Company Quick10K Filing
Invesco DB US Dollar Index Bearish Fund
Price20.23 EPS-1
Shares2 P/E-25
MCap36 P/FCF-4
Net Debt-0 EBIT-1
TEV36 TEV/EBIT-25
TTM 2019-09-30, in MM, except price, ratios
10-Q 2021-03-31 Filed 2021-05-07
10-K 2020-12-31 Filed 2021-02-26
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S-1 2019-08-13 Public Filing
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10-K 2017-12-31 Filed 2018-02-28
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10-K 2016-12-31 Filed 2017-03-01
10-Q 2016-09-30 Filed 2016-11-08
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10-K 2015-12-31 Filed 2016-02-29
10-Q 2015-09-30 Filed 2015-11-06
10-Q 2015-06-30 Filed 2015-08-10
10-Q 2015-03-31 Filed 2015-05-11
10-K 2014-12-31 Filed 2015-03-09
10-Q 2014-09-30 Filed 2014-11-05
10-Q 2014-06-30 Filed 2014-08-06
10-Q 2014-03-31 Filed 2014-05-09
10-K 2013-12-31 Filed 2014-03-14
10-Q 2013-09-30 Filed 2013-11-05
10-Q 2013-06-30 Filed 2013-08-08
10-Q 2013-03-31 Filed 2013-05-03
10-K 2012-12-31 Filed 2013-02-25
10-Q 2012-09-30 Filed 2012-11-02
10-Q 2012-06-30 Filed 2012-08-03
10-Q 2012-03-31 Filed 2012-05-09
10-K 2011-12-31 Filed 2012-02-28
10-Q 2011-09-30 Filed 2011-11-07
10-Q 2011-06-30 Filed 2011-08-05
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10-K 2010-12-31 Filed 2011-03-01
10-Q 2010-09-30 Filed 2010-11-08
10-Q 2010-06-30 Filed 2010-08-04
10-Q 2010-03-31 Filed 2010-05-10
10-K 2009-12-31 Filed 2010-02-24
8-K 2020-10-27
8-K 2020-10-20
8-K 2020-04-02
8-K 2019-10-01
8-K 2019-05-07
8-K 2018-03-08

UDN 10Q Quarterly Report

Part I. Financial Information
Item 1. Financial Statements.
Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations.
Item 3. Quantitative and Qualitative Disclosures About Market Risk
Item 4. Controls and Procedures
Part II. Other Information
Item 1. Legal Proceedings.
Item 1A. Risk Factors.
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.
Item 3. Defaults Upon Senior Securities.
Item 4. Mine Safety Disclosures.
Item 5. Other Information.
Item 6. Exhibits.
EX-31.1 udn-ex311_9.htm
EX-31.2 udn-ex312_8.htm
EX-31.3 udn-ex313_237.htm
EX-31.4 udn-ex314_236.htm
EX-32.1 udn-ex321_6.htm
EX-32.2 udn-ex322_7.htm
EX-32.3 udn-ex323_235.htm
EX-32.4 udn-ex324_234.htm

Invesco DB US Dollar Index Bearish Fund Earnings 2016-03-31

Balance SheetIncome StatementCash Flow

10-Q 1 udn-10q_20160331.htm 10-Q udn-10q_20160331.htm

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM 10-Q

 

(Mark One)

x

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

For the quarterly period ended March 31, 2016

OR

o

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

 

POWERSHARES DB US DOLLAR INDEX BEARISH FUND

(A Series of PowerShares 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 PowerShares 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

 

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  þ    No  o

Indicate by check mark whether the Registrant has submitted electronically and posted on its corporate Web site, if any, an Interactive Data File required to be submitted and posted 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 and post such files).    Yes  þ    No  o

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See definition of “accelerated filer,” “large accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act. (Check one):

 

Large Accelerated Filer

¨

Accelerated Filer

¨

 

 

 

 

Non-Accelerated Filer

¨ (Do not check if a smaller reporting company)

Smaller reporting company

x

 

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

Indicate the number of outstanding Shares as of March 31, 2016: 2,200,000 Shares.

 

 

 

 

 


 

POWERSHARES DB US DOLLAR INDEX BEARISH FUND

(A SERIES OF POWERSHARES DB US DOLLAR INDEX TRUST)

QUARTER ENDED MARCH 31, 2016

TABLE OF CONTENTS

 

 

 

 

i


 

PART I. FINANCIAL INFORMATION

ITEM  1.

FINANCIAL STATEMENTS.

PowerShares DB US Dollar Index Bearish Fund

Statements of Financial Condition

March 31, 2016 and December 31, 2015

(Unaudited)

 

 

 

March 31,

2016

 

 

December 31,

2015

 

Assets

 

 

 

 

 

 

 

 

United States Treasury Obligations, at fair value (cost $ 45,977,466 and $36,491,937,

   respectively)(a)

 

$

45,986,739

 

 

$

36,495,207

 

Cash held by custodian

 

 

3,085,741

 

 

 

6,561,288

 

Variation margin receivable

 

 

120,982

 

 

 

 

Total assets

 

$

49,193,462

 

 

$

43,056,495

 

Liabilities

 

 

 

 

 

 

 

 

Variation margin payable

 

$

-

 

 

$

156,009

 

Payable for shares redeemed

 

 

-

 

 

 

4,301,764

 

Management fee payable

 

 

30,661

 

 

 

29,062

 

Brokerage fee payable

 

 

4,584

 

 

 

3,883

 

Total liabilities

 

 

35,245

 

 

 

4,490,718

 

Commitments and Contingencies (Note 9)

 

 

 

 

 

 

 

 

Equity

 

 

 

 

 

 

 

 

Shareholder's equity - General Shares

 

 

894

 

 

 

857

 

Shareholders' equity - Shares

 

 

49,157,323

 

 

 

38,564,920

 

Total shareholders' equity

 

 

49,158,217

 

 

 

38,565,777

 

Total liabilities and equity

 

$

49,193,462

 

 

$

43,056,495

 

General Shares outstanding

 

 

40

 

 

 

40

 

Shares outstanding

 

 

2,200,000

 

 

 

1,800,000

 

 

 

 

 

 

 

 

 

 

Net asset value per Share

 

$

22.34

 

 

$

21.42

 

Market value per Share

 

$

22.34

 

 

$

21.43

 

 

 

(a)

$1,999,414 and $1,843,588, respectively is restricted for maintenance margin purposes.

 

 

 

 

 

 

 

 

 

 

 

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

 

 

1


 

PowerShares DB US Dollar Index Bearish Fund

Schedule of Investments

March 31, 2016

(Unaudited)

 

Description

 

Percentage of

Shareholders'

Equity

 

 

Fair Value

 

 

Face Value

 

United States Treasury Obligations (a)

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury Bills, 0.275% due April 7, 2016

 

 

8.14

%

 

$

3,999,928

 

 

$

4,000,000

 

U.S. Treasury Bills, 0.200% due April 28, 2016

 

 

14.24

 

 

 

6,999,132

 

 

 

7,000,000

 

U.S. Treasury Bills, 0.325% due June 2, 2016(b)

 

 

52.87

 

 

 

25,993,214

 

 

 

26,000,000

 

U.S. Treasury Bills, 0.235% due July 7, 2016

 

 

18.30

 

 

 

8,994,465

 

 

 

9,000,000

 

Total United States Treasury Obligations (cost $45,977,466)

 

 

93.55

%

 

$

45,986,739

 

 

 

 

 

 

(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)

All or a portion of United States Treasury Obligations are on deposit with the Commodity Broker and held as maintenance margin for open futures contracts.

 

Description

 

Unrealized

Appreciation/

(Depreciation) as

a Percentage of

Shareholders'

Equity

 

 

Unrealized

Appreciation/

(Depreciation)(c)

 

 

Notional

Market

Value

 

Currency Futures Contracts

 

 

 

 

 

 

 

 

 

 

 

 

FNX-ICE Dollar Index (502 contracts, settlement date June 13, 2016)

 

 

2.35

%

 

$

1,156,653

 

 

$

(47,478,156

)

Total Currency Futures Contracts

 

 

2.35

%

 

$

1,156,653

 

 

$

(47,478,156

)

 

(c)

Unrealized appreciation/(depreciation) is presented above, net by contract.

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

2


 

PowerShares DB US Dollar Index Bearish Fund

Schedule of Investments

December 31, 2015

(Unaudited)

 

Description

 

Percentage of

Shareholders'

Equity

 

 

Fair Value

 

 

Face Value

 

United States Treasury Obligations (a)(b)

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury Bills, 0.205% due January 14, 2016

 

 

9.07

%

 

$

3,499,902

 

 

$

3,500,000

 

U.S. Treasury Bills, 0.170% due January 28, 2016

 

 

19.45

 

 

 

7,499,385

 

 

 

7,500,000

 

U.S. Treasury Bills, 0.135% due February 11, 2016

 

 

20.74

 

 

 

7,998,944

 

 

 

8,000,000

 

U.S. Treasury Bills, 0.145% due February 18, 2016

 

 

11.67

 

 

 

4,499,406

 

 

 

4,500,000

 

U.S. Treasury Bills, 0.215% due March 3, 2016

 

 

12.96

 

 

 

4,999,210

 

 

 

5,000,000

 

U.S. Treasury Bills, 0.280% due March 10, 2016

 

 

20.74

 

 

 

7,998,360

 

 

 

8,000,000

 

Total United States Treasury Obligations (cost $36,491,937)

 

 

94.63

%

 

$

36,495,207

 

 

 

 

 

 

(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 year end.

(b)

A portion of United States Treasury Obligations are on deposit with the Commodity Broker and held as maintenance margin for open futures contracts.

 

Description

 

Unrealized

Appreciation/

(Depreciation) as

a Percentage of

Shareholders'

Equity

 

 

Unrealized

Appreciation/

(Depreciation)(c)

 

 

Notional

Market

Value

 

Currency Futures Contracts

 

 

 

 

 

 

 

 

 

 

 

 

FNX-ICE Dollar Index (399 contracts, settlement date March 14, 2016)

 

 

(1.02

)%

 

$

(394,359

)

 

$

(39,399,255

)

Total Currency Futures Contracts

 

 

(1.02

)%

 

$

(394,359

)

 

$

(39,399,255

)

 

(c)

Unrealized appreciation/(depreciation) is presented above, net by contract.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

3


 

PowerShares DB US Dollar Index Bearish Fund

Statements of Income and Expenses

For the Three Months Ended March 31, 2016 and 2015

(Unaudited)

 

 

 

Three Months Ended

March 31,

 

 

 

2016

 

 

2015

 

Income

 

 

 

 

 

 

 

 

Interest Income

 

$

25,332

 

 

$

2,574

 

Expenses

 

 

 

 

 

 

 

 

Management Fee

 

 

82,219

 

 

 

74,637

 

Brokerage Commissions and Fees

 

 

3,588

 

 

 

2,448

 

Interest Expense (a)

 

 

255

 

 

 

 

Total Expenses

 

 

86,062

 

 

 

77,085

 

Net Investment Income (Loss)

 

 

(60,730

)

 

 

(74,511

)

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

   Treasury Obligations and Currency Futures Contracts

 

 

 

 

 

 

 

 

Net Realized Gain (Loss) on

 

 

 

 

 

 

 

 

United States Treasury Obligations

 

 

(320

)

 

 

96

 

Currency Futures Contracts

 

 

522,592

 

 

 

(5,249,379

)

Net Realized Gain (Loss)

 

 

522,272

 

 

 

(5,249,283

)

Net Change in Unrealized Gain (Loss) on

 

 

 

 

 

 

 

 

United States Treasury Obligations

 

 

6,003

 

 

 

(323

)

Currency Futures Contracts

 

 

1,551,012

 

 

 

1,442,247

 

Net Change in Unrealized Gain (Loss)

 

 

1,557,015

 

 

 

1,441,924

 

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

   Treasury Obligations and Currency Futures Contracts

 

 

2,079,287

 

 

 

(3,807,359

)

Net Income (Loss)

 

$

2,018,557

 

 

$

(3,881,870

)

 

 

(a)

Interest Expense for the period ended March 31, 2016 represents interest expense on overdraft balances. These amounts are included in Interest Income for the period ended March 31, 2015.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

4


 

PowerShares DB US Dollar Index Bearish Fund

Statement of Changes in Shareholders’ Equity

For the Three Months Ended March 31, 2016

(Unaudited)

 

 

 

General Shares

 

 

Shares

 

 

 

 

 

 

 

Shares

 

 

Total

Equity

 

 

Shares

 

 

Total

Equity

 

 

Total

Shareholders'

Equity

 

Balance at January 1, 2016

 

 

40

 

 

$

857

 

 

 

1,800,000

 

 

$

38,564,920

 

 

$

38,565,777

 

Sale of Shares

 

 

 

 

 

 

 

 

 

 

600,000

 

 

 

12,855,909

 

 

 

12,855,909

 

Redemption of Shares

 

 

 

 

 

 

 

 

 

 

(200,000

)

 

 

(4,282,026

)

 

 

(4,282,026

)

Net Increase (Decrease) due to Share Transactions

 

 

 

 

 

 

 

 

 

 

400,000

 

 

 

8,573,883

 

 

 

8,573,883

 

Net Income (Loss)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Investment Income (Loss)

 

 

 

 

 

 

(1

)

 

 

 

 

 

 

(60,729

)

 

 

(60,730

)

Net Realized Gain (Loss) on United States Treasury

   Obligations and Currency Futures Contracts

 

 

 

 

 

 

10

 

 

 

 

 

 

 

522,262

 

 

 

522,272

 

Net Change in Unrealized Gain (Loss) on United

   States Treasury Obligations and Currency

   Futures Contracts

 

 

 

 

 

 

28

 

 

 

 

 

 

 

1,556,987

 

 

 

1,557,015

 

Net Income (Loss)

 

 

 

 

 

 

37

 

 

 

 

 

 

 

2,018,520

 

 

 

2,018,557

 

Net Change in Shareholders' Equity

 

 

 

 

 

37

 

 

 

400,000

 

 

 

10,592,403

 

 

 

10,592,440

 

Balance at March 31, 2016

 

 

40

 

 

$

894

 

 

 

2,200,000

 

 

$

49,157,323

 

 

$

49,158,217

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

5


 

PowerShares DB US Dollar Index Bearish Fund

Statement of Changes in Shareholders’ Equity

For the Three Months Ended March 31, 2015

(Unaudited)

 

 

 

General Shares

 

 

Shares

 

 

 

 

 

 

 

Shares

 

 

Total

Equity

 

 

Shares

 

 

Total

Equity

 

 

Total

Shareholders'

Equity

 

Balance at January 1, 2015

 

 

40

 

 

$

951

 

 

 

1,800,000

 

 

$

42,787,753

 

 

$

42,788,704

 

Sale of Shares

 

 

 

 

 

 

 

 

 

 

400,000

 

 

 

8,752,359

 

 

 

8,752,359

 

Redemption of Shares

 

 

 

 

 

 

 

 

 

 

(200,000

)

 

 

(4,643,307

)

 

 

(4,643,307

)

Net Increase (Decrease) due to Share Transactions

 

 

 

 

 

 

 

 

 

 

200,000

 

 

 

4,109,052

 

 

 

4,109,052

 

Net Income (Loss)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Investment Income (Loss)

 

 

 

 

 

 

(1

)

 

 

 

 

 

 

(74,510

)

 

 

(74,511

)

Net Realized Gain (Loss) on United States Treasury

   Obligations and Currency Futures Contracts

 

 

 

 

 

 

(124

)

 

 

 

 

 

 

(5,249,159

)

 

 

(5,249,283

)

Net Change in Unrealized Gain (Loss) on United

   States Treasury Obligations and Currency

   Futures Contracts

 

 

 

 

 

 

34

 

 

 

 

 

 

 

1,441,890

 

 

 

1,441,924

 

Net Income (Loss)

 

 

 

 

 

 

(91

)

 

 

 

 

 

 

(3,881,779

)

 

 

(3,881,870

)

Net Change in Shareholders' Equity

 

 

 

 

 

(91

)

 

 

200,000

 

 

 

227,273

 

 

 

227,182

 

Balance at March 31, 2015

 

40

 

 

$

860

 

 

 

2,000,000

 

 

$

43,015,026

 

 

$

43,015,886

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

6


 

PowerShares DB US Dollar Index Bearish Fund

Statements of Cash Flows

For the Three Months Ended March 31, 2016 and 2015

(Unaudited)

 

 

 

Three Months Ended

March 31,

 

 

 

2016

 

 

2015

 

Cash flow from operating activities:

 

 

 

 

 

 

 

 

Net Income (Loss)

 

$

2,018,557

 

 

$

(3,881,870

)

Adjustments to reconcile net income (loss) to net cash provided by (used for) operating

   activities:

 

 

 

 

 

 

 

 

Cost of securities purchased

 

 

(45,960,108

)

 

 

(28,998,156

)

Proceeds from securities sold and matured

 

 

36,499,591

 

 

 

45,799,938

 

Net accretion of discount on United States Treasury Obligations

 

 

(25,332

)

 

 

(2,581

)

Net realized (gain) loss on United States Treasury Obligations

 

 

320

 

 

 

(96

)

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

   Currency Futures Contracts

 

 

(6,003

)

 

 

(1,441,924

)

Cash transfer to Commodity Broker to satisfy variation margin requirements

   (Note 4)

 

 

-

 

 

 

(2,052,858

)

Cash received (paid) to Commodity Broker to satisfy open variation margin, net

   (Note 4)

 

 

-

 

 

 

2,508,091

 

Change in operating receivables and liabilities:

 

 

 

 

 

 

 

 

Variation margin

 

 

(276,991

)

 

 

158,840

 

Management fee payable

 

 

1,599

 

 

 

(21,054

)

Brokerage fee payable

 

 

701

 

 

 

(945

)

Net cash provided by (used for) operating activities

 

 

(7,747,666

)

 

 

12,067,385

 

Cash flows from financing activities:

 

 

 

 

 

 

 

 

Proceeds from sale of Shares

 

 

12,855,909

 

 

 

8,752,359

 

Redemption of Shares

 

 

(8,583,790

)

 

 

(4,643,307

)

Net cash provided by (used for) financing activities

 

 

4,272,119

 

 

 

4,109,052

 

Net change in cash

 

 

(3,475,547

)

 

 

16,176,437

 

Cash at beginning of period

 

 

6,561,288

 

 

 

1,829,181

 

Cash at end of year

 

$

3,085,741

 

 

$

18,005,618

 

Supplemental disclosure of cash flow information

 

 

 

 

 

 

 

 

Cash paid for interest

 

$

255

 

 

$

-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

7


 

PowerShares DB US Dollar Index Bearish Fund

Notes to Unaudited Financial Statements

March 31, 2016

 

 

(1) Background

On October 24, 2014, DB Commodity Services LLC, a Delaware limited liability company (“DBCS”), DB U.S. Financial Markets Holding Corporation (“DBUSH”) and Invesco PowerShares Capital Management LLC (“Invesco”) entered into an Asset Purchase Agreement (the “Agreement”). DBCS is a wholly-owned subsidiary of DBUSH. DBCS agreed to transfer and sell to Invesco all of DBCS’ interests in PowerShares DB US Dollar Index Trust (the “Trust”), a Delaware statutory trust, and the Trust’s two separate series, one of which is PowerShares DB US Dollar Index Bearish Fund (the “Fund”), including the sole and exclusive power to direct the business and affairs of the Trust and the Fund, as well as certain other assets pertaining to the management of the Trust and the Fund, pursuant to the terms and conditions of the Agreement (the “Transaction”).

The Transaction was consummated on February 23, 2015 (the “Closing Date”). Invesco now serves as the managing owner (the “Managing Owner”), commodity pool operator and commodity trading advisor of the Trust and the Fund, in replacement of DBCS (the “Predecessor Managing Owner”).

 

 

(2) Organization

The Fund, a separate series of the Trust, a Delaware statutory trust organized in two separate series, was formed on August 3, 2006. The Predecessor Managing Owner seeded the Fund with a capital contribution of $1,000 in exchange for 40 General Shares of the Fund. The General Shares were sold to the Managing Owner by the Predecessor Managing Owner pursuant to the terms of the Agreement. The fiscal year end of the Fund is December 31st. 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 (the “Trust Agreement”). The Fund has an unlimited number of shares authorized for issuance.

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 200,000 Shares, called a Basket. The proceeds from the offering of Shares are invested in the Fund. The Fund commenced investment operations on February 15, 2007. The Fund commenced trading on the American Stock Exchange (which became the NYSE Alternext US LLC (the “NYSE Alternext”)) on February 20, 2007 and, as of November 25, 2008, is listed on the NYSE Arca, Inc. (the “NYSE Arca”).

This Quarterly Report (the “Report”) covers the three months ended March 31, 2016 and 2015 (hereinafter referred to as the “Three Months Ended March 31, 2016” and the “Three Months Ended March 31, 2015”, respectively). The Fund’s performance information from inception up to and excluding the Closing Date is a reflection of the performance associated with the Predecessor Managing Owner. The Managing Owner has served as managing owner of the Fund since the Closing Date, and the Fund’s performance information since the Closing Date is a reflection of the performance associated with the Managing Owner. Past performance of the Fund is not necessarily indicative of future performance.

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, 2015 as filed with the SEC on February 29, 2016.

 

 

(3) Fund Investment Overview

The Fund establishes short positions in certain futures contracts (the “DX Contracts”) with a view to tracking the changes, whether positive or negative, in the level of the Deutsche Bank Short US Dollar Index (USDX®) Futures Index–Excess Return (the “Short Index” or the “Index”) over time. The performance of the Fund also is intended to reflect the excess, if any, of its interest income from its holdings of United States Treasury Obligations over the expenses of the Fund. The Index is calculated to reflect the changes in market value over time, whether positive or negative, of short positions in DX Contracts. DX Contracts are traded through the currency markets of ICE Futures U.S. (formerly known as the New York Board of Trade®), under the symbol “DX.” The changes in market value over time, whether positive or negative, of the DX Contracts are related to the changes, whether positive or negative,

8


 

in the level of the U.S. Dollar Index® (the “USDX®”). The Index provides a general indication of the international value of the U.S. dollar relative to the six major world currencies (each an “Index Currency,” and collectively, the “Index Currencies”), which comprise the USDX®—Euro, Japanese Yen, British Pound, Canadian Dollar, Swedish Krona and Swiss Franc.

 

(4) Service Providers and Related Party Agreements

The Trustee

Under the Trust Agreement, Wilmington Trust Company, the trustee of the Trust (the “Trustee”), has delegated to the Managing Owner the exclusive management and control of all aspects of the business of the Trust and the Fund. 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 net asset value of the Fund (the “Management Fee”). From inception up to and excluding the Closing Date, all Management Fees were payable to the Predecessor Managing Owner. The Managing Owner has served as managing owner of the Fund since the Closing Date and all Management Fee accruals since the Closing Date have been paid to the Managing Owner.

The Commodity Broker

Deutsche Bank Securities Inc., a Delaware corporation, serves as the Fund’s clearing broker (the “Commodity Broker”). The Commodity Broker is an indirect wholly-owned subsidiary of Deutsche Bank AG and is an affiliate of the Predecessor Managing Owner. 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” and “Custodian”) is the administrator, custodian and transfer agent of the Fund. The Fund and the Administrator have entered into separate administrative, custodian, transfer agency and service agreements (collectively referred to as the “Administration Agreement”).

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 Baskets, net asset value calculations, accounting and other fund administrative services. The Administrator maintains certain financial books and records, including: Basket creation and redemption books and 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 fees for its services out of the Management Fee.

As of December 31, 2014, the Fund held $1,829,181 of cash and $42,998,854 of United States Treasury Obligations at the Commodity Broker. In conjunction with the Transaction, during the three-day period from February 24, 2015 to February 26, 2015, the Fund transferred $500,000 of cash and $35,999,668 of United States Treasury Obligations from the Commodity Broker to the Custodian. The Fund’s open positions of currency futures contracts remained with the Commodity Broker as well as $4,000,000 of United States Treasury Obligations to satisfy maintenance margin requirements and $2,052,858 of cash to satisfy variation margin requirements for open currency futures contracts. Effective February 26, 2015, the Managing Owner began transferring cash daily from the Custodian to the Commodity Broker to satisfy the previous day’s variation margin on open futures contracts.

The Distributor

ALPS 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

9


 

Administrator 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.

Index Sponsor

Effective as of the Closing Date, the Managing Owner, on behalf of the Fund, has appointed Deutsche Bank Securities Inc. to serve as the index sponsor (the “Index Sponsor”). Prior to the Closing Date, the index sponsor was Deutsche Bank AG London. 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.

Marketing Agent

Effective as of the Closing Date, the Managing Owner, on behalf of the Fund, has appointed Deutsche Bank Securities Inc. as the marketing agent (the “Marketing Agent”) to assist the Managing Owner by providing support to educate institutional investors about the DBIQ indices and to complete governmental or institutional due diligence questionnaires or requests for proposals related to the DBIQ indices.

The Managing Owner pays the Marketing Agent a marketing services fee out of the Management Fee.

The Marketing Agent will not open or maintain customer accounts or handle orders for the Fund. The Marketing Agent has no responsibility for the performance of the Fund or the decisions made or actions taken by the Managing Owner.

 

 

(5) Summary of Significant Accounting Policies

(a) Basis of Presentation

The financial statements of the Fund have been prepared using U.S. generally accepted accounting principles (“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 (“FASB”) Accounting Standards Codification Topic 946 — Investment Companies.

(b) Use of Estimates

The preparation of the financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, revenues and expenses and related disclosure of contingent assets and liabilities during the reporting period of the financial statements and accompanying notes. Actual results could differ from those estimates.

(c) Financial Instruments and Fair Value

United States Treasury Obligations and currency futures contracts are recorded in the Statements of Financial Condition on a trade date basis at fair value with changes in fair value recognized in earnings in each period. 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.

10


 

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.

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.

When market closing prices are not available, the Managing Owner may value an asset of the Fund pursuant to policies the Managing Owner has adopted, which are consistent with normal industry standards.

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, 2016:

 

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

United States Treasury Obligations

 

$

 

 

$

45,986,739

 

 

$

 

 

$

45,986,739

 

Currency Futures Contracts(a)

 

$

1,156,653

 

 

$

 

 

$

 

 

$

1,156,653

 

 

(a)

Unrealized appreciation/(depreciation).

The following is a summary of the tiered valuation input levels as of December 31, 2015:

 

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

United States Treasury Obligations

 

$

 

 

$

36,495,207

 

 

$

 

 

$

36,495,207

 

Currency Futures Contracts(a)

 

$

(394,359

)

 

$

 

 

$

 

 

$

(394,359

)

 

(a)

Unrealized appreciation/(depreciation).

(d) Deposits with Commodity Broker

The Fund deposits cash and United States Treasury Obligations with its Commodity Broker subject to CFTC regulations and various exchange and broker requirements. 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. 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.

(e) Investment Transactions and Investment Income

Investment transactions are accounted for on a trade date basis. Realized gains (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.

11


 

(f) Cash Held by Commodity Broker

The Fund’s arrangement with the Commodity Broker requires the Fund to meet its variation margin requirement related to the price movements on futures contracts held by the Fund by maintaining cash on deposit with the Commodity Broker. The Fund assesses its variation margin requirements on a daily basis by recalculating the change in value of the futures contracts based on price movements. Subsequent cash payments are made or received by the Fund each business day depending upon whether unrealized gains or losses are incurred on the futures contracts.

The Fund defines cash and cash equivalents to be highly liquid investments, with original maturities of three months or less when purchased. There were no cash equivalents held by the Fund as of March 31, 2016 and December 31, 2015.

(g) Receivable/(Payable) for Shares Issued and Redeemed

On any business day, an Authorized Participant may place an order to create or redeem Shares of the Fund. Cash settlement occurs at the creation order settlement date or the redemption order settlement date as discussed in Note 7.

(h) 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. On an ongoing basis, the Managing Owner will monitor the Fund’s tax positions taken under the interpretation (and consult with its tax counsel from time to time when appropriate) to determine if adjustments to conclusions are necessary based on factors including, but not limited to, on-going analysis of tax law, regulation, and interpretations thereof. The major tax jurisdiction for the Fund and the earliest tax year subject to examination: United States, 2012.

(i) Currency Futures Contracts

The Fund utilizes derivative instruments to achieve its investment objective. A futures contract is an agreement between counterparties to purchase or sell a specified underlying security or index for a specified price at a future date. All of the Fund’s currency futures contracts are held and used for trading purposes. During the period the 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.

The Fair Value of Derivative Instruments is as follows:

 

 

 

March 31, 2016

 

 

December 31, 2015

 

Risk Exposure/Derivative Type(a)

 

Assets

 

 

Liabilities

 

 

Assets

 

 

Liabilities

 

Currency risk

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currency Futures Contracts

 

$

1,156,653

 

 

$

 

 

$

 

 

$

(394,359

)

 

(a)

Includes cumulative appreciation (depreciation) of currency futures contracts. Only current day’s variation margin receivable (payable) is reported in the March 31, 2016 and December 31, 2015 Statements of Financial Condition.

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

12


 

 

 

 

 

 

For the Three Months Ended

March 31,

 

Risk Exposure/Derivative Type

 

Location of Gain or (Loss) on Derivatives

Recognized in Income

 

2016

 

 

2015

 

Currency risk

 

 

 

 

 

 

 

 

 

 

Currency Futures Contracts

 

Net Realized Gain (Loss)

 

$

522,592

 

 

$

(5,249,379

)

 

 

Net Change in Unrealized Gain (Loss)

 

 

1,551,012

 

 

 

1,442,247

 

Total

 

 

 

$

2,073,604

 

 

$

(3,807,132

)

 

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

 

 

 

For the Three Months Ended

March 31,

 

 

 

2016

 

 

2015

 

Average Notional Value-Short

 

$

(45,859,615

)

 

$

(45,565,061

)

 

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 currency 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 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 netting arrangements. In order for an arrangement to be eligible for netting, the Fund must have a basis to conclude that such netting arrangements are legally enforceable.

The following table presents derivative instruments that are either subject to an enforceable netting agreement or offset by collateral arrangements as of March 31, 2016, net by contract:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Gross Amounts Not Offset in the

Statement of Financial Condition

 

 

 

Gross

Amounts

Recognized

 

 

Gross

Amounts

Offset in the

Statement of

Financial

Condition

 

 

Net

Amounts

Presented

in the

Statement

of Financial

Condition

 

 

Financial

Instruments (a)

 

 

Cash

Collateral

Pledged (a)

 

 

Net

Amount

 

Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currency Futures Contracts

 

$

1,156,653

 

 

$

(1,035,671

)

 

$

120,982

 

 

$

 

 

$

 

 

$

120,982

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currency Futures Contracts

 

$

(1,035,671

)

 

$

1,035,671

 

 

$

 

 

$

 

 

$

 

 

$

 

 

The following table presents derivative instruments that are either subject to an enforceable netting agreement or offset by collateral arrangements as of December 31, 2015, net by contract:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Gross Amounts Not Offset in the

Statement of Financial Condition

 

 

 

Gross

Amounts

Recognized

 

 

Gross

Amounts

Offset in the

Statement of

Financial

Condition

 

 

Net

Amounts

Presented

in the

Statement

of Financial Condition

 

 

Financial

Instruments (a)

 

 

Cash

Collateral

Pledged (a)

 

 

Net

Amount

 

Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currency Futures Contracts

 

$

238,350

 

 

$

(238,350

)

 

$

 

 

$

 

 

$

 

 

$

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currency Futures Contracts

 

$

(394,359

)

 

$

238,350

 

 

$

(156,009

)