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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: 001-32726

 

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 March 31, 2022: 157,400,000

 

 

 


 

INVESCO DB COMMODITY INDEX TRACKING FUND

QUARTER ENDED MARCH 31, 2022

TABLE OF CONTENTS

 

 

 

 

 

 

 

 

Page

PART I.

 

FINANCIAL INFORMATION

 

1

 

 

 

 

 

 

 

 

 

ITEM 1.

 

Financial Statements

 

1

 

 

 

 

Notes to Unaudited Financial Statements

 

8

 

 

ITEM 2.

 

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

 

17

 

 

ITEM 3.

 

Quantitative and Qualitative Disclosures About Market Risk

 

25

 

 

ITEM 4.

 

Controls and Procedures

 

28

 

 

 

 

 

 

 

PART II.

 

OTHER INFORMATION

 

28

 

 

 

 

 

 

 

 

 

Item 1.

 

Legal Proceedings

 

28

 

 

Item 1A.

 

Risk Factors

 

28

 

 

Item 2.

 

Unregistered Sales of Equity Securities and Use of Proceeds

 

28

 

 

Item 3.

 

Defaults Upon Senior Securities

 

28

 

 

Item 4.

 

Mine Safety Disclosures

 

29

 

 

Item 5.

 

Other Information

 

29

 

 

Item 6.

 

Exhibits

 

29

 

 

 

 

 

 

SIGNATURES

 

30

 

 

 

 


 

PART I. FINANCIAL INFORMATION

 

ITEM 1.

FINANCIAL STATEMENTS.

Invesco DB Commodity Index Tracking 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 $679,251,853 and

   $622,009,958, respectively)

 

$

679,086,621

 

 

$

622,017,111

 

Affiliated investments, at value (cost $3,302,125,979 and

  $2,003,793,764, respectively)

 

 

3,302,412,035

 

 

 

2,004,216,762

 

Other investments:

 

 

 

 

 

 

 

 

LME Commodity Futures Contracts receivable

 

 

16,580,767

 

 

 

9,047,339

 

Unrealized appreciation on LME Commodity Futures Contracts

 

 

92,039,329

 

 

 

29,778,683

 

Cash held by custodian

 

 

95,855,327

 

 

 

 

Receivable for:

 

 

 

 

 

 

 

 

Fund shares sold

 

 

13,030,121

 

 

 

 

Dividends from affiliates

 

 

361,774

 

 

 

37,411

 

Total assets

 

$

4,199,365,974

 

 

$

2,665,097,306

 

Liabilities

 

 

 

 

 

 

 

 

Other investments:

 

 

 

 

 

 

 

 

Variation margin payable- Commodity Futures Contracts

 

$

84,108,738

 

 

$

33,686,495

 

Payable for:

 

 

 

 

 

 

 

 

Fund shares reacquired

 

 

10,424,097

 

 

 

 

Management fees

 

 

2,946,103

 

 

 

1,862,185

 

Brokerage commissions and fees

 

 

4,543

 

 

 

3,511

 

Total liabilities

 

 

97,483,481

 

 

 

35,552,191

 

Commitments and Contingencies (Note 10)

 

 

 

 

 

 

 

 

Equity

 

 

 

 

 

 

 

 

Shareholder's equity—General Shares

 

 

1,042

 

 

 

829

 

Shareholders' equity—Shares

 

 

4,101,881,451

 

 

 

2,629,544,286

 

Total shareholders' equity

 

 

4,101,882,493

 

 

 

2,629,545,115

 

Total liabilities and equity

 

$

4,199,365,974

 

 

$

2,665,097,306

 

General Shares outstanding

 

 

40

 

 

 

40

 

Shares outstanding

 

 

157,400,000

 

 

 

126,900,000

 

 

 

 

 

 

 

 

 

 

Net asset value per share

 

$

26.06

 

 

$

20.72

 

 

 

 

 

 

 

 

 

 

Market value per share

 

$

26.08

 

 

$

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

March 31, 2022

(Unaudited)

 

Description

 

Percentage of

Shareholders'

Equity

 

 

Value

 

 

Principal Value

 

United States Treasury Obligations(a)

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

1.46

%

 

$

59,995,917

 

 

$

60,000,000

 

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

 

 

2.44

 

 

 

99,990,231

 

 

 

100,000,000

 

U.S. Treasury Bills, 0.440% due May 19, 2022(b)

 

 

3.17

 

 

 

129,958,400

 

 

 

130,000,000

 

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

 

 

2.44

 

 

 

99,928,508

 

 

 

100,000,000

 

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

 

 

1.46

 

 

 

59,877,669

 

 

 

60,000,000

 

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

 

 

2.43

 

 

 

99,753,347

 

 

 

100,000,000

 

U.S. Treasury Bills, 0.770% due August 18, 2022(b)

 

 

3.16

 

 

 

129,582,549

 

 

 

130,000,000

 

Total United States Treasury Obligations (cost $679,251,853)

 

 

16.56

%

 

$

679,086,621

 

 

 

 

 

Affiliated Investments

 

 

 

 

 

 

 

 

 

Shares

 

Exchange-Traded Fund

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

4.70

%

 

$

192,723,745

 

 

 

1,825,900

 

Money Market Mutual Fund

 

 

 

 

 

 

 

 

 

 

 

 

Invesco Government & Agency Portfolio, Institutional

   Class, 0.25% (cost $3,109,688,290) (c)(d)

 

 

75.81

 

 

 

3,109,688,290

 

 

 

3,109,688,290

 

Total Affiliated Investments (cost $3,302,125,979)

 

 

80.51

%

 

$

3,302,412,035

 

 

 

 

 

Total Investments in Securities (cost $3,981,377,832)

 

 

97.07

%

 

$

3,981,498,656

 

 

 

 

 

 

(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 $519,133,000 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 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

 

 

6,865

 

 

September - 2022

 

$

238,987,812

 

 

$

48,757,800

 

 

$

48,757,800

 

CBOT Soybean

 

 

3,122

 

 

November - 2022

 

 

221,740,050

 

 

 

22,058,950

 

 

 

22,058,950

 

CBOT Wheat

 

 

4,831

 

 

July - 2022

 

 

242,033,100

 

 

 

55,756,207

 

 

 

55,756,207

 

COMEX Gold

 

 

1,454

 

 

May - 2022

 

 

283,689,940

 

 

 

(4,166,897

)

 

 

(4,166,897

)

COMEX Silver

 

 

540

 

 

May - 2022

 

 

67,859,100

 

 

 

5,401,570

 

 

 

5,401,570

 

ICE-UK Brent Crude

 

 

5,124

 

 

May - 2022

 

 

526,388,520

 

 

 

131,643,725

 

 

 

131,643,725

 

LME Aluminum

 

 

2,129

 

 

May - 2022

 

 

185,601,430

 

 

 

41,293,800

 

 

 

41,293,800

 

LME Copper

 

 

580

 

 

May - 2022

 

 

150,430,250

 

 

 

11,827,496

 

 

 

11,827,496

 

LME Zinc

 

 

1,733

 

 

August - 2022

 

 

179,430,488

 

 

 

38,918,033

 

 

 

38,918,033

 

NYB-ICE Sugar

 

 

8,790

 

 

September - 2022

 

 

190,398,432

 

 

 

7,580,971

 

 

 

7,580,971

 

NYMEX Natural Gas

 

 

4,603

 

 

April - 2022

 

 

259,701,260

 

 

 

107,048,949

 

 

 

107,048,949

 

NYMEX NY Harbor ULSD

 

 

4,215

 

 

May - 2022

 

 

566,655,327

 

 

 

167,365,345

 

 

 

167,365,345

 

NYMEX RBOB Gasoline

 

 

4,756

 

 

November - 2022

 

 

511,185,343

 

 

 

79,733,640

 

 

 

79,733,640

 

NYMEX WTI Crude

 

 

5,383

 

 

December - 2022

 

 

477,041,460

 

 

 

99,848,709

 

 

 

99,848,709

 

Total Commodity Futures Contracts

 

 

 

 

 

 

 

 

 

 

 

$

813,068,298

 

 

$

813,068,298

 

 

(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 Months Ended March 31, 2022 and 2021

(Unaudited)

 

 

 

Three Months Ended

 

 

 

 

March 31,

 

 

 

 

2022

 

 

2021

 

 

Income

 

 

 

 

 

 

 

 

 

Interest Income

 

$

394,839

 

 

$

109,719

 

 

Dividends from Affiliates

 

 

472,527

 

 

 

89,577

 

 

Total Income

 

 

867,366

 

 

 

199,296

 

 

Expenses

 

 

 

 

 

 

 

 

 

Management Fees

 

 

7,225,843

 

 

 

3,497,217

 

 

Brokerage Commissions and Fees

 

 

107,629

 

 

 

76,499

 

 

Interest Expense

 

 

11,092

 

 

 

4,067

 

 

Total Expenses

 

 

7,344,564

 

 

 

3,577,783

 

 

Less: Waivers

 

 

(73,199

)

 

 

(208,557

)

 

Net Expenses

 

 

7,271,365

 

 

 

3,369,226

 

 

Net Investment Income (Loss)

 

 

(6,403,999

)

 

 

(3,169,930

)

 

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

 

 

121,185,479

 

 

 

68,206,899

 

 

Net Realized Gain (Loss)

 

 

121,185,479

 

 

 

68,206,899

 

 

Net Change in Unrealized Gain (Loss) on

 

 

 

 

 

 

 

 

 

United States Treasury Obligations

 

 

(172,385

)

 

 

99,032

 

 

Affiliated Investments

 

 

(136,942

)

 

 

25,686

 

 

Commodity Futures Contracts

 

 

649,699,524

 

 

 

109,968,339

 

 

Net Change in Unrealized Gain (Loss)

 

 

649,390,197

 

 

 

110,093,057

 

 

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

   United States Treasury Obligations, Affiliated Investments

   and Commodity Futures Contracts

 

 

770,575,676

 

 

 

178,299,956

 

 

Net Income (Loss)

 

$

764,171,677

 

 

$

175,130,026

 

 

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 March 31, 2022

(Unaudited)

 

 

General Shares

 

 

Shares

 

 

Total

 

 

 

Shares

 

 

Total

Equity

 

 

Shares

 

 

Total

Equity

 

 

Shareholders'

Equity

 

Balance at December 31, 2021

 

 

40

 

 

$

829

 

 

 

126,900,000

 

 

$

2,629,544,286

 

 

$

2,629,545,115

 

Purchases of Shares

 

 

 

 

 

 

 

 

 

 

47,000,000

 

 

 

1,103,998,603

 

 

 

1,103,998,603

 

Redemption of Shares

 

 

 

 

 

 

 

 

 

 

(16,500,000

)

 

 

(395,832,902

)

 

 

(395,832,902

)

Net Increase (Decrease) due to Share Transactions

 

 

 

 

 

 

 

 

 

 

30,500,000

 

 

 

708,165,701

 

 

 

708,165,701

 

Net Income (Loss)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Investment Income (Loss)

 

 

 

 

 

 

(2

)

 

 

 

 

 

 

(6,403,997

)

 

 

(6,403,999

)

Net Realized Gain (Loss) on United States Treasury

   Obligations, Affiliated Investments and Commodity

   Futures Contracts

 

 

 

 

 

 

34

 

 

 

 

 

 

 

121,185,445

 

 

 

121,185,479

 

Net Change in Unrealized Gain (Loss) on United States

   Treasury Obligations, Affiliated Investments and

   Commodity Futures Contracts

 

 

 

 

 

 

181

 

 

 

 

 

 

 

649,390,016

 

 

 

649,390,197

 

Net Income (Loss)

 

 

 

 

 

 

213

 

 

 

 

 

 

 

764,171,464

 

 

 

764,171,677

 

Net Change in Shareholders' Equity

 

 

 

 

 

213

 

 

 

30,500,000

 

 

 

1,472,337,165

 

 

 

1,472,337,378

 

Balance at March 31, 2022

 

 

40

 

 

$