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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 June 30, 2022   

OR

 

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

 

For the transition period from                      to                     

Commission File Number:                    001-33318

 

INVESCO DB US DOLLAR INDEX BEARISH FUND

(A Series of Invesco DB US Dollar Index Trust)

(Exact name of registrant as specified in its charter)

 

 

Delaware

87-0778084

(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

UDN

NYSE Arca, Inc.

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.    Yes      No  

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).    Yes      No  

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company,” and “emerging growth company” in Rule 12b-2 of the Exchange Act.

 

Large Accelerated Filer

Accelerated Filer

 

 

 

 

Non-Accelerated Filer

Smaller reporting company

 

 

 

 

 

 

Emerging growth company

 

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.              

 

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).    Yes      No  

          Indicate the number of outstanding Shares as of June 30, 2022: 2,700,000

 

 

 

 


 

INVESCO DB US DOLLAR INDEX BEARISH FUND

(A SERIES OF INVESCO DB US DOLLAR INDEX TRUST)

QUARTER ENDED JUNE 30, 2022

TABLE OF CONTENTS

 

 

 

 

 


 

PART I. FINANCIAL INFORMATION

ITEM  1.

FINANCIAL STATEMENTS.

Invesco DB US Dollar Index Bearish Fund

Statements of Financial Condition

June 30, 2022 and December 31, 2021

(Unaudited)

 

 

 

June 30,

 

 

December 31,

 

 

 

2022

 

 

2021

 

Assets

 

 

 

 

 

 

 

 

United States Treasury Obligations, at value (cost $17,882,556 and

   $17,000,407, respectively)

 

$

17,843,074

 

 

$

17,000,743

 

Affiliated investments, at value and cost

 

 

31,740,361

 

 

 

31,507,548

 

Other investments:

 

 

 

 

 

 

 

 

Variation margin receivable- Currency Futures Contracts

 

 

184,800

 

 

 

167,832

 

Receivable for:

 

 

 

 

 

 

 

 

Dividends from affiliates

 

 

21,571

 

 

 

774

 

Total assets

 

$

49,789,806

 

 

$

48,676,897

 

Liabilities

 

 

 

 

 

 

 

 

Payable for:

 

 

 

 

 

 

 

 

Management fees

 

 

24,400

 

 

 

34,949

 

Brokerage commissions and fees

 

 

4,942

 

 

 

4,845

 

Total liabilities

 

 

29,342

 

 

 

39,794

 

Commitments and Contingencies (Note 10)

 

 

 

 

 

 

 

 

Equity

 

 

 

 

 

 

 

 

Shareholder's equity—General Shares

 

 

737

 

 

 

811

 

Shareholders' equity—Shares

 

 

49,759,727

 

 

 

48,636,292

 

Total shareholders' equity

 

 

49,760,464

 

 

 

48,637,103

 

Total liabilities and equity

 

$

49,789,806

 

 

$

48,676,897

 

General Shares outstanding

 

40

 

 

40

 

Shares outstanding

 

 

2,700,000

 

 

 

2,400,000

 

Net asset value per share

 

$

18.43

 

 

$

20.27

 

Market value per share

 

$

18.42

 

 

$

20.25

 

 

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

 

 

1


 

Invesco DB US Dollar Index Bearish Fund

Schedule of Investments

June 30, 2022

(Unaudited)

 

Description

 

Percentage of

Shareholders'

Equity

 

 

Value

 

 

Principal Value

 

United States Treasury Obligations(a)

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury Bills, 1.050% due August 18, 2022(b)

 

 

4.01

%

 

$

1,996,453

 

 

$

2,000,000

 

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

 

 

3.99

 

 

 

1,984,227

 

 

 

2,000,000

 

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

 

 

5.97

 

 

 

2,971,966

 

 

 

3,000,000

 

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

 

 

21.89

 

 

 

10,890,428

 

 

 

11,000,000

 

Total United States Treasury Obligations (cost $17,882,556)

 

 

35.86

%

 

$

17,843,074

 

 

 

 

 

Affiliated Investments

 

 

 

 

 

 

 

 

 

Shares

 

Money Market Mutual Fund

 

 

 

 

 

 

 

 

 

 

 

 

Invesco Government & Agency Portfolio, Institutional

   Class, 1.39% (cost $31,740,361)(c) (d)

 

 

63.78

%

 

$

31,740,361

 

 

 

31,740,361

 

Total Investments in Securities (cost $49,622,917)

 

 

99.64

%

 

$

49,583,435

 

 

 

 

 

 

(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 $3,980,600 are on deposit with the Commodity Broker and held as maintenance margin for open futures contracts.

(c)

Affiliated issuer. The issuer and/or the Fund is a wholly-owned subsidiary of Invesco Ltd., or is affiliated by having an investment adviser that is under common control of Invesco Ltd. See Note 8.

(d)

The rate shown is the 7-day SEC standardized yield as of June 30, 2022.

Open Currency Futures Contracts

 

Number of Contracts

 

 

Expiration Date

 

Notional

Value

 

 

Value(e)

 

 

Unrealized

Appreciation

(Depreciation)(e)

 

Short Futures Contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

ICE U.S. Dollar Index

 

 

480

 

 

September - 2022

 

$

(50,142,720

)

 

$

(621,785

)

 

$

(621,785

)

 

(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 US Dollar Index Bearish 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

 

 

8.22

%

 

$

4,000,000

 

 

$

4,000,000

 

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

 

 

10.28

 

 

 

5,001,293

 

 

 

5,001,400

 

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

 

 

16.46

 

 

 

7,999,450

 

 

 

8,000,000

 

Total United States Treasury Obligations (cost $17,000,407)

 

 

34.96

%

 

$

17,000,743

 

 

 

 

 

Affiliated Investments

 

 

 

 

 

 

 

 

 

Shares

 

Money Market Mutual Fund

 

 

 

 

 

 

 

 

 

 

 

 

Invesco Government & Agency Portfolio, Institutional

   Class, 0.03% (cost $31,507,548)(c) (d)

 

 

64.78

%

 

$

31,507,548

 

 

 

31,507,548

 

Total Investments in Securities (cost $48,507,955)

 

 

99.74

%

 

$

48,508,291

 

 

 

 

 

 

 

(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 $3,999,600 are on deposit with the Commodity Broker and held as maintenance margin for open futures contracts.

(c)

Affiliated issuer. The issuer and/or the Fund is a wholly-owned subsidiary of Invesco Ltd., or is affiliated by having an investment adviser that is under common control of Invesco Ltd. See Note 8.

(d)

The rate shown is the 7-day SEC standardized yield as of December 31, 2021.

 

Open Currency Futures Contracts

 

Number of Contracts

 

 

Expiration Date

 

Notional

Value

 

 

Value(e)

 

 

Unrealized

Appreciation

(Depreciation)(e)

 

Short Futures Contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

ICE U.S. Dollar Index

 

 

504

 

 

March - 2022

 

$

(48,178,872

)

 

$

288,029

 

 

$

288,029

 

 

(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 US Dollar Index Bearish Fund

Statements of Income and Expenses

For the Three and Six Months Ended June 30, 2022 and 2021

(Unaudited)

 

 

 

Three Months Ended

 

 

Six Months Ended

 

 

 

June 30,

 

 

June 30,

 

 

 

2022

 

 

2021

 

 

2022

 

 

2021

 

Income

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest Income

 

$

29,694

 

 

$

7,916

 

 

$

35,427

 

 

$

16,921

 

Dividends from Affiliates

 

 

45,631

 

 

 

2,449

 

 

 

51,142

 

 

 

6,292

 

Total Income

 

 

75,325

 

 

 

10,365

 

 

 

86,569

 

 

 

23,213

 

Expenses

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Management Fees

 

 

80,835

 

 

 

151,345

 

 

 

169,331

 

 

 

327,757

 

Brokerage Commissions and Fees

 

 

2,375

 

 

 

4,480

 

 

 

4,768

 

 

 

9,947

 

Interest Expense

 

 

205

 

 

 

141

 

 

 

303

 

 

 

302

 

Total Expenses

 

 

83,415

 

 

 

155,966

 

 

 

174,402

 

 

 

338,006

 

Less: Waivers

 

 

(6,186

)

 

 

(597

)

 

 

(6,552

)

 

 

(11,380

)

Net Expenses

 

 

77,229

 

 

 

155,369

 

 

 

167,850

 

 

 

326,626

 

Net Investment Income (Loss)

 

 

(1,904

)

 

 

(145,004

)

 

 

(81,281

)

 

 

(303,413

)

Net Realized and Net Change in Unrealized Gain (Loss)

   on United States Treasury Obligations, Affiliated

   Investments and Currency Futures Contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Realized Gain (Loss) on

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currency Futures Contracts

 

 

(2,188,009

)

 

 

1,452,265

 

 

 

(3,353,804

)

 

 

398,701

 

Net Realized Gain (Loss)

 

 

(2,188,009

)

 

 

1,452,265

 

 

 

(3,353,804

)

 

 

398,701

 

Net Change in Unrealized Gain (Loss) on

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

United States Treasury Obligations

 

 

(39,654

)

 

 

(7,369

)

 

 

(39,818

)

 

 

(772

)

Currency Futures Contracts

 

 

(695,365

)

 

 

(803,983

)

 

 

(909,814

)

 

 

(3,063,980

)

Net Change in Unrealized Gain (Loss)

 

 

(735,019

)

 

 

(811,352

)

 

 

(949,632

)

 

 

(3,064,752

)

Net Realized and Net Change in Unrealized

    Gain (Loss) on United States Treasury

    Obligations, Affiliated Investments and

    Currency Futures Contracts

 

 

(2,923,028

)

 

 

640,913

 

 

 

(4,303,436

)

 

 

(2,666,051

)

Net Income (Loss)

 

$

(2,924,932

)

 

$

495,909

 

 

$

(4,384,717

)

 

$

(2,969,464

)

 

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

4


 

Invesco DB US Dollar Index Bearish Fund

Statement of Changes in Shareholders’ Equity

For the Three Months Ended June 30, 2022

(Unaudited)

 

 

 

General Shares

 

 

Shares

 

 

Total

 

 

 

Shares

 

 

Total

Equity

 

 

Shares

 

 

Total

Equity

 

 

Shareholders'

Equity

 

Balance at March 31, 2022

 

 

40

 

 

$

786

 

 

 

2,300,000

 

 

$

45,215,415

 

 

$

45,216,201

 

Purchases of Shares

 

 

 

 

 

 

 

 

 

 

800,000

 

 

 

14,894,269

 

 

 

14,894,269

 

Redemption of Shares

 

 

 

 

 

 

 

 

 

 

(400,000

)

 

 

(7,425,074

)

 

 

(7,425,074

)

Net Increase (Decrease) due to Share Transactions

 

 

 

 

 

 

 

 

 

 

400,000

 

 

 

7,469,195

 

 

 

7,469,195

 

Net Income (Loss)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Investment Income (Loss)

 

 

 

 

 

 

 

 

 

 

 

 

 

(1,904

)

 

 

(1,904

)

Net Realized Gain (Loss) on United States Treasury

   Obligations, Affiliated Investments and

   Currency Futures Contracts

 

 

 

 

 

 

(37

)

 

 

 

 

 

 

(2,187,972

)

 

 

(2,188,009

)

Net Change in Unrealized Gain (Loss) on United States

   Treasury Obligations, Affiliated Investments and

   Currency Futures Contracts

 

 

 

 

 

 

(12

)

 

 

 

 

 

 

(735,007

)

 

 

(735,019

)

Net Income (Loss)

 

 

 

 

 

 

(49

)

 

 

 

 

 

 

(2,924,883

)

 

 

(2,924,932

)

Net Change in Shareholders' Equity

 

 

 

 

 

(49

)

 

 

400,000

 

 

 

4,544,312

 

 

 

4,544,263

 

Balance at June 30, 2022

 

 

40

 

 

$

737

 

 

 

2,700,000

 

 

$

49,759,727

 

 

$

49,760,464

 

                      

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

 

 

 

 

5


 

Invesco DB US Dollar Index Bearish Fund

 

Statement of Changes in Shareholders’ Equity

For the Three Months Ended June 30, 2021

(Unaudited)

 

 

General Shares

 

 

Shares

 

 

Total

 

 

 

Shares

 

 

Total

Equity

 

 

Shares

 

 

Total

Equity

 

 

Shareholders'

Equity

 

Balance at March 31, 2021

 

 

40

 

 

$

838

 

 

 

3,900,000

 

 

$

81,720,602

 

 

$

81,721,440

 

Purchases of Shares

 

 

 

 

 

 

 

 

 

 

400,000

 

 

 

8,559,639

 

 

 

8,559,639

 

Redemption of Shares

 

 

 

 

 

 

 

 

 

 

(500,000

)

 

 

(10,678,703

)

 

 

(10,678,703

)

Net Increase (Decrease) due to Share Transactions

 

 

 

 

 

 

 

 

 

 

(100,000

)

 

 

(2,119,064

)

 

 

(2,119,064

)

Net Income (Loss)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Investment Income (Loss)

 

 

 

 

 

 

(1

)

 

 

 

 

 

 

(145,003

)

 

 

(145,004

)

Net Realized Gain (Loss) on United States Treasury

   Obligations, Affiliated Investments and

   Currency Futures Contracts

 

 

 

 

 

 

14

 

 

 

 

 

 

 

1,452,251

 

 

 

1,452,265

 

Net Change in Unrealized Gain (Loss) on United States

   Treasury Obligations, Affiliated Investments and

   Currency Futures Contracts

 

 

 

 

 

 

(8

)

 

 

 

 

 

 

(811,344

)

 

 

(811,352

)

Net Income (Loss)

 

 

 

 

 

 

5

 

 

 

 

 

 

 

495,904

 

 

 

495,909

 

Net Change in Shareholders' Equity

 

 

 

 

 

5

 

 

 

(100,000

)

 

 

(1,623,160

)

 

 

(1,623,155

)

Balance at June 30, 2021

 

 

40

 

 

$

843

 

 

 

3,800,000

 

 

$

80,097,442

 

 

$

80,098,285

 

 

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

6


 

 

Invesco DB US Dollar Index Bearish Fund

 

Statement of Changes in Shareholders’ Equity

For the Six Months Ended June 30, 2022

(Unaudited)

 

 

 

General Shares

 

 

Shares

 

 

Total

 

 

 

Shares

 

 

Total

Equity

 

 

Shares

 

 

Total

Equity

 

 

Shareholders'

Equity

 

Balance at December 31, 2021

 

 

40

 

 

$

811

 

 

 

2,400,000

 

 

$

48,636,292

 

 

$

48,637,103

 

Purchases of Shares

 

 

 

 

 

 

 

 

 

 

800,000

 

 

 

14,894,269

 

 

 

14,894,269

 

Redemption of Shares

 

 

 

 

 

 

 

 

 

 

(500,000

)

 

 

(9,386,191

)

 

 

(9,386,191

)

Net Increase (Decrease) due to Share Transactions

 

 

 

 

 

 

 

 

 

 

300,000

 

 

 

5,508,078

 

 

 

5,508,078

 

Net Income (Loss)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Investment Income (Loss)

 

 

 

 

 

 

(1

)

 

 

 

 

 

 

(81,280

)

 

 

(81,281

)

Net Realized Gain (Loss) on United States Treasury

   Obligations, Affiliated Investments and

   Currency Futures Contracts

 

 

 

 

 

 

(57

)

 

 

 

 

 

 

(3,353,747

)

 

 

(3,353,804

)

Net Change in Unrealized Gain (Loss) on United States

   Treasury Obligations, Affiliated Investments and

   Currency Futures Contracts

 

 

 

 

 

 

(16

)

 

 

 

 

 

 

(949,616

)

 

 

(949,632

)

Net Income (Loss)

 

 

 

 

 

 

(74

)

 

 

 

 

 

 

(4,384,643

)

 

 

(4,384,717

)

Net Change in Shareholders' Equity

 

 

 

 

 

(74

)

 

 

300,000

 

 

 

1,123,435

 

 

 

1,123,361

 

Balance at June 30, 2022

 

 

40

 

 

$

737

 

 

 

2,700,000

 

 

$

49,759,727

 

 

$

49,760,464

 

 

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

7


 

 

 

 

Invesco DB US Dollar Index Bearish Fund

 

Statement of Changes in Shareholders’ Equity

For the Six Months Ended June 30, 2021

(Unaudited)

 

 

 

General Shares

 

 

Shares

 

 

Total

 

 

 

Shares

 

 

Total

Equity

 

 

Shares

 

 

Total

Equity

 

 

Shareholders'

Equity

 

Balance at December 31, 2020

 

 

40

 

 

$

871

 

 

 

4,300,000

 

 

$

93,631,167

 

 

$

93,632,038

 

Purchases of Shares

 

 

 

 

 

 

 

 

 

 

1,000,000

 

 

 

21,541,133

 

 

 

21,541,133

 

Redemption of Shares

 

 

 

 

 

 

 

 

 

 

(1,500,000

)

 

 

(32,105,422

)

 

 

(32,105,422

)

Net Increase (Decrease) due to Share Transactions

 

 

 

 

 

 

 

 

 

 

(500,000

)

 

 

(10,564,289

)

 

 

(10,564,289

)

Net Income (Loss)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Investment Income (Loss)

 

 

 

 

 

 

(3

)

 

 

 

 

 

 

(303,410

)

 

 

(303,413

)

Net Realized Gain (Loss) on United States Treasury

   Obligations, Affiliated Investments and

   Currency Futures Contracts

 

 

 

 

 

 

4

 

 

 

 

 

 

 

398,697

 

 

 

398,701

 

Net Change in Unrealized Gain (Loss) on United States

   Treasury Obligations, Affiliated Investments and

   Currency Futures Contracts

 

 

 

 

 

 

(29

)