UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM
(Mark One)
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
For the quarterly period ended
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:
(A Series of Invesco DB US Dollar Index Trust)
(Exact name of registrant as specified in its charter)
(State or Other Jurisdiction of Incorporation or Organization) |
(I.R.S. Employer Identification No.) |
|
|
(Address of Principal Executive Offices) |
(Zip Code) |
Registrant’s telephone number, including area code: (
Securities registered pursuant to Section 12(b) of the Act:
Title of each class |
Trading Symbol(s) |
Name of each exchange on which registered |
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.
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).
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 |
☐ |
|
|
|
|
☒ |
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
Indicate the number of outstanding Shares as of September 30, 2023:
INVESCO DB US DOLLAR INDEX BEARISH FUND
(A SERIES OF INVESCO DB US DOLLAR INDEX TRUST)
QUARTER ENDED SEPTEMBER 30, 2023
TABLE OF CONTENTS
|
|
Page |
PART I. |
1 |
|
|
|
|
ITEM 1. |
1 |
|
|
10 |
|
ITEM 2. |
Management’s Discussion and Analysis of Financial Condition and Results of Operations |
20 |
ITEM 3. |
32 |
|
ITEM 4. |
34 |
|
|
|
|
PART II. |
35 |
|
|
|
|
Item 1. |
35 |
|
Item 1A. |
35 |
|
Item 2. |
Unregistered Sales of Equity Securities, Use of Proceeds, and Issuer Purchases of Equity Securities |
35 |
Item 3. |
35 |
|
Item 4. |
35 |
|
Item 5. |
35 |
|
Item 6. |
36 |
|
|
|
|
37 |
||
PART I. FINANCIAL INFORMATION
ITEM 1. FINANCIAL STATEMENTS.
Invesco DB US Dollar Index Bearish Fund
Statements of Financial Condition
September 30, 2023 and December 31, 2022
(Unaudited)
|
|
September 30, |
|
|
December 31, |
|
||
|
|
2023 |
|
|
2022 |
|
||
Assets |
|
|
|
|
|
|
||
United States Treasury Obligations, at value (cost $ |
|
$ |
|
|
$ |
|
||
Affiliated investments, at value and cost |
|
|
|
|
|
|
||
Other investments: |
|
|
|
|
|
|
||
Variation margin receivable - Currency Futures Contracts |
|
|
|
|
|
|
||
Cash held by custodian |
|
|
— |
|
|
|
|
|
Receivable for: |
|
|
|
|
|
|
||
Dividends from affiliates |
|
|
|
|
|
|
||
Total assets |
|
$ |
|
|
$ |
|
||
Liabilities |
|
|
|
|
|
|
||
Payable for: |
|
|
|
|
|
|
||
Management fees |
|
|
|
|
|
|
||
Brokerage commissions and fees |
|
|
|
|
|
|
||
Total liabilities |
|
|
|
|
|
|
||
|
|
|
|
|
|
|||
Equity |
|
|
|
|
|
|
||
Shareholder's equity—General Shares |
|
|
|
|
|
|
||
Shareholders' equity—Shares |
|
|
|
|
|
|
||
Total shareholders' equity |
|
|
|
|
|
|
||
Total liabilities and equity |
|
$ |
|
|
$ |
|
||
General Shares outstanding |
|
|
|
|
|
|
||
Shares outstanding |
|
|
|
|
|
|
||
Net asset value per share |
|
$ |
|
|
$ |
|
||
Market value per share |
|
$ |
|
|
$ |
|
||
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
September 30, 2023
(Unaudited)
Description |
|
Percentage of |
|
|
Value |
|
|
Principal Value |
|
|||
United States Treasury Obligations(a) |
|
|
|
|
|
|
|
|
|
|||
U.S. Treasury Bills, |
|
|
% |
|
$ |
|
|
$ |
|
|||
U.S. Treasury Bills, |
|
|
|
|
|
|
|
|
|
|||
U.S. Treasury Bills, |
|
|
|
|
|
|
|
|
|
|||
U.S. Treasury Bills, |
|
|
|
|
|
|
|
|
|
|||
Total United States Treasury Obligations (cost $ |
|
|
% |
|
$ |
|
|
|
|
|||
Affiliated Investments |
|
|
|
|
|
|
|
Shares |
|
|||
Money Market Mutual Fund |
|
|
|
|
|
|
|
|
|
|||
Invesco Government & Agency Portfolio, Institutional |
|
|
% |
|
$ |
|
|
|
|
|||
Total Investments in Securities (cost $ |
|
|
% |
|
$ |
|
|
|
|
|||
Open Currency Futures Contracts |
|
Number of Contracts |
|
|
Expiration Date |
|
Notional |
|
|
Value(e) |
|
|
Unrealized |
|
||||
Short Futures Contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
ICE U.S. Dollar Index |
|
|
|
|
|
$ |
( |
) |
|
$ |
( |
) |
|
$ |
( |
) |
||
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, 2022
(Unaudited)
Description |
|
Percentage of |
|
|
Value |
|
|
Principal Value |
|
|||
United States Treasury Obligations(a) |
|
|
|
|
|
|
|
|
|
|||
U.S. Treasury Bills, |
|
|
% |
|
$ |
|
|
$ |
|
|||
U.S. Treasury Bills, |
|
|
|
|
|
|
|
|
|
|||
U.S. Treasury Bills, |
|
|
|
|
|
|
|
|
|
|||
Total United States Treasury Obligations (cost $ |
|
|
% |
|
$ |
|
|
|
|
|||
Affiliated Investments |
|
|
|
|
|
|
|
Shares |
|
|||
Money Market Mutual Fund |
|
|
|
|
|
|
|
|
|
|||
Invesco Government & Agency Portfolio, Institutional |
|
|
% |
|
$ |
|
|
|
|
|||
Total Investments in Securities (cost $ |
|
|
% |
|
$ |
|
|
|
|
|||
Open Currency Futures Contracts |
|
Number of Contracts |
|
|
Expiration Date |
|
Notional |
|
|
Value(e) |
|
|
Unrealized |
|
||||
Short Futures Contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
ICE U.S. Dollar Index |
|
|
|
|
|
$ |
( |
) |
|
$ |
|
|
$ |
|
||||
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 Nine Months Ended September 30, 2023 and 2022
(Unaudited)
|
|
Three Months Ended |
|
|
Nine Months Ended |
|
||||||||||
|
|
September 30, |
|
|
September 30, |
|
||||||||||
|
|
2023 |
|
|
2022 |
|
|
2023 |
|
|
2022 |
|
||||
Income |
|
|
|
|
|
|
|
|
|
|
|
|
||||
Interest Income |
|
$ |
|
|
$ |
|
|
$ |
|
|
$ |
|
||||
Dividends from Affiliates |
|
|
|
|
|
|
|
|
|
|
|
|
||||
Total Income |
|
|
|
|
|
|
|
|
|
|
|
|
||||
Expenses |
|
|
|
|
|
|
|
|
|
|
|
|
||||
Management Fees |
|
|
|
|
|
|
|
|
|
|
|
|
||||
Brokerage Commissions and Fees |
|
|
|
|
|
|
|
|
|
|
|
|
||||
Interest Expense |
|
|
|
|
|
|
|
|
|
|
|
|
||||
Total Expenses |
|
|
|
|
|
|
|
|
|
|
|
|
||||
Less: Waivers |
|
|
( |
) |
|
|
( |
) |
|
|
( |
) |
|
|
( |
) |
Net Expenses |
|
|
|
|
|
|
|
|
|
|
|
|
||||
Net Investment Income (Loss) |
|
|
|
|
|
|
|
|
|
|
|
|
||||
Net Realized and Net Change in Unrealized Gain (Loss) |
|
|
|
|
|
|
|
|
|
|
|
|
||||
Net Realized Gain (Loss) on |
|
|
|
|
|
|
|
|
|
|
|
|
||||
Currency Futures Contracts |
|
|
( |
) |
|
|
( |
) |
|
|
( |
) |
|
|
( |
) |
Net Realized Gain (Loss) |
|
|
( |
) |
|
|
( |
) |
|
|
( |
) |
|
|
( |
) |
Net Change in Unrealized Gain (Loss) on |
|
|
|
|
|
|
|
|
|
|
|
|
||||
United States Treasury Obligations |
|
|
( |
) |
|
|
|
|
|
( |
) |
|
|
( |
) |
|
Currency Futures Contracts |
|
|
( |
) |
|
|
( |
) |
|
|
( |
) |
|
|
( |
) |
Net Change in Unrealized Gain (Loss) |
|
|
( |
) |
|
|
( |
) |
|
|
( |
) |
|
|
( |
) |
Net Realized and Net Change in Unrealized |
|
|
( |
) |
|
|
( |
) |
|
|
( |
) |
|
|
( |
) |
Net Income (Loss) |
|
$ |
( |
) |
|
$ |
( |
) |
|
$ |
( |
) |
|
$ |
( |
) |
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 September 30, 2023
(Unaudited)
|
|
General Shares |
|
|
Shares |
|
|
Total |
|
|||||||||||
|
|
Shares |
|
|
Total |
|
|
Shares |
|
|
Total |
|
|
Shareholders' |
|
|||||
Balance at June 30, 2023 |
|
|
|
|
$ |
|
|
|
|
|
$ |
|
|
$ |
|
|||||
Purchases of Shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Redemption of Shares |
|
|
|
|
|
|
|
|
( |
) |
|
|
( |
) |
|
|
( |
) |
||
Net Increase (Decrease) due to Share Transactions |
|
|
|
|
|
|
|
|
( |
) |
|
|
( |
) |
|
|
( |
) |
||
Net Income (Loss) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Net Investment Income (Loss) |
|
|
|
|
|
( |
) |
|
|
|
|
|
|
|
|
|
||||
Net Realized Gain (Loss) on United States Treasury |
|
|
|
|
|
( |
) |
|
|
|
|
|
( |
) |
|
|
( |
) |
||
Net Change in Unrealized Gain (Loss) on United States |
|
|
|
|
|
|
|
|
|
|
|
( |
) |
|
|
( |
) |
|||
Net Income (Loss) |
|
|
|
|
|
( |
) |
|
|
|
|
|
( |
) |
|
|
( |
) |
||
Net Change in Shareholders' Equity |
|
|
— |
|
|
|
( |
) |
|
|
( |
) |
|
|
( |
) |
|
|
( |
) |
Balance at September 30, 2023 |
|
|
|
|
$ |
|
|
|
|
|
$ |
|
|
$ |
|
|||||
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 September 30, 2022
(Unaudited)
|
|
General Shares |
|
|
Shares |
|
|
Total |
|
|||||||||||
|
|
Shares |
|
|
Total |
|
|
Shares |
|
|
Total |
|
|
Shareholders' |
|
|||||
Balance at June 30, 2022 |
|
|
|
|
$ |
|
|
|
|
|
$ |
|
|
$ |
|
|||||
Purchases of Shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Redemption of Shares |
|
|
|
|
|
|
|
|
( |
) |
|
|
( |
) |
|
|
( |
) |
||
Net Increase (Decrease) due to Share Transactions |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Net Income (Loss) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Net Investment Income (Loss) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Net Realized Gain (Loss) on United States Treasury |
|
|
|
|
|
( |
) |
|
|
|
|
|
( |
) |
|
|
( |
) |
||
Net Change in Unrealized Gain (Loss) on United States |
|
|
|
|
|
( |
) |
|
|
|
|
|
( |
) |
|
|
( |
) |
||
Net Income (Loss) |
|
|
|
|
|
( |
) |
|
|
|
|
|
( |
) |
|
|
( |
) |
||
Net Change in Shareholders' Equity |
|
|
— |
|
|
|
( |
) |
|
|
|
|
|
|
|
|
|
|||
Balance at September 30, 2022 |
|
|
|
|
$ |
|
|
|
|
|
$ |
|
|
$ |
|
|||||
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 Nine Months Ended September 30, 2023
(Unaudited)
|
|
General Shares |
|
|
Shares |
|
|
Total |
|
|||||||||||
|
|
Shares |
|
|
Total |
|
|
Shares |
|
|
Total |
|
|
Shareholders' |
|
|||||
Balance at December 31, 2022 |
|
|
|
|
$ |
|
|
|
|
|
$ |
|
|
$ |
|
|||||
Purchases of Shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Redemption of Shares |
|
|
|
|
|
|
|
|
( |
) |
|
|
( |
) |
|
|
( |
) |
||
Net Increase (Decrease) due to Share Transactions |
|
|
|
|
|
|
|
|
( |
) |
|
|
( |
) |
|
|
( |
) |
||
Net Income (Loss) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Net Investment Income (Loss) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Net Realized Gain (Loss) on United States Treasury |
|
|
|
|
|
( |
) |
|
|
|
|
|
( |
) |
|
|
( |
) |
||
Net Change in Unrealized Gain (Loss) on United States |
|
|
|
|
|
( |
) |
|
|
|
|
|
( |
) |
|
|
( |
) |
||
Net Income (Loss) |
|
|
|
|
|
( |
) |
|
|
|
|
|
( |
) |
|
|
( |
) |
||
Net Change in Shareholders' Equity |
|
|
— |
|
|
|
( |
) |
|
|
( |
) |
|
|
( |
) |
|
|
( |
) |
Balance at September 30, 2023 |
|
|
|
|
$ |
|
|
|
|
|
$ |
|
|
$ |
|
|||||
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 Nine Months Ended September 30, 2022
(Unaudited)
|
|
General Shares |
|
|
Shares |
|
|
Total |
|
|||||||||||
|
|
Shares |
|
|
Total |
|
|
Shares |
|
|
Total |
|
|
Shareholders' |
|
|||||
Balance at December 31, 2021 |
|
|
|
$ |
|
|
|
|
|
$ |
|
|
$ |
|
||||||
Purchases of Shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Redemption of Shares |
|
|
|
|
|
|
|
|
( |
) |
|
|
( |
) |
|
|
( |
) |
||
Net Increase (Decrease) due to Share Transactions |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Net Income (Loss) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Net Investment Income (Loss) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Net Realized Gain (Loss) on United States Treasury |
|
|
|
|
|
( |
) |
|
|
|
|
|
( |
) |
|
|
( |
) |
||
Net Change in Unrealized Gain (Loss) on United States |
|
|
|
|
|
( |
) |
|
|
|
|
|
( |
) |
|
|
( |
) |
||
Net Income (Loss) |
|
|
|
|
|
( |
) |
|
|
|
|
|
( |
) |
|
|
( |
) |
||
Net Change in Shareholders' Equity |
|
|
— |
|
|
|
( |
) |
|
|
|
|
|
|
|
|
|
|||
Balance at September 30, 2022 |
|
|
|
|
$ |
|
|
|
|
|
$ |
|
|
$ |
|
|||||
See accompanying Notes to Unaudited Financial Statements which are an integral part of the financial statements
8
Invesco DB US Dollar Index Bearish Fund
Statements of Cash Flows
For the Nine Months Ended September 30, 2023 and 2022
(Unaudited)
|
|
Nine Months Ended |
|
|||||
|
|
September 30, |
|
|||||
|
|
2023 |
|
|
2022 |
|
||
Cash flows from operating activities: |
|
|
|
|
|
|
||
Net Income (Loss) |
|
$ |
( |
) |
|
$ |
( |
) |
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating |
|
|
|
|
|
|
||
Cost of securities purchased |
|
|
( |
) |
|
|
( |
) |
Proceeds from securities sold and matured |
|
|
|
|
|
|
||
Cost of affiliated investments purchased |
|
|
( |
) |
|
|
( |
) |
Proceeds from affiliated investments sold |
|
|
|
|
|
|
||
Net accretion of discount on United States Treasury Obligations |
|
|
( |
) |
|
|
( |
) |
Net change in unrealized (gain) loss on United States Treasury Obligations and |
|
|
|
|
|
|
||
Change in operating assets and liabilities: |
|
|
|
|
|
|
||
Variation margin - Currency Futures Contracts |
|
|||||||