INVESCO DB BASE METALS FUND 10-K

ITEM 7. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS. This information should be read in conjunction with the financial statements and notes included in Item 8 of Part II of this Report. The discussion and analysis which follows may contain trend analysis and other forward-looking statements. See “Cautionary Statement Concerning Forward-Looking Information” above. You should not place undue reliance on any forward-looking statements. Except as expressly required by the Federal securities laws, the Fund and the Managing Owner undertake no obligation to publicly update or revise any forward-looking statements or the risks, uncertainties or other factors described in this Report, as a result of new information, future events or changed circumstances or for any other reason after the date of this Report. Overview/Introduction Invesco DB Base Metals Fund (the “Fund”), a separate series of Invesco DB Multi-Sector Commodity Trust (the “Trust”), a Delaware statutory trust organized in seven separate series, was formed on August 3, 2006. 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 Fund, as amended (the “Trust Agreement”). The Fund has an unlimited number of shares authorized for issuance. Invesco Capital Management LLC has served as the managing owner (the “Managing Owner”), commodity pool operator and commodity trading advisor of the Trust and the Fund since February 23, 2015. The Managing Owner is registered with the Commodity Futures Trading Commission (the “CFTC”) as a commodity pool operator and a commodity trading advisor, and it is a member firm of the National Futures Association (“NFA”). The Fund seeks to track changes, whether positive or negative, in the level of the DBIQ Optimum Yield Industrial Metals Index Excess Return™ (the “Index”) over time, plus the excess, if any, of the sum of the Fund’s interest income from its holdings of United States Treasury Obligations (“Treasury Income”), dividends from its holdings in money market mutual funds (affiliated or otherwise) (“Money Market Income”) and dividends or distributions of capital gains from its holdings of T-Bill ETFs (as defined below) (“T-Bill ETF Income”) over the expenses of the Fund. The Fund invests in futures contracts in an attempt to track its Index. The Index is intended to reflect the change in market value of the base metals sector. The commodities comprising the Index are aluminum, zinc and copper—Grade A (each an “Index Commodity”, and collectively, the “Index Commodities”). The Fund may invest directly in United States Treasury Obligations. The Fund may also gain exposure to United States Treasury Obligations through investments in exchange-traded funds (“ETFs”) (affiliated or otherwise) that track indexes that measure the performance of United States Treasury Obligations with a maximum remaining maturity of up to 12 months (“T-Bill ETFs”). The Fund holds as collateral United States Treasury Obligations, money market mutual funds and T-Bill ETFs (affiliated or otherwise), if any, for margin and/or cash management purposes. 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. The Fund pursues its investment objective by investing in a portfolio of exchange-traded commodity futures contracts that expire in a specific month and trade on a specific exchange (the “Index Contracts”) in the Index Commodities. The notional amounts of each Index Commodity included in the Index are broadly in proportion to historic levels of the world’s production and stocks of the Index Commodities. The Fund also holds United States Treasury Obligations and T-Bill ETFs, if any, for deposit with Morgan Stanley & Co. LLC, the Fund’s commodity broker (the “Commodity Broker”) as margin, to the extent permissible under CFTC rules and United States Treasury Obligations, cash, money market mutual funds and T-Bill ETFs (affiliated or otherwise), if any, on deposit with The Bank of New York Mellon (the “Custodian”), for cash management purposes. The aggregate notional value of the commodity futures contracts owned by the Fund is expected to approximate the aggregate net asset value (“NAV”) of the Fund, as opposed to the aggregate Index value. The CFTC and certain futures exchanges impose position limits on futures contracts, including on Index Contracts. As the Fund approaches or reaches position limits with respect to an Index Commodity, the Fund may commence investing in Index Contracts that reference other Index Commodities. In those circumstances, the Fund may also trade in futures contracts based on commodities other than Index Commodities that the Managing Owner reasonably believes tend to exhibit trading prices that correlate with an Index Contract. The Managing Owner may determine to invest in other futures contracts if at any time it is impractical, including in scenarios wherein the futures market for an Index Contract is thinly traded, or inefficient to gain full or partial exposure to an Index Commodity through the use of Index Contracts. These other futures contracts may or may not be based on an Index Commodity. When they are not, the Managing Owner may seek to select futures contracts that it reasonably believes tend to exhibit trading prices that correlate with an Index Contract. 23 The Shares are intended to provide investment results that generally correspond to the changes, positive or negative, in the levels of the Index over time. The value of the Shares is expected to fluctuate in relation to changes in the value of the Fund’s portfolio. The market price of the Shares may not be identical to the NAV per Share, but these two valuations are expected to be very close. Margin Calls “Initial” or “original” margin is the minimum amount of funds that must be deposited by a futures trader with his commodity broker in order to initiate futures trading or to maintain an open position in futures contracts. “Maintenance” margin is the amount (generally less than initial margin) to which a trader’s account may decline before he must deliver additional margin. A margin deposit is like a cash performance bond. It helps assure the futures trader’s performance of the futures contract that the trader purchases or sells. Futures contracts are customarily bought and sold on margin that represents a very small percentage (ranging upward from less than 2%) of the purchase price of the underlying commodity being traded. Because of such low margins, price fluctuations occurring in the futures markets may create profits and losses that are greater, in relation to the amount invested, than are customary in other forms of investments. The minimum amount of margin required in connection with a particular futures contract is set from time to time by the exchange on which such contract is traded, and may be modified from time to time by the exchange during the term of the contract. “Variation margin” is assessed daily to reflect changes in the value of the position. Brokerage firms carrying accounts for traders in futures contracts may not accept lower, and generally require higher, amounts of margin as a matter of policy in order to afford further protection for themselves. Margin requirements are computed each day by a commodity broker. When the market value of a particular open futures contract position changes to a point where the margin on deposit does not satisfy maintenance margin requirements, a margin call is made by the commodity broker. If the margin call is not met within a reasonable time, the broker may close out the Fund’s position. With respect to the Managing Owner’s trading, only the Managing Owner, and not the Fund or its Shareholders personally, will be subject to margin calls. Position Limits and/or Accountability Levels The Fund has not reached position limits with respect to the 2023 and 2022 reporting periods. Net Asset Value NAV means the total assets of the Fund, including, but not limited to, all commodity futures contracts, cash and investments less total liabilities of the Fund, each determined on the basis of U.S. generally accepted accounting principles (“U.S. GAAP”), consistently applied under the accrual method of accounting. All open commodity futures contracts will be calculated at their then current market value, which will be based upon the settlement price for that particular commodity futures contract traded on the applicable primary exchange on the date with respect to which NAV is being determined. Securities for which market quotations are not readily available or became unreliable are valued at fair value as determined in good faith following procedures approved by the Managing Owner. The amount of any distribution is a liability of the Fund from the day when the distribution is declared until it is paid. NAV per Share is the NAV of the Fund divided by the number of outstanding Shares. Market Risk Trading in futures contracts involves the Fund entering into contractual commitments to purchase a particular commodity at a specified date and price. The market risk associated with the Fund’s commitments to purchase commodities is limited to the gross or face amount of the contracts held. The Fund’s exposure to market risk is also influenced by a number of factors including the volatility of interest rates and foreign currency exchange rates, the liquidity of the markets in which the contracts are traded and the relationships among the contracts held. The inherent uncertainty of the Fund’s trading as well as the development of drastic market occurrences could ultimately lead to a loss of all or substantially all of the investors’ capital. Credit Risk When the Fund enters into futures contracts, the Fund is exposed to credit risk that the counterparty to the contract will not meet its obligations. The counterparty for futures contracts traded on United States and on most foreign futures exchanges is the clearing house associated with the particular exchange. In general, clearing houses are backed by their corporate members who may be required to share in the financial burden resulting from the nonperformance by one of their members and, as such, is designed to disperse and mitigate the credit risk posed by any one member. In cases where the clearing house is not backed by the clearing 24 members ( i.e ., some foreign exchanges), it may be backed by a consortium of banks or other financial institutions. There can be no assurance that any counterparty, clearing member or clearinghouse will meet its obligations to the Fund. The Commodity Broker, when acting as the Fund’s FCM in accepting orders for the purchase or sale of domestic futures contracts, is required by CFTC regulations to separately account for and segregate as belonging to the Fund all assets of the Fund relating to domestic futures trading. The Commodity Broker is not allowed to commingle such assets with other assets of the Commodity Broker. In addition, CFTC regulations also require the Commodity Broker to hold in a secure account assets of the Fund related to foreign futures trading. While these legal requirements are designed to protect the customers of FCMs, a failure by the Commodity Broker to comply with those requirements would be likely to have a material adverse effect on the Fund in the event that the Commodity Broker became insolvent or suffered other financial distress. Liquidity The Fund’s entire source of capital is derived from the Fund’s offering of Shares to Authorized Participants. The Fund in turn allocates its net assets to commodity futures trading. A significant portion of the NAV is held in United States Treasury Obligations, which may be used as margin for the Fund’s trading in commodity futures contracts and United States Treasury Obligations, money market mutual funds, cash and T-Bill ETFs, if any, which may be used for cash management purposes. The percentage that United States Treasury Obligations bear to the total net assets will vary from period to period as the market values of the Fund’s commodity interests change. A portion of the Fund’s United States Treasury Obligations is held for deposit with the Commodity Broker to meet margin requirements. All remaining cash, money market mutual funds, T-Bill ETFs, if any, and United States Treasury Obligations are on deposit with the Custodian. Interest earned on the Fund’s interest-bearing funds and dividends from the Fund’s holdings of money market mutual funds are paid to the Fund. Any dividends or distributions of capital gains received from the Fund’s holdings of T-Bill ETFs, if any, are paid to the Fund. The Fund’s commodity futures contracts may be subject to periods of illiquidity because of market conditions, regulatory considerations or for other reasons. For example, U.S. futures exchanges and some foreign exchanges have regulations that limit the amount of fluctuation in futures contract prices that may occur during a single business day. These limits are generally referred to as “daily price fluctuation limits” or “daily limits,” and the maximum or minimum price of a contract on any given day as a result of these limits is referred to as a “limit price”. Once a limit price has been reached in a particular contract, it is usually the case that no trades may be made at a different price than specified in the limit. The duration of limit prices generally varies. Limit prices may have the effect of precluding the Fund from trading in a particular contract or requiring the Fund to liquidate contracts at disadvantageous times or prices. Either of those outcomes could adversely affect the Fund’s ability to pursue its investment objective. Because the Fund trades futures contracts, its capital is at risk due to changes in the value of futures contracts (market risk) or the inability of counterparties (including the Commodity Broker and/or exchange clearinghouses) to perform under the terms of the contracts (credit risk). On any business day, an Authorized Participant may place an order with the Transfer Agent to redeem one or more blocks of 50,000 Shares (“Creation Units”). Redemption orders must be placed by 10:00 a.m., Eastern Time. The day on which the Managing Owner receives a valid redemption order is the redemption order date. The day on which a redemption order is settled is the redemption order settlement date. As provided below, the redemption order settlement date may occur up to two business days after the redemption order date. Redemption orders are irrevocable. The redemption procedures allow Authorized Participants to redeem Creation Units. Individual Shareholders may not redeem directly from the Fund. Instead, individual Shareholders may only redeem Shares in integral multiples of 50,000 and only through an Authorized Participant. Unless otherwise agreed to by the Managing Owner and the Authorized Participant as provided in the next sentence, by placing a redemption order, an Authorized Participant agrees to deliver the Creation Units to be redeemed through DTC’s book-entry system to the Fund no later than the redemption order settlement date as of 2:45 p.m., Eastern Time, on the business day immediately following the redemption order date. Upon submission of a redemption order, the Authorized Participant may request the Managing Owner to agree to a redemption order settlement date up to two business days after the redemption order date. By placing a redemption order, and prior to receipt of the redemption proceeds, an Authorized Participant’s DTC account is charged the non-refundable transaction fee due for the redemption order. Redemption orders may be placed either (i) through the Continuous Net Settlement (“CNS”) clearing processes of the National Securities Clearing Corporation (the “ NSCC”) (the “CNS Clearing Process”) or (ii) if outside the CNS Clearing Process, only through the facilities of The Depository Trust Company (“DTC” or the “Depository”) (the “DTC Process”), or a successor depository, and only in exchange for cash. By placing a redemption order, and prior to receipt of the redemption proceeds, an Authorized Participant’s DTC account is charged the non-refundable transaction fee due for the redemption order and such fee is not borne by the Fund. The Fund is unaware of any known trends or any known demands, commitments, events or uncertainties that will result in or that are reasonably likely to result in the Fund’s liquidity increasing or decreasing in any material way. 25 Capital Resources The Fund does not have any material cash requirements as of the end of the latest fiscal period. The Fund is unaware of any known material trends, favorable or unfavorable, in the Fund’s capital resources. In the normal course of its business, the Fund is a party to financial instruments with off-balance sheet risk. The term “off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in a future obligation or loss. The financial instruments used by the Fund are commodity futures, the values of which are based upon an underlying asset and generally represent future commitments which have a reasonable possibility to be settled in cash or through physical delivery. The financial instruments are traded on an exchange and are standardized contracts. The Fund has not utilized, nor does it expect to utilize in the future, special purpose entities to facilitate off-balance sheet financing arrangements and has no loan guarantee arrangements or off-balance sheet arrangements of any kind, other than agreements entered into in the normal course of business noted above, which may include indemnification provisions related to certain risks service providers undertake in providing services to the Fund. While the Fund’s exposure under such indemnification provisions cannot be estimated, these general business indemnifications are not expected to have a material impact on the Fund’s financial position. The Managing Owner expects the risk of loss relating to indemnification to be remote. The Fund has financial obligations to the Managing Owner and the Commodity Broker under the Trust Agreement and its agreement with the Commodity Broker (the “Commodity Broker Agreement”), respectively. Management Fee payments made to the Managing Owner, pursuant to the Trust Agreement, are calculated as a fixed percentage of the Fund’s NAV. Commission payments to the Commodity Broker, pursuant to the Commodity Broker Agreement, are on a contract-by-contract, or round-turn, basis. As such, the Managing Owner cannot anticipate the number of payments that will be required under these arrangements for future periods as NAVs and trading activity will not be known until a future date. The Fund’s agreement with the Commodity Broker may be terminated by either party for various reasons. All Management Fees and commission payments are paid to the Managing Owner and the Commodity Broker, respectively. Cash Flows A primary cash flow activity of the Fund is to raise capital from Authorized Participants through the issuance of Shares. 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, Jefferies LLC, JP Morgan Securities Inc., Merrill Lynch Professional Clearing Corp., 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 $96.3 million and $196.9 million for the years ended December 31, 2023 and 2022, 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. The Fund invests in futures contracts in an attempt to track its Index. The Fund invests in United States Treasury Obligations, money market mutual funds and T-Bill ETFs (affiliated or otherwise), if any, for margin and/or cash management purposes only. 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 year ended December 31, 2023, $252.5 million was paid to purchase United States Treasury Obligations and $347.0 million was received from sales and maturing United States Treasury Obligations. During the year ended December 31, 2022, $453.9 million was paid to purchase United States Treasury Obligations and $422.0 million was received from sales and maturing United States Treasury Obligations. $486.0 million was received from sales of affiliated investments and $375.7 million was paid to purchase affiliated investments during the year ended December 31, 2023. $710.5 million was received from sales of affiliated investments and $556.4 million was paid to purchase affiliated investments during the year ended December 31, 2022. 26 Financing Activities The Fund’s net cash flow provided by (used in) financing activities was $(98.2) million and $(194.9) million during the years ended December 31, 2023 and 2022, respectively. This included $106.7 million and $253.0 million from the sale of Shares to Authorized Participants and $196.1 million and $445.7 million from Shares redeemed by Authorized Participants during the years ended December 31, 2023 and 2022, respectively. Distributions paid to Shareholders were $8.8 million and $2.2 million during the years ended December 31, 2023 and 2022, respectively. Results of Operations FOR THE YEARS ENDED DECEMBER 31, 2023 AND 2022 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-OY Industrial Metals ER™”). Whenever the Treasury Income, Money Market Income and T-Bill ETF Income, if any, earned by the Fund exceeds Fund expenses, the price of the Shares generally exceeds the level of the Index primarily because the Share price reflects Treasury Income, Money Market Income and T-Bill ETF Income, if any, from the Fund’s collateral holdings whereas the Index does not consider such income. There can be no assurances that the price of the Shares or the Fund’s NAV will exceed the Index levels. No representation is being made that the Index will or is likely to achieve closing levels consistent with or similar to those set forth herein. Similarly, no representation is being made that the Fund will generate profits or losses similar to the Fund’s past performance or changes in the Index closing levels. 27 COMPARISON OF MARKET, NAV AND DBIQ-OY INDUSTRIAL METALS INDEX ER FOR THE YEARS ENDED DECEMBER 31, 2023 AND 2022 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. 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. 28 Performance Summary This Report covers the years ended December 31, 2023 and 2022. For performance discussion related to the year ended December 31, 2021, see the annual report for the year ended December 31, 2021 available at http://www.invesco.com/ETFs. Past performance of the Fund is not necessarily indicative of future performance. The Index is intended to reflect the change in market value of the Index Commodities. In turn, the Index is intended to reflect the base metals sector. The DBIQ Optimum Yield Industrial Metals Index Total Return ™ (the “DBIQ-OY Industrial Metals TR ™ ”) consists of the Index plus 3-month United States Treasury Obligations returns. Past results of the Index and the DBIQ-OY Industrial Metals TR ™ are not necessarily indicative of future changes, positive or negative. The section “Summary of the DBIQ-OY Industrial Metals TR™ and Underlying Index Commodity Returns for the Years Ended December 31, 2023 and 2022” below provides an overview of the changes in the closing levels of DBIQ-OY Industrial Metals TR™ by disclosing the change in market value of each underlying component Index Commodity through a “surrogate” (and analogous) index plus 3-month United States Treasury Obligations returns. Please note also that the Fund’s objective is to track the Index (not the DBIQ-OY Industrial Metals TR™), and the Fund does not attempt to outperform or underperform the Index. The Index employs the optimum yield roll method with the objective of mitigating the negative effects of contango, the condition in which distant delivery prices for futures exceed spot prices, and maximizing the positive effects of backwardation, a condition opposite of contango. Summary of the DBIQ-OY Industrial Metals TR™ and Underlying Index Commodity Returns for the Years Ended December 31, 2023 and 2022 AGGREGATE RETURNS FOR INDICES IN THE DBIQ-OY INDUSTRIAL METALS TR™ Years Ended December 31, Underlying Index 2023 2022 DB Aluminum Indices (0.73 )% (12.13 )% DB Zinc Indices (5.19 ) (7.28 ) DB Copper—Grade A Indices 8.18 (11.91 ) AGGREGATE RETURNS 0.76 % (10.38 )% If the Fund’s Treasury Income, Money Market Income and T-Bill ETF Income were to exceed the Fund’s fees and expenses, the aggregate return on an investment in the Fund would be expected to outperform the Index and underperform the DBIQ-OY Industrial Metals TR™. The only difference between (i) the Index (the “Excess Return Index”) and (ii) the DBIQ-OY Industrial Metals TR™ (the “Total Return Index”) is that the Excess Return Index does not include interest income from fixed income securities while the Total Return Index does include such a component. Thus, the difference between the Excess Return Index and the Total Return Index is attributable entirely to the interest income attributable to the fixed income securities reflected in the Total Return Index. The Total Return Index does not actually hold any fixed income securities. If the Fund’s Treasury Income, Money Market Income and T-Bill ETF Income, if any, exceeds the Fund’s fees and expenses, then the amount of such excess is expected to be distributed periodically. The market price of the Shares is expected to closely track the Excess Return Index. The aggregate return on an investment in the Fund over any period is the sum of the capital appreciation or depreciation of the Shares over the period, plus the amount of any distributions during the period. Consequently, the Fund’s aggregate return is expected to outperform the Excess Return Index by the amount of the excess, if any, of the Fund’s Treasury Income, Money Market Income and T-Bill ETF Income over its fees and expenses. As a result of the Fund’s fees and expenses, however, the aggregate return on the Fund is expected to underperform the Total Return Index. 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. 29 FOR THE YEARS ENDED DECEMBER 31, 2023 AND 2022 Fund Share Price Performance For the year ended December 31, 2023, the NYSE Arca market value of each Share decreased from $19.57 per Share to $18.31 per Share. The Share price low and high for the year ended December 31, 2023 and related change from the Share price on December 31, 2022 was as follows: Shares traded at a low of $17.50 per Share (-10.58%) on May 25, 2023, and a high of $22.28 per Share (+13.85%) on January 26, 2023. On December 22, 2023, the Fund paid a distribution of $1.31965 for each General Share and Share to holders of record as of December 19, 2023. Therefore, the total return for the Fund on a market value basis was +0.56%. Industrial metals ended 2023 with negative performance. For the first quarter, while all of the Fund’s components rallied in January, continuing its China and “Fed-pivot” driven rally from year-end 2022, prices eased through February and the first half of March, pressured by hotter-than-expected labor data, resilient US inflation and a lack of bullish data out of China to support the reopening story. A broader risk-off move triggered by the turmoil in the banking sector also pressured the commodities in general to end the quarter. However, in the second quarter, continued disappointing Chinese data, coupled with expectations for smelter restarts amid weak energy prices and easing supply concerns, dealt a heavy blow to base metals, especially Zinc. While the sector recovered a bit in the latter half of the year on improving macro sentiment, renewed supply concerns, and Chinese stimulus hopes, triggering a short covering rally, it still fell short of reversing second quarter’s losses. For the year ended December 31, 2022, the NYSE Arca market value of each Share decreased from $22.18 per Share to $19.57 per Share. The Share price low and high for the year ended December 31, 2022 and related change from the Share price on December 31, 2021 was as follows Shares traded at a low of $17.54 per Share (-20.92%) on September 27, 2022, and a high of $26.95 per Share (+21.51%) on March 4, 2022. On December 23, 2022. the Fund paid a distribution of $0.18371 for each General Share and Share to holders of record as of December 20, 2022. Therefore, the total return for the Fund on a market value basis was -10.93%. Despite posting its strongest quarterly gain since 2010 in the first quarter of the year leading up to Russia’s invasion of Ukraine, the Fund failed to lock in a gain in 2022, ending down over 10%. China’s persistent adherence to its stringent zero-COVID policies and accelerating recession concerns in Europe, US and China heavily weighed on both physical and investment demand, sending the sector into freefall throughout the third quarter – China is the world’s largest consumer of industrial metals. Prices did rebound quite significantly in the last quarter as sentiment improved with growing optimism around a Chinese reopening and expectations for a shift in Federal Reserve policies following a larger-than-expected drop in US inflation. Fund Share Net Asset Performance For the year ended December 31, 2023, the NAV of each Share decreased from $19.50 per Share to $18.28 per Share. Rising commodity futures contract prices for Copper were offset by falling commodity futures contracts prices for Zinc and Aluminum during the year ended December 31, 2023, contributing to an overall 4.29% decrease in the level of the Index and to a 0.76% increase in the level of the DBIQ-OY Industrial Metals TR™. On December 22, 2023, the Fund paid a distribution of $1.31965 for each General Share and Share to holders of record as of December 19, 2023. Therefore, the total return for the Fund on a NAV basis was +0.74%. Net income (loss) for the year ended December 31, 2023 was $(6.0) million, resulting from $11.0 million of income, net realized gain (loss) of $(55.6) million, net change in unrealized gain (loss) of $40.0 million and net operating expenses of $1.4 million. For the year ended December 31, 2022, the NAV of each Share decreased from $22.14 per Share to $19.50 per Share. Falling commodity futures contract prices for Copper, Zinc and Aluminum during the year ended December 31, 2022 contributed to an overall 12.18% decrease in the level of the Index and to a 10.38% decrease in the level of the DBIQ-OY Industrial Metals TR™. On December 23, 2022, the Fund paid a distribution of $0.18371 for each General Share and Share to holders of record as of December 20, 2022. Therefore, the total return for the Fund on a NAV basis was -11.09%. Net income (loss) for the year ended December 31, 2022 was $(66.0) million, resulting from $5.9 million of income, net realized gain (loss) of $20.9 million, net change in unrealized gain (loss) of $(90.0) million and net operating expenses of $3.4 million. Critical Accounting Estimates Preparation of the financial statements and related disclosures in conformity with U.S. GAAP requires the application of appropriate accounting rules and guidance, as well as the use of estimates, and requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, revenue and expense and related disclosure of contingent assets and liabilities during the reporting period of the financial statements and accompanying notes. The Fund’s application of these policies involves judgments and actual results may differ from the estimates used. There were no material estimates, which involve a significant level of estimation uncertainty and had or are reasonably likely to have had a material impact on the Fund’s financial condition, used in the preparation of these financial statements. 30 ITEM 7A. QUANTITATIVE AND QUALITAT IVE DISCLOSURES ABOUT MARKET RISK. INTRODUCTION The Fund is designed to track the performance of the Index. The market sensitive instruments held by it are subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Fund’s main line of business. Market movements can produce frequent changes in the fair market value of the Fund’s open positions and, consequently, in its earnings and cash flow. The Fund’s market risk is primarily influenced by changes in the prices of commodities. Standard of Materiality Materiality as used in this section, “Quantitative and Qualitative Disclosures About Market Risk,” is based on an assessment of reasonably possible market movements and the potential losses caused by such movements, taking into account the effects of margin, and any other multiplier features, as applicable, of the Fund’s market sensitive instruments. QUANTIFYING THE FUND’S TRADING VALUE AT RISK Quantitative Forward-Looking Statements The following quantitative disclosures regarding the Fund’s market risk exposures contain “forward-looking statements” within the meaning of the safe harbor from civil liability provided for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section 27A of the Securities Act of 1933 (the “Securities Act”) and Section 21E of the Exchange Act). All quantitative disclosures in this section are deemed to be forward-looking statements for purposes of the safe harbor, except for statements of historical fact (such as the dollar amount of maintenance margin required for market risk sensitive instruments held at the end of the reporting period). Value at Risk (“VaR”) is a statistical measure of the value of losses that would not be expected to be exceeded over a given time horizon and at a given probability level arising from movement of underlying risk factors. Loss is measured as a decline in the fair value of the portfolio as a result of changes in any of the material variables by which fair values are determined. VaR is measured over a specified holding period (one day) and to a specified level of statistical confidence (99th percentile). However, the inherent uncertainty in the markets in which the Fund trades and the recurrence in the markets traded by the Fund of market movements far exceeding expectations could result in actual trading or non-trading losses far beyond the indicated VaR or the Fund’s experience to date (i.e., “risk of ruin”). In light of these considerations, as well as the risks and uncertainties intrinsic to all future projections, the following VaR presentation does not constitute any assurance or representation that the Fund’s losses in any market sector will be limited to VaR. THE FUND’S TRADING VALUE AT RISK The Fund calculates VaR using the actual historical market movements of the Fund’s net assets. The following table indicates the trading VaR associated with the Fund’s net assets as of December 31, 2023. For the Year Ended December 31, 2023 Description Net Assets Daily Volatility VaR* (99 Percentile) Number of times VaR Exceeded Invesco DB Base Metals Fund $ 121,581,987 0.93 % $ 2,641,996 24 The following table indicates the trading VaR associated with the Fund’s net assets as of December 31, 2022. For the Year Ended December 31, 2022 Description Net Assets Daily Volatility VaR* (99 Percentile) Number of times VaR Exceeded Invesco DB Base Metals Fund $ 224,275,410 1.27 % $ 6,624,178 34 * The VaR represents the one day downside risk, under normal market conditions, with a 99% confidence level. It is calculated using historical market moves of the Fund’s net assets and uses a one year look back. 31 THE FUND’S NON-TRADING MARKET RISK The Fund has non-trading market risk as a result of investing in short-term United States Treasury Obligations, T-Bill ETFs and money market mutual funds. The market risk represented by these investments is not expected to be material. Although the Fund purchases and sells shares of T-Bill ETFs on an exchange, it does not establish or liquidate those positions for trading purposes. QUALITATIVE DISCLOSURES REGARDING PRIMARY TRADING MARKET RISK EXPOSURES The following qualitative disclosures regarding the Fund’s market risk exposures—except for those disclosures that are statements of historical fact—constitute forward-looking statements within the meaning of Section 27A of the Securities Act and Section 21E of the Exchange Act. The Fund’s primary market risk exposures are subject to numerous uncertainties, contingencies and risks. Government interventions, defaults and expropriations, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, increased regulation and many other factors could result in material losses as well as in material changes to the risk exposures of the Fund. The Fund’s current market exposure may change materially. Investors may lose all or substantially all of their investment in the Fund. The following were the primary trading risk exposures of the Fund as of December 31, 2023: Aluminum The price of aluminum is volatile. The price movement of aluminum may be influenced by a variety of factors, including the level of global industrial activity and demand, especially relating to the transportation, packaging and building sectors, each of which significantly influences the demand, and in turn, the price of aluminum. Prices for aluminum are influenced by a number of factors including the level of economic activity in large aluminum consuming markets, political uncertainties, economic concerns and the rate of supply of new metal from producers. The production of aluminum is a power intensive process that requires large amounts of inexpensive power. Disruptions in the amount of energy available to aluminum producers could affect the supply of aluminum. Zinc The price of zinc is volatile and is affected by numerous factors. The price of zinc is primarily affected by the global demand for and supply of zinc. Demand for zinc is significantly influenced by the level of global industrial economic activity. The galvanized steel industrial sector is particularly important given that the use of zinc in the manufacture of galvanized steel accounts for approximately 50% of world-wide zinc demand. The galvanized steel sector is in turn heavily dependent on the automobile and construction sectors. An additional, but highly volatile component of demand, is adjustments to inventory in response to changes in economic activity and/or pricing levels. The supply of zinc concentrate (the raw material) has generally been dominated by China, Australia, North America and Latin America. The supply of zinc is also affected by current and previous price levels, which will influence investment decisions in new mines and smelters. It is not possible to predict the aggregate effect of all or any combination of these factors. Copper The price of copper is volatile. The price of copper is primarily affected by the global demand for and supply of copper. Demand for copper is significantly influenced by the level of global industrial economic activity. Industrial sectors which are particularly important include the electrical and construction sectors. In recent years demand has been supported by strong consumption from newly industrializing countries, which continue to be in a copper-intensive period of economic growth as they develop their infrastructure (such as China). An additional, but highly volatile, component of demand is adjustments to inventory in response to changes in economic activity and/or pricing levels. Apart from the United States, Canada and Australia, the majority of copper concentrate supply (the raw material) comes from outside the Organization for Economic Cooperation and Development countries. Chile is the largest producer of copper concentrate. In previous years, copper supply has been affected by strikes, financial problems, political turmoil and terrorist activity. QUALITATIVE DISCLOSURES REGARDING NON-TRADING MARKET RISK EXPOSURE As noted above, the Fund has non-trading market risk as a result of investing in short-term United States Treasury Obligations, T-Bill ETFs and money market mutual funds. The market risk represented by these investments is not expected to be material. QUALITATIVE DISCLOSURES REGARDING MEANS OF MANAGING RISK EXPOSURE Under ordinary circumstances, the Managing Owner’s exercise of discretionary power is limited to determining whether the Fund will make a distribution. Under emergency or extraordinary circumstances, the Managing Owner’s use of its discretionary powers may increase. These special circumstances, for example, include the unavailability of the Index or certain natural or man-made disasters. The Managing Owner does not actively manage the Fund to avoid losses. The Fund only takes long positions in investments and does not employ “stop-loss” techniques. 32 ITEM 8. FINANCIAL STATEMEN TS AND SUPPLEMENTARY DATA. Index to Financial Statements Documents Page Report of Management on Internal Control Over Financial Reporting 34 Report of Independent Registered Public Accounting Firm (PCAOB ID 238 ) 35 Statements of Financial Condition as of December 31, 2023 and 2022 37 Schedule of Investments as of December 31, 2023 38 Schedule of Investments as of December 31, 2022 39 Statements of Income and Expenses for the Years Ended December 31, 2023, 2022 and 2021 40 Statement of Changes in Shareholders’ Equity for the Year Ended December 31, 2023 41 Statement of Changes in Shareholders’ Equity for the Year Ended December 31, 2022 42 Statement of Changes in Shareholders’ Equity for the Year Ended December 31, 20 21 43 Statements of Cash Flows for the Years Ended December 31, 2023, 2022 and 2021 44 Notes to Financial Statements 45 33 Report of M anagement on Internal Control Over Financial Reporting Management of Invesco Capital Management LLC, as managing owner (the “Managing Owner”) of Invesco DB Base Metals Fund (the “Fund”), is responsible for establishing and maintaining adequate internal control over financial reporting, as defined in Rules 13a-15(f) and 15d-15(f) of the Securities Exchange Act of 1934, as amended (the “Exchange Act”). Internal control over financial reporting is a process designed to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles. Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements. Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate. We, Brian Hartigan, Principal Executive Officer, and Kelli Gallegos, Principal Financial and Accounting Officer, Investment Pools, of the Managing Owner, assessed the effectiveness of the Fund’s internal control over financial reporting as of December 31, 2023. In making this assessment, we used the criteria set forth by the Committee of Sponsoring Organizations of the Treadway Commission (“COSO”) in Internal Control—Integrated Framework (2013). Based on our assessment and those criteria, we have concluded that the Fund maintained effective internal control over financial reporting as of December 31, 2023. The Fund’s independent registered public accounting firm, PricewaterhouseCoopers LLP , has audited the Fund’s internal control over financial reporting as of December 31, 2023, as stated in their report on page 35 of the Fund’s Annual Report on Form 10-K. By: /S/ BRIAN HARTIGAN Name: Brian Hartigan Title: Principal Executive Officer By: /S/ KELLI GALLEGOS Name: Kelli Gallegos Title: Principal Financial and Accounting Officer, Investment Pools February 22, 2024 34 Report of Independent Regist ered Public Accounting Firm To the Board of Managers of Invesco Capital Management LLC (as Managing Owner of Invesco DB Multi-Sector Commodity Trust) and Shareholders of Invesco DB Base Metals Fund Opinions on the Financial Statements and Internal Control over Financial Reporting We have audited the accompanying statements of financial condition, including the schedules of investments, of Invesco DB Base Metals Fund (one of the funds constituting Invesco DB Multi-Sector Commodity Trust, hereafter referred to as the “Fund”) as of December 31, 2023 and 2022, and the related statements of income and expenses, of changes in shareholders’ equity and of cash flows for each of the three years in the period ended December 31, 2023, including the related notes (collectively referred to as the “financial statements”).We also have audited the Fund's internal control over financial reporting as of December 31, 2023, based on criteria established in Internal Control - Integrated Framework (2013) issued by the Committee of Sponsoring Organizations of the Treadway Commission (COSO). In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of the Fund as of December 31, 2023 and 2022 , and the results of its operations and its cash flows for each of the three years in the period ended December 31, 2023 in conformity with accounting principles generally accepted in the United States of America. Also in our opinion, the Fund maintained, in all material respects, effective internal control over financial reporting as of December 31, 2023, based on criteria established in Internal Control - Integrated Framework (2013) issued by the COSO. Basis for Opinions The Fund's management is responsible for these financial statements, for maintaining effective internal control over financial reporting, and for its assessment of the effectiveness of internal control over financial reporting, included in the accompanying Report of Management on Internal Control Over Financial Reporting. Our responsibility is to express opinions on the Fund’s financial statements and on the Fund's internal control over financial reporting based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB. We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud, and whether effective internal control over financial reporting was maintained in all material respects. Our audits of the financial statements included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our audit of internal control over financial reporting included obtaining an understanding of internal control over financial reporting, assessing the risk that a material weakness exists, and testing and evaluating the design and operating effectiveness of internal control based on the assessed risk. Our audits also included performing such other procedures as we considered necessary in the circumstances. We believe that our audits provide a reasonable basis for our opinions. Definition and Limitations of Internal Control over Financial Reporting A company’s internal control over financial reporting is a process designed to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles. A company’s internal control over financial reporting includes those policies and procedures that (i) pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the company; (ii) provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting principles, and that receipts and expenditures of the company are being made only in accordance with authorizations of management and directors of the company; and (iii) provide reasonable assurance regarding prevention or timely 35 detection of unauthorized acquisition, use, or disposition of the company’s assets that could have a material effect on the financial statements. Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements. Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate. Critical Audit Matters Critical audit matters are matters arising from the current period audit of the financial statements that were communicated or required to be communicated to the audit committee and that (i) relate to accounts or disclosures that are material to the financial statements and (ii) involved our especially challenging, subjective, or complex judgments. We determined there are no critical audit matters. /s/PricewaterhouseCoopers LLP Chicago, Illinois February 22, 2024 We have served as the Fund’s auditor since 2013. 36 Invesco DB Base Metals Fund Statements of Financial Condition December 31, 2023 and 2022 December 31, 2023 2022 Assets United States Treasury Obligations, at value (cost $ 55,864,584 and $ 146,136,233 , respectively) $ 55,916,139 $ 146,181,951 Affiliated investments, at value (cost $ 53,361,244 and $ 163,663,402 , respectively) 53,345,835 163,597,696 Other investments: Unrealized appreciation on LME Commodity Futures Contracts 2,605,074 426,498 Deposits with brokers: Cash collateral - Commodity Futures Contracts 15,000,000 15,000,000 Cash held by custodian — 1,964,633 Receivable for: Dividends from affiliates 204,877 525,910 Total assets $ 127,071,925 $ 327,696,688 Liabilities Other investments: LME Commodity Futures Contracts payable $ 4,329,738 $ 62,908,834 Unrealized depreciation on LME Commodity Futures Contracts 683,289 38,400,145 Payable for: Distributions 395,895 — Fund shares reacquired — 1,964,633 Management fees 76,002 143,081 Brokerage commissions and fees 5,014 4,585 Total liabilities 5,489,938 103,421,278 Commitments and Contingencies (Note 10) Equity Shareholder's equity—General Shares 731 780 Shareholders' equity—Shares 121,581,256 224,274,630 Total shareholders' equity 121,581,987 224,275,410 Total liabilities and equity $ 127,071,925 $ 327,696,688 General Shares outstanding 40 40 Shares outstanding 6,650,000 11,500,000 Net asset value per share $ 18.28 $ 19.50 Market value per share $ 18.31 $ 19.57 See accompanying Notes to Financial Statements which are an integral part of the financial statements. 37 Invesco DB Base Metals Fund Schedule of Investments December 31, 2023 Description Percentage of Shareholders' 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, 5.27 % (cost $ 33,302,006 ) (c)(e) 27.39 33,302,006 33,302,006 Total Affiliated Investments (cost $ 53,361,244 ) 43.88 % $ 53,345,835 Total Investments in Securities (cost $ 109,225,828 ) 89.87 % $ 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 Notional Value 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. See accompanying Notes to Financial Statements which are an integral part of the financial statements. 38 Invesco DB Base Metals Fund Schedule of Investments December 31, 2022 Description Percentage of Shareholders' Equity Value Principal Value United States Treasury Obligations (a) U.S. Treasury Bills, 3.820 % due January 19, 2023 (b) 4.45 % $ 9,983,933 $ 10,000,000 U.S. Treasury Bills, 4.155 % due February 16, 2023 (b) 24.40 54,726,826 55,000,000 U.S. Treasury Bills, 4.220 % due February 23, 2023 (b) 22.16 49,699,446 50,000,000 U.S. Treasury Bills, 4.285 % due March 2, 2023 (b) 8.86 19,863,575 20,000,000 U.S. Treasury Bills, 4.270 % due March 9, 2023 (b) 5.31 11,908,171 12,000,000 Total United States Treasury Obligations (cost $ 146,136,233 ) 65.18 % $ 146,181,951 Affiliated Investments Shares Exchange-Traded Fund Invesco Treasury Collateral ETF (Cost $ 20,059,238 ) (c) 8.91 % $ 19,993,532 189,800 Money Market Mutual Fund Invesco Government & Agency Portfolio, Institutional Class, 4.22 % (cost $ 143,604,164 ) (c)(d) 64.03 143,604,164 143,604,164 Total Affiliated Investments (cost $ 163,663,402 ) 72.94 % $ 163,597,696 Total Investments in Securities (cost $ 309,799,635 ) 138.12 % $ 309,779,647 (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 $ 146,177,600 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, 2022 . Open Commodity Futures Contracts (e) Number of Contracts Expiration Date Notional Value Value (f) Unrealized Appreciation (Depreciation) (f) Long Futures Contracts LME Aluminum 1,225 May-2023 $ 73,346,875 $ ( 24,812,824 ) $ ( 24,812,824 ) LME Copper 362 May-2023 75,773,388 ( 13,587,321 ) ( 13,587,321 ) LME Zinc 1,024 August-2023 75,116,800 426,498 426,498 Total Commodity Futures Contracts $ ( 37,973,647 ) $ ( 37,973,647 ) (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. See accompanying Notes to Financial Statements which are an integral part of the financial statements. 39 Invesco DB Base Metals Fund Statements of Income and Expenses For the Years Ended December 31, 2023, 2022 and 2021 2023 2022 2021 Income Interest Income $ 5,010,578 $ 2,356,232 $ 65,379 Dividends from Affiliates 5,973,648 3,494,731 45,277 Total Income 10,984,226 5,850,963 110,656 Expenses Management Fee 1,388,263 3,253,733 2,753,880 Brokerage Commissions and Fees 70,885 107,728 83,746 Interest Expense 42,640 5,357 54 Total Expenses 1,501,788 3,366,818 2,837,680 Less: Waivers ( 115,867 ) ( 184,876 ) ( 37,544 ) Net Expenses 1,385,921 3,181,942 2,800,136 Net Investment Income (Loss) 9,598,305 2,669,021 ( 2,689,480 ) Net Realized and Net Change in Unrealized Gain (Loss) on United States Treasury Obligations, Affiliated Investments and Commodity Futures Contracts Net Realized Gain (Loss) on Affiliated Investments — 11,254 — Capital gain distributions from Affiliated Investments — — 6,116 Commodity Futures Contracts ( 55,580,401 ) 20,907,936 66,438,756 Net Realized Gain (Loss) ( 55,580,401 ) 20,919,190 66,444,872 Net Change in Unrealized Gain (Loss) on United States Treasury Obligations 5,837 44,336 ( 2,940 ) Affiliated Investments 50,297 ( 92,109 ) ( 18,499 ) Commodity Futures Contracts 39,895,432 ( 89,540,771 ) 16,836,227 Net Change in Unrealized Gain (Loss) 39,951,566 ( 89,588,544 ) 16,814,788 Net Realized and Net Change in Unrealized Gain (Loss) on United States Treasury Obligations, Affiliated Investments and Commodity Futures Contracts ( 15,628,835 ) ( 68,669,354 ) 83,259,660 Net Income (Loss) $ ( 6,030,530 ) $ ( 66,000,333 ) $ 80,570,180 See accompanying Notes to Financial Statements which are an integral part of the financial statements. 40 Invesco DB Base Metals Fund Statement of Changes in Shareholders’ Equity For the Year Ended December 31, 2023 General Shares Shares Total Shares Total Equity Shares Total Equity Shareholders' Equity Balance at December 31, 2022 40 $ 780 11,500,000 $ 224,274,630 $ 224,275,410 Purchases of Shares 5,400,000 106,662,444 106,662,444 Redemption of Shares ( 10,250,000 ) ( 194,153,717 ) ( 194,153,717 ) Net Increase (Decrease) due to Share Transactions ( 4,850,000 ) ( 87,491,273 ) ( 87,491,273 ) Return of Capital Distributions ( 53 ) ( 9,171,567 ) ( 9,171,620 ) Net Income (Loss) Net Investment Income (Loss) 54 9,598,251 9,598,305 Net Realized Gain (Loss) on United States Treasury Obligations, Affiliated Investments and Commodity Futures Contracts ( 149 ) ( 55,580,252 ) ( 55,580,401 ) Net Change in Unrealized Gain (Loss) on United States Treasury Obligations, Affiliated Investments and Commodity Futures Contracts 99 39,951,467 39,951,566 Net Income (Loss) 4 ( 6,030,534 ) ( 6,030,530 ) Net Change in Shareholders' Equity — ( 49 ) ( 4,850,000 ) ( 102,693,374 ) ( 102,693,423 ) Balance at December 31, 2023 40 $ 731 6,650,000 $ 121,581,256 $ 121,581,987 See accompanying Notes to Financial Statements which are an integral part of the financial statements. 41 Invesco DB Base Metals Fund Statement of Changes in Shareholders’ Equity For the Year Ended December 31, 2022 General Shares Shares Total Shares Total Equity Shares Total Equity Shareholders' Equity Balance at December 31, 2021 40 $ 886 22,000,000 $ 487,185,297 $ 487,186,183 Purchases of Shares 10,700,000 252,963,317 252,963,317 Redemption of Shares ( 21,200,000 ) ( 447,650,859 ) ( 447,650,859 ) Net Increase (Decrease) due to Share Transactions ( 10,500,000 ) ( 194,687,542 ) ( 194,687,542 ) Return of Capital Distributions ( 7 ) ( 2,222,891 ) ( 2,222,898 ) Net Income (Loss) Net Investment Income (Loss) 7 2,669,014 2,669,021 Net Realized Gain (Loss) on United States Treasury Obligations, Affiliated Investments and Commodity Futures Contracts 33 20,919,157 20,919,190 Net Change in Unrealized Gain (Loss) on United States Treasury Obligations, Affiliated Investments and Commodity Futures Contracts ( 139 ) ( 89,588,405 ) ( 89,588,544 ) Net Income (Loss) ( 99 ) ( 66,000,234 ) ( 66,000,333 ) Net Change in Shareholders' Equity — ( 106 ) ( 10,500,000 ) ( 262,910,667 ) ( 262,910,773 ) Balance at December 31, 2022 40 $ 780 11,500,000 $ 224,274,630 $ 224,275,410 See accompanying Notes to Financial Statements which are an integral part of the financial statements. 42 Invesco DB Base Metals Fund Statement of Changes in Shareholders’ Equity For the Year Ended December 31, 2021 General Shares Shares Total Shares Total Equity Shares Total Equity Shareholders' Equity Balance at December 31, 2020 40 $ 688 10,100,000 $ 173,836,103 $ 173,836,791 Purchases of Shares 16,500,000 326,772,681 326,772,681 Redemption of Shares ( 4,600,000 ) ( 93,993,469 ) ( 93,993,469 ) Net Increase (Decrease) due to Share Transactions 11,900,000 232,779,212 232,779,212 Net Income (Loss) Net Investment Income (Loss) ( 6 ) ( 2,689,474 ) ( 2,689,480 ) Net Realized Gain (Loss) on United States Treasury Obligations, Affiliated Investments and Commodity Futures Contracts 163 66,444,709 66,444,872 Net Change in Unrealized Gain (Loss) on United States Treasury Obligations, Affiliated Investments and Commodity Futures Contracts 41 16,814,747 16,814,788 Net Income (Loss) 198 80,569,982 80,570,180 Net Change in Shareholders' Equity — 198 11,900,000 313,349,194 313,349,392 Balance at December 31, 2021 40 $ 886 22,000,000 $ 487,185,297 $ 487,186,183 See accompanying Notes to Financial Statements which are an integral part of the financial statements. 43 Invesco DB Base Metals Fund Statements of Cash Flows For the Years Ended December 31, 2023, 2022 and 2021 2023 2022 2021 Cash flows from operating activities: Net Income (Loss) $ ( 6,030,530 ) $ ( 66,000,333 ) $ 80,570,180 Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Cost of securities purchased ( 252,450,783 ) ( 453,853,834 ) ( 258,959,856 ) Proceeds from securities sold and matured 347,000,000 422,007,200 213,000,000 Cost of affiliated investments purchased ( 375,702,388 ) ( 556,401,427 ) ( 537,143,028 ) Proceeds from affiliated investments sold 486,004,546 710,462,727 289,139,208 Net accretion of discount on United States Treasury Obligations ( 4,277,568 ) ( 2,285,606 ) ( 65,379 ) Net realized (gain) loss on United States Treasury Obligations and Affiliated Investments — ( 11,254 ) — Net change in unrealized (gain) loss on United States Treasury Obligations, Affiliated Investments and Commodity Futures Contracts ( 39,951,566 ) 89,588,544 ( 16,814,788 ) Change in operating assets and liabilities: Dividends from affiliates 321,033 ( 519,727 ) ( 5,337 ) LME Commodity Futures Contracts ( 58,579,096 ) 69,080,966 ( 2,697,606 ) Management fees ( 67,079 ) ( 156,434 ) 197,021 Brokerage commissions and fees 429 ( 382 ) 373 Increase in cash collateral - Commodity Futures Contracts — ( 15,000,000 ) — Net cash provided by (used in) operating activities 96,266,998 196,910,440 ( 232,779,212 ) Cash flows from financing activities: Distributions paid to shareholders ( 8,775,725 ) ( 2,222,898 ) — Proceeds from purchases of Shares 106,662,444 252,963,317 326,772,681 Redemption of Shares ( 196,118,350 ) ( 445,686,226 ) ( 93,993,469 ) Net cash provided by (used in) financing activities ( 98,231,631 ) ( 194,945,807 ) 232,779,212 Net change in cash ( 1,964,633 ) 1,964,633 — Cash at beginning of period 1,964,633 — — Cash at end of period $ — $ 1,964,633 $ — Supplemental disclosure of cash flow information Cash paid for interest $ 42,640 $ 5,357 $ 54 See accompanying Notes to Financial Statements which are an integral part of the financial statements. 44 Invesco DB Base Metals Fund Notes to Financial Statements December 31, 2023 Note 1 - Organization Invesco DB Base Metals Fund (the “Fund”), a separate series of Invesco DB Multi-Sector Commodity Trust (the “Trust”), a Delaware statutory trust organized in seven separate series, was formed on August 3, 2006. 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, as amended (the “Trust Agreement”). The Fund has an unlimited number of shares authorized for issuance. Invesco Capital Management LLC has served as the managing owner (the “Managing Owner”), commodity pool operator and commodity trading advisor of the Trust and the Fund since February 23, 2015 . The Managing Owner holds 40 general shares (the “General Shares”) of the Fund. The fiscal year end of the Fund is December 31 st . The Fund seeks to track changes, whether positive or negative, in the level of the DBIQ Optimum Yield Industrial Metals Index Excess Return™ (the “Index”) over time, plus the excess, if any, of the sum of the Fund’s interest income from its holdings of United States Treasury Obligations (“Treasury Income”), dividends from its holdings in money market mutual funds (affiliated or otherwise) (“Money Market Income”) and dividends or distributions of capital gains from its holdings of T-Bill ETFs (as defined below) (“T-Bill ETF Income”) over the expenses of the Fund. The Fund invests in futures contracts in an attempt to track its Index. The Index is intended to reflect the change in market value of the base metals sector. The commodities comprising the Index are aluminum, zinc and copper—Grade A (each an “Index Commodity”, and collectively, the “Index Commodities”). The Fund may invest directly in United States Treasury Obligations. The Fund may also gain exposure to United States Treasury Obligations through investments in exchange-traded funds (“ETFs”) (affiliated or otherwise) that track indexes that measure the performance of United States Treasury Obligations with a maximum remaining maturity of up to 12 months (“T-Bill ETFs”). The Fund holds as collateral United States Treasury Obligations, money market mutual funds and T-Bill ETFs (affiliated or otherwise), if any, for margin and/or cash management purposes. 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. The Commodity Futures Trading Commission (the “CFTC”) and certain futures exchanges impose position limits on futures contracts that reference Index Commodities (the “Index Contracts”). As the Fund approaches or reaches position limits with respect to an Index Commodity, the Fund may commence investing in Index Contracts that reference other Index Commodities. In those circumstances, the Fund may also trade in futures contracts based on commodities other than Index Commodities that the Managing Owner reasonably believes tend to exhibit trading prices that correlate with an Index Contract. The Managing Owner may determine to invest in other futures contracts if at any time it is impractical, including in scenarios wherein the futures market for an Index Contract is thinly traded, or inefficient to gain full or partial exposure to an Index Commodity through the use of Index Contracts. These other futures contracts may or may not be based on an Index Commodity. When they are not, the Managing Owner may seek to select futures contracts that it reasonably believes tend to exhibit trading prices that correlate with an Index Contract. 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 50,000 Shares (“Creation Units”). The Fund commenced investment operations on January 3, 2007. The Fund commenced trading on the American Stock Exchange (which became the NYSE Alternext US LLC) on January 5, 2007 and, since November 25, 2008, has been listed on the NYSE Arca, Inc. (the “NYSE Arca”). This Annual Report (the “Annual Report”) covers the years ended December 31, 2023, 2022 and 2021. Past performance of the Fund is not necessarily indicative of future performance. 45 Note 2 - Summary of Significant Accounting Policies A. Basis of Presentation The financial statements of the Fund have been prepared using accounting principles generally accepted in the United States of America (“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 Accounting Standards Codification Topic 946, Financial Services — Investment Companies . B. Accounting Estimates The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates by a significant amount. In addition, the Fund monitors for material events or transactions that may occur or become known after the period-end date and before the date the financial statements are issued. C. Investment Valuations Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end-of-day net asset value (“NAV”) per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded. 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. Securities for which market quotations are not readily available or became unreliable are valued at fair value as determined in good faith following procedures approved by the Managing Owner. Issuer-specific events, market trends, bid/asked quotes of brokers and information providers and other data may be reviewed in the course of making a good faith determination of a security’s fair value. Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the assets, general market conditions which are not specifically related to the particular issuer, such as real or perceived adverse economic conditions, changes in the general outlook for revenues, changes in interest or currency rates, regional or global instability, or environmental disasters, widespread disease or other public health issues, war, acts of terrorism or adverse investor sentiment generally and market liquidity. 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. D. Investment Transactions and Investment Income Investment transactions are accounted for on a trade date basis. Realized gains or 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. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date. E. Profit and Loss Allocations and Distributions Pursuant to the Trust Agreement, income and expenses are allocated pro rata to the Managing Owner as holder of the General Shares and to the Shareholders monthly based on their respective percentage interests as of the close of the last trading day of the preceding month. Distributions (other than redemption of units) may be made at the sole discretion of the Managing Owner on a pro rata basis in accordance with the respective capital balances of the Shareholders. The Managing Owner has sole discretion in determining what distributions, if any, the Fund will make to Shareholders. A distribution for the year ended December 31, 2023 was paid on December 22, 2023 to holders of record as of December 19, 2023 at a 46 rate of $ 1.31965 for each General Share and Share for a total distribution of $ 53 to General Shares and $ 9,171,567 to Shares. Distributions of $ 395,895 were unpaid at December 31, 2023 and are reported as a liability on the Statements of Financial Condition. The table below shows distributions per General Share and Share in total for the years presented: For the Years Ended December 31, 2023 2022 2021 Distribution per General Share $ 1.31965 $ 0.18371 $ — Distribution per Share $ 1.31965 $ 0.18371 $ — Distributions paid to General Shares $ 53 $ 7 $ — Distributions paid to Shares $ 9,171,567 $ 2,222,891 $ — F. Routine Operational, Administrative and Other Ordinary Expenses The Managing Owner is responsible for all routine operational, administrative and other ordinary expenses of the Fund, including, but not limited to, computer services, the fees and expenses of the Trustee, legal and accounting fees and expenses, tax preparation expenses, filing fees and printing, mailing and duplication costs. The Fund does not reimburse the Managing Owner for the routine operational, administrative and other ordinary expenses of the Fund. Accordingly, such expenses are not reflected in the Statements of Income and Expenses of the Fund. G. Non-Recurring Fees and Expenses The Fund pays all non-recurring and unusual fees and expenses, if any, of itself, as determined by the Managing Owner. Non-recurring and unusual fees and expenses include fees and expenses, such as legal claims and liabilities, litigation costs, indemnification expenses or other non-routine expenses. Non-recurring and unusual fees and expenses, by their nature, are unpredictable in terms of timing and amount. For the years ended December 31, 2023, 2022 and 2021, the Fund did not incur such expenses. H. Brokerage Commissions and Fees The Fund incurs all brokerage commissions, including applicable exchange fees, National Futures Association (“NFA”) fees, give-up fees, pit brokerage fees and other transaction related fees and expenses charged in connection with trading activities by the Commodity Broker (as defined below). These costs are recorded as Brokerage Commissions and Fees in the Statements of Income and Expenses. The Commodity Broker’s brokerage commissions and trading fees are determined on a contract-by-contract basis. On average, total charges paid to the Commodity Broker, as applicable were less than $ 13.00 , $ 13.00 and $ 13.00 per round-turn trade during the years ended December 31, 2023, 2022 and 2021, respectively. I. 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. The major tax jurisdiction for the Fund and the earliest tax year subject to examination: United States, 2020. J. Commodity Futures Contracts The Fund utilizes derivative instruments to achieve its investment objective. A commodity futures contract is an agreement between counterparties to purchase or sell a specified underlying commodity for a specified price, or to pay or receive a cash amount based on the value of an index or other reference instrument, at a future date. Initial margin deposits required upon entering into futures contracts are satisfied by the segregation of specific securities or cash as collateral with the Commodity Broker. During the period that the commodity 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 on non-LME commodity futures contracts depending upon whether unrealized gains or losses are incurred. These amounts are reflected as a receivable or payable on the Statements of Financial Condition. For LME contracts, subsequent or variation margin payments are not made and the value of the contracts is presented as net unrealized appreciation (depreciation) on the Statements of Financial Condition. When LME or non-LME 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 47 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. K. Receivable/(Payable) for LME Contracts The Fund trades aluminum, copper and zinc commodity futures contracts on the LME. For settlement of futures contracts traded on the LME, cash is not transferred until the settled futures contracts expire. As of December 31, 2023 , the Fund had a payable to the Commodity Broker of $ 4,329,738 , related to net realized losses on LME contracts, which have been closed out but for which the contract was not yet expired. As of December 31, 2022 , the Fund had a payable to the Commodity Broker of $ 62,908,834 , related to net realized losses on LME contracts, which have been closed out but for which the contract was not yet expired. Note 3 - Financial Instrument Risk In the normal course of its business, the Fund is a party to financial instruments with off-balance sheet risk. The term “off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in a future obligation or loss in excess of the amounts shown on the Statements of Financial Condition. The financial instruments used by the Fund are commodity futures contracts, the values of which are based upon an underlying asset and generally represent future commitments that have a reasonable possibility of being settled in cash or through physical delivery. The financial instruments are traded on an exchange and are standardized contracts. Market risk is the potential for changes in the value of the financial instruments traded by the Fund due to market changes, including fluctuations in commodity prices. In entering into these futures contracts, there exists a market risk that such futures contracts may be significantly influenced by adverse market conditions, resulting in such futures contracts being less valuable. If the markets should move against all of the futures contracts at the same time, the Fund could experience substantial losses. Credit risk is the possibility that a loss may occur due to the failure of the Commodity Broker and/or clearing house to perform according to the terms of a futures contract. Credit risk with respect to exchange-traded instruments is reduced to the extent that an exchange or clearing organization acts as a counterparty to the transactions. The Commodity Broker, when acting as the Fund’s futures commission merchant (“FCM”) in accepting orders for the purchase or sale of domestic futures contracts, is required by CFTC regulations to separately account for and segregate as belonging to the Fund all assets of the Fund relating to domestic futures trading. The Commodity Broker is not allowed to commingle such assets with other assets of the Commodity Broker. In addition, CFTC regulations also require the Commodity Broker to hold in a secure account assets of the Fund related to foreign futures trading. The Fund’s risk of loss in the event of counterparty default is typically limited to the amounts recognized in the Statements of Financial Condition and not represented by the futures contract or notional amounts of the instruments. The Fund has not utilized, nor does it expect to utilize in the future, special purpose entities to facilitate off-balance sheet financing arrangements and has no loan guarantee arrangements or off-balance sheet arrangements of any kind, other than agreements entered into in the normal course of business noted above. Note 4 – Service Providers and Related Party Agreements The Trustee Under the Trust Agreement, Wilmington Trust Company, the trustee of the Fund (the “Trustee”), has the power and authority to execute and file certificates as required by the Delaware Statutory Trust Act and to accept service of process on the Fund in the State of Delaware. The Managing Owner has the exclusive management and control of all aspects of the business of the Fund. The Trustee will serve in that capacity until such time as the Managing Owner removes the Trustee or the Trustee resigns and a successor is appointed by the Managing Owner. 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 NAV of the Fund (the “Management Fee”). The Fund, for cash management purposes, invests in money market mutual funds and/or T-Bill ETFs that are managed by affiliates of the Managing Owner. The indirect portion of the management fee that the Fund incurs through such investments is in addition to the Management Fee paid to the Managing Owner. The Managing Owner has contractually agreed to waive indefinitely the fees that it receives in an amount equal to the indirect management fees that the Fund incurs through its investments in affiliated money market mutual funds and/or affiliated T-Bill ETFs. The Managing Owner may terminate this fee waiver on 60 days’ notice. The Managing Owner waived fees of $ 115,867 , $ 184,876 and $ 37,544 for the years ended December 31, 2023, 2022 and 2021, respectively. 48 The Distributor Invesco 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 Fund’s administrator, The Bank of New York Mellon, 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. The Commodity Broker Morgan Stanley & Co. LLC, a Delaware limited liability company, serves as the Fund’s futures clearing broker (the “Commodity Broker”). The Commodity Broker is registered with the CFTC as an FCM and is a member of the NFA in such capacity. 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 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”, “Custodian” and “Transfer Agent”) is the administrator, custodian and transfer agent of the Fund. The Fund and the Administrator have entered into separate administrative and accounting, 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 Creation Units, NAV calculations, accounting and other fund administrative services. The Administrator maintains certain financial books and records, including: Creation Unit creation and redemption 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 for its services out of the Management Fee. Index Sponsor The Managing Owner, on behalf of the Fund, has appointed Deutsche Bank Securities, Inc. to serve as the index sponsor (the “Index Sponsor”). On February 1, 2021, the provision of index sponsor services transferred back to Deutsche Bank Securities, Inc. from DWS Investment Management Americas, Inc., to whom Deutsche Bank Securities, Inc. had previously assigned such responsibility. 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. Note 5 - Deposits with Commodity Broker and Custodian The Fund defines cash as cash held by the Custodian. There were no cash equivalents held by the Fund as of December 31, 2023 and 2022. The Fund considers investments in money market funds to be investments in securities and, accordingly, includes them in its Schedule of Investments. The Fund may deposit cash, United States Treasury Obligations, T-Bill ETFs and money market mutual funds with the Commodity Broker as margin, to the extent permissible under CFTC rules. 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 with the Commodity Broker. 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. 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 commodity 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 49 and T-Bill ETFs, if any, 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 legally enforceable netting arrangements. The Fund’s remaining cash, United States Treasury Obligations, T-Bill ETFs and money market mutual fund holdings are on deposit with the Custodian. The Fund is permitted to temporarily carry a negative or overdrawn balance in its account with the Custodian. The Fund incurs interest expense on any overdraft balance with the Custodian. Such balances, if any at period-end, are shown on the Statements of Financial Condition under the payable caption Due to custodian . Because the Fund's assets are maintained with the Commodity Broker and Custodian, the distress, impairment or failure of the Commodity Broker or Custodian could result in the loss of or delay in access to Fund assets. Note 6 - Additional Valuation Information 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. 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. 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 December 31, 2023: Level 1 Level 2 Level 3 Total Investments in Securities United States Treasury Obligations $ — $ 55,916,139 $ — $ 55,916,139 Exchange-Traded Fund 20,043,829 — — 20,043,829 Money Market Mutual Fund 33,302,006 — — 33,302,006 Total Investments in Securities 53,345,835 55,916,139 — 109,261,974 Other Investments - Assets (a) Commodity Futures Contracts 2,605,074 — — 2,605,074 Other Investments - Liabilities (a) Commodity Futures Contracts ( 683,289 ) — — ( 683,289 ) Total Other Investments 1,921,785 — — 1,921,785 Total Investments $ 55,267,620 $ 55,916,139 $ — $ 111,183,759 (a) Unrealized appreciation (depreciation). 50 The following is a summary of the tiered valuation input levels as of December 31, 2022: Level 1 Level 2 Level 3 Total Investments in Securities United States Treasury Obligations $ — $ 146,181,951 $ — $ 146,181,951 Exchange-Traded Fund 19,993,532 — — 19,993,532 Money Market Mutual Fund 143,604,164 — — 143,604,164 Total Investments in Securities 163,597,696 146,181,951 — 309,779,647 Other Investments - Assets (a) Commodity Futures Contracts 426,498 — — 426,498 Other Investments - Liabilities (a) Commodity Futures Contracts ( 38,400,145 ) — — ( 38,400,145 ) Total Other Investments ( 37,973,647 ) — — ( 37,973,647 ) Total Investments $ 125,624,049 $ 146,181,951 $ — $ 271,806,000 (a) Unrealized appreciation (depreciation). Note 7 – Derivative Instruments The Fair Value of Derivative Instruments is as follows: December 31, 2023 December 31, 2022 Risk Exposure/Derivative Type (a) Assets Liabilities Assets Liabilities Commodity risk Commodity Futures Contracts $ 2,605,074 $ ( 683,289 ) $ 426,498 $ ( 38,400,145 ) (a) Includes cumulative appreciation (depreciation) of commodity futures contracts. The Effect of Derivative Instruments on the Statements of Income and Expenses is as follows: For the Years Ended Location of Gain or (Loss) on Derivatives December 31, Risk Exposure/Derivative Type Recognized in Income 2023 2022 2021 Commodity risk Commodity Futures Contracts Net Realized Gain (Loss) $ ( 55,580,401 ) $ 20,907,936 $ 66,438,756 Net Change in Unrealized Gain (Loss) 39,895,432 ( 89,540,771 ) 16,836,227 Total $ ( 15,684,969 ) $ ( 68,632,835 ) $ 83,274,983 The table below summarizes the average monthly notional value of futures contracts outstanding during the period: For the Years Ended December 31, 2023 2022 2021 Average Notional Value $ 184,647,791 $ 425,303,877 $ 360,635,148 51 Note 8 - Investments in Affiliates The Invesco Short Term Treasury ETF, formerly known as the Invesco Treasury Collateral ETF, is an investment company registered under the Investment Company Act of 1940, as amended, whose shares are primarily purchased and sold on a national securities exchange. In seeking its investment objective, the Invesco Short Term Treasury ETF primarily holds U.S. Treasury Obligations that: (i) are issued in U.S. Dollars; (ii) have a minimum remaining maturity of at least one month and a maximum remaining maturity of 12 months at the time of rebalance; and (iii) have a minimum amount outstanding of $ 300 million. Because it is advised by the Managing Owner, the Invesco Short Term Treasury ETF is an affiliate of the Fund. The Invesco Government & Agency Portfolio and the Fund are advised by investment advisers under common control of Invesco Ltd., and therefore the Invesco Government & Agency Portfolio is considered to be affiliated with the Fund. The following is a summary of the transactions in, and earnings from, investments in affiliates for the year ended December 31, 2023. Value 12/31/2022 Purchases at Cost Proceeds from Sales Change in Unrealized Appreciation (Depreciation) Realized Gain (Loss) Value 12/31/2023 Dividend Income Invesco Short Term Treasury ETF $ 19,993,532 $ — $ — $ 50,297 $ — $ 20,043,829 $ 928,120 Investments in Affiliated Money Market Funds Invesco Government & Agency Portfolio, Institutional Class 143,604,164 375,702,388 ( 486,004,546 ) — — 33,302,006 5,045,528 Total $ 163,597,696 $ 375,702,388 $ ( 486,004,546 ) $ 50,297 $ — $ 53,345,835 $ 5,973,648 The following is a summary of the transactions in, and earnings from, investments in affiliates for the year ended December 31, 2022. Value 12/31/2021 Purchases at Cost Proceeds from Sales Change in Unrealized Appreciation (Depreciation) Realized Gain (Loss) Value 12/31/2022 Dividend Income Invesco Treasury Collateral ETF $ 36,070,938 $ — $ ( 15,996,551 ) $ ( 92,109 ) $ 11,254 $ 19,993,532 $ 308,147 Investments in Affiliated Money Market Funds Invesco Government & Agency Portfolio, Institutional Class 281,668,913 556,401,427 ( 694,466,176 ) — — 143,604,164 3,186,584 Total $ 317,739,851 $ 556,401,427 $ ( 710,462,727 ) $ ( 92,109 ) $ 11,254 $ 163,597,696 $ 3,494,731 The following is a summary of the transactions in, and earnings from, investments in affiliates for the year ended December 31, 2021. Value 12/31/2020 Purchases at Cost Proceeds from Sales Change in Unrealized Appreciation (Depreciation) Realized Gain (Loss) Value 12/31/2021 Dividend Income Invesco Treasury Collateral ETF $ 16,051,273 $ 20,038,164 $ — $ ( 18,499 ) $ ( 6,116 ) $ 36,070,938 $ 2,660 Investments in Affiliated Money Market Funds Invesco Government & Agency Portfolio, Institutional Class 53,703,257 517,104,864 ( 289,139,208 ) — — 281,668,913 42,617 Total $ 69,754,530 $ 537,143,028 $ ( 289,139,208 ) $ ( 18,499 ) $ ( 6,116 ) (a) $ 317,739,851 $ 45,277 (a) Includes $ 6,116 of capital gains distributions from Invesco Treasury Collateral ETF. Note 9 - Share Purchases and Redemptions (a) Purchases On any business day, an Authorized Participant may place an order with the Transfer Agent to create one or more Creation Units. Each Creation Unit consists of a block of 50,000 Shares. For purposes of processing both creation and redemption orders, a “business day” means any day other than a day when banks in New York City are required or permitted to be closed. Creation orders must be placed by 10:00 a.m., Eastern Time. The day on which the Transfer Agent receives a valid creation order is the creation order date. The day on which a creation order is settled is the creation order settlement date. Cash settlement occurs at the creation order settlement date. As provided below, the creation order settlement date may occur up to two business days after the creation order date. By placing a creation order, and prior to delivery of such Creation Units, an Authorized Participant’s Depository Trust Company (“DTC”) account is charged the non-refundable transaction fee due for the creation order. 52 Unless otherwise agreed to by the Managing Owner and the Authorized Participant as provided in the next sentence, Creation Units are issued on the creation order settlement date as of 2:45 p.m., Eastern Time, on the business day immediately following the creation order date at the applicable NAV per Share as of the closing time of the NYSE Arca or the last to close of the exchanges on which its futures contracts are traded, whichever is later, on the creation order date, but only if the required payment has been timely received. Upon submission of a creation order, the Authorized Participant may request the Managing Owner to agree to a creation order settlement date up to two business days after the creation order date. (b) Redemptions On any business day, an Authorized Participant may place an order with the Transfer Agent to redeem one or more Creation Units. Redemption orders must be placed by 10:00 a.m., Eastern Time. The day on which the Managing Owner receives a valid redemption order is the redemption order date. The day on which a redemption order is settled is the redemption order settlement date. Cash settlement occurs at the redemption order settlement date. As provided below, the redemption order settlement date may occur up to two business days after the redemption order date. The redemption procedures allow Authorized Participants to redeem Creation Units. Individual Shareholders may not redeem directly from the Fund. Instead, individual Shareholders may only redeem Shares in integral multiples of 50,000 and only through an Authorized Participant. Unless otherwise agreed to by the Managing Owner and the Authorized Participant as provided in the next sentence, by placing a redemption order, an Authorized Participant agrees to deliver the Creation Units to be redeemed through DTC’s book-entry system to the Fund no later than the redemption order settlement date as of 2:45 p.m., Eastern Time, on the business day immediately following the redemption order date. Upon submission of a redemption order, the Authorized Participant may request the Managing Owner to agree to a redemption order settlement date up to two business days after the redemption order date. By placing a redemption order, and prior to receipt of the redemption proceeds, an Authorized Participant’s DTC account is charged the non-refundable transaction fee due for the redemption order. The redemption proceeds from the Fund consist of the cash redemption amount. The cash redemption amount is equal to the NAV of the number of Creation Unit(s) requested in the Authorized Participant’s redemption order as of the closing time of the NYSE Arca or the last to close of the exchanges on which the Fund’s futures contracts are traded, whichever is later, on the redemption order date. The Managing Owner will distribute the cash redemption amount at the redemption order settlement date as of 2:45 p.m., Eastern Time, on the redemption order settlement date through DTC to the account of the Authorized Participant as recorded on DTC’s book-entry system. The redemption proceeds due from the Fund are delivered to the Authorized Participant at 2:45 p.m., Eastern Time, on the redemption order settlement date if, by such time, the Fund’s DTC account has been credited with the Creation Units to be redeemed. If the Fund’s DTC account has not been credited with all of the Creation Units to be redeemed by such time, the redemption distribution is delivered to the extent of whole Creation Units received. Any remainder of the redemption distribution is delivered on the next business day to the extent of remaining whole Creation Units received if the Transfer Agent receives the fee applicable to the extension of the redemption distribution date which the Managing Owner may, from time to time, determine and the remaining Creation Units to be redeemed are credited to the Fund’s DTC account by 2:45 p.m., Eastern Time, on such next business day. Any further outstanding amount of the redemption order will be cancelled. The Managing Owner is also authorized to deliver the redemption distribution notwithstanding that the Creation Units to be redeemed are not credited to the Fund’s DTC account by 2:45 p.m., Eastern Time, on the redemption order settlement date if the Authorized Participant has collateralized its obligation to deliver the Creation Units through DTC’s book-entry system on such terms as the Managing Owner may determine from time to time. Note 10 - Commitments and Contingencies The Managing Owner, either in its own capacity or in its capacity as the Managing Owner and on behalf of the Fund, has entered into various service agreements that contain a variety of representations, or provide indemnification provisions related to certain risks service providers undertake in performing services for the Fund. The Trust Agreement provides for the Fund to indemnify the Managing Owner and any affiliate of the Managing Owner that provides services to the Fund to the maximum extent permitted by applicable law, subject to certain exceptions for disqualifying conduct by the Managing Owner or such an affiliate. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. Further, the Fund has not had prior claims or losses pursuant to these contracts. Accordingly, the Managing Owner expects the risk of loss to be remote. 53 Note 11 - Financial Highlights The Fund is presenting the following NAV and financial highlights related to investment performance for a Share outstanding for the years ended December 31, 2023, 2022 and 2021. An individual investor’s return and ratios may vary based on the timing of capital transactions. NAV per Share is the NAV of the Fund divided by the number of outstanding Shares at the date of each respective period presented. For the Years Ended December 31, 2023 2022 2021 Net Asset Value Net asset value per Share, beginning of period $ 19.50 $ 22.14 $ 17.21 Net realized and change in unrealized gain (loss) on United States Treasury Obligations, Affiliated Investments and Commodity Futures Contracts (a) ( 0.89 ) ( 2.60 ) 5.08 Net investment income (loss) (b) 0.99 0.14 ( 0.15 ) Net income (loss) 0.10 ( 2.46 ) 4.93 Less: Return of capital distributions ( 1.32 ) ( 0.18 ) — Net asset value per Share, end of period $ 18.28 $ 19.50 $ 22.14 Market value per Share, beginning of period (c) $ 19.57 $ 22.18 $ 17.25 Market value per Share, end of period (c) $ 18.31 $ 19.57 $ 22.18 Ratio to average Net Assets Net investment income (loss) 5.19 % 0.62 % ( 0.73 )% Expenses, after waivers 0.75 % 0.73 % 0.76 % Expenses, prior to waivers 0.81 % 0.78 % 0.77 % Total Return, at net asset value (d) 0.74 % ( 11.09 )% 28.65 % Total Return, at market value (d) 0.56 % ( 10.93 )% 28.58 % (a) Net realized and change in unrealized gain (loss) on United States Treasury Obligations, Affiliated Investments and Commodity Futures Contracts per share may not correlate with the Fund's net realized and unrealized gain (loss) due to timing of shareholder transactions in relation to the fluctuating market values of the Fund's investments. (b) Based on average shares outstanding. (c) The mean between the last bid and ask prices. (d) Total Return, at NAV is calculated assuming an initial investment made at the NAV at the beginning of the period, reinvestment of all dividends and distributions at NAV during the period, and redemption of Shares at NAV on the last day of the period. Total Return, at NAV includes adjustments in accordance with U.S. GAAP and as such, the NAV for financial reporting purposes and the returns based upon those NAVs may differ from the NAVs and returns for shareholder transactions. Total Return, at market value is calculated assuming an initial investment made at the market value at the beginning of the period, reinvestment of all dividends and distributions at market value during the period, and redemption of Shares at the market value on the last day of the period. Not annualized for periods less than one year, if applicable. 54 ITEM 9. CHANGES IN AND DISAGREEMENTS WIT H ACCOUNTANTS ON ACCOUNTING AND FINANCIAL DISCLOSURE. None.