10-Q 1 dbc-10q_20220630.htm 10-Q dbc-10q_20220630.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 June 30, 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: 001-32726

 

INVESCO DB COMMODITY INDEX TRACKING FUND

(Exact name of registrant as specified in its charter)

 

 

Delaware

 

32-6042243

(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

DBC

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 June 30, 2022: 157,500,000

 

 

 


 

INVESCO DB COMMODITY INDEX TRACKING FUND

QUARTER ENDED JUNE 30, 2022

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

 

19

 

 

ITEM 3.

 

Quantitative and Qualitative Disclosures About Market Risk

 

28

 

 

ITEM 4.

 

Controls and Procedures

 

31

 

 

 

 

 

 

 

PART II.

 

OTHER INFORMATION

 

32

 

 

 

 

 

 

 

 

 

Item 1.

 

Legal Proceedings

 

32

 

 

Item 1A.

 

Risk Factors

 

32

 

 

Item 2.

 

Unregistered Sales of Equity Securities and Use of Proceeds

 

32

 

 

Item 3.

 

Defaults Upon Senior Securities

 

32

 

 

Item 4.

 

Mine Safety Disclosures

 

32

 

 

Item 5.

 

Other Information

 

32

 

 

Item 6.

 

Exhibits

 

33

 

 

 

 

 

 

SIGNATURES

 

34

 

 

 

 


 

PART I. FINANCIAL INFORMATION

 

ITEM 1.

FINANCIAL STATEMENTS.

Invesco DB Commodity Index Tracking Fund

Statements of Financial Condition

June 30, 2022 and December 31, 2021

(Unaudited)

 

 

 

June 30,

 

 

December 31,

 

 

 

2022

 

 

2021

 

Assets

 

 

 

 

 

 

 

 

United States Treasury Obligations, at value (cost $1,760,902,668 and

   $622,009,958, respectively)

 

$

1,757,250,292

 

 

$

622,017,111

 

Affiliated investments, at value (cost $2,666,639,784 and

  $2,003,793,764, respectively)

 

 

2,667,017,135

 

 

 

2,004,216,762

 

Other investments:

 

 

 

 

 

 

 

 

LME Commodity Futures Contracts receivable

 

 

4,272,455

 

 

 

9,047,339

 

Unrealized appreciation on LME Commodity Futures Contracts

 

 

 

 

 

29,778,683

 

Receivable for:

 

 

 

 

 

 

 

 

Dividends from affiliates

 

 

2,384,332

 

 

 

37,411

 

Total assets

 

$

4,430,924,214

 

 

$

2,665,097,306

 

Liabilities

 

 

 

 

 

 

 

 

Other investments:

 

 

 

 

 

 

 

 

Variation margin payable- Commodity Futures Contracts

 

$

139,170,634

 

 

$

33,686,495

 

Unrealized depreciation on LME Commodity Futures Contracts

 

 

89,377,921

 

 

$

 

Payable for:

 

 

 

 

 

 

 

 

Fund shares reacquired

 

 

7,983,340

 

 

 

 

Management fees

 

 

3,128,539

 

 

 

1,862,185

 

Brokerage commissions and fees

 

 

9,767

 

 

 

3,511

 

Total liabilities

 

 

239,670,201

 

 

 

35,552,191

 

Commitments and Contingencies (Note 10)

 

 

 

 

 

 

 

 

Equity

 

 

 

 

 

 

 

 

Shareholder's equity—General Shares

 

 

1,065

 

 

 

829

 

Shareholders' equity—Shares

 

 

4,191,252,948

 

 

 

2,629,544,286

 

Total shareholders' equity

 

 

4,191,254,013

 

 

 

2,629,545,115

 

Total liabilities and equity

 

$

4,430,924,214

 

 

$

2,665,097,306

 

General Shares outstanding

 

40

 

 

 

40

 

Shares outstanding

 

 

157,500,000

 

 

 

126,900,000

 

 

 

 

 

 

 

 

 

 

Net asset value per share

 

$

26.61

 

 

$

20.72

 

 

 

 

 

 

 

 

 

 

Market value per share

 

$

26.64

 

 

$

20.78

 

 

 

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

1


Invesco DB Commodity Index Tracking Fund

Schedule of Investments

June 30, 2022

(Unaudited)

 

Description

 

Percentage of

Shareholders'

Equity

 

 

Value

 

 

Principal Value

 

United States Treasury Obligations(a)

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury Bills,0.860% due July 21, 2022(b)

 

 

1.43

%

 

$

59,966,959

 

 

$

60,000,000

 

U.S. Treasury Bills, 0.890% due July 28, 2022(b)

 

 

2.38

 

 

 

99,928,000

 

 

 

100,000,000

 

U.S. Treasury Bills, 1.050% due August 18, 2022(b)

 

 

3.10

 

 

 

129,769,467

 

 

 

130,000,000

 

U.S. Treasury Bills,1.250% due October 20, 2022(b)

 

 

7.12

 

 

 

298,239,030

 

 

 

300,000,000

 

U.S. Treasury Bills, 1.370% due October 27, 2022(b)

 

 

2.37

 

 

 

99,372,797

 

 

 

100,000,000

 

U.S. Treasury Bills, 1.490% due November 17, 2022(b)

 

 

3.08

 

 

 

128,974,778

 

 

 

130,000,000

 

U.S. Treasury Bills, 1.580% due December 1, 2022

 

 

17.73

 

 

 

742,991,483

 

 

 

750,000,000

 

U.S. Treasury Bills, 1.710% due December 8, 2022(b)

 

 

4.72

 

 

 

198,007,778

 

 

 

200,000,000

 

Total United States Treasury Obligations (cost $1,760,902,668)

 

 

41.93

%

 

$

1,757,250,292

 

 

 

 

 

Affiliated Investments

 

 

 

 

 

 

 

 

 

Shares

 

Exchange-Traded Fund

 

 

 

 

 

 

 

 

 

 

 

 

Invesco Treasury Collateral ETF (cost $192,437,689) (c)

 

 

4.60

%

 

$

192,815,040

 

 

 

1,825,900

 

Money Market Mutual Fund

 

 

 

 

 

 

 

 

 

 

 

 

Invesco Government & Agency Portfolio, Institutional

   Class, 1.39% (cost $2,474,202,095) (c)(d)

 

 

59.03

 

 

 

2,474,202,095

 

 

 

2,474,202,095

 

Total Affiliated Investments (cost $2,666,639,784)

 

 

63.63

%

 

$

2,667,017,135

 

 

 

 

 

Total Investments in Securities (cost $4,427,542,452)

 

 

105.56

%

 

$

4,424,267,427

 

 

 

 

 

 

(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 $696,603,000 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 June 30, 2022.

Open Commodity Futures Contracts

 

Number of

Contracts

 

 

Expiration Date

 

Notional Value

 

 

Value(e)

 

 

Unrealized

Appreciation

(Depreciation)(e)

 

Long Futures Contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

CBOT Corn

 

 

6,866

 

 

September - 2022

 

$

215,849,875

 

 

$

15,239,535

 

 

$

15,239,535

 

CBOT Soybean

 

 

3,120

 

 

November - 2022

 

 

227,448,000

 

 

 

21,939,993

 

 

 

21,939,993

 

CBOT Wheat

 

 

4,757

 

 

July - 2023

 

 

214,481,238

 

 

 

(44,094,798

)

 

 

(44,094,798

)

COMEX Gold

 

 

1,445

 

 

August - 2022

 

 

261,154,850

 

 

 

(10,025,610

)

 

 

(10,025,610

)

COMEX Silver

 

 

537

 

 

August - 2022

 

 

54,564,570

 

 

 

(4,877,282

)

 

 

(4,877,282

)

ICE-UK Brent Crude

 

 

5,450

 

 

September - 2022

 

 

560,369,000

 

 

 

(2,717,690

)

 

 

(2,717,690

)

LME Aluminum

 

 

2,151

 

 

May - 2023

 

 

132,286,500

 

 

 

(50,641,342

)

 

 

(50,641,342

)

LME Copper

 

 

580

 

 

May - 2023

 

 

119,617,750

 

 

 

(31,550,681

)

 

 

(31,550,681

)

LME Zinc

 

 

1,734

 

 

August - 2022

 

 

137,452,013

 

 

 

(7,185,898

)

 

 

(7,185,898

)

NYB-ICE Sugar

 

 

8,797

 

 

September - 2022

 

 

182,273,840

 

 

 

(1,869,222

)

 

 

(1,869,222

)

NYMEX Natural Gas

 

 

6,618

 

 

April - 2023

 

 

281,794,440

 

 

 

(7,066,168

)

 

 

(7,066,168

)

NYMEX NY Harbor ULSD

 

 

4,610

 

 

July - 2022

 

 

741,661,410

 

 

 

(70,323,028

)

 

 

(70,323,028

)

NYMEX RBOB Gasoline

 

 

4,756

 

 

November - 2022

 

 

558,406,716

 

 

 

102,772,151

 

 

 

102,772,151

 

NYMEX WTI Crude

 

 

5,382

 

 

December - 2022

 

 

504,131,940

 

 

 

100,497,888

 

 

 

100,497,888

 

Total Commodity Futures Contracts

 

 

 

 

 

 

 

 

 

 

 

$

10,097,848

 

 

$

10,097,848

 

 

(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 Commodity Index Tracking 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

 

 

3.80

%

 

$

100,000,008

 

 

$

100,000,000

 

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

 

 

4.56

 

 

 

119,999,575

 

 

 

120,000,000

 

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

 

 

7.62

 

 

 

199,997,000

 

 

 

200,000,000

 

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

 

 

3.88

 

 

 

102,027,403

 

 

 

102,029,600

 

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

 

 

3.80

 

 

 

99,993,125

 

 

 

100,000,000

 

Total United States Treasury Obligations (cost $622,009,958)

 

 

23.66

%

 

$

622,017,111

 

 

 

 

 

Affiliated Investments

 

 

 

 

 

 

 

 

 

Shares

 

Exchange-Traded Fund

 

 

 

 

 

 

 

 

 

 

 

 

Invesco Treasury Collateral ETF (cost $192,437,689) (c)

 

 

7.33

%

 

$

192,860,687

 

 

 

1,825,900

 

Money Market Mutual Fund

 

 

 

 

 

 

 

 

 

 

 

 

Invesco Government & Agency Portfolio, Institutional

   Class, 0.03% (cost $1,811,356,075) (c)(d)

 

 

68.88

 

 

 

1,811,356,075

 

 

 

1,811,356,075

 

Total Affiliated Investments (cost $2,003,793,764)

 

 

76.21

%

 

$

2,004,216,762

 

 

 

 

 

Total Investments in Securities (cost $2,625,803,722)

 

 

99.87

%

 

$

2,626,233,873

 

 

 

 

 

 

(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 $299,970,000 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

 

 

5,548

 

 

September - 2022

 

$

156,106,850

 

 

$

8,380,168

 

 

$

8,380,168

 

CBOT Soybean

 

 

2,521

 

 

November - 2022

 

 

159,988,963

 

 

 

4,566,096

 

 

 

4,566,096

 

CBOT Wheat

 

 

3,904

 

 

July - 2022

 

 

149,230,400

 

 

 

7,245,582

 

 

 

7,245,582

 

COMEX Gold

 

 

1,178

 

 

February - 2022

 

 

215,409,080

 

 

 

851,754

 

 

 

851,754

 

COMEX Silver

 

 

438

 

 

March - 2022

 

 

51,140,880

 

 

 

2,065,818

 

 

 

2,065,818

 

ICE-UK Brent Crude

 

 

4,137

 

 

May - 2022

 

 

313,750,080

 

 

 

18,767,083

 

 

 

18,767,083

 

LME Aluminum

 

 

1,721

 

 

May - 2022

 

 

120,706,638

 

 

 

13,115,663

 

 

 

13,115,663

 

LME Copper

 

 

469

 

 

May - 2022

 

 

113,738,363

 

 

 

3,945,584

 

 

 

3,945,584

 

LME Zinc

 

 

1,401

 

 

August - 2022

 

 

120,661,125

 

 

 

12,717,436

 

 

 

12,717,436

 

NYB-ICE Sugar

 

 

7,109

 

 

September - 2022

 

 

146,183,789

 

 

 

(3,137,505

)

 

 

(3,137,505

)

NYMEX Natural Gas

 

 

3,717

 

 

April - 2022

 

 

131,024,250

 

 

 

23,376,223

 

 

 

23,376,223

 

NYMEX NY Harbor ULSD

 

 

3,406

 

 

May - 2022

 

 

322,954,194

 

 

 

28,434,416

 

 

 

28,434,416

 

NYMEX RBOB Gasoline

 

 

3,504

 

 

January - 2022

 

 

327,389,932

 

 

 

28,265,514

 

 

 

28,265,514

 

NYMEX WTI Crude

 

 

4,351

 

 

December - 2022

 

 

301,437,280

 

 

 

14,774,942

 

 

 

14,774,942

 

Total Commodity Futures Contracts

 

 

 

 

 

 

 

 

 

 

 

$

163,368,774

 

 

$

163,368,774

 

 

(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 Commodity Index Tracking Fund

Statements of Income and Expenses

For the Three and Six Months Ended June 30, 2022 and 2021

(Unaudited)

 

 

 

Three Months Ended

 

 

Six Months Ended

 

 

 

June 30,

 

 

June 30,

 

 

 

2022

 

 

2021

 

 

2022

 

 

2021

 

Income

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest Income

 

$

2,948,937

 

 

$

126,532

 

 

$

3,343,776

 

 

$

236,251

 

Dividends from Affiliates

 

 

5,137,747

 

 

 

81,416

 

 

 

5,610,274

 

 

 

170,993

 

Total Income

 

 

8,086,684

 

 

 

207,948

 

 

 

8,954,050

 

 

 

407,244

 

Expenses

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Management Fees

 

 

9,731,993

 

 

 

4,961,194

 

 

 

16,957,836

 

 

 

8,458,411

 

Brokerage Commissions and Fees

 

 

259,568

 

 

 

135,458

 

 

 

367,197

 

 

 

211,957

 

Interest Expense

 

 

34,897

 

 

 

6,908

 

 

 

45,989

 

 

 

10,975

 

Total Expenses

 

 

10,026,458

 

 

 

5,103,560

 

 

 

17,371,022

 

 

 

8,681,343

 

Less: Waivers

 

 

(719,070

)

 

 

(53,840

)

 

 

(792,269

)

 

 

(262,397

)

Net Expenses

 

 

9,307,388

 

 

 

5,049,720

 

 

 

16,578,753

 

 

 

8,418,946

 

Net Investment Income (Loss)

 

 

(1,220,704

)

 

 

(4,841,772

)

 

 

(7,624,703

)

 

 

(8,011,702

)

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

 

 

(1

)

 

 

(2

)

 

 

(1

)

 

 

(2

)

Commodity Futures Contracts

 

 

880,614,273

 

 

 

209,625,055

 

 

 

1,001,799,752

 

 

 

277,831,954

 

Net Realized Gain (Loss)

 

 

880,614,272

 

 

 

209,625,053

 

 

 

1,001,799,751

 

 

 

277,831,952

 

Net Change in Unrealized Gain (Loss) on

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

United States Treasury Obligations

 

 

(3,487,144

)

 

 

(142,303

)

 

 

(3,659,529

)

 

 

(43,271

)

Affiliated Investments

 

 

91,295

 

 

 

(25,686

)

 

 

(45,647

)

 

 

 

Commodity Futures Contracts

 

 

(802,970,450

)

 

 

120,921,792

 

 

 

(153,270,926

)

 

 

230,890,131

 

Net Change in Unrealized Gain (Loss)

 

 

(806,366,299

)

 

 

120,753,803

 

 

 

(156,976,102

)

 

 

230,846,860

 

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

   United States Treasury Obligations, Affiliated Investments

   and Commodity Futures Contracts

 

 

74,247,973

 

 

 

330,378,856

 

 

 

844,823,649

 

 

 

508,678,812

 

Net Income (Loss)

 

$

73,027,269

 

 

$

325,537,084

 

 

$

837,198,946

 

 

$

500,667,110

 

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

4


Invesco DB Commodity Index Tracking Fund

Statement of Changes in Shareholders’ Equity

For the Three Months Ended June 30, 2022

(Unaudited)