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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:                    001-33242

 

INVESCO DB OIL FUND

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

(Exact name of registrant as specified in its charter)

 

Delaware

87-0778062

(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

DBO

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: 29,600,000

 

 

 


 

INVESCO DB OIL FUND

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

QUARTER ENDED MARCH 31, 2022

TABLE OF CONTENTS

 

 

 

 

 

 


 

 

PART I. FINANCIAL INFORMATION

 

ITEM 1.

FINANCIAL STATEMENTS.

 

Invesco DB Oil 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 $119,877,595 and $83,007,439

    respectively)

 

$

119,804,292

 

 

$

83,008,558

 

Affiliated Investments, at value (cost $407,290,362 and $362,050,622, respectively)

 

 

407,156,279

 

 

 

361,947,746

 

Receivable for:

 

 

 

 

 

 

 

 

Dividends from affiliates

 

 

41,317

 

 

 

6,405

 

Total assets

 

$

527,001,888

 

 

$

444,962,709

 

Liabilities

 

 

 

 

 

 

 

 

Other investments:

 

 

 

 

 

 

 

 

Variation margin payable- Commodity Futures Contracts

 

$

16,577,280

 

 

$

10,101,140

 

Payable for:

 

 

 

 

 

 

 

 

Management fees

 

 

330,574

 

 

 

268,440

 

Brokerage commissions and fees

 

 

4,623

 

 

 

5,076

 

Total liabilities

 

$

16,912,477

 

 

$

10,374,656

 

Commitments and Contingencies (Note 10)

 

 

 

 

 

 

 

 

Equity

 

 

 

 

 

 

 

 

Shareholder's equity—General Shares

 

 

689

 

 

 

540

 

Shareholders' equity—Shares

 

 

510,088,722

 

 

 

434,587,513

 

Total shareholders' equity

 

 

510,089,411

 

 

 

434,588,053

 

Total liabilities and equity

 

$

527,001,888

 

 

$

444,962,709

 

 

 

 

 

 

 

 

 

 

General Shares outstanding

 

40

 

 

 

40

 

Shares outstanding

 

 

29,600,000

 

 

 

32,200,000

 

Net asset value per share

 

$

17.23

 

 

$

13.50

 

Market value per share

 

$

17.35

 

 

$

13.57

 

 

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

 

 

1


 

 

Invesco DB Oil 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, 0.090% due April 7, 2022 (b)

 

 

5.88

%

 

$

29,999,300

 

 

$

30,000,000

 

U.S. Treasury Bills, 0.360% due June 2, 2022 (b)

 

 

2.94

 

 

 

14,991,604

 

 

 

15,000,000

 

U.S. Treasury Bills, 0.220% due July 7, 2022 (b)

 

 

5.87

 

 

 

29,954,014

 

 

 

30,000,000

 

U.S. Treasury Bills, 0.500% due August 4, 2022 (b)

 

 

5.87

 

 

 

29,917,344

 

 

 

30,000,000

 

U.S. Treasury Bills, 0.670% due September 1, 2022 (b)

 

 

2.93

 

 

 

14,942,030

 

 

 

15,000,000

 

Total United States Treasury Obligations (cost $119,877,595)

 

 

23.49

%

 

$

119,804,292

 

 

 

 

 

Affiliated Investments

 

 

 

 

 

 

 

 

 

Shares

 

Exchange-Traded Fund

 

 

 

 

 

 

 

 

 

 

 

 

Invesco Treasury Collateral ETF (cost $44,053,438)(c)

 

 

8.61

%

 

$

43,919,355

 

 

 

416,100

 

Money Market Mutual Fund

 

 

 

 

 

 

 

 

 

 

 

 

Invesco Government & Agency Portfolio,

  Institutional Class, 0.25% (cost $363,236,924)(c)(d)

 

 

71.21

 

 

 

363,236,924

 

 

 

363,236,924

 

Total Affiliated Investments (cost $407,290,362)

 

 

79.82

%

 

$

407,156,279

 

 

 

 

 

Total Investments in Securities (cost $527,167,957)

 

 

103.31

%

 

$

526,960,571

 

 

 

 

 

 

(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 $119,802,000 are on deposit with the Commodity Broker and held as maintenance margin for open futures contracts.

(c)

Affiliated company. 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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NYMEX WTI Crude

 

 

5,756

 

 

December - 2022

 

$

510,096,720

 

 

$

120,630,714

 

 

$

120,630,714

 

 

(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 Oil 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 (b)

 

 

7.13

%

 

$

31,000,003

 

 

$

31,000,000

 

U.S. Treasury Bills, 0.050% due January 13, 2022 (b)

 

 

4.60

 

 

 

19,999,944

 

 

 

20,000,000

 

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

 

 

7.38

 

 

 

32,008,611

 

 

 

32,009,300

 

Total United States Treasury Obligations (cost $83,007,439)

 

 

19.11

%

 

$

83,008,558

 

 

 

 

 

Affiliated Investments

 

 

 

 

 

 

 

 

 

Shares

 

Exchange-Traded Fund

 

 

 

 

 

 

 

 

 

 

 

 

Invesco Treasury Collateral ETF (cost $44,053,438)(c)

 

 

10.11

%

 

$

43,950,562

 

 

 

416,100

 

Money Market Mutual Fund

 

 

 

 

 

 

 

 

 

 

 

 

Invesco Government & Agency Portfolio,

     Institutional Class, 0.03% (cost $317,997,184)(c)(d)

 

 

73.17

 

 

 

317,997,184

 

 

 

317,997,184

 

Total Affiliated Investments (cost $362,050,622)

 

 

83.28

%

 

$

361,947,746

 

 

 

 

 

Total Investments in Securities (cost $445,058,061)

 

 

102.39

%

 

$

444,956,304

 

 

 

 

 

 

(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 $80,991,900 are on deposit with the Commodity Broker and held as maintenance margin for open futures contracts.

(c)

Affiliated company. 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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NYMEX WTI Crude

 

 

6,274

 

 

December - 2022

 

$

434,662,720

 

 

$

21,028,832

 

 

$

21,028,832

 

(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 Oil 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

 

$

59,939

 

 

$

30,045

 

 

Dividends from Affiliates

 

 

58,376

 

 

 

27,866

 

 

Total Income

 

 

118,315

 

 

 

57,911

 

 

Expenses

 

 

 

 

 

 

 

 

 

Management Fees

 

 

911,096

 

 

 

917,499

 

 

Brokerage Commissions and Fees

 

 

3,801

 

 

 

56,170

 

 

Interest Expense

 

 

9,790

 

 

 

2,488

 

 

Total Expenses

 

 

924,687

 

 

 

976,157

 

 

Less: Waivers

 

 

(12,685

)

 

 

(64,234

)

 

Net Expenses

 

 

912,002

 

 

 

911,923

 

 

Net Investment Income (Loss)

 

 

(793,687

)

 

 

(854,012

)

 

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

 

 

 

 

 

1,505

 

 

Commodity Futures Contracts

 

 

19,733,152

 

 

 

216,880,743

 

 

Net Realized Gain (Loss)

 

 

19,733,152

 

 

 

216,882,248

 

 

Net Change in Unrealized Gain (Loss) on

 

 

 

 

 

 

 

 

 

United States Treasury Obligations

 

 

(74,422

)

 

 

2,235

 

 

Affiliated Investments

 

 

(31,207

)

 

 

8,512

 

 

Commodity Futures Contracts

 

 

99,601,882

 

 

 

(109,685,342

)

 

Net Change in Unrealized Gain (Loss)

 

 

99,496,253

 

 

 

(109,674,595

)

 

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

   United States Treasury Obligations, Affiliated

   Investments and Commodity Futures Contracts

 

 

119,229,405

 

 

 

107,207,653

 

 

Net Income (Loss)

 

$

118,435,718

 

 

$

106,353,641

 

 

 

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

 

 

4


 

 

Invesco DB Oil 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

 

 

$

540

 

 

 

32,200,000

 

 

$

434,587,513

 

 

$

434,588,053

 

Purchases of Shares

 

 

 

 

 

 

 

 

 

 

2,900,000

 

 

 

44,665,340

 

 

 

44,665,340

 

Redemption of Shares

 

 

 

 

 

 

 

 

 

 

(5,500,000

)

 

 

(87,599,700

)

 

 

(87,599,700

)

Net Increase (Decrease) due to Share Transactions

 

 

 

 

 

 

 

 

 

 

(2,600,000

)

 

 

(42,934,360

)

 

 

(42,934,360

)

Net Income (Loss)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Investment Income (Loss)

 

 

 

 

 

 

(1

)

 

 

 

 

 

 

(793,686

)

 

 

(793,687

)

Net Realized Gain (Loss) on United States Treasury

   Obligations, Affiliated Investments and

   Commodity Futures Contracts

 

 

 

 

 

 

25

 

 

 

 

 

 

 

19,733,127

 

 

 

19,733,152

 

Net Change in Unrealized Gain (Loss) on United

   States Treasury Obligations, Affiliated

   Investments and Commodity Futures Contracts

 

 

 

 

 

 

125

 

 

 

 

 

 

 

99,496,128

 

 

 

99,496,253

 

Net Income (Loss)

 

 

 

 

 

 

149

 

 

 

 

 

 

 

118,435,569

 

 

 

118,435,718

 

Net Change in Shareholders' Equity

 

 

 

 

 

149

 

 

 

(2,600,000

)

 

 

75,501,209

 

 

 

75,501,358

 

Balance at March 31, 2022

 

40

 

 

$

689

 

 

 

29,600,000

 

 

$

510,088,722

 

 

$

510,089,411

 

 

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

 

 

5


 

 

Invesco DB Oil Fund

Statement of Changes in Shareholders’ Equity

For the Three Months Ended March 31, 2021

(Unaudited)

 

 

 

General Shares

 

 

Shares

 

 

Total

 

 

 

Shares

 

 

Total

Equity

 

 

Shares

 

 

Total

Equity

 

 

Shareholders'

Equity

 

Balance at December 31, 2020

 

 

40

 

 

$

338

 

 

 

51,300,000

 

 

$

433,845,433

 

 

$

433,845,771

 

Purchases of Shares

 

 

 

 

 

 

 

 

 

 

1,100,000

 

 

 

11,373,167

 

 

 

11,373,167

 

Redemption of Shares

 

 

 

 

 

 

 

 

 

 

(6,100,000

)

 

 

(65,711,326

)

 

 

(65,711,326

)

Net Increase (Decrease) due to Share Transactions

 

 

 

 

 

 

 

 

 

 

(5,000,000

)

 

 

(54,338,159

)

 

 

(54,338,159

)

Net Income (Loss)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Investment Income (Loss)

 

 

 

 

 

 

(1

)

 

 

 

 

 

 

(854,011

)

 

 

(854,012

)

Net Realized Gain (Loss) on United States Treasury

   Obligations, Affiliated Investments and

   Commodity Futures Contracts

 

 

 

 

 

 

167

 

 

 

 

 

 

 

216,882,081

 

 

 

216,882,248

 

Net Change in Unrealized Gain (Loss) on United

   States Treasury Obligations, Affiliated

   Investments and Commodity Futures Contracts

 

 

 

 

 

 

(84

)

 

 

 

 

 

 

(109,674,511

)

 

 

(109,674,595

)

Net Income (Loss)

 

 

 

 

 

 

82

 

 

 

 

 

 

 

106,353,559

 

 

 

106,353,641

 

Net Change in Shareholders' Equity

 

 

 

 

 

82

 

 

 

(5,000,000

)

 

 

52,015,400

 

 

 

52,015,482

 

Balance at March 31, 2021

 

 

40

 

 

$

420

 

 

 

46,300,000

 

 

$

485,860,833

 

 

$

485,861,253

 

 

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

 

6


 

 

Invesco DB Oil Fund

Statements of Cash Flows

For the Three Months Ended March 31, 2022 and 2021

(Unaudited)

 

 

 

Three Months Ended

 

 

 

March 31,

 

 

 

2022

 

 

2021

 

Cash flows from operating activities:

 

 

 

 

 

 

 

 

Net Income (Loss)

 

$

118,435,718

 

 

$

106,353,641

 

Adjustments to reconcile net income (loss) to net cash provided by (used in) operating

   activities:

 

 

 

 

 

 

 

 

Cost of securities purchased

 

 

(119,819,517

)

 

 

(208,967,268

)

Proceeds from securities sold and matured

 

 

83,009,300

 

 

 

164,999,764

 

Cost of affiliated investments purchased

 

 

(374,005,707

)

 

 

(299,869,800

)

Proceeds from affiliated investments sold

 

 

328,765,967

 

 

 

279,142,210

 

Net accretion of discount on United States Treasury Obligations

 

 

(59,939

)

 

 

(30,045

)

Net realized (gain) loss on United States Treasury Obligations and

   Affiliated Investments

 

 

 

 

 

(1,505

)

Net change in unrealized (gain) loss on United States Treasury Obligations

   and Affiliated Investments

 

 

105,629

 

 

 

(10,747

)

Change in operating assets and liabilities:

 

 

 

 

 

 

 

 

Variation margin- Commodity Futures Contracts

 

 

6,476,140

 

 

 

9,428,210

 

Dividends from affiliates

 

 

(34,912

)

 

 

(3,070

)

Management fees

 

 

62,134

 

 

 

53,127

 

Brokerage commissions and fees

 

 

(453

)

 

 

297

 

Net cash provided by (used in) operating activities

 

 

42,934,360

 

 

 

51,094,814

 

Cash flows from financing activities:

 

 

 

 

 

 

 

 

Proceeds from purchases of Shares

 

 

44,665,340

 

 

 

11,373,167

 

Redemption of Shares

 

 

(87,599,700

)

 

 

(65,711,326

)

Net cash provided by (used in) financing activities

 

 

(42,934,360

)

 

 

(54,338,159

)

Net change in cash

 

 

 

 

 

(3,243,345

)

Cash at beginning of period

 

 

 

 

 

3,243,345

 

Cash at end of period

 

$

 

 

$

 

Supplemental disclosure of cash flow information

 

 

 

 

 

 

 

 

Cash paid for interest

 

$

9,790

 

 

$

2,488

 

 

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

 

 

7


 

 

Invesco DB Oil Fund

Notes to Unaudited Financial Statements

March 31, 2022

 

Note 1 - Organization

Invesco DB Oil Fund (the “Fund”), a separate series of Invesco DB Multi-Sector Commodity Trust (the “Trust”), a Delaware statutory trust organized in seven separate series was formed on August 3, 2006. The term of the Fund is perpetual (unless terminated earlier in certain circumstances) as provided for in the Fifth Amended and Restated Declaration of Trust and Trust Agreement of the Trust, as amended, (the “Trust Agreement”). The Fund has an unlimited number of shares authorized for issuance.

Invesco Capital Management LLC (“Invesco”) has served as the managing owner (the “Managing Owner”), commodity pool operator and commodity trading advisor of the Trust and the Fund since February 23, 2015. The Managing Owner holds 40 general shares (the “General Shares”) of the Fund. The fiscal year end of the Fund is December 31st.

The Fund seeks to track changes, whether positive or negative, in the level of the DBIQ Optimum Yield Crude Oil Index Excess Return™ (the “Index”) over time, plus the excess, if any, of the sum of the Fund’s interest income from its holdings of United States Treasury Obligations (“Treasury Income”), dividends from its holdings in money market mutual funds (affiliated or otherwise) (“Money Market Income”) and dividends or distributions of capital gains from its holdings of T-Bill ETFs (as defined below) (“T-Bill ETF Income”) over the expenses of the Fund. The Fund invests in futures contracts in an attempt to track its Index. The Index is intended to reflect the change in market value of the crude oil sector. The single commodity comprising the Index is Light Sweet Crude Oil (WTI) (the “Index Commodity”).  

The Fund may invest directly in United States Treasury Obligations. The Fund may also gain exposure to United States Treasury Obligations through investments in exchange-traded funds (“ETFs”) (affiliated or otherwise) that track indexes that measure the performance of United States Treasury Obligations with a maximum remaining maturity of up to 12 months (“T-Bill ETFs”). The Fund holds as collateral United States Treasury Obligations, money market mutual funds and T-Bill ETFs (affiliated or otherwise), if any, for margin and/or cash management purposes. While the Fund's performance reflects the appreciation and depreciation of those holdings, the Fund's performance, whether positive or negative, is driven primarily by its strategy of trading futures contracts with the aim of seeking to track the Index.

The Commodity Futures Trading Commission (the “CFTC”) and certain futures exchanges impose position limits on futures contracts that reference the Index Commodity (the “Index Contracts”).

The Managing Owner may determine to invest in other futures contracts if at any time it is impractical or inefficient to gain full or partial exposure to the Index Commodity through the use of Index Contracts. These other futures contracts may or may not be based on the Index Commodity. When they are not, the Managing Owner may seek to select futures contracts that it reasonably believes tend to exhibit trading prices that correlate with an Index Contract.

The Fund offers common units of beneficial interest (the “Shares”) only to certain eligible financial institutions (the “Authorized Participants”) in one or more blocks of 100,000 Shares (“Creation Units”). The Fund commenced investment operations on January 3, 2007. The Fund commenced trading on the American Stock Exchange (which became the NYSE Alternext US LLC) on January 5, 2007 and, since November 25, 2008, has been listed on the NYSE Arca, Inc. (the “NYSE Arca”).

This Quarterly Report (the “Report”) covers the three months ended March 31, 2022 and 2021. The accompanying unaudited financial statements were prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) for interim financial information and with the instructions for Form 10-Q and the rules and regulations of the U.S. Securities and Exchange Commission (the “SEC”). In the opinion of management, all material adjustments, consisting only of normal recurring adjustments, considered necessary for a fair statement of the interim period financial statements have been made. Interim period results are not necessarily indicative of results for a full-year period. These financial statements and the notes thereto should be read in conjunction with the Fund’s financial statements included in its Annual Report on Form 10-K for the year ended December 31, 2021, as filed with the SEC on February 25, 2022.

Note 2 - Summary of Significant Accounting Policies

A.

Basis of Presentation

The financial statements of the Fund have been prepared using U.S. GAAP.

The Fund has determined that it meets the definition of an investment company and has prepared the financial statements in conformity with U.S. GAAP for investment companies in conformity with accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standards Codification Topic 946, Financial ServicesInvestment Companies.

8


 

B.

Accounting Estimates

The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates by a significant amount. In addition, the Fund monitors for material events or transactions that may occur or become known after the period-end date and before the date the financial statements are issued.

C.

Investment Valuations

Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end-of-day net asset value (“NAV”) per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded.

United States Treasury Obligations are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as developments related to specific securities, yield, quality, type of issue, coupon rate, maturity, individual trading characteristics and other market data. All debt obligations involve some risk of default with respect to interest and/or principal payments.

Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded.

Securities for which market quotations are not readily available or became unreliable are valued at fair value as determined in good faith following procedures approved by the Managing Owner.  Issuer-specific events, market trends, bid/asked quotes of brokers and information providers and other data may be reviewed in the course of making a good faith determination of a security’s fair value.

Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the

issuer’s assets, general market conditions which are not specifically related to the particular issuer, such as real or perceived adverse

economic conditions, changes in the general outlook for revenues, changes in interest or currency rates, regional or global instability,

natural or environmental disasters, widespread disease or other public health issues, war, acts of terrorism or adverse investor

sentiment generally and market liquidity. Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon actual sale of those investments.

D.

Investment Transactions and Investment Income

Investment transactions are accounted for on a trade date basis. Realized gains or losses from the sale or disposition of securities or derivatives are determined on a specific identification basis and recognized in the Statements of Income and Expenses in the period in which the contract is closed or the sale or disposition occurs, respectively. Interest income on United States Treasury Obligations is recognized on an accrual basis when earned. Premiums and discounts are amortized or accreted over the life of the United States Treasury Obligations. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date.

E.

Profit and Loss Allocations and Distributions

Pursuant to the Trust Agreement, income and expenses are allocated pro rata to the Managing Owner as holder of the General Shares and to the Shareholders monthly based on their respective percentage interests as of the close of the last trading day of the preceding month. Distributions (other than redemption of units) may be made at the sole discretion of the Managing Owner on a pro rata basis in accordance with the respective capital balances of the shareholders.

No distributions were paid for the three months ended March 31, 2022 and 2021.

F.

Routine Operational, Administrative and Other Ordinary Expenses

The Managing Owner is responsible for all routine operational, administrative and other ordinary expenses of the Fund, including, but not limited to, computer services, the fees and expenses of the Trustee, legal and accounting fees and expenses, tax preparation expenses, filing fees and printing, mailing and duplication costs. The Fund does not reimburse the Managing Owner for the routine operational, administrative and other ordinary expenses of the Fund. Accordingly, such expenses are not reflected in the Statements of Income and Expenses of the Fund.

G.

Non-Recurring Fees and Expenses

The Fund pays all non-recurring and unusual fees and expenses, if any, of itself, as determined by the Managing Owner. Non-recurring and unusual fees and expenses include fees and expenses, such as legal claims and liabilities, litigation costs, indemnification expenses or other non-routine expenses. Non-recurring and unusual fees and expenses, by their nature, are unpredictable in terms of timing and amount. For the three months ended March 31, 2022 and 2021, the Fund did not incur such expenses.

9


 

H.

Brokerage Commissions and Fees

The Fund incurs all brokerage commissions, including applicable exchange fees, National Futures Association ("NFA") fees, give-up fees, pit brokerage fees and other transaction related fees and expenses charged in connection with trading activities by the Commodity Broker (as defined below). These costs are recorded as Brokerage Commissions and Fees in the Statements of Income and Expenses. The Commodity Broker’s brokerage commissions and trading fees are determined on a contract-by-contract basis. On average, total charges paid to the Commodity Broker, as applicable were less than $6.00 and $6.00 per round-turn trade during the three months ended March 31, 2022 and 2021, respectively.

I.

Income Taxes

The Fund is classified as a partnership for U.S. federal income tax purposes. Accordingly, the Fund will generally not incur U.S. federal income taxes. No provision for federal, state, and local income taxes has been made in the accompanying financial statements, as investors are individually liable for income taxes, if any, on their allocable share of the Fund’s income, gain, loss, deductions and other items.

The Managing Owner has reviewed all of the Fund’s open tax years and major jurisdictions and concluded that there is no tax liability resulting from unrecognized tax benefits relating to uncertain tax positions taken or expected to be taken in future tax returns. The Fund is also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The major tax jurisdiction for the Fund and the earliest tax year subject to examination: United States, 2018.

J.

Commodity Futures Contracts

The Fund utilizes derivative instruments to achieve its investment objective. A commodity futures contract is an agreement between counterparties to purchase or sell a specified underlying commodity for a specified price, or to pay or receive a cash amount based on the value of an index or other reference instrument, at a future date. Initial margin deposits required upon entering into futures contracts are satisfied by the segregation of specific securities or cash as collateral with the Commodity Broker. During the period that the commodity futures contracts are open, changes in the value of the contracts are recognized as unrealized gains or losses by recalculating the value of the contracts on a daily basis. Subsequent or variation margin payments are received or made depending upon whether unrealized gains or losses are incurred. These amounts are reflected as a receivable or payable on the Statements of Financial Condition. When the contracts are closed or expire, the Fund recognizes a realized gain or loss equal to the difference between the proceeds from, or cost of, the closing transaction and the Fund’s basis in the contract. Realized gains (losses) and changes in unrealized appreciation (depreciation) on open positions are determined on a specific identification basis and recognized in the Statements of Income and Expenses in the period in which the contract is closed or the changes occur, respectively.

Note 3 - Financial Instrument Risk

In the normal course of its business, the Fund is a party to financial instruments with off-balance sheet risk. The term “off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in a future obligation or loss in excess of the amounts shown on the Statements of Financial Condition. The financial instruments used by the Fund are commodity futures contracts, the values of which are based upon an underlying asset and generally represent future commitments that have a reasonable possibility of being settled in cash or through physical delivery. The financial instruments are traded on an exchange and are standardized contracts.

Market risk is the potential for changes in the value of the financial instruments traded by the Fund due to market changes, including fluctuations in commodity prices. In entering into these futures contracts, there exists a market risk that such futures contracts may be significantly influenced by adverse market conditions, resulting in such futures contracts being less valuable. If the markets should move against all of the futures contracts at the same time, the Fund could experience substantial losses.

Credit risk is the possibility that a loss may occur due to the failure of the Commodity Broker and/or clearing house to perform according to the terms of a futures contract. Credit risk with respect to exchange-traded instruments is reduced to the extent that an exchange or clearing organization acts as a counterparty to the transactions. The Commodity Broker, when acting as the Fund’s futures commission merchant (“FCM”) in accepting orders for the purchase or sale of domestic futures contracts, is required by CFTC regulations to separately account for and segregate as belonging to the Fund all assets of the Fund relating to domestic futures trading. The Commodity Broker is not allowed to commingle such assets with other assets of the Commodity Broker. In addition, CFTC regulations also require the Commodity Broker to hold in a secure account assets of the Fund related to foreign futures trading. The Fund’s risk of loss in the event of counterparty default is typically limited to the amounts recognized in the Statements of Financial Condition and not represented by the futures contract or notional amounts of the instruments.

The Fund has not utilized, nor does it expect to utilize in the future, special purpose entities to facilitate off-balance sheet financing arrangements and has no loan guarantee arrangements or off-balance sheet arrangements of any kind, other than agreements entered into in the normal course of business noted above.

10


 

Note 4 – Service Providers and Related Party Agreements

The Trustee

Under the Trust Agreement, Wilmington Trust Company, the trustee of the Trust and the Fund (the “Trustee”), has the power and authority to execute and file certificates as required by the Delaware Statutory Trust Act and to accept service of process on the Fund in the State of Delaware. The Managing Owner has the exclusive management and control of all aspects of the business of the Trust and the Fund. The Trustee will serve in that capacity until such time as the Managing Owner removes the Trustee or the Trustee resigns and a successor is appointed by the Managing Owner. The Trustee will have no duty or liability to supervise or monitor the performance of the Managing Owner, nor will the Trustee have any liability for the acts or omissions of the Managing Owner.

The Managing Owner

The Managing Owner serves as the Fund’s commodity pool operator, commodity trading advisor and managing owner. The Fund pays the Managing Owner a management fee, monthly in arrears, in an amount equal to 0.75% per annum of the daily NAV of the Fund (the “Management Fee”). The Fund, for cash management purposes, invests in money market mutual funds and/or T-Bill ETFs that are managed by affiliates of the Managing Owner. The indirect portion of the management fee that the Fund incurs through such investments is in addition to the Management Fee paid to the Managing Owner. The Managing Owner has contractually agreed to waive indefinitely the fees that it receives in an amount equal to the indirect management fees that the Fund incurs through its investments in affiliated money market mutual funds and/or affiliated T-Bill ETFs. The Managing Owner may terminate this fee waiver on 60 days’ notice.

The Managing Owner waived fees of $12,685 and $64,234 for the three months ended March 31, 2022 and 2021, respectively.  

The Distributor

Invesco Distributors, Inc. (the “Distributor”) provides certain distribution services to the Fund. Pursuant to the Distribution Services Agreement among the Managing Owner, the Fund and the Distributor, the Distributor assists the Managing Owner and the Fund’s administrator, The Bank of New York Mellon, with certain functions and duties relating to distribution and marketing services to the Fund including reviewing and approving marketing materials.

The Managing Owner pays the Distributor a distribution fee out of the Management Fee.

The Commodity Broker

Morgan Stanley & Co. LLC, a Delaware limited liability company, serves as the Fund’s futures clearing broker (the “Commodity Broker”). The Commodity Broker is registered with the CFTC as an FCM and is a member of the NFA in such capacity.  

A variety of executing brokers execute futures transactions on behalf of the Fund. Such executing brokers give-up all such transactions to the Commodity Broker. In its capacity as clearing broker, the Commodity Broker may execute or receive transactions executed by others and clears all of the Fund’s futures transactions and performs certain administrative and custodial services for the Fund. The Commodity Broker is responsible, among other things, for providing periodic accountings of all dealings and actions taken by the Trust on behalf of the Fund during the reporting period, together with an accounting of all securities, cash or other indebtedness or obligations held by it or its nominees for or on behalf of the Fund.

The Administrator, Custodian and Transfer Agent

The Bank of New York Mellon (the “Administrator”, “Custodian” and “Transfer Agent”) is the administrator, custodian and transfer agent of the Fund. The Fund and the Administrator have entered into separate administrative and accounting, custodian, transfer agency and service agreements (collectively referred to as the “Administration Agreement”).

Pursuant to the Administration Agreement, the Administrator performs or supervises the performance of services necessary for the operation and administration of the Fund (other than making investment decisions), including receiving and processing orders from Authorized Participants to create and redeem Creation Units, NAV calculations, accounting and other fund administrative services. The Administrator maintains certain financial books and records, including: Creation Unit creation and redemption records; fund accounting records; ledgers with respect to assets, liabilities, capital, income and expenses; the registrar, transfer journals and related details; and trading and related documents received from the Commodity Broker. The Managing Owner pays the Administrator for its services out of the Management Fee.


11


 

 

Index Sponsor

 

The Managing Owner, on behalf of the Trust and the Fund, has appointed Deutsche Bank Securities, Inc. to serve as the index sponsor (the “Index Sponsor”). On February 1, 2021, the provision of index sponsor services transferred back to Deutsche Bank Securities, Inc. from DWS Investment Management Americas, Inc., to whom Deutsche Bank Securities, Inc. had previously assigned such responsibility. The Index Sponsor calculates and publishes the daily index levels and the indicative intraday index levels. Additionally, the Index Sponsor also calculates the indicative value per Share of the Fund throughout each business day.

 

          The Managing Owner pays the Index Sponsor a licensing fee and an index services fee out of the Management Fee for performing its duties.

Note 5 - Deposits with Commodity Broker and Custodian

The Fund defines cash as cash held by the Custodian.  There were no cash equivalents held by the Fund as of March 31, 2022 and December 31, 2021.

The Fund may deposit cash, United States Treasury Obligations, T-Bill ETFs and money market mutual funds with the Commodity Broker as margin, to the extent permissible under CFTC rules. The combination of the Fund’s deposits with its Commodity Broker of cash and United States Treasury Obligations and the unrealized profit or loss on open futures contracts represents the Fund’s overall equity in its broker trading account. To meet the Fund’s maintenance margin requirements, the Fund holds United States Treasury Obligations with the Commodity Broker. The Fund transfers cash to the Commodity Broker to satisfy variation margin requirements. The Fund earns interest on any excess cash deposited with the Commodity Broker and incurs interest expense on any deficit balance with the Commodity Broker.

The brokerage agreement with the Commodity Broker provides for the net settlement of all financial instruments covered by the agreement in the event of default or termination of any one contract. The Managing Owner will utilize any excess cash held at the Commodity Broker to offset any realized losses incurred in the commodity futures contracts, if available. To the extent that any excess cash held at the Commodity Broker is not adequate to cover any realized losses, a portion of the United States Treasury Obligations and T-Bill ETFs, if any, on deposit with the Commodity Broker will be sold to make additional cash available. For financial reporting purposes, the Fund offsets financial assets and financial liabilities that are subject to legally enforceable netting arrangements.

The Fund’s remaining cash, United States Treasury Obligations, T-Bill ETFs and money market mutual fund holdings are on deposit with the Custodian. The Fund is permitted to temporarily carry a negative or overdrawn balance in its account with the Custodian. The Fund incurs interest expense on any overdraft balance with the Custodian. Such balances, if any at period-end, are shown on the Statements of Financial Condition under the payable caption Due to custodian.

Note 6 - Additional Valuation Information

U.S. GAAP defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date, under current market conditions. U.S. GAAP establishes a hierarchy that prioritizes the inputs to valuation methods, giving the highest priority to readily available unadjusted quoted prices in an active market for identical assets (Level 1) and the lowest priority to significant unobservable inputs (Level 3), generally when market prices are not readily available or are unreliable. Based on the valuation inputs, the securities or other investments are tiered into one of three levels. Changes in valuation methods or market conditions may result in transfers in or out of an investment’s assigned level:

Level 1: Prices are determined using quoted prices in an active market for identical assets.

Level 2: Prices are determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, loss severities, default rates, discount rates, volatilities and others.

Level 3: Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in determining fair value of the securities or instruments and would be based on the best available information.

The levels assigned to the securities valuations may not be an indication of the risk or liquidity associated with investing in those securities. Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon actual sale of those investments.

12


 

The following is a summary of the tiered valuation input levels as of March 31, 2022:

 

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Investments in Securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

United States Treasury Obligations

 

$

 

 

$

119,804,292

 

 

$

 

 

$

119,804,292

 

Exchange-Traded Fund

 

 

43,919,355

 

 

 

 

 

 

 

 

 

43,919,355

 

Money Market Mutual Fund

 

 

363,236,924

 

 

 

 

 

 

 

 

 

363,236,924

 

Total Investments in Securities

 

 

407,156,279

 

 

 

119,804,292

 

 

 

 

 

 

526,960,571

 

Other Investments - Assets(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Commodity Futures Contracts

 

 

120,630,714

 

 

 

 

 

 

 

 

 

120,630,714

 

Total Investments

 

$

527,786,993

 

 

$

119,804,292

 

 

$

 

 

$

647,591,285

 

  

(a)

Unrealized appreciation (depreciation).

The following is a summary of the tiered valuation input levels as of December 31, 2021:

 

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Investments in Securities