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Item 2. Management’s Discussion and Analysis

2024-08-07 compared with 2024-05-08 · 73 added, 39 removed, 206 unchanged (35% of the section changed)

76 unchanged sentences

The composition of the Index may be adjusted in the event that the Index Sponsor is not able to calculate the closing prices of the Index Commodities.

The following table reflects the Fund weights of each Index Commodity or related futures contracts, as applicable, as of March 31, 2024:

The following table reflects the Fund weights of each Index Commodity or related futures contracts, as applicable, as of June 30, 2024:

Index Commodity

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Kansas City Wheat

Closing Level as of March 31, 2024:

Closing Level as of June 30, 2024:

Please see http://www.invesco.com/ETFs with respect to the most recently available weighted composition of the Fund and the composition of the Index.

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This cash is used to invest in United States Treasury Obligations, money market mutual funds and T-Bill ETFs, if any, and to meet margin requirements as a result of the positions taken in futures contracts to match the fluctuations of the Index.

As of the date of this Report, each of ABN AMRO Clearing Chicago LLC, BMO Capital Markets Corp., BNP Paribas Securities Corp., BofA Securities, Inc., Cantor Fitzgerald & Co., Citadel Securities LLC, Citigroup Global Markets Inc., Deutsche Bank Securities Inc., Goldman Sachs & Co., Goldman Sachs Execution & Clearing LP, Interactive Brokers LLC, Jane Street Capital LLC, Jefferies LLC, JP Morgan Securities Inc., Bank of America Securities, Morgan Stanley & Co.

As of the date of this Report, each of ABN AMRO Clearing Chicago LLC, Bank of America Securities, BMO Capital Markets Corp., BNP Paribas Securities Corp., BofA Securities, Inc., Cantor Fitzgerald & Co., Citadel Securities LLC, Citigroup Global Markets Inc., Deutsche Bank Securities Inc., Goldman Sachs & Co., Goldman Sachs Execution & Clearing LP, Interactive Brokers LLC, Jane Street Capital LLC, Jefferies LLC, JP Morgan Securities Inc., Morgan Stanley & Co.

LLC, Nomura Securities International Inc., RBC Capital Markets LLC, SG Americas Securities LLC, UBS Securities LLC, Virtu Americas LLC and Virtu Financial Capital Markets LLC has executed a Participant Agreement and are the only Authorized Participants.

Operating Activities

Net cash flow provided by (used in) operating activities was $41.2 million and $184.0 million for the three months ended March 31, 2024 and 2023, respectively.

Net cash flow provided by (used in) operating activities was $94.2 million and $285.9 million for the six months ended June 30, 2024 and 2023, respectively.

These amounts primarily include net income (loss), net purchases and sales of money market mutual funds and net purchases and sales of United States Treasury Obligations and affiliated investments.

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While the Fund's performance reflects the appreciation and depreciation of those holdings, the Fund's performance, whether positive or negative, is driven primarily by its strategy of trading futures contracts with the aim of seeking to track the Index.

During the three months ended March 31, 2024, $25.0 million was received from sales and maturing United States Treasury Obligations.

During the three months ended March 31, 2023, $370.5 million was paid to purchase United States Treasury Obligations and $575.0 million was received from sales and maturing United States Treasury Obligations.

$110.5 million was received from sales of affiliated investments and $204.9 million was paid to purchase affiliated investments during the three months ended March 31, 2024.

$634.4 million was received from sales of affiliated investments and $650.8 million was paid to purchase affiliated investments during the three months ended March 31, 2023.

During the six months ended June 30, 2024, $292.1 million was paid to purchase United States Treasury Obligations and $350.0 million was received from sales and maturing United States Treasury Obligations.

During the six months ended June 30, 2023, $711.8 million was paid to purchase United States Treasury Obligations and $950.0 million was received from sales and maturing United States Treasury Obligations.

$477.2 million was received from sales of affiliated investments and $516.9 million was paid to purchase affiliated investments during the six months ended June 30, 2024.

$1,175.2 million was received from sales of affiliated investments and $1,146.4 million was paid to purchase affiliated investments during the six months ended June 30, 2023.

Financing Activities

The Fund’s net cash flow provided by (used in) financing activities was $(46.0) million and $(184.0) million during the three months ended March 31, 2024 and 2023, respectively.

This included $12.9 million and $16.2 million from Shares purchased by Authorized Participants and $58.5 million and $200.2 million from Shares redeemed by Authorized Participants during the three months ended March 31, 2024 and 2023, respectively.

During the three months ended March 31, 2024, distributions paid to Shareholders were $0.3 million.

No distributions were paid to Shareholders during the three months ended March 31, 2023.

The Fund’s net cash flow provided by (used in) financing activities was $(99.0) million and $(285.9) million during the six months ended June 30, 2024 and 2023, respectively.

This included $86.2 million and $78.2 million from Shares purchased by Authorized Participants and $184.8 million and $364.1 million from Shares redeemed by Authorized Participants during the six months ended June 30, 2024 and 2023, respectively.

During the six months ended June 30, 2024, distributions paid to Shareholders were $0.3 million.

No distributions were paid to Shareholders during the six months ended June 30, 2023.

Results of Operations

FOR THE THREE MONTHS ENDED MARCH 31, 2024 AND 2023

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2024 AND 2023

The following graphs illustrate the percentage changes in (i) the market price of the Shares (as reflected by the line “Market”), (ii) the Fund’s NAV (as reflected by the line “NAV”), and (iii) the closing levels of the Index (as reflected by the line “DBIQ Diversified Agriculture Index ER”).

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COMPARISON OF MARKET, NAV AND DBIQ DIVERSIFIED AGRICULTURE INDEX ER TM

FOR THE THREE MONTHS ENDED MARCH 31, 2024 AND 2023

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2024 AND 2023

NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE OR NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

Performance Summary

This Report covers the three months ended March 31, 2024 and 2023.

This Report covers the three and six months ended June 30, 2024 and 2023.

Past performance of the Fund is not necessarily indicative of future performance.

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Past results of the Index and the DBIQ Diversified Agriculture TR are not necessarily indicative of future changes, positive or negative.

The section “Summary of the DBIQ Diversified Agriculture TR and Underlying Index Commodity Returns for the Three Months Ended March 31, 2024 and 2023” below provides an overview of the changes in the closing levels of the DBIQ Diversified Agriculture TR by disclosing the change in market value of each underlying component Index Commodity through a “surrogate” (and analogous) index that also reflects 3-month United States Treasury Obligations returns.

The section “Summary of the DBIQ Diversified Agriculture TR and Underlying Index Commodity Returns for the Three and Six Months Ended June 30, 2024 and 2023” below provides an overview of the changes in the closing levels of the DBIQ Diversified Agriculture TR by disclosing the change in market value of each underlying component Index Commodity through a “surrogate” (and analogous) index that also reflects 3-month United States Treasury Obligations returns.

Please note also that the Fund’s objective is to track the Index (not the DBIQ Diversified Agriculture TR) and the Fund does not attempt to outperform or underperform the Index.

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Summary of the DBIQ Diversified Agriculture TR and Underlying Index

Commodity Returns for the Three Months Ended March 31, 2024 and 2023

Commodity Returns for the Three and Six Months Ended June 30, 2024 and 2023

AGGREGATE RETURNS FOR INDICES IN THE DBIQ AGRICULTURE TR

Three Months Ended

Six Months Ended

Underlying Index

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If the Fund’s fees and expenses were to exceed the Fund’s Treasury Income, Money Market Income and T-Bill ETF Income, if any, the aggregate return on an investment in the Fund is expected to underperform the Excess Return Index.

FOR THE THREE MONTHS ENDED MARCH 31, 2024 COMPARED TO THE THREE MONTHS ENDED MARCH 31, 2023

FOR THE THREE MONTHS ENDED JUNE 30, 2024 COMPARED TO THE THREE MONTHS ENDED JUNE 30, 2023

Fund Share Price Performance

For the three months ended March 31, 2024, the NYSE Arca market value of each Share increased from $20.73 per Share to $24.75 per Share.

The Share price low and high for the three months ended March 31, 2024 and related change from the Share price on December 31, 2023 was as follows:

Shares traded at a low of $20.52 per Share (-1.01%) on January 8, 2024, and a high of $24.75 per Share (+19.40%) on March 28, 2024.

For the three months ended June 30, 2024, the NYSE Arca market value of each Share decreased from $24.75 per Share to $23.81 per Share.

The Share price low and high for the three months ended June 30, 2024 and related change from the Share price on March 31, 2024 was as follows:

Shares traded at a low of $23.47 per Share (-5.17%) on May 13, 2024, and a high of $26.53 per Share (+7.19%) on April 24, 2024.

The total return for the Fund on a market value basis was -3.80%.

Agricultural commodities ended the first quarter of 2024 significantly higher though Cocoa was largely the sole driver.

Front month prices skyrocketed over 130%, repeatedly surpassing all-time highs as crop damaging disease and adverse weather in West Africa fueled worries for a global supply shortfall.

The other positive contributors were coffee, cotton, sugar, and livestock commodities, which also faced supply concerns.

Grains, on the other hand, all retreated on ample global supplies and lack of US competitiveness.

For the three months ended March 31, 2023, the NYSE Arca market value of each Share increased from $20.15 per Share to $20.43 per Share.

The Share price low and high for the three months ended March 31, 2023 and related change from the Share price on December 31, 2022 was as follows:

Shares traded at a low of $19.36 per Share (-3.92%) on January 19, 2023, and a high of $20.68 per Share (+2.63%) on February 21, 2023.

Agricultural commodities moved lower in the second quarter of 2024.

The largest detractors for the Fund were Cocoa, Corn, Sugar, and Lean Hogs.

While fundamentals remained supportive, with no end in sight for the shortfalls in West Africa, front month Cocoa prices plunged sharply in May and June on increased profit-taking and demand destruction fears.

For corn, while prices were on an uptrend for most of the quarter on resurfaced supply concerns and strong US export sales, it plunged through June on reports of ample supplies.

Sugar has been in a consistent decline since its peak late last year, pressured by improving global production prospects in India, Thailand, and Brazil.

The one positive standout was Coffee which saw front month prices gain over 20% in the quarter on ramped up weather concerns in Vietnam.

For the three months ended June 30, 2023, the NYSE Arca market value of each Share increased from $20.43 per Share to $21.08 per Share.

The Share price low and high for the three months ended June 30, 2023 and related change from the Share price on March 31, 2023 was as follows:

Shares traded at a low of $20.36 per Share (-0.34%) on April 4, 2023, and a high of $22.12 per Share (+8.27%) on June 21, 2023.

The total return for the Fund on a market value basis was +3.18%.

Agricultural commodities ended the first quarter of 2023 up slightly, with soft commodities, specifically sugar and cocoa, being the largest contributors – sugar prices rallied on Indian export uncertainty and cocoa prices were supported by supply shortfalls in the Ivory Coast in March.

Live cattle and feeder cattle also added some positive performance while grains (wheat, corn, soybeans) were all detractors.

Robust wheat harvests from Russia and Australia, projections for bumper Brazilian corn and soybeans harvests, as well

as the successful extension of the Black Sea Grain Initiative, which established a shipping corridor for grains out of Ukraine, in March, continued to ease supply concerns.

On the demand side, strong Chinese soybeans and corn imports provided some support.

Agricultural commodities posted a slight gain in the second quarter of 2023 with soft commodities Cocoa and Sugar, as well as Live Cattle, being the top contributors, offset by losses seen in Corn and Wheat.

Cocoa prices continued to rally on weather-driven supply concerns affecting the Ivory Coast, the world’s largest exporter (prompt month futures hit the highest levels since 2015), while Sugar prices receded from the spike in the first quarter of 2023, albeit still holding at elevated levels.

As in the first quarter, Live Cattle futures continued to be supported by tight herd supplies following US droughts during the preceding year and resilient beef demand.

On the other hand, despite several spikes from US weather and geopolitical concerns, Corn and Wheat were both pressured in the second quarter as supplies remained abundant, the Black Sea Grain Initiative kept the Ukrainian corridor open and US grains were uncompetitive.

Fund Share Net Asset Performance

For the three months ended March 31, 2024, the NAV of each Share increased from $20.74 per Share to $24.76 per Share.

Rising commodity futures contract prices for Cocoa, Coffee, Cotton, Feeder Cattle, Lean Hogs, Live Cattle and Sugar were partially offset by falling commodity futures contract prices of Corn, Kansas City Wheat, Soybeans and Wheat during the three months ended March 31, 2024, contributing to an overall 18.16% increase in the level of the Index and to a 19.74% increase in the level of the DBIQ Diversified Agriculture Index TR.

For the three months ended June 30, 2024, the NAV of each Share decreased from $24.76 per Share to $23.92 per Share.

Falling commodity futures contract prices for Cocoa, Corn, Cotton, Lean Hogs, Soybeans, Sugar and Wheat were partially offset by rising commodity futures contract prices of Coffee, Feeder Cattle, Kansas City Wheat and Live Cattle during the three months ended June 30, 2024, contributing to an overall 4.47% decrease in the level of the Index and to a 3.19% decrease in the level of the DBIQ Diversified Agriculture Index TR.

The total return for the Fund on a NAV basis was -3.39%.

Net income (loss) for the three months ended March 31, 2024 was $129.0 million, primarily resulting from $9.4 million of income, net realized gain (loss) of $44.4 million, net change in unrealized gain (loss) of $76.7 million and net operating expenses of $1.5 million.

For the three months ended March 31, 2023, the NAV of each Share increased from $20.16 per Share to $20.42 per Share.

Rising commodity futures contract prices for Cocoa, Coffee, Feeder Cattle, Live Cattle and Sugar were partially offset by falling commodity futures contract prices of Corn, Cotton, Kansas City Wheat, Lean Hogs, Soybeans and Wheat during the three months ended March 31, 2023, contributing to an overall 0.38% increase in the level of the Index and to a 1.56% increase in the level of the DBIQ Diversified Agriculture Index TR.

Net income (loss) for the three months ended June 30, 2024 was $(26.5) million, primarily resulting from $10.2 million of income, net realized gain (loss) of $81.1 million, net change in unrealized gain (loss) of $(116.2) million and net operating expenses of $1.7 million.

For the three months ended June 30, 2023, the NAV of each Share increased from $20.42 per Share to $21.10 per Share.

Rising commodity futures contract prices for Cocoa, Cotton, Feeder Cattle, Lean Hogs, Live Cattle, Soybeans and Sugar were partially offset by falling commodity futures contract prices of Coffee, Corn, Kansas City Wheat and Wheat during the three months ended June 30, 2023, contributing to an overall 2.29% increase in the level of the Index and to a 3.61% increase in the level of the DBIQ Diversified Agriculture Index TR.

The total return for the Fund on a NAV basis was +3.33%.

Net income (loss) for the three months ended March 31, 2023 was $8.0 million, primarily resulting from $10.6 million of income, net realized gain (loss) of $0.1 million, net change in unrealized gain (loss) of $(0.6) million and net operating expenses of $2.1 million.

Net income (loss) for the three months ended June 30, 2023 was $28.7 million, primarily resulting from $10.7 million of income, net realized gain (loss) of $18.3 million, net change in unrealized gain (loss) of $1.7 million and net operating expenses of $2.0 million.

FOR THE SIX MONTHS ENDED JUNE 30, 2024 COMPARED TO THE SIX MONTHS ENDED JUNE 30, 2023

Fund Share Price Performance

For the six months ended June 30, 2024, the NYSE Arca market value of each Share increased from $20.73 per Share to $23.81 per Share.

The Share price low and high for the six months ended June 30, 2024 and related change from the Share price on December 31, 2023 was as follows:

Shares traded at a low of $20.52 per Share (-1.01%) on January 8, 2024, and a high of $26.53 per Share (+27.99%) on April 24, 2024.

The total return for the Fund on a market value basis was +14.86%.

Agricultural commodities ended the first half of 2024 with strong positive performance, though Cocoa was more or less the sole positive driver.

Front month prices skyrocketed over 180% between the start of the year and its peak in mid-April, repeatedly surpassing all-time highs as crop damaging disease and adverse weather in West Africa fueled worries for a global supply shortfall.

However, prices did ease in the second quarter with increased profit-taking dealing a heavy blow.

The other contributors were Coffee and livestock commodities which also faced supply concerns.

Grains, on the other hand, all retreated on ample global supplies and the lack of US competitiveness.

While renewed weather concerns did take the market by surprise in April and May, sending wheat prices skyrocketing, the rally was short-lived, and all gains were erased by the end of June.

For the six months ended June 30, 2023, the NYSE Arca market value of each Share increased from $20.15 per Share to $21.08 per Share.

The Share price low and high for the six months ended June 30, 2023 and related change from the Share price on December 31, 2022 was as follows:

Shares traded at a low of $19.36 per Share (-3.92%) on January 19, 2023, and a high of $22.12 per Share (+9.78%) on June 21, 2023.

The total return for the Fund on a market value basis was +4.62%.

Agricultural commodities remained in positive territory for the first two quarters of 2023, supported by gains in Cocoa, Sugar, Live Cattle, and Feeder Cattle.

The Cocoa rally was driven by supply shortfalls in the Ivory Coast, the largest global exporter, while Sugar prices rallied on Indian export uncertainty.

Live Cattle and Feeder Cattle also added positive performance on dwindled herd counts, while grains (Wheat, Corn, Soybeans) were all detractors.

Robust wheat harvests from Russia and Australia, projections for bumper Brazilian corn and soybeans harvests, as well as the continued extension of the Black Sea Grain Initiative, continued to ease supply concerns.

Fund Share Net Asset Performance

For the six months ended June 30, 2024, the NAV of each Share increased from $20.74 per Share to $23.92 per Share.

Rising commodity futures contract prices for Cocoa, Coffee, Feeder Cattle, Lean Hogs and Live Cattle, were partially offset by falling commodity futures contract prices of Corn, Cotton, Kansas City Wheat, Soybeans, Sugar and Wheat during the six months ended

June 30, 2024, contributing to an overall 12.88% increase in the level of the Index and to a 15.92% increase in the level of the DBIQ Diversified Agriculture Index TR.

The total return for the Fund on a NAV basis was +15.33%.

Net income (loss) for the six months ended June 30, 2024 was $102.5 million, primarily resulting from $19.7 million of income, net realized gain (loss) of $125.5 million, net change in unrealized gain (loss) of $(39.5) million and net operating expenses of $3.3 million.

For the six months ended June 30, 2023, the NAV of each Share increased from $20.16 per Share to $21.10 per Share.

Rising commodity futures contract prices for Cocoa, Cotton, Feeder Cattle, Live Cattle and Sugar, were partially offset by falling commodity futures contract prices of Coffee, Corn, Kansas City Wheat, Lean Hogs, Soybeans and Wheat during the six months ended June 30, 2023, contributing to an overall 2.68% increase in the level of the Index and to a 5.22% increase in the level of the DBIQ Diversified Agriculture Index TR.

The total return for the Fund on a NAV basis was +4.66%.

Net income (loss) for the six months ended June 30, 2023 was $36.8 million, primarily resulting from $21.4 million of income, net realized gain (loss) of $18.3 million, net change in unrealized gain (loss) of $1.1 million and net operating expenses of $4.1 million.

Critical Accounting Estimates

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Compared sentence by sentence after normalising whitespace, quotation marks, case and digits, so re-formatting and restated figures do not read as changed language. Wording changes appear as one removal and one addition. The current filing and the prior one are authoritative.

What changed 10-Q

Item 2. Management’s Discussion and Analysis