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2ed

 

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:                    001-33240

 

INVESCO DB ENERGY FUND

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

(Exact name of registrant as specified in its charter)

 

Delaware

87-0778060

(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

DBE

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 : 10,800,000

 

 


 

 

INVESCO DB ENERGY FUND

(A SERIES OF INVESCO DB MULTI-SECTOR COMMODITY TRUST)

QUARTER ENDED JUNE 30, 2022

TABLE OF CONTENTS

 

 

 

 

 


 

PART I. FINANCIAL INFORMATION

ITEM  1.

FINANCIAL STATEMENTS.

Invesco DB Energy 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 $118,328,625 and $37,999,658, respectively)

 

$

118,067,526

 

 

$

37,999,954

 

Affiliated investments, at value (cost $175,433,879 and $71,778,110, respectively)

 

 

175,455,356

 

 

 

71,801,967

 

Receivable for:

 

 

 

 

 

 

 

 

Dividends from affiliates

 

 

155,220

 

 

 

1,282

 

Total assets

 

$

293,678,102

 

 

$

109,803,203

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

Other investments:

 

 

 

 

 

 

 

 

Variation margin payable- Commodity Futures Contracts

 

$

11,902,566

 

 

$

2,193,062

 

Payable for:

 

 

 

 

 

 

 

 

Management fees

 

 

177,347

 

 

 

68,368

 

Brokerage commissions and fees

 

 

4,984

 

 

 

5,014

 

Total liabilities

 

 

12,084,897

 

 

 

2,266,444

 

Commitments and Contingencies (Note 10)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Equity

 

 

 

 

 

 

 

 

Shareholder's equity—General Shares

 

 

1,043

 

 

 

683

 

Shareholders' equity—Shares

 

 

281,592,162

 

 

 

107,536,076

 

Total shareholders' equity

 

 

281,593,205

 

 

 

107,536,759

 

Total liabilities and equity

 

$

293,678,102

 

 

$

109,803,203

 

 

 

 

 

 

 

 

 

 

General Shares outstanding

 

40

 

 

 

40

 

Shares outstanding

 

 

10,800,000

 

 

 

6,300,000

 

Net asset value per share

 

$

26.07

 

 

$

17.07

 

Market value per share

 

$

26.14

 

 

$

17.12

 

 

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

 

 

1


 

Invesco DB Energy 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)

 

 

2.13

%

 

$

5,996,696

 

 

$

6,000,000

 

U.S. Treasury Bills, 1.120% due September 1, 2022(b)

 

 

2.83

 

 

 

7,979,144

 

 

 

8,000,000

 

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

 

 

7.06

 

 

 

19,882,602

 

 

 

20,000,000

 

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

 

 

5.28

 

 

 

14,881,705

 

 

 

15,000,000

 

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

 

 

14.08

 

 

 

39,626,212

 

 

 

40,000,000

 

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

 

 

10.55

 

 

 

29,701,167

 

 

 

30,000,000

 

Total United States Treasury Obligations (cost $118,328,625)

 

 

41.93

%

 

$

118,067,526

 

 

 

 

 

Affiliated Investments

 

 

 

 

 

 

 

 

 

Shares

 

Exchange-Traded Fund

 

 

 

 

 

 

 

 

 

 

 

 

Invesco Treasury Collateral ETF (cost $10,031,643)(c)

 

 

3.57

%

 

$

10,053,120

 

 

 

95,200

 

Money Market Mutual Fund

 

 

 

 

 

 

 

 

 

 

 

 

Invesco Government & Agency Portfolio,

  Institutional Class, 1.39% (cost $165,402,236)(c)(d)

 

 

58.74

 

 

 

165,402,236

 

 

 

165,402,236

 

Total Affiliated Investments (cost $175,433,879)

 

 

62.31

%

 

$

175,455,356

 

 

 

 

 

Total Investments in Securities (cost $293,762,504)

 

 

104.24

%

 

$

293,522,882

 

 

 

 

 

 

(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 $65,575,300 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 June 30, 2022.

 

 

Open Commodity Futures Contracts

 

Number of Contracts

 

Expiration Date

 

Notional

Value

 

 

Value(e)

 

 

Unrealized Appreciation (Depreciation)(e)

 

Long Futures Contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

ICE-UK Brent Crude

 

580

 

September - 2022

 

$

59,635,600

 

 

$

(174,062

)

 

$

(174,062

)

NYMEX Natural Gas

 

704

 

April - 2023

 

 

29,976,320

 

 

 

(584,588

)

 

 

(584,588

)

NYMEX NY Harbor ULSD

 

490

 

July - 2022

 

 

78,831,690

 

 

 

(7,387,611

)

 

 

(7,387,611

)

NYMEX RBOB Gasoline

 

506

 

November - 2022

 

 

59,409,966

 

 

 

9,875,450

 

 

 

9,875,450

 

NYMEX WTI Crude

 

573

 

December - 2022

 

 

53,672,910

 

 

 

9,804,573

 

 

 

9,804,573

 

Total Commodity Futures Contracts

 

 

 

 

 

 

 

 

 

$

11,533,762

 

 

$

11,533,762

 

 

(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 Energy 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

 

 

6.51

%

 

$

7,000,001

 

 

$

7,000,000

 

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

 

 

11.16

 

 

 

11,999,957

 

 

 

12,000,000

 

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

 

 

7.44

 

 

 

8,002,128

 

 

 

8,002,300

 

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

 

 

0.93

 

 

 

999,931

 

 

 

1,000,000

 

U.S. Treasury Bills, 0.060% due April 21, 2022(b)

 

 

9.30

 

 

 

9,997,937

 

 

 

10,000,000

 

Total United States Treasury Obligations (cost $37,999,658)

 

 

35.34

%

 

$

37,999,954

 

 

 

 

 

Affiliated Investments

 

 

 

 

 

 

 

 

 

Shares

 

   Exchange-Traded Fund

 

 

 

 

 

 

 

 

 

 

 

 

      Invesco Treasury Collateral ETF (cost $10,031,643)(c)

 

 

9.35

%

 

$

10,055,500

 

 

 

95,200

 

   Money Market Mutual Fund

 

 

 

 

 

 

 

 

 

 

 

 

      Invesco Government & Agency Portfolio,

         Institutional Class, 0.03% (cost $61,746,467)(c)(d)

 

 

57.42

 

 

 

61,746,467

 

 

 

61,746,467

 

Total Affiliated Investments (cost $71,778,110)

 

 

66.77

%

 

$

71,801,967

 

 

 

 

 

Total Investments in Securities (cost $109,777,768)

 

 

102.11

%

 

$

109,801,921

 

 

 

 

 

 

(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 $16,997,300 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 security and the Fund are advised by wholly-owned subsidiaries of Invesco Ltd. and are therefore considered to be affiliated. 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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

ICE-UK Brent Crude

 

319

 

May - 2022

 

$

24,192,960

 

 

$

1,579,572

 

 

$

1,579,572

 

NYMEX Natural Gas

 

287

 

April - 2022

 

$

10,116,750

 

 

 

248,318

 

 

 

248,318

 

NYMEX NY Harbor ULSD

 

262

 

May - 2022

 

$

24,842,630

 

 

 

742,541

 

 

 

742,541

 

NYMEX RBOB Gasoline

 

270

 

January - 2022

 

$

25,226,964

 

 

 

2,327,510

 

 

 

2,327,510

 

NYMEX WTI Crude

 

336

 

December - 2022

 

$

23,278,080

 

 

 

1,263,166

 

 

 

1,263,166

 

Total Commodity Futures Contracts

 

 

 

 

 

 

 

 

 

$

6,161,107

 

 

$

6,161,107

 

 

(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 Energy 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

 

$

184,532

 

 

$

4,889

 

 

$

200,254

 

 

$

9,763

 

Dividends from Affiliates

 

 

322,807

 

 

 

3,438

 

 

 

345,753

 

 

 

7,865

 

Total Income

 

 

507,339

 

 

 

8,327

 

 

 

546,007

 

 

 

17,628

 

Expenses

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Management Fees

 

 

519,063

 

 

 

173,024

 

 

 

801,127

 

 

 

311,916

 

Brokerage Commissions and Fees

 

 

12,316

 

 

 

4,267

 

 

 

16,059

 

 

 

6,960

 

Interest Expense

 

 

2,654

 

 

 

468

 

 

 

3,258

 

 

 

745

 

Total Expenses

 

 

534,033

 

 

 

177,759

 

 

 

820,444

 

 

 

319,621

 

Less: Waivers

 

 

(44,878

)

 

 

(2,777

)

 

 

(48,803

)

 

 

(12,717

)

Net Expenses

 

 

489,155

 

 

 

174,982

 

 

 

771,641

 

 

 

306,904

 

Net Investment Income (Loss)

 

 

18,184

 

 

 

(166,655

)

 

 

(225,634

)

 

 

(289,276

)

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

 

 

 

 

 

 

1

 

 

 

 

Commodity Futures Contracts

 

 

63,795,384

 

 

 

10,187,803

 

 

 

66,855,459

 

 

 

16,668,677

 

Net Realized Gain (Loss)

 

 

63,795,385

 

 

 

10,187,803

 

 

 

66,855,460

 

 

 

16,668,677

 

Net Change in Unrealized Gain (Loss) on

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

United States Treasury Obligations

 

 

(247,820

)

 

 

(4,299

)

 

 

(261,395

)

 

 

(401

)

Affiliated Investments

 

 

4,760

 

 

 

(1,428

)

 

 

(2,380

)

 

 

 

Commodity Futures Contracts

 

 

(35,118,216

)

 

 

6,341,209

 

 

 

5,372,655

 

 

 

12,716,862

 

Net Change in Unrealized Gain (Loss)

 

 

(35,361,276

)

 

 

6,335,482

 

 

 

5,108,880

 

 

 

12,716,461

 

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

 

 

28,434,109

 

 

 

16,523,285

 

 

 

71,964,340

 

 

 

29,385,138

 

Net Income (Loss)

 

$

28,452,293

 

 

$

16,356,630

 

 

$

71,738,706

 

 

$

29,095,862

 

 

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

 

 


4


 

Invesco DB Energy Fund
Statement of Changes in Shareholders' Equity
For the Three Months Ended June 30, 2022
(Unaudited)

 

 

 

General Shares

 

 

Shares

 

 

Total

 

 

 

Shares

 

 

Total

Equity

 

 

Shares

 

 

Total

Equity

 

 

Shareholders'

Equity

 

Balance at March 31, 2022

 

 

40

 

 

$

923

 

 

 

9,700,000

 

 

$

223,825,541

 

 

$

223,826,464

 

Purchases of Shares

 

 

 

 

 

 

 

 

 

 

1,700,000

 

 

 

45,681,580

 

 

 

45,681,580

 

Redemption of Shares

 

 

 

 

 

 

 

 

 

 

(600,000

)

 

 

(16,367,132

)

 

 

(16,367,132

)

Net Increase (Decrease) due to Share Transactions

 

 

 

 

 

 

 

 

 

 

1,100,000

 

 

 

29,314,448

 

 

 

29,314,448

 

Net Income (Loss)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Investment Income (Loss)

 

 

 

 

 

 

 

 

 

 

 

 

 

18,184

 

 

 

18,184

 

Net Realized Gain (Loss) on United States Treasury

   Obligations, Affiliated Investments and Commodity

   Futures Contracts

 

 

 

 

 

 

318

 

 

 

 

 

 

 

63,795,067

 

 

 

63,795,385

 

Net Change in Unrealized Gain (Loss) on United States

   Treasury Obligations, Affiliated Investments and

   Commodity Futures Contracts

 

 

 

 

 

 

(198

)

 

 

 

 

 

 

(35,361,078

)

 

 

(35,361,276

)

Net Income (Loss)

 

 

 

 

 

 

120

 

 

 

 

 

 

 

28,452,173

 

 

 

28,452,293

 

Net Change in Shareholders' Equity

 

 

 

 

 

120

 

 

 

1,100,000

 

 

 

57,766,621

 

 

 

57,766,741

 

Balance at June 30, 2022

 

 

40

 

 

$

1,043

 

 

 

10,800,000

 

 

$

281,592,162

 

 

$

281,593,205

 

 

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

 


5


Invesco DB Energy Fund
Statement of Changes in Shareholders' Equity
For the Three Months Ended June 30, 2021

(Unaudited)

 

 

 

General Shares

 

 

Shares

 

 

Total

 

 

 

Shares

 

 

Total

Equity

 

 

Shares

 

 

Total

Equity

 

 

Shareholders'

Equity

 

Balance at March 31, 2021

 

 

40

 

 

$

522

 

 

 

6,500,000

 

 

$

84,760,060

 

 

$

84,760,582

 

Purchases of Shares

 

 

 

 

 

 

 

 

 

 

1,500,000

 

 

 

22,302,096

 

 

 

22,302,096

 

Redemption of Shares

 

 

 

 

 

 

 

 

 

 

(1,000,000

)

 

 

(14,246,059

)

 

 

(14,246,059

)

Net Increase (Decrease) due to Share Transactions

 

 

 

 

 

 

 

 

 

 

500,000

 

 

 

8,056,037

 

 

 

8,056,037

 

Net Income (Loss)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Investment Income (Loss)

 

 

 

 

 

 

(1

)

 

 

 

 

 

 

(166,654

)

 

 

(166,655

)

Net Realized Gain (Loss) on United States Treasury

   Obligations, Affiliated Investments and Commodity

   Futures Contracts

 

 

 

 

 

 

64

 

 

 

 

 

 

 

10,187,739

 

 

 

10,187,803

 

Net Change in Unrealized Gain (Loss) on United States

   Treasury Obligations, Affiliated Investments and

   Commodity Futures Contracts

 

 

 

 

 

 

39

 

 

 

 

 

 

 

6,335,443

 

 

 

6,335,482

 

Net Income (Loss)

 

 

 

 

 

 

102

 

 

 

 

 

 

 

16,356,528

 

 

 

16,356,630

 

Net Change in Shareholders' Equity

 

 

 

 

 

102

 

 

 

500,000

 

 

 

24,412,565

 

 

 

24,412,667

 

Balance at June 30, 2021

 

 

40

 

 

$

624

 

 

 

7,000,000

 

 

$

109,172,625

 

 

$

109,173,249

 

 

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

6


 

Invesco DB Energy Fund
Statement of Changes in Shareholders' Equity
For the Six Months Ended June 30, 2022
(Unaudited)

 

 

 

General Shares

 

 

Shares

 

 

Total

 

 

 

Shares

 

 

Total

Equity

 

 

Shares

 

 

Total

Equity

 

 

Shareholders'

Equity

 

Balance at December 31, 2021

 

40