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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM 10-Q

 

(Mark One)

QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended September 30, 2022

OR

TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

 

For the transition period from                      to                     

Commission File Number:                    001-33242

 

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 September 30, 2022: 22,100,000

 

 

 


 

INVESCO DB OIL FUND

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

QUARTER ENDED SEPTEMBER 30, 2022

TABLE OF CONTENTS

 

 

 

 

 

 


 

 

PART I. FINANCIAL INFORMATION

 

ITEM 1.

FINANCIAL STATEMENTS.

 

Invesco DB Oil Fund

Statements of Financial Condition

September 30, 2022 and December 31, 2021

(Unaudited)

 

 

 

September 30,

 

 

December 31,

 

 

 

2022

 

 

2021

 

Assets

 

 

 

 

 

 

 

 

United States Treasury Obligations, at value (cost $192,686,896 and $83,007,439

    respectively)

 

$

192,525,490

 

 

$

83,008,558

 

Affiliated Investments, at value (cost $149,695,969 and $362,050,622, respectively)

 

 

149,604,909

 

 

 

361,947,746

 

Receivable for:

 

 

 

 

 

 

 

 

Dividends from affiliates

 

 

274,015

 

 

 

6,405

 

Total assets

 

$

342,404,414

 

 

$

444,962,709

 

Liabilities

 

 

 

 

 

 

 

 

Other investments:

 

 

 

 

 

 

 

 

Variation margin payable- Commodity Futures Contracts

 

$

7,189,350

 

 

$

10,101,140

 

Payable for:

 

 

 

 

 

 

 

 

Management fees

 

 

206,962

 

 

 

268,440

 

Brokerage commissions and fees

 

 

5,036

 

 

 

5,076

 

Total liabilities

 

$

7,401,348

 

 

$

10,374,656

 

Commitments and Contingencies (Note 10)

 

 

 

 

 

 

 

 

Equity

 

 

 

 

 

 

 

 

Shareholder's equity—General Shares

 

 

606

 

 

 

540

 

Shareholders' equity—Shares

 

 

335,002,460

 

 

 

434,587,513

 

Total shareholders' equity

 

 

335,003,066

 

 

 

434,588,053

 

Total liabilities and equity

 

$

342,404,414

 

 

$

444,962,709

 

 

 

 

 

 

 

 

 

 

General Shares outstanding

 

40

 

 

 

40

 

Shares outstanding

 

 

22,100,000

 

 

 

32,200,000

 

Net asset value per share

 

$

15.16

 

 

$

13.50

 

Market value per share

 

$

15.19

 

 

$

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

September 30, 2022

(Unaudited)

 

Description

 

Percentage of

Shareholders'

Equity

 

 

Value

 

 

Principal Value

 

United States Treasury Obligations (a)

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury Bills, 1.850% due October 6, 2022 (b)

 

 

25.38

%

 

$

84,983,443

 

 

$

85,000,000

 

U.S. Treasury Bills, 2.490% due November 3, 2022 (b)

 

 

8.94

 

 

 

29,931,456

 

 

 

30,000,000

 

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

 

 

14.85

 

 

 

49,763,385

 

 

 

50,000,000

 

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

 

 

8.31

 

 

 

27,847,206

 

 

 

28,000,000

 

Total United States Treasury Obligations (cost $192,686,896)

 

 

57.48

%

 

$

192,525,490

 

 

 

 

 

Affiliated Investments

 

 

 

 

 

 

 

 

 

Shares

 

Exchange-Traded Fund

 

 

 

 

 

 

 

 

 

 

 

 

Invesco Treasury Collateral ETF (cost $23,959,630)(c)

 

 

7.12

%

 

$

23,868,570

 

 

 

226,500

 

Money Market Mutual Fund

 

 

 

 

 

 

 

 

 

 

 

 

Invesco Government & Agency Portfolio,

  Institutional Class, 2.88% (cost $125,736,339)(c)(d)

 

 

37.53

 

 

 

125,736,339

 

 

 

125,736,339

 

Total Affiliated Investments (cost $149,695,969)

 

 

44.65

%

 

$

149,604,909

 

 

 

 

 

Total Investments in Securities (cost $342,382,865)

 

 

102.13

%

 

$

342,130,399

 

 

 

 

 

 

(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 $112,647,800 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 September 30, 2022.

 

Open Commodity Futures Contracts

 

Number of Contracts

 

 

Expiration Date

 

Notional

Value

 

 

Value(e)

 

 

Unrealized

Appreciation

(Depreciation)(e)

 

Long Futures Contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NYMEX WTI Crude

 

 

4,305

 

 

December - 2022

 

$

334,713,750

 

 

$

30,718,650

 

 

$

30,718,650

 

 

(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 and Nine Months Ended September 30, 2022 and 2021

(Unaudited)

 

 

 

Three Months Ended

 

 

Nine Months Ended

 

 

 

September 30,

 

 

September 30,

 

 

 

2022

 

 

2021

 

 

2022

 

 

2021

 

Income

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest Income

 

$

819,790

 

 

$

20,749

 

 

$

1,142,046

 

 

$

67,968

 

Dividends from Affiliates

 

 

945,292

 

 

 

12,885

 

 

 

1,570,047

 

 

 

57,784

 

Total Income

 

 

1,765,082

 

 

 

33,634

 

 

 

2,712,093

 

 

 

125,752

 

Expenses

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Management Fees

 

 

740,049

 

 

 

888,242

 

 

 

2,641,402

 

 

 

2,750,257

 

Brokerage Commissions and Fees

 

 

3,824

 

 

 

5,306

 

 

 

9,859

 

 

 

65,156

 

Interest Expense

 

 

22,470

 

 

 

2,786

 

 

 

38,913

 

 

 

8,388

 

Total Expenses

 

 

766,343

 

 

 

896,334

 

 

 

2,690,174

 

 

 

2,823,801

 

Less: Waivers

 

 

(45,581

)

 

 

(10,549

)

 

 

(139,676

)

 

 

(90,653

)

Net Expenses

 

 

720,762

 

 

 

885,785

 

 

 

2,550,498

 

 

 

2,733,148

 

Net Investment Income (Loss)

 

 

1,044,320

 

 

 

(852,151

)

 

 

161,595

 

 

 

(2,607,396

)

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

)

 

 

1,505

 

Affiliated Investments

 

 

(100,756

)

 

 

(19,162

)

 

 

(100,756

)

 

 

(19,162

)

Commodity Futures Contracts

 

 

29,376,902

 

 

 

25,893,440

 

 

 

64,599,804

 

 

 

257,220,594

 

Net Realized Gain (Loss)

 

 

29,276,146

 

 

 

25,874,278

 

 

 

64,499,047

 

 

 

257,202,937

 

Net Change in Unrealized Gain (Loss) on

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

United States Treasury Obligations

 

 

128,494

 

 

 

7,303

 

 

 

(162,525

)

 

 

(4,867

)

Affiliated Investments

 

 

22,218

 

 

 

13,557

 

 

 

11,816

 

 

 

13,557

 

Commodity Futures Contracts

 

 

(102,841,696

)

 

 

2,370,426

 

 

 

9,689,818

 

 

 

(17,375,691

)

Net Change in Unrealized Gain (Loss)

 

 

(102,690,984

)

 

 

2,391,286

 

 

 

9,539,109

 

 

 

(17,367,001

)

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

   United States Treasury Obligations, Affiliated

   Investments and Commodity Futures Contracts

 

 

(73,414,838

)

 

 

28,265,564

 

 

 

74,038,156

 

 

 

239,835,936

 

Net Income (Loss)

 

$

(72,370,518

)

 

$

27,413,413

 

 

$

74,199,751

 

 

$

237,228,540

 

 

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 September 30, 2022

(Unaudited)

 

 

 

General Shares

 

 

Shares

 

 

Total

 

 

 

Shares

 

 

Total

Equity

 

 

Shares

 

 

Total

Equity

 

 

Shareholders'

Equity

 

Balance at June 30, 2022

 

 

40

 

 

$

728

 

 

 

27,900,000

 

 

$

507,932,914

 

 

$

507,933,642

 

Purchases of Shares

 

 

 

 

 

 

 

 

 

 

400,000

 

 

 

6,372,099

 

 

 

6,372,099

 

Redemption of Shares

 

 

 

 

 

 

 

 

 

 

(6,200,000

)

 

 

(106,932,157

)

 

 

(106,932,157

)

Net Increase (Decrease) due to Share Transactions

 

 

 

 

 

 

 

 

 

 

(5,800,000

)

 

 

(100,560,058

)

 

 

(100,560,058

)

Net Income (Loss)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Investment Income (Loss)

 

 

 

 

 

 

1

 

 

 

 

 

 

 

1,044,319

 

 

 

1,044,320

 

Net Realized Gain (Loss) on United States Treasury

   Obligations, Affiliated Investments and

   Commodity Futures Contracts

 

 

 

 

 

 

12

 

 

 

 

 

 

 

29,276,134

 

 

 

29,276,146

 

Net Change in Unrealized Gain (Loss) on United

   States Treasury Obligations, Affiliated

   Investments and Commodity Futures Contracts

 

 

 

 

 

 

(135

)

 

 

 

 

 

 

(102,690,849

)

 

 

(102,690,984

)

Net Income (Loss)

 

 

 

 

 

 

(122

)

 

 

 

 

 

 

(72,370,396

)

 

 

(72,370,518

)

Net Change in Shareholders' Equity

 

 

 

 

 

(122

)

 

 

(5,800,000

)

 

 

(172,930,454

)

 

 

(172,930,576

)

Balance at September 30, 2022

 

 

40

 

 

$

606

 

 

 

22,100,000

 

 

$

335,002,460

 

 

$

335,003,066

 

 

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 September 30, 2021

(Unaudited)

 

 

 

General Shares

 

 

Shares

 

 

Total

 

 

 

Shares

 

 

Total

Equity

 

 

Shares

 

 

Total

Equity

 

 

Shareholders'

Equity

 

Balance at June 30, 2021

 

 

40

 

 

$

516

 

 

 

40,100,000

 

 

$

516,884,303

 

 

$

516,884,819

 

Purchases of Shares

 

 

 

 

 

 

 

 

 

 

2,500,000

 

 

 

32,206,860

 

 

 

32,206,860

 

Redemption of Shares

 

 

 

 

 

 

 

 

 

 

(9,300,000

)

 

 

(118,676,362

)

 

 

(118,676,362

)

Net Increase (Decrease) due to Share Transactions

 

 

 

 

 

 

 

 

 

 

(6,800,000

)

 

 

(86,469,502

)

 

 

(86,469,502

)

Net Income (Loss)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Investment Income (Loss)

 

 

 

 

 

 

(1

)

 

 

 

 

 

 

(852,150

)

 

 

(852,151

)

Net Realized Gain (Loss) on United States Treasury

   Obligations, Affiliated Investments and

   Commodity Futures Contracts

 

 

 

 

 

 

34

 

 

 

 

 

 

 

25,874,244

 

 

 

25,874,278

 

Net Change in Unrealized Gain (Loss) on United

   States Treasury Obligations, Affiliated

   Investments and Commodity Futures Contracts

 

 

 

 

 

 

1

 

 

 

 

 

 

 

2,391,285

 

 

 

2,391,286

 

Net Income (Loss)

 

 

 

 

 

 

34

 

 

 

 

 

 

 

27,413,379

 

 

 

27,413,413

 

Net Change in Shareholders' Equity

 

 

 

 

 

34

 

 

 

(6,800,000

)

 

 

(59,056,123

)

 

 

(59,056,089

)

Balance at September 30, 2021

 

 

40

 

 

$

550

 

 

 

33,300,000

 

 

$

457,828,180

 

 

$

457,828,730

 

 

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


6


 

 

Invesco DB Oil Fund

Statement of Changes in Shareholders’ Equity

For the Nine Months Ended September 30, 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

 

 

 

 

 

 

 

 

 

 

4,200,000

 

 

 

68,210,234

 

 

 

68,210,234

 

Redemption of Shares

 

 

 

 

 

 

 

 

 

 

(14,300,000

)

 

 

(241,994,972

)

 

 

(241,994,972

)

Net Increase (Decrease) due to Share Transactions

 

 

 

 

 

 

 

 

 

 

(10,100,000

)

 

 

(173,784,738

)

 

 

(173,784,738

)

Net Income (Loss)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Investment Income (Loss)

 

 

 

 

 

 

 

 

 

 

 

 

 

161,595

 

 

 

161,595

 

Net Realized Gain (Loss) on United States Treasury

   Obligations, Affiliated Investments and

   Commodity Futures Contracts

 

 

 

 

 

 

57

 

 

 

 

 

 

 

64,498,990

 

 

 

64,499,047

 

Net Change in Unrealized Gain (Loss) on United

   States Treasury Obligations, Affiliated

   Investments and Commodity Futures Contracts

 

 

 

 

 

 

9

 

 

 

 

 

 

 

9,539,100

 

 

 

9,539,109

 

Net Income (Loss)

 

 

 

 

 

 

66

 

 

 

 

 

 

 

74,199,685

 

 

 

74,199,751

 

Net Change in Shareholders' Equity

 

 

 

 

 

66

 

 

 

(10,100,000

)

 

 

(99,585,053

)

 

 

(99,584,987

)

Balance at September 30, 2022

 

40

 

 

$

606

 

 

 

22,100,000

 

 

$

335,002,460

 

 

$

335,003,066

 

 

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


7


 

 

Invesco DB Oil Fund

Statement of Changes in Shareholders’ Equity

For the Nine Months Ended September 30, 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