10-Q 1 dbc-20230930.htm 10-Q 10-Q
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States Treasury Obligations U.S. Treasury Bill, 5.315% due December 7, 20232023-09-300001328237us-gaap:LongMemberdbc:CECSGoldMemberus-gaap:FutureMember2022-12-310001328237srt:AffiliatedEntityMemberus-gaap:ExchangeTradedFundsMember2022-07-012022-09-300001328237us-gaap:LongMemberdbc:IFUSSugarMemberus-gaap:FutureMember2023-09-300001328237United States Treasury Obligations U.S. Treasury Bill, 5.340% due November 30, 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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: 001-32726

 

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: (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

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, 2023: 87,300,000

 

 

 

INVESCO DB COMMODITY INDEX TRACKING FUND

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

 

34

 

 

 

 

 

 

 

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

 

35

 

 

Item 6.

 

Exhibits

 

35

 

 

 

 

 

 

SIGNATURES

 

36

 

 

 

 

 

PART I. FINANCIAL INFORMATION

 

ITEM 1. FINANCIAL STATEMENTS.

Invesco DB Commodity Index Tracking 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 $791,286,377 and
   $1,271,951,210, respectively)

 

$

791,473,702

 

 

$

1,272,386,571

 

Affiliated investments, at value (cost $1,411,413,776 and
  $1,425,450,159, respectively)

 

 

1,411,553,851

 

 

 

1,425,350,540

 

Other investments:

 

 

 

 

 

 

Variation margin receivable- Commodity Futures Contracts

 

 

—

 

 

 

28,469,299

 

Unrealized appreciation on LME Commodity Futures Contracts

 

 

5,437,320

 

 

 

1,128,294

 

Receivable for:

 

 

 

 

 

 

Dividends from affiliates

 

 

5,087,651

 

 

 

4,606,680

 

Total assets

 

$

2,213,552,524

 

 

$

2,731,941,384

 

Liabilities

 

 

 

 

 

 

Other investments:

 

 

 

 

 

 

Variation margin payable- Commodity Futures Contracts

 

$

26,509,257

 

 

$

—

 

LME Commodity Futures Contracts payable

 

 

1,999,866

 

 

 

50,841,104

 

Unrealized depreciation on LME Commodity Futures Contracts

 

 

6,988,954

 

 

 

34,352,803

 

Payable for:

 

 

 

 

 

 

Fund shares reacquired

 

 

—

 

 

 

7,395,228

 

Management fees

 

 

1,408,347

 

 

 

1,898,404

 

Brokerage commissions and fees

 

 

5,023

 

 

 

2,954

 

Total liabilities

 

 

36,911,447

 

 

 

94,490,493

 

Commitments and Contingencies (Note 10)

 

 

 

 

 

 

Equity

 

 

 

 

 

 

Shareholder's equity—General Shares

 

 

997

 

 

 

986

 

Shareholders' equity—Shares

 

 

2,176,640,080

 

 

 

2,637,449,905

 

Total shareholders' equity

 

 

2,176,641,077

 

 

 

2,637,450,891

 

Total liabilities and equity

 

$

2,213,552,524

 

 

$

2,731,941,384

 

General Shares outstanding

 

40

 

 

 

40

 

Shares outstanding

 

 

87,300,000

 

 

 

107,000,000

 

Net asset value per share

 

$

24.93

 

 

$

24.65

 

Market value per share

 

$

24.96

 

 

$

24.67

 

 

 

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, 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)

 

 

27.32

%

 

$

594,763,752

 

 

$

600,000,000

 

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

 

 

4.55

 

 

 

99,026,500

 

 

 

100,000,000

 

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

 

 

4.49

 

 

 

97,683,450

 

 

 

100,000,000

 

Total United States Treasury Obligations (cost $791,286,377)

 

 

36.36

%

 

$

791,473,702

 

 

 

 

Affiliated Investments

 

 

 

 

 

 

 

Shares

 

Exchange-Traded Fund

 

 

 

 

 

 

 

 

 

Invesco Treasury Collateral ETF (cost $215,027,175) (c)

 

 

9.89

%

 

$

215,167,250

 

 

 

2,039,500

 

Money Market Mutual Fund

 

 

 

 

 

 

 

 

 

Invesco Government & Agency Portfolio, Institutional
   Class, 5.26% (cost $1,196,386,601) (c)(d)

 

 

54.96

 

 

 

1,196,386,601

 

 

 

1,196,386,601

 

Total Affiliated Investments (cost $1,411,413,776)

 

 

64.85

%

 

$

1,411,553,851

 

 

 

 

Total Investments in Securities (cost $2,202,700,153)

 

 

101.21

%

 

$

2,203,027,553

 

 

 

 

(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 $396,480,000 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

 

 

3,921

 

 

September - 2024

 

$

98,662,163

 

 

$

(2,019,386

)

 

$

(2,019,386

)

CBOT Soybean

 

 

1,893

 

 

November - 2023

 

 

120,678,750

 

 

 

(7,569,393

)

 

 

(7,569,393

)

CBOT Wheat

 

 

2,779

 

 

July - 2024

 

 

85,072,138

 

 

 

(10,058,051

)

 

 

(10,058,051

)

COMEX Gold

 

 

1,034

 

 

December - 2023

 

 

192,954,740

 

 

 

3,945,988

 

 

 

3,945,988

 

COMEX Silver

 

 

87

 

 

January - 2024

 

 

9,817,950

 

 

 

(1,048,000

)

 

 

(1,048,000

)

COMEX Silver

 

 

326

 

 

December - 2023

 

 

36,593,500

 

 

 

(1,616,185

)

 

 

(1,616,185

)

ICE-UK Brent Crude

 

 

3,147

 

 

December - 2023

 

 

279,516,539

 

 

 

35,694,398

 

 

 

35,694,398

 

LME Aluminum

 

 

1,524

 

 

May - 2024

 

 

91,268,550

 

 

 

(1,783,452

)

 

 

(1,783,452

)

LME Copper

 

 

481

 

 

May - 2024

 

 

100,282,488

 

 

 

(5,205,502

)

 

 

(5,205,502

)

LME Zinc

 

 

1,338

 

 

October - 2024

 

 

89,219,512

 

 

 

5,437,320

 

 

 

5,437,320

 

NYB-ICE Sugar

 

 

7,357

 

 

June - 2024

 

 

200,228,112

 

 

 

14,188,640

 

 

 

14,188,640

 

NYMEX Natural Gas

 

 

1,859

 

 

April - 2024

 

 

56,067,440

 

 

 

(1,540,075

)

 

 

(1,540,075

)

NYMEX NY Harbor ULSD

 

 

2,209

 

 

May - 2024

 

 

256,456,948

 

 

 

42,821,384

 

 

 

42,821,384

 

NYMEX RBOB Gasoline

 

 

2,743

 

 

December - 2023

 

 

267,704,182

 

 

 

26,759,405

 

 

 

26,759,405

 

NYMEX WTI Crude

 

 

3,330

 

 

December - 2023

 

 

289,643,399

 

 

 

46,201,437

 

 

 

46,201,437

 

Total Commodity Futures Contracts

 

 

 

 

 

 

 

 

 

$

144,208,528

 

 

$

144,208,528

 

 

(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, 2022

(Unaudited)

Description

 

Percentage of
Shareholders'
Equity

 

 

Value

 

 

Principal Value

 

United States Treasury Obligations (a)

 

 

 

 

 

 

 

 

 

U.S. Treasury Bill, 3.820% due January 19, 2023 (b)

 

 

7.57

%

 

$

199,678,666

 

 

$

200,000,000

 

U.S. Treasury Bill, 4.155% due February 16, 2023

 

 

4.90

 

 

 

129,354,315

 

 

 

130,000,000

 

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

 

 

28.24

 

 

 

744,884,070

 

 

 

750,000,000

 

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

 

 

7.53

 

 

 

198,469,520

 

 

 

200,000,000

 

Total United States Treasury Obligations (cost $1,271,951,210)

 

 

48.24

%

 

$

1,272,386,571

 

 

 

 

Affiliated Investments

 

 

 

 

 

 

 

Shares

 

Exchange-Traded Fund

 

 

 

 

 

 

 

 

 

Invesco Treasury Collateral ETF (cost $141,350,025) (c)

 

 

5.36

%

 

$

141,250,406

 

 

 

1,340,900

 

Money Market Mutual Fund

 

 

 

 

 

 

 

 

 

Invesco Government & Agency Portfolio, Institutional
   Class, 4.22% (cost $1,284,100,134) (c)(d)

 

 

48.69

 

 

 

1,284,100,134

 

 

 

1,284,100,134

 

Total Affiliated Investments (cost $1,425,450,159)

 

 

54.05

%

 

$

1,425,350,540

 

 

 

 

Total Investments in Securities (cost $2,697,401,369)

 

 

102.29

%

 

$

2,697,737,111

 

 

 

 

(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 $745,865,000 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

 

 

4,950

 

 

September - 2023

 

$

155,182,500

 

 

$

7,917,257

 

 

$

7,917,257

 

CBOT Soybean

 

 

2,251

 

 

November - 2023

 

 

159,455,213

 

 

 

6,642,543

 

 

 

6,642,543

 

CBOT Wheat

 

 

3,624

 

 

July - 2023

 

 

145,503,600

 

 

 

(42,857,971

)

 

 

(42,857,971

)

COMEX Gold

 

 

1,230

 

 

December - 2023

 

 

234,450,300

 

 

 

15,061,912

 

 

 

15,061,912

 

COMEX Silver

 

 

510

 

 

March - 2023

 

 

61,302,000

 

 

 

3,170,321

 

 

 

3,170,321

 

ICE-UK Brent Crude

 

 

3,742

 

 

December - 2023

 

 

302,054,240

 

 

 

9,465,211

 

 

 

9,465,211

 

LME Aluminum

 

 

1,937

 

 

May - 2023

 

 

115,977,875

 

 

 

(23,749,134

)

 

 

(23,749,134

)

LME Copper

 

 

572

 

 

May - 2023

 

 

119,730,325

 

 

 

(10,603,669

)

 

 

(10,603,669

)

LME Zinc

 

 

1,619

 

 

August - 2023

 

 

118,763,769

 

 

 

1,128,294

 

 

 

1,128,294

 

NYB-ICE Sugar

 

 

7,972

 

 

June - 2023

 

 

160,536,947

 

 

 

6,832,068

 

 

 

6,832,068

 

NYMEX Natural Gas

 

 

3,232

 

 

April - 2023

 

 

127,049,920

 

 

 

(25,972,069

)

 

 

(25,972,069

)

NYMEX NY Harbor ULSD

 

 

2,521

 

 

March - 2023

 

 

324,009,508

 

 

 

(16,806,002

)

 

 

(16,806,002

)

NYMEX RBOB Gasoline

 

 

3,264

 

 

December - 2023

 

 

308,777,011

 

 

 

21,097,868

 

 

 

21,097,868

 

NYMEX WTI Crude

 

 

3,962

 

 

December - 2023

 

 

304,241,980

 

 

 

12,313,800

 

 

 

12,313,800

 

Total Commodity Futures Contracts

 

 

 

 

 

 

 

 

 

$

(36,359,571

)

 

$

(36,359,571

)

 

(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, 2023 and 2022

(Unaudited)

 

 

 

Three Months Ended

 

 

Nine Months Ended

 

 

 

September 30,

 

 

September 30,

 

 

 

2023

 

 

2022

 

 

2023

 

 

2022

 

Income

 

 

 

 

 

 

 

 

 

 

 

 

Interest Income

 

$

10,924,759

 

 

$

6,404,073

 

 

$

35,392,966

 

 

$

9,747,849

 

Dividends from Affiliates

 

 

17,257,593

 

 

 

10,146,290

 

 

 

45,303,312

 

 

 

15,756,564

 

Total Income

 

 

28,182,352

 

 

 

16,550,363

 

 

 

80,696,278

 

 

 

25,504,413

 

Expenses

 

 

 

 

 

 

 

 

 

 

 

 

Management Fees

 

 

4,496,023

 

 

 

7,679,105

 

 

 

13,871,165

 

 

 

24,636,941

 

Brokerage Commissions and Fees

 

 

87,119

 

 

 

233,974

 

 

 

281,078

 

 

 

601,171

 

Interest Expense

 

 

84,899

 

 

 

123,921

 

 

 

382,890

 

 

 

169,910

 

Total Expenses

 

 

4,668,041

 

 

 

8,037,000

 

 

 

14,535,133

 

 

 

25,408,022

 

Less: Waivers

 

 

(324,122

)

 

 

(485,946

)

 

 

(885,378

)

 

 

(1,278,215

)

Net Expenses

 

 

4,343,919

 

 

 

7,551,054

 

 

 

13,649,755

 

 

 

24,129,807

 

Net Investment Income (Loss)

 

 

23,838,433

 

 

 

8,999,309

 

 

 

67,046,523

 

 

 

1,374,606

 

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

 

 

(155

)

 

 

(2

)

 

 

(151

)

 

 

(3

)

Commodity Futures Contracts

 

 

(34,434,752

)

 

 

(184,796,978

)

 

 

(249,811,115

)

 

 

817,002,774

 

Net Realized Gain (Loss)

 

 

(34,434,907

)

 

 

(184,796,980

)

 

 

(249,811,266

)

 

 

817,002,771

 

Net Change in Unrealized Gain (Loss) on

 

 

 

 

 

 

 

 

 

 

 

 

United States Treasury Obligations

 

 

(386,778

)

 

 

1,261,907

 

 

 

(248,036

)

 

 

(2,397,622

)

Affiliated Investments

 

 

65,377

 

 

 

(419,498

)

 

 

239,694

 

 

 

(465,145

)

Commodity Futures Contracts

 

 

199,272,109

 

 

 

(213,060,889

)

 

 

180,568,099

 

 

 

(366,331,815

)

Net Change in Unrealized Gain (Loss)

 

 

198,950,708

 

 

 

(212,218,480

)

 

 

180,559,757

 

 

 

(369,194,582

)

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

 

 

164,515,801

 

 

 

(397,015,460

)

 

 

(69,251,509

)

 

 

447,808,189

 

Net Income (Loss)

 

$

188,354,234

 

 

$

(388,016,151

)

 

$

(2,204,986

)

 

$

449,182,795

 

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, 2023

(Unaudited)

 

General Shares

 

 

Shares

 

 

Total

 

 

Shares

 

 

Total
Equity

 

 

Shares

 

 

Total
Equity

 

 

Shareholders'
Equity

 

Balance at June 30, 2023

 

 

40

 

 

$

909

 

 

 

85,950,000

 

 

$

1,952,774,731

 

 

$

1,952,775,640

 

Purchases of Shares

 

 

 

 

 

 

 

 

4,750,000

 

 

 

117,331,191

 

 

 

117,331,191

 

Redemption of Shares

 

 

 

 

 

 

 

 

(3,400,000

)

 

 

(81,819,988

)

 

 

(81,819,988

)

Net Increase (Decrease) due to Share Transactions

 

 

 

 

 

 

 

 

1,350,000

 

 

 

35,511,203

 

 

 

35,511,203

 

Net Income (Loss)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Investment Income (Loss)

 

 

 

 

 

(351

)

 

 

 

 

 

23,838,784

 

 

 

23,838,433

 

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

 

 

 

 

 

1,333

 

 

 

 

 

 

(34,436,240

)

 

 

(34,434,907

)

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

 

 

 

 

 

(894

)

 

 

 

 

 

198,951,602

 

 

 

198,950,708

 

Net Income (Loss)

 

 

 

 

 

88