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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, 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 September 30, 2022: 126,400,000

 

 

 


 

INVESCO DB COMMODITY INDEX TRACKING FUND

QUARTER ENDED SEPTEMBER 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

 

29

 

 

ITEM 4.

 

Controls and Procedures

 

32

 

 

 

 

 

 

 

PART II.

 

OTHER INFORMATION

 

33

 

 

 

 

 

 

 

 

 

Item 1.

 

Legal Proceedings

 

33

 

 

Item 1A.

 

Risk Factors

 

33

 

 

Item 2.

 

Unregistered Sales of Equity Securities and Use of Proceeds

 

33

 

 

Item 3.

 

Defaults Upon Senior Securities

 

33

 

 

Item 4.

 

Mine Safety Disclosures

 

33

 

 

Item 5.

 

Other Information

 

33

 

 

Item 6.

 

Exhibits

 

34

 

 

 

 

 

 

SIGNATURES

 

35

 

 

 

 


 

PART I. FINANCIAL INFORMATION

 

ITEM 1.

FINANCIAL STATEMENTS.

Invesco DB Commodity Index Tracking Fund

Statements of Financial Condition

September 30, 2022 and December 31, 2021

(Unaudited)

 

 

 

September 30,

 

 

December 31,

 

 

 

2022

 

 

2021

 

Assets

 

 

 

 

 

 

 

 

United States Treasury Obligations, at value (cost $1,576,596,129 and

   $622,009,958, respectively)

 

$

1,574,205,660

 

 

$

622,017,111

 

Affiliated investments, at value (cost $1,591,499,681 and

  $2,003,793,764, respectively)

 

 

1,591,457,534

 

 

 

2,004,216,762

 

Other investments:

 

 

 

 

 

 

 

 

LME Commodity Futures Contracts receivable

 

 

 

 

 

9,047,339

 

Unrealized appreciation on LME Commodity Futures Contracts

 

 

 

 

 

29,778,683

 

Receivable for:

 

 

 

 

 

 

 

 

Dividends from affiliates

 

 

3,258,843

 

 

 

37,411

 

Total assets

 

$

3,168,922,037

 

 

$

2,665,097,306

 

Liabilities

 

 

 

 

 

 

 

 

Other investments:

 

 

 

 

 

 

 

 

Variation margin payable- Commodity Futures Contracts

 

$

31,775,085

 

 

$

33,686,495

 

LME Commodity Futures Contracts payable

 

 

32,497,706

 

 

 

 

Unrealized depreciation on LME Commodity Futures Contracts

 

 

77,700,692

 

 

 

 

Payable for:

 

 

 

 

 

 

 

 

Management fees

 

 

2,214,475

 

 

 

1,862,185

 

Brokerage commissions and fees

 

 

1,391

 

 

 

3,511

 

Total liabilities

 

 

144,189,349

 

 

 

35,552,191

 

Commitments and Contingencies (Note 10)

 

 

 

 

 

 

 

 

Equity

 

 

 

 

 

 

 

 

Shareholder's equity—General Shares

 

 

957

 

 

 

829

 

Shareholders' equity—Shares

 

 

3,024,731,731

 

 

 

2,629,544,286

 

Total shareholders' equity

 

 

3,024,732,688

 

 

 

2,629,545,115

 

Total liabilities and equity

 

$

3,168,922,037

 

 

$

2,665,097,306

 

General Shares outstanding

 

40

 

 

 

40

 

Shares outstanding

 

 

126,400,000

 

 

 

126,900,000

 

 

 

 

 

 

 

 

 

 

Net asset value per share

 

$

23.93

 

 

$

20.72

 

 

 

 

 

 

 

 

 

 

Market value per share

 

$

23.91

 

 

$

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

September 30, 2022

(Unaudited)

 

Description

 

Percentage of

Shareholders'

Equity

 

 

Value

 

 

Principal Value

 

United States Treasury Obligations(a)

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury Bills, 2.470% due October 20, 2022(b)

 

 

9.90

%

 

$

299,646,186

 

 

$

300,000,000

 

U.S. Treasury Bills, 2.520% due October 27, 2022(b)

 

 

6.60

 

 

 

199,658,000

 

 

 

200,000,000

 

U.S. Treasury Bills, 2.610% due November 17, 2022(b)

 

 

4.28

 

 

 

129,542,075

 

 

 

130,000,000

 

U.S. Treasury Bills, 2.880% due December 1, 2022(b)

 

 

24.68

 

 

 

746,450,783

 

 

 

750,000,000

 

U.S. Treasury Bills, 2.965% due December 8, 2022(b)

 

 

6.58

 

 

 

198,908,616

 

 

 

200,000,000

 

Total United States Treasury Obligations (cost $1,576,596,129)

 

 

52.04

%

 

$

1,574,205,660

 

 

 

 

 

Affiliated Investments

 

 

 

 

 

 

 

 

 

Shares

 

Exchange-Traded Fund

 

 

 

 

 

 

 

 

 

 

 

 

Invesco Treasury Collateral ETF (cost $213,531,489) (c)

 

 

7.06

%

 

$

213,489,342

 

 

 

2,025,900

 

Money Market Mutual Fund

 

 

 

 

 

 

 

 

 

 

 

 

Invesco Government & Agency Portfolio, Institutional

   Class, 2.88% (cost $1,377,968,192) (c)(d)

 

 

45.56

 

 

 

1,377,968,192

 

 

 

1,377,968,192

 

Total Affiliated Investments (cost $1,591,499,681)

 

 

52.62

%

 

$

1,591,457,534

 

 

 

 

 

Total Investments in Securities (cost $3,168,095,810)

 

 

104.66

%

 

$

3,165,663,194

 

 

 

 

 

 

(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 $737,206,000 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, 2022.

Open Commodity Futures Contracts

 

Number of

Contracts

 

 

Expiration Date

 

Notional Value

 

 

Value(e)

 

 

Unrealized

Appreciation

(Depreciation)(e)

 

Long Futures Contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

CBOT Corn

 

 

5,664

 

 

September - 2023

 

$

178,203,600

 

 

$

11,289,174

 

 

$

11,289,174

 

CBOT Soybean

 

 

2,511

 

 

November - 2022

 

 

171,344,363

 

 

 

2,317,923

 

 

 

2,317,923

 

CBOT Wheat

 

 

3,827

 

 

July - 2023

 

 

174,559,038

 

 

 

(31,581,570

)

 

 

(31,581,570

)

COMEX Gold

 

 

1,150

 

 

December - 2022

 

 

192,280,000

 

 

 

(13,862,118

)

 

 

(13,862,118

)

COMEX Silver

 

 

426

 

 

January - 2023

 

 

40,653,180

 

 

 

(2,518,192

)

 

 

(2,518,192

)

ICE-UK Brent Crude

 

 

4,541

 

 

December - 2022

 

 

372,316,590

 

 

 

(27,395,578

)

 

 

(27,395,578

)

LME Aluminum

 

 

1,730

 

 

May - 2023

 

 

95,247,313

 

 

 

(44,223,279

)

 

 

(44,223,279

)

LME Copper

 

 

467

 

 

May - 2023

 

 

87,544,987

 

 

 

(29,670,264

)

 

 

(29,670,264

)

LME Zinc

 

 

1,487

 

 

August - 2023

 

 

104,387,400

 

 

 

(3,807,149

)

 

 

(3,807,149

)

NYB-ICE Sugar

 

 

7,467

 

 

June - 2023

 

 

138,324,682

 

 

 

(4,883,054

)

 

 

(4,883,054

)

NYMEX Natural Gas

 

 

5,323

 

 

April - 2023

 

 

254,652,320

 

 

 

13,862,484

 

 

 

13,862,484

 

NYMEX NY Harbor ULSD

 

 

4,247

 

 

March - 2023

 

 

511,398,258

 

 

 

(53,676,759

)

 

 

(53,676,759

)

NYMEX RBOB Gasoline

 

 

3,826

 

 

November - 2022

 

 

366,200,999

 

 

 

(12,682,284

)

 

 

(12,682,284

)

NYMEX WTI Crude

 

 

4,331

 

 

December - 2022

 

 

336,735,250

 

 

 

(6,132,375

)

 

 

(6,132,375

)

Total Commodity Futures Contracts

 

 

 

 

 

 

 

 

 

 

 

$

(202,963,041

)

 

$

(202,963,041

)

 

(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 Nine Months Ended September 30, 2022 and 2021

(Unaudited)

 

 

 

Three Months Ended

 

 

Nine Months Ended

 

 

 

September 30,

 

 

September 30,

 

 

 

2022

 

 

2021

 

 

2022

 

 

2021

 

Income

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest Income

 

$

6,404,073

 

 

$

117,876

 

 

$

9,747,849

 

 

$

354,127

 

Dividends from Affiliates

 

 

10,146,290

 

 

 

79,176

 

 

 

15,756,564

 

 

 

250,169

 

Total Income

 

 

16,550,363

 

 

 

197,052

 

 

 

25,504,413

 

 

 

604,296

 

Expenses

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Management Fees

 

 

7,679,105

 

 

 

5,249,498

 

 

 

24,636,941

 

 

 

13,707,909

 

Brokerage Commissions and Fees

 

 

233,974

 

 

 

96,418

 

 

 

601,171

 

 

 

308,375

 

Interest Expense

 

 

123,921

 

 

 

10,575

 

 

 

169,910

 

 

 

21,550

 

Total Expenses

 

 

8,037,000

 

 

 

5,356,491

 

 

 

25,408,022

 

 

 

14,037,834

 

Less: Waivers

 

 

(485,946

)

 

 

(37,645

)

 

 

(1,278,215

)

 

 

(300,042

)

Net Expenses

 

 

7,551,054

 

 

 

5,318,846

 

 

 

24,129,807

 

 

 

13,737,792

 

Net Investment Income (Loss)

 

 

8,999,309

 

 

 

(5,121,794

)

 

 

1,374,606

 

 

 

(13,133,496

)

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

 

 

(2

)

 

 

 

 

 

(3

)

 

 

(2

)

Commodity Futures Contracts

 

 

(184,796,978

)

 

 

122,752,700

 

 

 

817,002,774

 

 

 

400,584,654

 

Net Realized Gain (Loss)

 

 

(184,796,980

)

 

 

122,752,700

 

 

 

817,002,771

 

 

 

400,584,652

 

Net Change in Unrealized Gain (Loss) on

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

United States Treasury Obligations

 

 

1,261,907

 

 

 

22,522

 

 

 

(2,397,622

)

 

 

(20,749

)

Affiliated Investments

 

 

(419,498

)

 

 

(19,280

)

 

 

(465,145

)

 

 

(19,280

)

Commodity Futures Contracts

 

 

(213,060,889

)

 

 

(2,944,603

)

 

 

(366,331,815

)

 

 

227,945,528

 

Net Change in Unrealized Gain (Loss)

 

 

(212,218,480

)

 

 

(2,941,361

)

 

 

(369,194,582

)

 

 

227,905,499

 

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

   United States Treasury Obligations, Affiliated Investments

   and Commodity Futures Contracts

 

 

(397,015,460

)

 

 

119,811,339

 

 

 

447,808,189

 

 

 

628,490,151

 

Net Income (Loss)

 

$

(388,016,151

)

 

$

114,689,545

 

 

$

449,182,795

 

 

$

615,356,655

 

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 September 30, 2022

(Unaudited)

 

 

General Shares

 

 

Shares

 

 

Total

 

 

 

Shares

 

 

Total

Equity

 

 

Shares

 

 

Total

Equity

 

 

Shareholders'

Equity

 

Balance at June 30, 2022

 

 

40

 

 

$

1,065

 

 

 

157,500,000

 

 

$

4,191,252,948

 

 

$

4,191,254,013

 

Purchases of Shares