss) on United States Treasury Obligations, Affiliated Investments and Commodity Futures Contracts				4						18,577,807			18,577,811
Net Income (Loss)				47						10,117,843			10,117,890
Net Change in Shareholders' Equity		—		47			(1,100,000	)		(10,302,029	)		(10,301,982	)
Balance at September 30, 2023		40	$	765			8,000,000		$	152,992,175		$	152,992,940

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

Invesco DB Base Metals 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	$	782			19,800,000		$	387,338,346		$	387,339,128
Purchases of Shares							1,400,000			26,775,982			26,775,982
Redemption of Shares							(4,900,000	)		(92,442,435	)		(92,442,435	)
Net Increase (Decrease) due to Share Transactions							(3,500,000	)		(65,666,453	)		(65,666,453	)
Net Income (Loss)
Net Investment Income (Loss)				3						1,438,811			1,438,814
Net Realized Gain (Loss) on United States Treasury Obligations, Affiliated Investments and Commodity Futures Contracts				(54	)					(36,960,623	)		(36,960,677	)
Net Change in Unrealized Gain (Loss) on United States Treasury Obligations, Affiliated Investments and Commodity Futures Contracts				(10	)					7,552,511			7,552,501
Net Income (Loss)				(61	)					(27,969,301	)		(27,969,362	)
Net Change in Shareholders' Equity		—		(61	)		(3,500,000	)		(93,635,754	)		(93,635,815	)
Balance at September 30, 2022		40	$	721			16,300,000		$	293,702,592		$	293,703,313

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

Invesco DB Base Metals Fund

Statement of Changes in Shareholders’ Equity

For the Nine Months Ended September 30, 2023

(Unaudited)


	General Shares					Shares						Total
	Shares		Total Equity			Shares			Total Equity			Shareholders' Equity
Balance at December 31, 2022		40	$	780			11,500,000		$	224,274,630		$	224,275,410
Purchases of Shares							3,950,000			79,937,321			79,937,321
Redemption of Shares							(7,450,000	)		(142,741,719	)		(142,741,719	)
Net Increase (Decrease) due to Share Transactions							(3,500,000	)		(62,804,398	)		(62,804,398	)
Net Income (Loss)
Net Investment Income (Loss)				14						7,890,235			7,890,249
Net Realized Gain (Loss) on United States Treasury Obligations, Affiliated Investments and Commodity Futures Contracts				(94	)					(53,263,247	)		(53,263,341	)
Net Change in Unrealized Gain (Loss) on United States Treasury Obligations, Affiliated Investments and Commodity Futures Contracts				65						36,894,955			36,895,020
Net Income (Loss)				(15	)					(8,478,057	)		(

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