INVESCO DB BASE METALS FUND
For the period ended Sep 30, 2024. Filed Nov 7, 2024.
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A company's report for each of its first three quarters. The financial statements are not audited. It shows how the business has moved since the last annual report, and what management says changed.
Sep 30, 2024 · Filed Nov 7, 2024
Extracted filing text, with the paragraph anchors used by the comparison.
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Item 1. Financial Statements
Statements of Financial Condition
September 30, 2024 and December 31, 2023
| September 30, | December 31, | |
|---|---|---|
| 2024 | 2023 | |
| Assets | ||
| United States Treasury Obligations, at value (cost $75,448,655 and $55,864,584, respectively) | $75,514,186 | $55,916,139 |
| Affiliated investments, at value (cost $28,350,037 and $53,361,244, respectively) | 28,350,037 | 53,345,835 |
| Other investments: | ||
| LME Commodity Futures Contracts receivable | 3,130,000 | — |
| Unrealized appreciation on LME Commodity Futures Contracts | 5,140,663 | 2,605,074 |
| Deposits with brokers: | ||
| Cash collateral - Commodity Futures Contracts | 15,000,000 | 15,000,000 |
| Receivable for: | ||
| Dividends from affiliates | 116,058 | 204,877 |
| Total assets | $127,250,944 | $127,071,925 |
| Liabilities | ||
| Other Investments: | ||
| LME Commodity Futures Contracts payable | $— | $4,329,738 |
| Unrealized depreciation on LME Commodity Futures Contracts | 235,314 | 683,289 |
| Payable for: | ||
| Distributions | — | 395,895 |
| Management fees | 71,652 | 76,002 |
| Brokerage commissions and fees | 4,945 | 5,014 |
| Total liabilities | $311,911 | $5,489,938 |
| Commitments and Contingencies (Note 10) | ||
| Equity | ||
| Shareholder's equity—General Shares | 832 | 731 |
| Shareholders' equity—Shares | 126,938,201 | 121,581,256 |
| Total shareholders' equity | 126,939,033 | 121,581,987 |
| Total liabilities and equity | $127,250,944 | $127,071,925 |
| General Shares outstanding | 40 | 40 |
| Shares outstanding | 6,100,000 | 6,650,000 |
| Net asset value per share | $20.81 | $18.28 |
| Market value per share | $20.80 | $18.31 |
Schedule of Investments
September 30, 2024
| Description · Percentage ofShareholders'Equity · Value · Principal Value | ||||
|---|---|---|---|---|
| United States Treasury Obligations (a) | ||||
| U.S. Treasury Bills, 4.750% due November 14, 2024(b) | 39.17% | $49,716,506 | $50,000,000 | |
| U.S. Treasury Bills, 4.980% due November 29, 2024(b) | 15.63 | 19,846,559 | 20,000,000 | |
| U.S. Treasury Bills, 4.970% due December 5, 2024 | 4.69 | 5,951,121 | 6,000,000 | |
| Total United States Treasury Obligations (cost $75,448,655) | 59.49% | $75,514,186 | ||
| Affiliated Investments | Shares | |||
| Money Market Mutual Fund | ||||
| Invesco Government & Agency Portfolio, Institutional Class, 4.85% (cost $28,350,037)(c)(d) | 22.33 | 28,350,037 | 28,350,037 | |
| Total Investments in Securities (cost $103,798,692) | 81.82% | $103,864,223 | ||
(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 $50,669,300 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, 2024.
| Open Commodity Futures Contracts(e) · Number of Contracts · Expiration Date · NotionalValue · Value(f) · Unrealized Appreciation (Depreciation)(f) | |||||||
|---|---|---|---|---|---|---|---|
| Long Futures Contracts | |||||||
| LME Aluminum | 607 | June-2025 | $40,401,010 | $(235,314) | $(235,314) | ||
| LME Copper | 176 | May-2025 | 43,849,608 | 650,876 | 650,876 | ||
| LME Zinc | 551 | October-2025 | 42,706,632 | 4,489,787 | 4,489,787 | ||
| Total Commodity Futures Contracts | $4,905,349 | $4,905,349 | |||||
(e)
Futures contracts collateralized by $15,000,000 cash held with Morgan Stanley & Co. LLC, the futures commission merchant.
(f)
Unrealized Appreciation (Depreciation) and Value are presented above, net by contract.
Schedule of Investments
December 31, 2023
| Description · Percentage ofShareholders'Equity · Value · Principal Value | ||||
|---|---|---|---|---|
| United States Treasury Obligations (a) | ||||
| U.S. Treasury Bills, 5.250% due March 7, 2024(b) | 4.89% | $5,943,653 | $6,000,000 | |
| U.S. Treasury Bills, 5.270% due May 16, 2024(b) | 20.17 | 24,521,125 | 25,000,000 | |
| U.S. Treasury Bills, 5.240% due May 30, 2024(b) | 16.10 | 19,582,531 | 20,000,000 | |
| U.S. Treasury Bills, 5.190% due June 6, 2024 | 4.83 | 5,868,830 | 6,000,000 | |
| Total United States Treasury Obligations (cost $55,864,584) | 45.99% | $55,916,139 | ||
| Affiliated Investments | Shares | |||
| Exchange-Traded Fund | ||||
| Invesco Short Term Treasury ETF (Cost $20,059,238)(c)(d) | 16.49% | $20,043,829 | 189,800 | |
| Money Market Mutual Fund | ||||
| Invesco Government & Agency Portfolio, Institutional Class, 5.29% (cost $33,302,006)(c)(e) | 27.39% | 33,302,006 | 33,302,006 | |
| Total Affiliated Investments (cost $53,361,244) | 43.89% | $53,345,835 | ||
| Total Investments in Securities (cost $109,225,828) | 89.88% | $109,261,974 | ||
(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 $50,045,600 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)
Effective after the close of markets on August 25, 2023, the fund's name changed from Invesco Treasury Collateral ETF to Invesco Short Term Treasury ETF.
(e)
The rate shown is the 7-day SEC standardized yield as of December 31, 2023.
| Open Commodity Futures Contracts (f) · Number of Contracts · Expiration Date · NotionalValue · Value(g) · Unrealized Appreciation (Depreciation)(g) | |||||||
|---|---|---|---|---|---|---|---|
| Long Futures Contracts | |||||||
| LME Aluminum | 678 | May-2024 | $40,887,638 | $111,744 | $111,744 | ||
| LME Copper | 190 | May-2024 | 40,809,625 | (683,289) | (683,289) | ||
| LME Zinc | 592 | October-2024 | 39,738,000 | 2,493,330 | 2,493,330 | ||
| Total Commodity Futures Contracts | $1,921,785 | $1,921,785 | |||||
(f)
Futures contracts collateralized by $15,000,000 cash held with Morgan Stanley & Co. LLC, the futures commission merchant.
(g)
Unrealized Appreciation (Depreciation) and Value are presented above, net by contract.
Statements of Income and Expenses
For the Three and Nine Months Ended September 30, 2024 and 2023
| Three Months Ended · Nine Months Ended | ||||
|---|---|---|---|---|
| September 30, | September 30, | |||
| 2024 | 2023 | 2024 | 2023 | |
| Income | ||||
| Interest Income | $1,195,756 | $924,382 | $3,128,663 | $4,075,849 |
| Dividends from Affiliates | 496,263 | 1,347,224 | 2,230,214 | 4,946,184 |
| Total Income | 1,692,019 | 2,271,606 | 5,358,877 | 9,022,033 |
| Expenses | ||||
| Management Fees | 250,245 | 307,606 | 779,107 | 1,124,011 |
| Brokerage Commissions and Fees | 11,332 | 31,967 | 41,709 | 64,878 |
| Interest Expense | 2,729 | 3,593 | 7,769 | 40,176 |
| Total Expenses | 264,306 | 343,166 | 828,585 | 1,229,065 |
| Less: Waivers | (9,107) | (25,344) | (38,942) | (97,281) |
| Net Expenses | 255,199 | 317,822 | 789,643 | 1,131,784 |
| Net Investment Income (Loss) | 1,436,820 | 1,953,784 | 4,569,234 | 7,890,249 |
| Net Realized Gain (Loss) from | ||||
| Affiliated Investments | 9,845 | — | 9,845 | — |
| Commodity Futures Contracts | 177,949 | (10,413,705) | 6,766,266 | (53,263,341) |
| Net Realized Gain (Loss) | 187,794 | (10,413,705) | 6,776,111 | (53,263,341) |
| Net Change in Unrealized Gain (Loss) from | ||||
| United States Treasury Obligations | 48,980 | (9,110) | 13,976 | (41,666) |
| Affiliated Investments | 41,032 | 5,694 | 15,409 | 30,368 |
| Commodity Futures Contracts | 279,764 | 18,581,227 | 2,983,564 | 36,906,318 |
| Net Change in Unrealized Gain (Loss) | 369,776 | 18,577,811 | 3,012,949 | 36,895,020 |
| Net Realized and Net Change in Unrealized Gain (Loss) on United States Treasury Obligations, Affiliated Investments and Commodity Futures Contracts | 557,570 | 8,164,106 | 9,789,060 | (16,368,321) |
| Net Income (Loss) | $1,994,390 | $10,117,890 | $14,358,294 | $(8,478,072) |
Statements of Changes in Shareholders’ Equity
For the Three Months Ended September 30, 2024 and 2023
| General Shares · Shares · Total | |||||||||
|---|---|---|---|---|---|---|---|---|---|
| Shares · TotalEquity · Shares · TotalEquity · Shareholders'Equity | |||||||||
| Balance at June 30, 2024 | 40 | $806 | 8,400,000 | $169,339,531 | $169,340,337 | ||||
| Purchases of Shares | 450,000 | 8,603,275 | 8,603,275 | ||||||
| Redemption of Shares | (2,750,000) | (52,998,969) | (52,998,969) | ||||||
| Net Increase (Decrease) due to Share Transactions | (2,300,000) | (44,395,694) | (44,395,694) | ||||||
| Net Income (Loss) | - | ||||||||
| Net Investment Income (Loss) | 13 | 1,436,807 | 1,436,820 | ||||||
| Net Realized Gain (Loss) on United States Treasury Obligations, Affiliated Investments and Commodity Futures Contracts | 8 | 187,786 | 187,794 | ||||||
| Net Change in Unrealized Gain (Loss) on United States Treasury Obligations, Affiliated Investments and Commodity Futures Contracts | 5 | 369,771 | 369,776 | ||||||
| Net Income (Loss) | 26 | 1,994,364 | 1,994,390 | ||||||
| Net Change in Shareholders' Equity | — | 26 | (2,300,000) | (42,401,330) | (42,401,304) | ||||
| Balance at September 30, 2024 | 40 | $832 | 6,100,000 | $126,938,201 | $126,939,033 | ||||
| General Shares · Shares · Total | |||||||||
|---|---|---|---|---|---|---|---|---|---|
| Shares · TotalEquity · Shares · TotalEquity · Shareholders'Equity | |||||||||
| Balance at June 30, 2023 | 40 | $718 | 9,100,000 | $163,294,204 | $163,294,922 | ||||
| Purchases of Shares | 50,000 | 913,477 | 913,477 | ||||||
| Redemption of Shares | (1,150,000) | (21,333,349) | (21,333,349) | ||||||
| Net Increase (Decrease) due to Share Transactions | (1,100,000) | (20,419,872) | (20,419,872) | ||||||
| Net Income (Loss) | |||||||||
| Net Investment Income (Loss) | (6) | 1,953,790 | 1,953,784 | ||||||
| Net Realized Gain (Loss) on United States Treasury Obligations, Affiliated Investments and Commodity Futures Contracts | 49 | (10,413,754) | (10,413,705) | ||||||
| Net Change in Unrealized Gain (Loss) on United States Treasury Obligations, Affiliated Investments and Commodity Futures Contracts | 4 | 18,577,807 | 18,577,811 | ||||||
| Net Income (Loss) | 47 | 10,117,843 | 10,117,890 | ||||||
| Net Change in Shareholders' Equity | — | 47 | (1,100,000) | (10,302,029) | (10,301,982) | ||||
| Balance at September 30, 2023 | 40 | $765 | 8,000,000 | $152,992,175 | $152,992,940 | ||||
Statements of Changes in Shareholders’ Equity
For the Nine Months Ended September 30, 2024 and 2023
| General Shares · Shares · Total | |||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Shares · TotalEquity · Shares · TotalEquity · Shareholders'Equity | |||||||||||||
| Balance at December 31, 2023 | 40 | $731 | 6,650,000 | $121,581,256 | $121,581,987 | ||||||||
| Purchases of Shares | 4,550,000 | 91,156,041 | 91,156,041 | ||||||||||
| Redemption of Shares | (5,100,000) | (100,157,289) | (100,157,289) | ||||||||||
| Net Increase (Decrease) due to Share Transactions | (550,000) | (9,001,248) | (9,001,248) | ||||||||||
| Net Income (Loss) | |||||||||||||
| Net Investment Income (Loss) | 32 | 4,569,202 | 4,569,234 | ||||||||||
| Net Realized Gain (Loss) on United States Treasury Obligations, Affiliated Investments and Commodity Futures Contracts | 48 | 6,776,063 | 6,776,111 | ||||||||||
| Net Change in Unrealized Gain (Loss) on United States Treasury Obligations, Affiliated Investments and Commodity Futures Contracts | 21 | 3,012,928 | 3,012,949 | ||||||||||
| Net Income (Loss) | 101 | 14,358,193 | 14,358,294 | ||||||||||
| Net Change in Shareholders' Equity | — | 101 | (550,000) | 5,356,945 | 5,357,046 | ||||||||
| Balance at September 30, 2024 | 40 | $832 | 6,100,000 | $126,938,201 | $126,939,033 | ||||||||
| General Shares · Shares · Total | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Shares · TotalEquity · Shares · TotalEquity · Shareholders'Equity | ||||||||||||
| Balance at December 31, 2022 | 40 | $780 | 11,500,000 | $224,274,630 | $224,275,410 | |||||||
| Purchases of Shares | 3,950,000 | 79,937,321 | 79,937,321 | |||||||||
| Redemption of Shares | (7,450,000) | (142,741,719) | (142,741,719) | |||||||||
| Net Increase (Decrease) due to Share Transactions | (3,500,000) | (62,804,398) | (62,804,398) | |||||||||
| Net Income (Loss) | ||||||||||||
| Net Investment Income (Loss) | 14 | 7,890,235 | 7,890,249 | |||||||||
| Net Realized Gain (Loss) on United States Treasury Obligations, Affiliated Investments and Commodity Futures Contracts | (94) | (53,263,247) | (53,263,341) | |||||||||
| Net Change in Unrealized Gain (Loss) on United States Treasury Obligations, Affiliated Investments and Commodity Futures Contracts | 65 | 36,894,955 | 36,895,020 | |||||||||
| Net Income (Loss) | (15) | (8,478,057) | (8,478,072) | |||||||||
| Net Change in Shareholders' Equity | — | (15) | (3,500,000) | (71,282,455) | (71,282,470) | |||||||
| Balance at September 30, 2023 | 40 | $765 | 8,000,000 | $152,992,175 | $152,992,940 | |||||||
Statements of Cash Flows
For the Nine Months Ended September 30, 2024 and 2023
| Nine Months Ended | ||
|---|---|---|
| September 30, | ||
| 2024 | 2023 | |
| Cash flows from operating activities: | ||
| Net Income (Loss) | $14,358,294 | $(8,478,072) |
| Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||
| Cost of securities purchased | (74,012,419) | (202,804,105) |
| Proceeds from securities sold and matured | 57,000,000 | 296,000,000 |
| Cost of affiliated investments purchased | (127,588,980) | (338,989,231) |
| Proceeds from affiliated investments sold | 152,610,033 | 417,846,257 |
| Net accretion of discount on United States Treasury Obligations | (2,571,653) | (3,518,353) |
| Net realized (gain) loss on United States Treasury Obligations and Affiliated Investments | (9,845) | — |
| Net change in unrealized (gain) loss on United States Treasury Obligations, Affiliated Investments and LME Commodity Futures Contracts | (3,012,949) | (36,895,020) |
| Change in operating assets and liabilities: | ||
| Dividends from affiliates | 88,819 | 217,224 |
| LME Commodity Futures Contracts | (7,459,738) | (60,521,310) |
| Management fees | (4,350) | (53,123) |
| Brokerage commissions and fees | (69) | 131 |
| Net cash provided by (used in) operating activities | 9,397,143 | 62,804,398 |
| Cash flows from financing activities: | ||
| Distributions paid to shareholders | (395,895) | — |
| Proceeds from purchases of Shares | 91,156,041 | 79,937,321 |
| Redemption of Shares | (100,157,289) | (144,706,352) |
| Net cash provided by (used in) financing activities | (9,397,143) | (64,769,031) |
| Net change in Cash | — | (1,964,633) |
| Cash at beginning of period | — | 1,964,633 |
| Cash at end of period | $— | $— |
| Supplemental disclosure of cash flow information | ||
| Cash paid for interest | $7,769 | $40,176 |
The text of this filing, as the company filed it with the SEC, without its images or exhibits. This is not investment advice.