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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM 10-Q

 

(Mark One)

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

 

For the quarterly period ended September 30, 2022   

OR

 

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

 

For the transition period from                      to                     

Commission File Number:                    001-33318

 

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 September 30, 2022: 3,700,000

 

 

 

 


 

INVESCO DB US DOLLAR INDEX BEARISH FUND

(A SERIES OF INVESCO DB US DOLLAR INDEX TRUST)

QUARTER ENDED SEPTEMBER 30, 2022

TABLE OF CONTENTS

 

 

 

 

 


 

PART I. FINANCIAL INFORMATION

ITEM  1.

FINANCIAL STATEMENTS.

Invesco DB US Dollar Index Bearish Fund

Statements of Financial Condition

September 30, 2022 and December 31, 2021

(Unaudited)

 

 

 

September 30,

 

 

December 31,

 

 

 

2022

 

 

2021

 

Assets

 

 

 

 

 

 

 

 

United States Treasury Obligations, at value (cost $30,854,341 and

   $17,000,407, respectively)

 

$

30,823,870

 

 

$

17,000,743

 

Affiliated investments, at value and cost

 

 

32,480,942

 

 

 

31,507,548

 

Other investments:

 

 

 

 

 

 

 

 

Variation margin receivable- Currency Futures Contracts

 

 

69,974

 

 

 

167,832

 

Receivable for:

 

 

 

 

 

 

 

 

Dividends from affiliates

 

 

52,320

 

 

 

774

 

Total assets

 

$

63,427,106

 

 

$

48,676,897

 

Liabilities

 

 

 

 

 

 

 

 

Payable for:

 

 

 

 

 

 

 

 

Management fees

 

 

35,845

 

 

 

34,949

 

Brokerage commissions and fees

 

 

4,929

 

 

 

4,845

 

Total liabilities

 

 

40,774

 

 

 

39,794

 

Commitments and Contingencies (Note 10)

 

 

 

 

 

 

 

 

Equity

 

 

 

 

 

 

 

 

Shareholder's equity—General Shares

 

 

685

 

 

 

811

 

Shareholders' equity—Shares

 

 

63,385,647

 

 

 

48,636,292

 

Total shareholders' equity

 

 

63,386,332

 

 

 

48,637,103

 

Total liabilities and equity

 

$

63,427,106

 

 

$

48,676,897

 

General Shares outstanding

 

40

 

 

40

 

Shares outstanding

 

 

3,700,000

 

 

 

2,400,000

 

Net asset value per share

 

$

17.13

 

 

$

20.27

 

Market value per share

 

$

17.12

 

 

$

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

September 30, 2022

(Unaudited)

 

Description

 

Percentage of

Shareholders'

Equity

 

 

Value

 

 

Principal Value

 

United States Treasury Obligations(a)

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury Bills, 2.610% due November 17, 2022 (b)

 

 

11.00

%

 

$

6,975,343

 

 

$

7,000,000

 

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

 

 

4.71

 

 

 

2,985,803

 

 

 

3,000,000

 

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

 

 

17.27

 

 

 

10,939,973

 

 

 

11,000,000

 

U.S. Treasury Bills, 3.270% due December 29, 2022

 

 

15.65

 

 

 

9,922,751

 

 

 

10,000,000

 

Total United States Treasury Obligations (cost $30,854,341)

 

 

48.63

%

 

$

30,823,870

 

 

 

 

 

Affiliated Investments

 

 

 

 

 

 

 

 

 

Shares

 

Money Market Mutual Fund

 

 

 

 

 

 

 

 

 

 

 

 

Invesco Government & Agency Portfolio, Institutional

   Class, 2.88% (cost $32,480,942) (c)(d)

 

 

51.24

%

 

$

32,480,942

 

 

 

32,480,942

 

Total Investments in Securities (cost $63,335,283)

 

 

99.87

%

 

$

63,304,812

 

 

 

 

 

 

(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 $3,982,000 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 September 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

 

 

593

 

 

December - 2022

 

$

(66,465,812

)

 

$

(1,498,290

)

 

$

(1,498,290

)

 

(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 Nine Months Ended September 30, 2022 and 2021

(Unaudited)

 

 

 

Three Months Ended

 

 

Nine Months Ended

 

 

 

September 30,

 

 

September 30,

 

 

 

2022

 

 

2021

 

 

2022

 

 

2021

 

Income

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest Income

 

$

138,812

 

 

$

6,484

 

 

$

174,239

 

 

$

23,405

 

Dividends from Affiliates

 

 

180,263

 

 

 

2,030

 

 

 

231,405

 

 

 

8,322

 

Total Income

 

 

319,075

 

 

 

8,514

 

 

 

405,644

 

 

 

31,727

 

Expenses

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Management Fees

 

 

121,374

 

 

 

131,649

 

 

 

290,705

 

 

 

459,406

 

Brokerage Commissions and Fees

 

 

3,714

 

 

 

350

 

 

 

8,482

 

 

 

10,297

 

Interest Expense

 

 

323

 

 

 

125

 

 

 

626

 

 

 

427

 

Total Expenses

 

 

125,411

 

 

 

132,124

 

 

 

299,813

 

 

 

470,130

 

Less: Waivers

 

 

(8,789

)

 

 

 

 

 

(15,341

)

 

 

(11,380

)

Net Expenses

 

 

116,622

 

 

 

132,124

 

 

 

284,472

 

 

 

458,750

 

Net Investment Income (Loss)

 

 

202,453

 

 

 

(123,610

)

 

 

121,172

 

 

 

(427,023

)

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

 

 

(3,633,785

)

 

 

(2,333,016

)

 

 

(6,987,589

)

 

 

(1,934,315

)

Net Realized Gain (Loss)

 

 

(3,633,785

)

 

 

(2,333,016

)

 

 

(6,987,589

)

 

 

(1,934,315

)

Net Change in Unrealized Gain (Loss) on

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

United States Treasury Obligations

 

 

9,011

 

 

 

(1,270

)

 

 

(30,807

)

 

 

(2,042

)

Currency Futures Contracts

 

 

(876,505

)

 

 

985,170

 

 

 

(1,786,319

)

 

 

(2,078,810

)

Net Change in Unrealized Gain (Loss)

 

 

(867,494

)

 

 

983,900

 

 

 

(1,817,126

)

 

 

(2,080,852

)

Net Realized and Net Change in Unrealized

    Gain (Loss) on United States Treasury

    Obligations, Affiliated Investments and

    Currency Futures Contracts

 

 

(4,501,279

)

 

 

(1,349,116

)

 

 

(8,804,715

)

 

 

(4,015,167

)

Net Income (Loss)

 

$

(4,298,826

)

 

$

(1,472,726

)

 

$

(8,683,543

)

 

$

(4,442,190

)

 

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, 2022

(Unaudited)

 

 

 

General Shares

 

 

Shares

 

 

Total

 

 

 

Shares

 

 

Total

Equity

 

 

Shares

 

 

Total

Equity

 

 

Shareholders'

Equity

 

Balance at June 30, 2022

 

 

40

 

 

$

737

 

 

 

2,700,000

 

 

$

49,759,727

 

 

$

49,760,464

 

Purchases of Shares

 

 

 

 

 

 

 

 

 

 

2,000,000

 

 

 

35,503,722

 

 

 

35,503,722

 

Redemption of Shares

 

 

 

 

 

 

 

 

 

 

(1,000,000

)

 

 

(17,579,028

)

 

 

(17,579,028

)

Net Increase (Decrease) due to Share Transactions

 

 

 

 

 

 

 

 

 

 

1,000,000

 

 

 

17,924,694

 

 

 

17,924,694

 

Net Income (Loss)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Investment Income (Loss)

 

 

 

 

 

 

3

 

 

 

 

 

 

 

202,450

 

 

 

202,453

 

Net Realized Gain (Loss) on United States Treasury

   Obligations, Affiliated Investments and

   Currency Futures Contracts

 

 

 

 

 

 

(45

)

 

 

 

 

 

 

(3,633,740

)

 

 

(3,633,785

)

Net Change in Unrealized Gain (Loss) on United States

   Treasury Obligations, Affiliated Investments and

   Currency Futures Contracts

 

 

 

 

 

 

(10

)

 

 

 

 

 

 

(867,484

)

 

 

(867,494

)

Net Income (Loss)

 

 

 

 

 

 

(52

)

 

 

 

 

 

 

(4,298,774

)

 

 

(4,298,826

)

Net Change in Shareholders' Equity

 

 

 

 

 

(52

)

 

 

1,000,000

 

 

 

13,625,920

 

 

 

13,625,868

 

Balance at September 30, 2022

 

 

40

 

 

$

685

 

 

 

3,700,000

 

 

$

63,385,647

 

 

$

63,386,332

 

                      

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, 2021

(Unaudited)

 

 

General Shares

 

 

Shares

 

 

Total

 

 

 

Shares

 

 

Total

Equity

 

 

Shares

 

 

Total

Equity

 

 

Shareholders'

Equity

 

Balance at June 30, 2021

 

 

40

 

 

$

843

 

 

 

3,800,000

 

 

$

80,097,442

 

 

$

80,098,285

 

Purchases of Shares

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Redemption of Shares

 

 

 

 

 

 

 

 

 

 

(800,000

)

 

 

(16,750,654

)

 

 

(16,750,654

)

Net Increase (Decrease) due to Share Transactions

 

 

 

 

 

 

 

 

 

 

(800,000

)

 

 

(16,750,654

)

 

 

(16,750,654

)

Net Income (Loss)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Investment Income (Loss)

 

 

 

 

 

 

(1

)

 

 

 

 

 

 

(123,609

)

 

 

(123,610

)

Net Realized Gain (Loss) on United States Treasury

   Obligations, Affiliated Investments and

   Currency Futures Contracts

 

 

 

 

 

 

(24

)

 

 

 

 

 

 

(2,332,992

)

 

 

(2,333,016

)

Net Change in Unrealized Gain (Loss) on United States

   Treasury Obligations, Affiliated Investments and

   Currency Futures Contracts

 

 

 

 

 

 

7

 

 

 

 

 

 

 

983,893

 

 

 

983,900

 

Net Income (Loss)

 

 

 

 

 

 

(18

)

 

 

 

 

 

 

(1,472,708

)

 

 

(1,472,726

)

Net Change in Shareholders' Equity

 

 

 

 

 

(18

)

 

 

(800,000

)

 

 

(18,223,362

)

 

 

(18,223,380

)

Balance at September 30, 2021

 

 

40

 

 

$

825

 

 

 

3,000,000

 

 

$

61,874,080

 

 

$

61,874,905

 

 

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, 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

 

 

 

 

 

 

 

 

 

 

2,800,000

 

 

 

50,397,991

 

 

 

50,397,991

 

Redemption of Shares

 

 

 

 

 

 

 

 

 

 

(1,500,000

)

 

 

(26,965,219

)

 

 

(26,965,219

)

Net Increase (Decrease) due to Share Transactions

 

 

 

 

 

 

 

 

 

 

1,300,000

 

 

 

23,432,772

 

 

 

23,432,772

 

Net Income (Loss)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Investment Income (Loss)

 

 

 

 

 

 

2

 

 

 

 

 

 

 

121,170

 

 

 

121,172

 

Net Realized Gain (Loss) on United States Treasury

   Obligations, Affiliated Investments and

   Currency Futures Contracts

 

 

 

 

 

 

(102

)

 

 

 

 

 

 

(6,987,487

)

 

 

(6,987,589

)

Net Change in Unrealized Gain (Loss) on United States

   Treasury Obligations, Affiliated Investments and

   Currency Futures Contracts

 

 

 

 

 

 

(26

)

 

 

 

 

 

 

(1,817,100

)

 

 

(1,817,126

)

Net Income (Loss)

 

 

 

 

 

 

(126

)

 

 

 

 

 

 

(8,683,417

)

 

 

(8,683,543

)

Net Change in Shareholders' Equity

 

 

 

 

 

(126

)

 

 

1,300,000

 

 

 

14,749,355

 

 

 

14,749,229

 

Balance at September 30, 2022

 

40

 

 

$

685

 

 

 

3,700,000

 

 

$

63,385,647

 

 

$

63,386,332

 

 

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, 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

 

 

 

 

 

 

 

 

 

 

(2,300,000

)

 

 

(48,856,076

)

 

 

(48,856,076

)

Net Increase (Decrease) due to Share Transactions

 

 

 

 

 

 

 

 

 

 

(1,300,000

)

 

 

(27,314,943

)

 

 

(27,314,943

)

Net Income (Loss)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Investment Income (Loss)

 

 

 

 

 

 

(4

)

 

 

 

 

 

 

(427,019

)

 

 

(427,023

)

Net Realized Gain (Loss) on United States Treasury

   Obligations, Affiliated Investments and

   Currency Futures Contracts

 

 

 

 

 

 

(20

)

 

 

 

 

 

 

(1,934,295

)

 

 

(1,934,315

)

Net Change in Unrealized Gain (Loss) on United States

   Treasury Obligations, Affiliated Investments and

   Currency Futures Contracts

 

 

 

 

 

 

(22

)

 

 

 

 

 

 

(2,080,830

)