10-Q 1 dbp-20240331.htm 10-Q 10-Q
--12-310001383057falseQ1December 31,2024December 31,2024December 31,2024 December 31,20240001383057Open Commodity Futures Contracts Long Futures Contracts COMEX Silver Expiration Date December-20242024-01-012024-03-310001383057us-gaap:InvestmentAffiliatedIssuerMember2024-03-310001383057us-gaap:GeneralPartnerMember2023-01-012023-03-310001383057us-gaap:NondesignatedMemberus-gaap:CommodityContractMember2023-01-012023-03-310001383057United States Treasury Obligations2023-12-310001383057us-gaap:USTreasuryBillSecuritiesMember2024-03-310001383057srt:AffiliatedEntityMemberus-gaap:InvestmentAffiliatedIssuerMember2024-01-012024-03-310001383057us-gaap:CommodityContractMember2024-01-012024-03-310001383057Affiliated Investments Exchange-Traded Fund Invesco Short Term Treasury ETF2024-03-310001383057us-gaap:LimitedPartnerMember2023-01-012023-03-310001383057Open Commodity Futures Contracts Long Futures Contracts COMEX Gold Expiration Date December-20242024-03-310001383057us-gaap:USTreasuryBillSecuritiesMember2024-03-310001383057us-gaap:LimitedPartnerMember2022-12-310001383057us-gaap:FairValueInputsLevel1Member2024-03-310001383057srt:AffiliatedEntityMemberus-gaap:USTreasuryAndGovernmentMember2024-01-012024-03-310001383057United States Treasury Obligations2024-03-310001383057srt:AffiliatedEntityMemberus-gaap:InvestmentAffiliatedIssuerMemberus-gaap:USGovernmentCorporationsAndAgenciesSecuritiesMember2023-12-310001383057Commodity Futures Contracts2024-03-310001383057srt:AffiliatedEntityMember2023-01-012023-03-3100013830572023-01-012023-03-310001383057srt:AffiliatedEntityMemberus-gaap:InvestmentAffiliatedIssuerMemberus-gaap:ExchangeTradedFundsMember2023-12-310001383057Affiliated Investments2023-12-310001383057srt:AffiliatedEntityMemberus-gaap:InvestmentAffiliatedIssuerMember2023-12-310001383057us-gaap:LimitedPartnerMember2023-12-310001383057srt:AffiliatedEntityMemberus-gaap:InvestmentAffiliatedIssuerMemberus-gaap:ExchangeTradedFundsMember2023-03-3100013830572023-03-310001383057us-gaap:GeneralPartnerMember2024-01-012024-03-310001383057Investments in Securities2023-12-310001383057srt:AffiliatedEntityMemberus-gaap:InvestmentAffiliatedIssuerMember2023-01-012023-03-310001383057srt:AffiliatedEntityMemberus-gaap:InvestmentAffiliatedIssuerMemberus-gaap:ExchangeTradedFundsMember2022-12-310001383057srt:AffiliatedEntityMemberus-gaap:InvestmentAffiliatedIssuerMemberus-gaap:ExchangeTradedFundsMember2024-01-012024-03-310001383057Commodity Futures Contracts2023-12-310001383057srt:AffiliatedEntityMemberus-gaap:InvestmentAffiliatedIssuerMemberus-gaap:USGovernmentCorporationsAndAgenciesSecuritiesMember2023-01-012023-03-310001383057srt:AffiliatedEntityMemberus-gaap:USGovernmentCorporationsAndAgenciesSecuritiesMember2023-01-012023-03-310001383057us-gaap:LimitedPartnerMember2024-01-012024-03-310001383057srt:AffiliatedEntityMemberus-gaap:InvestmentAffiliatedIssuerMemberus-gaap:ExchangeTradedFundsMember2024-03-310001383057Open Commodity Futures Contracts Long Futures Contracts COMEX Silver Expiration Date December-20242023-01-012023-12-310001383057United States Treasury Obligations U.S. Treasury Bill, 5.240% due May 30, 20242023-12-3100013830572024-01-012024-03-310001383057srt:AffiliatedEntityMemberus-gaap:InvestmentAffiliatedIssuerMemberus-gaap:USGovernmentCorporationsAndAgenciesSecuritiesMember2022-12-310001383057srt:AffiliatedEntityMemberus-gaap:InvestmentAffiliatedIssuerMember2022-12-310001383057us-gaap:NondesignatedMemberus-gaap:CommodityContractMember2024-03-310001383057us-gaap:NondesignatedMemberus-gaap:CommodityContractMember2023-12-310001383057Affiliated Investments Money Market Mutual Fund Invesco Government & Agency Portfolio, Institutional Class, 5.29%2023-12-310001383057Open Commodity Futures Contracts Long Futures Contracts COMEX Silver Expiration Date December-20242024-03-310001383057us-gaap:LimitedPartnerMember2024-03-310001383057srt:AffiliatedEntityMemberus-gaap:USTreasuryAndGovernmentMembersrt:MinimumMember2024-03-3100013830572015-02-230001383057Affiliated Investments2024-03-310001383057us-gaap:CommodityContractMember2023-01-012023-03-310001383057us-gaap:USTreasuryBillSecuritiesMember2023-12-310001383057srt:AffiliatedEntityMemberus-gaap:USGovernmentCorporationsAndAgenciesSecuritiesMember2024-01-012024-03-310001383057us-gaap:NondesignatedMemberus-gaap:CommodityContractMember2024-01-012024-03-310001383057Open Commodity Futures Contracts Long Futures Contracts COMEX Silver Expiration Date December-20242023-12-310001383057United States Treasury Obligations U.S. Treasury Bill, 5.255% due May 30, 20242024-03-3100013830572024-03-310001383057us-gaap:GeneralPartnerMember2024-03-310001383057srt:AffiliatedEntityMemberus-gaap:ExchangeTradedFundsMember2023-01-012023-03-310001383057Affiliated Investments Money Market Mutual Fund Invesco Government & Agency Portfolio, Institutional Class, 5.25%2024-03-3100013830572006-08-030001383057Affiliated Investments Exchange-Traded Fund Invesco Short Term Treasury ETF2023-12-310001383057srt:AffiliatedEntityMemberus-gaap:ExchangeTradedFundsMember2024-01-012024-03-310001383057srt:AffiliatedEntityMemberus-gaap:InvestmentAffiliatedIssuerMemberus-gaap:USGovernmentCorporationsAndAgenciesSecuritiesMember2023-03-310001383057srt:AffiliatedEntityMember2024-01-012024-03-310001383057us-gaap:GeneralPartnerMember2022-12-310001383057us-gaap:FairValueInputsLevel1Member2023-12-3100013830572023-12-310001383057us-gaap:GeneralPartnerMember2023-03-310001383057srt:AffiliatedEntityMemberus-gaap:InvestmentAffiliatedIssuerMember2024-03-310001383057srt:AffiliatedEntityMemberus-gaap:InvestmentAffiliatedIssuerMember2023-03-310001383057Open Commodity Futures Contracts Long Futures Contracts COMEX Gold Expiration Date December-20242024-01-012024-03-310001383057Investments in Securities2024-03-310001383057us-gaap:FairValueInputsLevel2Member2023-12-310001383057srt:AffiliatedEntityMemberus-gaap:InvestmentAffiliatedIssuerMemberus-gaap:USGovernmentCorporationsAndAgenciesSecuritiesMember2024-01-012024-03-3100013830572022-12-310001383057us-gaap:LimitedPartnerMember2023-03-310001383057Open Commodity Futures Contracts Long Futures Contracts COMEX Gold Expiration Date December-20242023-12-310001383057srt:AffiliatedEntityMemberus-gaap:InvestmentAffiliatedIssuerMemberus-gaap:USGovernmentCorporationsAndAgenciesSecuritiesMember2024-03-310001383057us-gaap:USTreasuryBillSecuritiesMember2023-12-310001383057Open Commodity Futures Contracts Long Futures Contracts COMEX Gold Expiration Date December-20242023-01-012023-12-310001383057srt:AffiliatedEntityMemberus-gaap:InvestmentAffiliatedIssuerMemberus-gaap:ExchangeTradedFundsMember2023-01-012023-03-310001383057us-gaap:FairValueInputsLevel2Member2024-03-310001383057us-gaap:InvestmentAffiliatedIssuerMember2023-12-310001383057us-gaap:GeneralPartnerMember2023-12-31dbp:CreationUnitiso4217:USDxbrli:sharesxbrli:purexbrli:sharesdbp:Contractdbp:Trustiso4217:USD

 

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, 2024

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: 001-33244

 

INVESCO DB PRECIOUS METALS FUND

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

(Exact name of registrant as specified in its charter)

 

 

Delaware

 

87-0778065

(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

DBP

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, 2024: 2,750,000


INVESCO DB PRECIOUS METALS FUND

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

QUARTER ENDED MARCH 31, 2024

TABLE OF CONTENTS

 

 

 

Page

PART I.

FINANCIAL INFORMATION

1

 

 

 

ITEM 1.

Financial Statements

1

Notes to Unaudited Financial Statements

8

ITEM 2.

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

17

ITEM 3.

Quantitative and Qualitative Disclosures About Market Risk

26

ITEM 4.

Controls and Procedures

28

 

 

 

PART II.

OTHER INFORMATION

29

 

 

 

Item 1.

Legal Proceedings

29

Item 1A.

Risk Factors

29

Item 2.

Unregistered Sales of Equity Securities and Use of Proceeds

29

Item 3.

Defaults Upon Senior Securities

29

Item 4.

Mine Safety Disclosures

29

Item 5.

Other Information

29

Item 6.

Exhibits

30

 

 

SIGNATURES

31

 

 

 


 

PART I. FINANCIAL INFORMATION

ITEM 1. FINANCIAL STATEMENTS.

Invesco DB Precious Metals Fund

Statements of Financial Condition

March 31, 2024 and December 31, 2023

(Unaudited)

 

 

 

March 31,

 

 

December 31,

 

 

 

2024

 

 

2023

 

Assets

 

 

 

 

 

 

 United States Treasury Obligations, at value (cost $54,519,062 and $53,793,547, respectively)

 

$

54,526,095

 

 

$

53,851,960

 

 Affiliated investments, at value (cost $90,437,629 and $94,240,094, respectively)

 

 

90,438,888

 

 

 

94,268,880

 

Other investments:

 

 

 

 

 

 

Variation margin receivable- Commodity Futures Contracts

 

 

1,574,440

 

 

 

 

Receivable for:

 

 

 

 

 

 

Dividends from affiliates

 

 

384,193

 

 

 

451,026

 

Total assets

 

$

146,923,616

 

 

$

148,571,866

 

Liabilities

 

 

 

 

 

 

Other Investments:

 

 

 

 

 

 

Variation margin payable- Commodity Futures Contracts

 

$

 

 

$

987,795

 

Payable for:

 

 

 

 

 

 

Management fees

 

 

83,998

 

 

 

88,174

 

Brokerage commissions and fees

 

 

4,988

 

 

 

5,002

 

Total liabilities

 

 

88,986

 

 

 

1,080,971

 

Commitments and Contingencies (Note 10)

 

 

 

 

 

 

Equity

 

 

 

 

 

 

Shareholder's equity—General Shares

 

 

2,136

 

 

 

2,000

 

Shareholders' equity—Shares

 

 

146,832,494

 

 

 

147,488,895

 

Total shareholders' equity

 

 

146,834,630

 

 

 

147,490,895

 

Total liabilities and equity

 

$

146,923,616

 

 

$

148,571,866

 

General Shares outstanding

 

40

 

 

40

 

Shares outstanding

 

 

2,750,000

 

 

 

2,950,000

 

Net asset value per share

 

$

53.39

 

 

$

50.00

 

Market value per share

 

$

53.46

 

 

$

50.03

 

 

 

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

 

1


 

Invesco DB Precious Metals Fund

Schedule of Investments

March 31, 2024

(Unaudited)

 

Description

 

Percentage of
Shareholders'
Equity

 

 

Value

 

 

Principal Value

 

United States Treasury Obligations(a)

 

 

 

 

 

 

 

 

 

U.S. Treasury Bills, 5.255% due May 30, 2024(b)

 

 

37.14

%

 

$

54,526,095

 

 

$

55,000,000

 

Total United States Treasury Obligations (cost $54,519,062)

 

 

37.14

%

 

$

54,526,095

 

 

 

 

Affiliated Investments

 

 

 

 

 

 

 

Shares

 

Exchange-Traded Fund

 

 

 

 

 

 

 

 

 

Invesco Short Term Treasury ETF (cost $21,504,074)(c)(d)

 

 

14.64

%

 

$

21,505,333

 

 

 

203,900

 

Money Market Mutual Fund

 

 

 

 

 

 

 

 

 

Invesco Government & Agency Portfolio, Institutional Class,
    
5.25% (cost $68,933,555)(c)(e)

 

 

46.95

 

 

 

68,933,555

 

 

 

68,933,555

 

Total Affiliated Investments (cost $90,437,629)

 

 

61.59

%

 

$

90,438,888

 

 

 

 

     Total Investments in Securities (cost $144,956,691)

 

 

98.73

%

 

$

144,964,983

 

 

 

 

(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 $24,782,500 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)
All or a portion of the value was pledged as collateral to cover margin requirements for open futures contracts. See Note 2J.
(e)
The rate shown is the 7-day SEC standardized yield as of March 31, 2024.

 

Open Commodity Futures Contracts

 

Number of Contracts

 

 

Expiration Date

 

Notional
Value

 

 

Value(f)

 

 

Unrealized Appreciation (Depreciation)(f)

 

 

Long Futures Contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

COMEX Gold

 

 

514

 

 

December-2024

 

$

118,127,480

 

 

$

10,453,669

 

 

$

10,453,669

 

 

COMEX Silver

 

 

223

 

 

December-2024

 

 

28,674,455

 

 

 

656,947

 

 

 

656,947

 

 

Total Commodity Futures Contracts

 

 

 

 

 

 

 

 

 

$

11,110,616

 

 

$

11,110,616

 

 

 

(f)
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 Precious Metals Fund

Schedule of Investments

December 31, 2023

(Unaudited)

 

Description

 

Percentage of
Shareholders'
Equity

 

 

Value

 

 

Principal Value

 

United States Treasury Obligations(a)

 

 

 

 

 

 

 

 

 

U.S. Treasury Bill, 5.240% due May 30, 2024(b)

 

 

36.51

%

 

$

53,851,960

 

 

$

55,000,000

 

Total United States Treasury Obligations (cost $53,793,547)

 

 

36.51

%

 

$

53,851,960

 

 

 

 

Affiliated Investments

 

 

 

 

 

 

 

Shares

 

Exchange-Traded Fund

 

 

 

 

 

 

 

 

 

Invesco Short Term Treasury ETF (cost $21,504,074)(c)(d)

 

 

14.60

%

 

$

21,532,860

 

 

 

203,900

 

Money Market Mutual Fund

 

 

 

 

 

 

 

 

 

Invesco Government & Agency Portfolio, Institutional
   Class,
5.29% (cost $72,736,020)(c)(e)

 

 

49.32

 

 

 

72,736,020

 

 

 

72,736,020

 

Total Affiliated Investments (cost $94,240,094)

 

 

63.92

%

 

 

94,268,880

 

 

 

 

Total Investments in Securities (cost $148,033,641)

 

 

100.43

%

 

$

148,120,840

 

 

 

 

(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 $24,477,500 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)
Effective after the close of markets on August 25, 2023, the fund's name changed from Invesco Treasury Collateral ETF to Invesco Short Term Treasury ETF.
(e)
The rate shown is the 7-day SEC standardized yield as of December 31, 2023.

 

Open Commodity Futures Contracts

 

Number of Contracts

 

 

Expiration Date

 

Notional
Value

 

 

Value(f)

 

 

Unrealized Appreciation (Depreciation)(f)

 

 

Long Futures Contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

COMEX Gold

 

 

546

 

 

December-2024

 

$

117,941,460

 

 

$

3,571,650

 

 

$

3,571,650

 

 

COMEX Silver

 

 

235

 

 

December-2024

 

 

29,393,800

 

 

 

(187,020

)

 

 

(187,020

)

 

Total Commodity Futures Contracts

 

 

 

 

 

 

 

 

 

$

3,384,630

 

 

$

3,384,630

 

 

 

(f)
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 Precious Metals Fund

Statements of Income and Expenses

For the Three Months Ended March 31, 2024 and 2023

(Unaudited)

 

 

 

Three Months Ended

 

 

 

 

March 31,

 

 

 

 

2024

 

 

2023

 

 

Income

 

 

 

 

 

 

 

Interest Income

 

$

732,322

 

 

$

457,980

 

 

Dividends from Affiliates

 

 

1,107,497

 

 

 

1,129,900

 

 

Total Income

 

 

1,839,819

 

 

 

1,587,880

 

 

Expenses

 

 

 

 

 

 

 

Management Fees

 

 

260,985

 

 

 

267,160

 

 

Brokerage Commissions and Fees

 

 

150

 

 

 

2,577

 

 

Interest Expense

 

 

7,487

 

 

 

6,422

 

 

Total Expenses

 

 

268,622

 

 

 

276,159

 

 

Less: Waivers

 

 

(20,053

)

 

 

(22,527

)

 

Net Expenses

 

 

248,569

 

 

 

253,632

 

 

Net Investment Income (Loss)

 

 

1,591,250

 

 

 

1,334,248

 

 

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

 

 

 

 

 

 

 

Net Realized Gain (Loss) from

 

 

 

 

 

 

 

Affiliated Investments

 

 

 

 

 

 

 

Commodity Futures Contracts

 

 

(153,941

)

 

 

801,895

 

 

Net Realized Gain (Loss)

 

 

(153,941

)

 

 

801,895

 

 

Net Change in Unrealized Gain (Loss) from

 

 

 

 

 

 

 

United States Treasury Obligations

 

 

(51,380

)

 

 

25,793

 

 

Affiliated Investments

 

 

(27,527

)

 

 

38,741

 

 

Commodity Futures Contracts

 

 

7,725,986

 

 

 

7,086,821

 

 

Net Change in Unrealized Gain (Loss)

 

 

7,647,079

 

 

 

7,151,355

 

 

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

 

 

7,493,138

 

 

 

7,953,250

 

 

Net Income (Loss)

 

$

9,084,388

 

 

$

9,287,498

 

 

 

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

 

4


 

Invesco DB Precious Metals Fund

Statement of Changes in Shareholders’ Equity

For the Three Months Ended March 31, 2024

(Unaudited)

 

 

 

General Shares

 

 

Shares

 

 

Total

 

 

 

Shares

 

 

Total
Equity

 

 

Shares

 

 

Total
Equity

 

 

Shareholders'
Equity

 

Balance at December 31, 2023

 

40

 

 

$

2,000

 

 

 

2,950,000

 

 

$

147,488,895

 

 

$

147,490,895

 

Purchases of Shares

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Redemption of Shares

 

 

 

 

 

 

 

 

(200,000

)

 

 

(9,740,653

)

 

 

(9,740,653

)

Net Increase (Decrease) due to Share Transactions

 

 

 

 

 

 

 

 

(200,000

)

 

 

(9,740,653

)

 

 

(9,740,653

)

Net Income (Loss)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Investment Income (Loss)

 

 

 

 

 

24

 

 

 

 

 

 

1,591,226

 

 

 

1,591,250

 

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

 

 

 

 

 

(2

)

 

 

 

 

 

(153,939

)

 

 

(153,941

)

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

 

 

 

 

 

114

 

 

 

 

 

 

7,646,965

 

 

 

7,647,079

 

Net Income (Loss)

 

 

 

 

 

136

 

 

 

 

 

 

9,084,252

 

 

 

9,084,388

 

Net Change in Shareholders' Equity

 

 

 

 

 

136

 

 

 

(200,000

)

 

 

(656,401

)

 

 

(656,265

)

Balance at March 31, 2024

 

40

 

 

$

2,136

 

 

 

2,750,000

 

 

$

146,832,494

 

 

$

146,834,630

 

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

 

5


 

Invesco DB Precious Metals Fund

Statement of Changes in Shareholders’ Equity

For the Three Months Ended March 31, 2023

(Unaudited)

 

 

 

General Shares

 

 

Shares

 

 

Total

 

 

 

Shares

 

 

Total
Equity

 

 

Shares

 

 

Total
Equity

 

 

Shareholders'
Equity

 

Balance at December 31, 2022

 

40

 

 

$

1,916

 

 

 

2,300,000

 

 

$

110,148,573

 

 

$

110,150,489

 

Purchases of Shares

 

 

 

 

 

 

 

 

1,200,000

 

 

 

58,047,992

 

 

 

58,047,992

 

Redemption of Shares

 

 

 

 

 

 

 

 

(300,000

)

 

 

(14,548,727

)

 

 

(14,548,727

)

Net Increase (Decrease) due to Share Transactions

 

 

 

 

 

 

 

 

900,000

 

 

 

43,499,265

 

 

 

43,499,265

 

Net Income (Loss)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Investment Income (Loss)

 

 

 

 

 

17

 

 

 

 

 

 

1,334,231

 

 

 

1,334,248

 

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

 

 

 

 

 

11

 

 

 

 

 

 

801,884

 

 

 

801,895

 

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

 

 

 

 

 

93

 

 

 

 

 

 

7,151,262

 

 

 

7,151,355

 

Net Income (Loss)

 

 

 

 

 

121

 

 

 

 

 

 

9,287,377

 

 

 

9,287,498

 

Net Change in Shareholders' Equity

 

 

 

 

 

121

 

 

 

900,000

 

 

 

52,786,642

 

 

 

52,786,763

 

Balance at March 31, 2023

 

40

 

 

$

2,037

 

 

 

3,200,000

 

 

$

162,935,215

 

 

$

162,937,252

 

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

6


 

 

Invesco DB Precious Metals Fund

Statements of Cash Flows

For the Three Months Ended March 31, 2024 and 2023

(Unaudited)

 

 

 

Three Months Ended

 

 

 

March 31,

 

 

 

2024

 

 

2023

 

Cash flows from operating activities:

 

 

 

 

 

 

Net Income (Loss)

 

$

9,084,388

 

 

$

9,287,498

 

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

 

 

 

 

 

 

Cost of securities purchased

 

 

 

 

 

(59,283,881

)

Proceeds from securities sold and matured

 

 

 

 

 

40,000,000

 

Cost of affiliated investments purchased

 

 

(26,802,036

)

 

 

(97,522,661

)

Proceeds from affiliated investments sold

 

 

30,604,501

 

 

 

63,419,670

 

Net accretion of discount on United States Treasury Obligations

 

 

(725,515

)

 

 

(453,406

)

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

 

 

78,907

 

 

 

(64,534

)

Change in operating assets and liabilities:

 

 

 

 

 

 

Variation margin- Commodity Futures Contracts

 

 

(2,562,235

)

 

 

404,465

 

Dividends from affiliates

 

 

66,833

 

 

 

(187,873

)

Management fees

 

 

(4,176

)

 

 

27,536

 

Brokerage commissions and fees

 

 

(14

)

 

 

1

 

Net cash provided by (used in) operating activities

 

 

9,740,653

 

 

 

(44,373,185

)

Cash flows from financing activities:

 

 

 

 

 

 

Proceeds from purchases of Shares

 

 

 

 

 

58,047,992

 

Redemption of Shares

 

 

(9,740,653

)

 

 

(14,548,727

)

Net cash provided by (used in) financing activities

 

 

(9,740,653

)

 

 

43,499,265

 

Net change in cash

 

 

 

 

 

(873,920

)

Cash at beginning of period

 

 

 

 

 

873,920

 

Cash at end of period

 

$

 

 

$

 

Supplemental disclosure of cash flow information

 

 

 

 

 

 

Cash paid for interest

 

$

7,487

 

 

$

6,422

 

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

 

7


 

Invesco DB Precious Metals Fund

Notes to Unaudited Financial Statements

March 31, 2024

 

Note 1 - Organization

Invesco DB Precious Metals Fund (the “Fund”), a separate series of Invesco DB Multi-Sector Commodity Trust (the “Trust”), a Delaware statutory trust organized in five 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 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 Precious Metals 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 precious metals sector. The commodities comprising the Index are gold and silver (each an “Index Commodity”, and collectively, the “Index Commodities”).

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 Index Commodities (the “Index Contracts”). As the Fund approaches or reaches position limits with respect to an Index Commodity, the Fund may commence investing in Index Contracts that reference other Index Commodities. In those circumstances, the Fund may also trade in futures contracts based on commodities other than Index Commodities that the Managing Owner reasonably believes tend to exhibit trading prices that correlate with an Index Contract.

The Managing Owner may determine to invest in other futures contracts if at any time it is impractical, including in scenarios wherein the futures market for an Index Contract is thinly traded, or inefficient to gain full or partial exposure to an Index Commodity through the use of Index Contracts. These other futures contracts may or may not be based on an 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 50,000 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, 2024 and 2023. 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, 2023, as filed with the SEC on February 23, 2024.

 

 

8


 

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.

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 Fund's shareholders ("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 declared for the three months ended March 31, 2024 and 2023.

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

9


 

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, 2024 and 2023, the Fund did not incur such expenses.

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, 2024, and 2023, 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, 2020.

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.

 

10


 

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.

 

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 $20,053 and $22,527 for the three months ended March 31, 2024 and 2023, 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”).

 

11


 

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.

Index Sponsor

The Managing Owner, on behalf of the Fund, has appointed Deutsche Bank Securities, Inc. to serve as the index sponsor (the “Index Sponsor”). 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, 2024 and December 31, 2023. The Fund considers investments in money market funds to be investments in securities and, accordingly, includes them in its Schedule of Investments.

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.

Because the Fund's assets are maintained with the Commodity Broker and Custodian, the distress, impairment or failure of the Commodity Broker or Custodian could result in the loss of or delay in access to Fund assets.

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.

12


 

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.

The following is a summary of the tiered valuation input levels as of March 31, 2024:

 

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Investments in Securities

 

 

 

 

 

 

 

 

 

 

 

 

   United States Treasury Obligations

 

$

 

 

$

54,526,095

 

 

$

 

 

$

54,526,095

 

   Exchange-Traded Fund

 

 

21,505,333

 

 

 

 

 

 

 

 

 

21,505,333

 

   Money Market Mutual Fund

 

 

68,933,555

 

 

 

 

 

 

 

 

 

68,933,555

 

Total Investments in Securities

 

 

90,438,888

 

 

 

54,526,095

 

 

 

 

 

 

144,964,983

 

Other Investments - Assets (a)

 

 

 

 

 

 

 

 

 

 

 

 

   Commodity Futures Contracts

 

 

11,110,616

 

 

 

 

 

 

 

 

 

11,110,616

 

Total Investments

 

$

101,549,504

 

 

$

54,526,095

 

 

$

 

 

$

156,075,599

 

 

(a)
Unrealized appreciation (depreciation).

The following is a summary of the tiered valuation input levels as of December 31, 2023:

 

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Investments in Securities

 

 

 

 

 

 

 

 

 

 

 

 

   United States Treasury Obligations

 

$

 

 

$

53,851,960

 

 

$

 

 

$

53,851,960

 

   Exchange-Traded Fund

 

 

21,532,860

 

 

 

 

 

 

 

 

 

21,532,860

 

   Money Market Mutual Fund

 

 

72,736,020

 

 

 

 

 

 

 

 

 

72,736,020

 

Total Investments in Securities

 

 

94,268,880

 

 

 

53,851,960

 

 

 

 

 

 

148,120,840

 

Other Investments - Assets (a)

 

 

 

 

 

 

 

 

 

 

 

 

   Commodity Futures Contracts

 

 

3,571,650

 

 

 

 

 

 

 

 

 

3,571,650

 

Other Investments - Liabilities(a)

 

 

 

 

 

 

 

 

 

 

 

 

   Commodity Futures Contracts

 

 

(187,020

)

 

 

 

 

 

 

 

 

(187,020

)

Total Other Investments

 

 

3,384,630

 

 

 

 

 

 

 

 

 

3,384,630

 

Total Investments

 

$

97,653,510

 

 

$

53,851,960

 

 

$

 

 

$

151,505,470

 

 

(a)
Unrealized appreciation (depreciation).

Note 7 – Derivative Instruments

The Fair Value of Derivative Instruments is as follows:

 

 

 

March 31, 2024

 

 

December 31, 2023

 

Risk Exposure/Derivative Type (a)

 

Assets

 

 

Liabilities

 

 

Assets

 

 

Liabilities

 

Commodity risk

 

 

 

 

 

 

 

 

 

 

 

 

Commodity Futures Contracts

 

$

11,110,616

 

 

$

 

 

$

3,571,650

 

 

$

(187,020

)

 

(a)
Includes cumulative appreciation (depreciation) of commodity futures contracts. Only the current day’s variation margin receivable (payable) is reported in the March 31, 2024 and December 31, 2023 Statements of Financial Condition.

The Effect of Derivative Instruments on the Statements of Income and Expenses is as follows:

 

 

 

For the Three Months Ended

 

 

Location of Gain (Loss) on Derivatives

 

March 31,

 

Risk Exposure/Derivative Type

Recognized in Income

 

2024

 

 

2023

 

Commodity risk

 

 

 

 

 

 

 

Commodity Futures Contracts

Net Realized Gain (Loss)

 

$

(153,941

)

 

$

801,895

 

 

Net Change in Unrealized Gain (Loss)

 

 

7,725,986

 

 

 

7,086,821

 

Total

 

 

$

7,572,045

 

 

$

7,888,716

 

 

The table below summarizes the average monthly notional value of futures contracts held during the period:

 

 

 

For the Three Months Ended

 

 

 

 

March 31,

 

 

 

 

2024

 

 

2023

 

 

Average Notional Value

 

$

141,112,281

 

 

$

140,614,148

 

 

 

13


 

Note 8 – Investments in Affiliates

The Invesco Short Term Treasury ETF, formerly known as the Invesco Treasury Collateral ETF, is an investment company registered under the Investment Company Act of 1940, as amended, whose shares are primarily purchased and sold on a national securities exchange. In seeking its investment objective, the Invesco Short Term Treasury ETF primarily holds U.S. Treasury Obligations that: (i) are issued in U.S. Dollars; (ii) have a minimum remaining maturity of at least one month and a maximum remaining maturity of 12 months at the time of rebalance; and (iii) have a minimum amount outstanding of $300 million. Because it is advised by the Managing Owner, the Invesco Short Term Treasury ETF is an affiliate of the Fund.

The Invesco Government & Agency Portfolio is a Government Money Market Fund, as defined by Rule 2a-7, under the Investment Company Act of 1940, as amended, whose shares are primarily purchased and sold through financial intermediaries. In seeking its investment objective, the Invesco Government & Agency Portfolio primarily invests in cash, Government Securities, and repurchases agreements collateralized by cash or Government Securities. The Invesco Government & Agency Portfolio and the Fund are advised by investment advisers under common control of Invesco Ltd., and therefore the Invesco Government & Agency Portfolio is considered to be affiliated with the Fund.

The following is a summary of the transactions in, and earnings from, investments in affiliates for the three months ended March 31, 2024.

 

Value
12/31/2023

 

 

Purchases at Cost

 

 

Proceeds from Sales

 

 

Change in Unrealized Appreciation (Depreciation)

 

 

Realized Gain (Loss)

 

 

Value
03/31/2024

 

 

Dividend Income

 

Invesco Short Term Treasury ETF

 

$

21,532,860

 

 

$

 

 

$

 

 

$

(27,527

)

 

$

 

 

$

21,505,333

 

 

$

276,576

 

Investments in Affiliated
   Money Market Funds:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Invesco Government &
   Agency Portfolio,
   Institutional Class

 

 

72,736,020

 

 

 

26,802,036

 

 

 

(30,604,501

)

 

 

 

 

 

 

 

 

68,933,555

 

 

 

830,921

 

Total

 

$

94,268,880

 

 

$

26,802,036

 

 

$

(30,604,501

)

 

$

(27,527

)

 

$

 

 

$

90,438,888

 

 

$

1,107,497

 

The following is a summary of the transactions in, and earnings from, investments in affiliates for the three months ended March 31, 2023.

 

Value
12/31/2022

 

 

 

Purchases at Cost

 

 

 

Proceeds from Sales

 

 

Change in Unrealized Appreciation (Depreciation)

 

 

Realized Gain (Loss)

 

 

Value
03/31/2023

 

 

Dividend Income

 

Invesco Short Term Treasury ETF

 

$

21,478,826

 

$

 

$

 

 

 

$

 

 

$

38,741

 

 

$

 

 

$

21,517,567

 

 

$

206,575

 

Investments in Affiliated
   Money Market Funds:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Invesco Government &
   Agency Portfolio,
   Institutional Class

 

 

48,020,829

 

 

 

 

97,522,661

 

$

 

 

(63,419,670

)

 

 

 

 

 

 

 

 

82,123,820

 

 

 

923,325

 

Total

 

$

69,499,655

 

 

 

$

97,522,661

 

 

 

$

(63,419,670

)

 

$

38,741

 

 

$

 

 

$

103,641,387

 

 

$

1,129,900

 

 

Note 9 - Share Purchases and Redemptions

(a) Purchases

On any business day, an Authorized Participant may place an order with the Transfer Agent to create one or more Creation Units. Each Creation Unit consists of a block of 50,000 Shares. For purposes of processing both creation and redemption orders, a “business day” means any day other than a day when banks in New York City are required or permitted to be closed. Creation orders must be placed by 10:00 a.m., Eastern Time. The day on which the Transfer Agent receives a valid creation order is the creation order date. The day on which a creation order is settled is the creation order settlement date. Cash settlement occurs at the creation order settlement date. As provided below, the creation order settlement date may occur up to two business days after the creation order date. By placing a creation order, and prior to delivery of such Creation Units, an Authorized Participant’s Depository Trust Company (“DTC”) account is charged the non-refundable transaction fee due for the creation order.

 

Unless otherwise agreed to by the Managing Owner and the Authorized Participant as provided in the next sentence, Creation Units are issued on the creation order settlement date as of 2:45 p.m., Eastern Time, on the business day immediately following the creation order date at the applicable NAV per Share as of the closing time of the NYSE Arca or the last to close of the exchanges on which its futures contracts are traded, whichever is later, on the creation order date, but only if the required payment has been timely received. Upon submission of a creation order, the Authorized Participant may request the Managing Owner to agree to a creation order settlement date up to two business days after the creation order date.

14


 

(b) Redemptions

On any business day, an Authorized Participant may place an order with the Transfer Agent to redeem one or more Creation Units. Redemption orders must be placed by 10:00 a.m., Eastern Time. The day on which the Managing Owner receives a valid redemption order is the redemption order date. The day on which a redemption order is settled is the redemption order settlement date. Cash settlement occurs at the redemption order settlement date. As provided below, the redemption order settlement date may occur up to two business days after the redemption order date. The redemption procedures allow Authorized Participants to redeem Creation Units. Individual Shareholders may not redeem directly from the Fund. Instead, individual Shareholders may only redeem Shares in integral multiples of 50,000 and only through an Authorized Participant.

Unless otherwise agreed to by the Managing Owner and the Authorized Participant as provided in the next sentence, by placing a redemption order, an Authorized Participant agrees to deliver the Creation Units to be redeemed through DTC’s book-entry system to the Fund no later than the redemption order settlement date as of 2:45 p.m., Eastern Time, on the business day immediately following the redemption order date. Upon submission of a redemption order, the Authorized Participant may request the Managing Owner to agree to a redemption order settlement date up to two business days after the redemption order date. By placing a redemption order, and prior to receipt of the redemption proceeds, an Authorized Participant’s DTC account is charged the non-refundable transaction fee due for the redemption order.

The redemption proceeds from the Fund consist of the cash redemption amount. The cash redemption amount is equal to the NAV of the number of Creation Unit(s) requested in the Authorized Participant’s redemption order as of the closing time of the NYSE Arca or the last to close of the exchanges on which the Fund’s futures contracts are traded, whichever is later, on the redemption order date. The Managing Owner will distribute the cash redemption amount at the redemption order settlement date as of 2:45 p.m., Eastern Time, on the redemption order settlement date through DTC to the account of the Authorized Participant as recorded on DTC’s book-entry system.

The redemption proceeds due from the Fund are delivered to the Authorized Participant at 2:45 p.m., Eastern Time, on the redemption order settlement date if, by such time, the Fund’s DTC account has been credited with the Creation Units to be redeemed. If the Fund’s DTC account has not been credited with all of the Creation Units to be redeemed by such time, the redemption distribution is delivered to the extent of whole Creation Units received. Any remainder of the redemption distribution is delivered on the next business day to the extent of remaining whole Creation Units received if the Transfer Agent receives the fee applicable to the extension of the redemption distribution date which the Managing Owner may, from time to time, determine and the remaining Creation Units to be redeemed are credited to the Fund’s DTC account by 2:45 p.m., Eastern Time, on such next business day. Any further outstanding amount of the redemption order will be cancelled. The Managing Owner is also authorized to deliver the redemption distribution notwithstanding that the Creation Units to be redeemed are not credited to the Fund’s DTC account by 2:45 p.m., Eastern Time, on the redemption order settlement date if the Authorized Participant has collateralized its obligation to deliver the Creation Units through DTC’s book-entry system on such terms as the Managing Owner may determine from time to time.

 

Note 10 - Commitments and Contingencies

The Managing Owner, either in its own capacity or in its capacity as the Managing Owner and on behalf of the Fund, has entered into various service agreements that contain a variety of representations, or provide indemnification provisions related to certain risks service providers undertake in performing services for the Fund. The Trust Agreement provides for the Fund to indemnify the Managing Owner and any affiliate of the Managing Owner that provides services to the Fund to the maximum extent permitted by applicable law, subject to certain exceptions for disqualifying conduct by the Managing Owner or such an affiliate. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. Further, the Fund has not had prior claims or losses pursuant to these contracts. Accordingly, the Managing Owner expects the risk of loss to be remote.

 

15


 

Note 11 - Financial Highlights

The Fund is presenting the following NAV and financial highlights related to investment performance for a Share outstanding for the three months ended March 31, 2024 and 2023. An individual investor’s return and ratios may vary based on the timing of capital transactions.

NAV per Share is the NAV of the Fund divided by the number of outstanding Shares at the date of each respective period presented.

 

 

 

Three Months Ended

 

 

 

 

March 31,

 

 

 

 

2024

 

 

2023

 

 

Net Asset Value

 

 

 

 

 

 

 

Net asset value per Share, beginning of period

 

$

50.00

 

 

$

47.89

 

 

Net realized and change in unrealized gain (loss) on
   United States Treasury Obligations,
   Affiliated Investments and Commodity Futures Contracts
(a)

 

 

2.82

 

 

 

2.59

 

 

Net investment income (loss) (b)

 

 

0.57

 

 

 

0.44

 

 

Net income (loss)

 

 

3.39

 

 

 

3.03

 

 

Net asset value per Share, end of period

 

$

53.39

 

 

$

50.92

 

 

Market value per Share, beginning of period (c)

 

$

50.03

 

 

$

48.00

 

 

Market value per Share, end of period (c)

 

$

53.46

 

 

$

51.02

 

 

 

 

 

 

 

 

 

 

Ratio to average Net Assets (d)

 

 

 

 

 

 

 

Net investment income (loss)

 

 

4.57

%

 

 

3.70

%

 

Expenses, after waivers

 

 

0.71

%

 

 

0.70

%

 

Expenses, prior to waivers

 

 

0.77

%

 

 

0.77

%

 

Total Return, at net asset value (e)

 

 

6.78

%

 

 

6.33

%

 

Total Return, at market value (e)

 

 

6.86

%

 

 

6.29

%

 

 

(a)
Net realized and change in unrealized gain (loss) on United States Treasury Obligations, Affiliated Investments and Commodity Futures Contracts per share may not correlate with the Fund’s net realized and unrealized gain (loss) due to timing of shareholder transactions in relation to the fluctuating market values of the Fund’s investments.
(b)
Based on average shares outstanding.
(c)
The mean between the last bid and ask prices.
(d)
Annualized.
(e)
Total Return, at NAV is calculated assuming an initial investment made at the NAV at the beginning of the period, reinvestment of all dividends and distributions at NAV during the period, and redemption of Shares at NAV on the last day of the period. Total Return, at NAV includes adjustments in accordance with U.S. GAAP and as such, the NAV for financial reporting purposes and the returns based upon those NAVs may differ from the NAVs and returns for shareholder transactions. Total Return, at market value is calculated assuming an initial investment made at the market value at the beginning of the period, reinvestment of all dividends and distributions at market value during the period, and redemption of Shares at the market value on the last day of the period. Not annualized for periods less than one year, if applicable.

 

16


 

ITEM 2. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS.

This information should be read in conjunction with the financial statements and notes included in Item 1 of Part I of this Quarterly Report on Form 10-Q (the “Report”). This Report includes forward-looking statements within the meaning of Section 27A of the Securities Act of 1933, as amended (the “Securities Act”), and Section 21E of the Securities Exchange Act of 1934, as amended (the “Exchange Act”), that involve substantial risks and uncertainties. The matters discussed throughout this Report that are not historical facts are forward-looking statements. These forward-looking statements are based on the Fund’s and Invesco Capital Management LLC’s (the “Managing Owner”) current expectations, estimates and projections about the future results, performance, prospects and opportunities of the Fund and the Fund’s business and industry and their beliefs and assumptions about future events and speak only as of the date on which they are made. Words such as “anticipate,” “expect,” “intend,” “plan,” “believe,” “seek,” “outlook” and “estimate,” as well as similar words and phrases, signify forward-looking statements. Forward-looking statements are not guarantees of future results. Future economic and industry trends that could potentially impact the Fund and its performance are difficult to predict. Conditions and important factors, risks and uncertainties in the markets for financial instruments that the Fund trades, in the markets for related physical commodities, in the legal and regulatory regimes applicable to the Managing Owner, the Fund, and the Fund’s service providers, in the broader economy and in global politics may cause actual results to differ materially from those expressed by such forward-looking statements. There can be no assurance that the forward-looking statements included in this Report will prove to be accurate. Factors that could cause results to differ from those expressed in the forward-looking statements are subject to a number of risks, uncertainties and other factors, including those described in the “Risk Factors” section of the Fund’s Prospectus and elsewhere in the Prospectus and in other SEC filings by the Fund, such as its Annual Report on Form 10-K for the fiscal year ended December 31, 2023, as well as the following:

Risks related to market volatility and fluctuations in the price of assets held by the Fund, including the imposition of trading limitations or trading halts, and the potential loss of investment;
Risks that the market price of Shares will not correspond to NAV;