What changed in this filing

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Item 2. Management’s Discussion and Analysis

2025-05-08 compared with 2024-11-07 · 61 added, 96 removed, 224 unchanged (41% of the section changed)

9 unchanged sentences

There can be no assurance that the forward-looking statements included in this Report will prove to be accurate.

Factors that could cause results to differ from those expressed in the forward-looking statements are subject to a number of risks, uncertainties and other factors, including those described in the “Risk Factors” section of the Fund’s Prospectus and elsewhere in the Prospectus and in other SEC filings by the Fund, such as its Annual Report on Form 10-K for the fiscal year ended December 31, 2023, as well as the following:

• Risks related to market volatility and fluctuations in the price of assets held by the Fund, including the imposition of trading limitations or trading halts, and the potential loss of investment;

• Risks related to market volatility and fluctuations in the price of assets held by the Fund, including as a result of global trade, macroeconomic events, the imposition of trading limitations or trading halts, and the potential loss of investment;

• Risks that the market price of Shares will not correspond to NAV;

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• Risks related to the impact of regulatory actions, such as position limits, accountability levels and daily limits;

• Risks and uncertainty related to public health emergencies and any other adverse public health developments;

• Risks related to geopolitical conflict, including the on-going hostilities in Ukraine, the conflict in Israel and surrounding areas, the possible expansion of such conflicts and potential geopolitical consequences, acts of terrorism, mass casualty events, social unrest, civil disturbance or disobedience.

• Risks and uncertainty related to public health emergencies and other adverse public health developments geopolitical conflict, acts of terrorism, mass casualty events, social unrest, civil disturbance or disobedience.

You should not place undue reliance on any forward-looking statements.

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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”).

The Fund also holds United States Treasury Obligations and T-Bill ETFs, if any, for deposit with Morgan Stanley & Co.

The Fund also holds United States Treasury Obligations, T-Bill ETFs and cash, 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.

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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 members (i.e., some foreign exchanges), it may be backed by a consortium of banks or other financial institutions.

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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.

A significant portion of the NAV may be held in United States Treasury

Obligations or cash, which may be used as margin for the Fund’s trading in commodity futures contracts and United States Treasury Obligations or cash, money market mutual funds, cash and T-Bill ETFs, if any, which may be used for cash management purposes.

The amount of cash and/or United States Treasury Obligations on deposit with the Commodity Broker may exceed the amount of margin required to be on deposit, depending on market conditions and comparative yields available from United States Treasury Obligations, money market funds, T-Bill ETFs and cash held on deposit with Commodity Broker.

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 are 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.

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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.

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.

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.

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Operating Activities

Net cash flow provided by (used in) operating activities was $38.0 million and $67.6 million for the nine months ended September 30, 2024 and 2023, respectively.

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

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.

Net cash flow provided by (used in) operating activities was $11.5 million and $19.8 million for the three months ended March 31, 2025 and 2024, 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, affiliated investments and net deposits to/from the Commodity Broker.

The Fund invests in United States Treasury Obligations, money market mutual funds, T-Bill ETFs (affiliated or otherwise) and cash, 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.

During the nine months ended September 30, 2024, $79.9 million was paid to purchase United States Treasury Obligations and $97.0 million was received from sales and maturing United States Treasury Obligations.

During the nine months ended September 30, 2023, $250.7 million was paid to purchase United States Treasury Obligations and $324.0 million was received from sales and maturing United States Treasury Obligations.

$276.4 million was received from sales of affiliated investments and $255.5 million was paid to purchase affiliated investments during the nine months ended September 30, 2024.

$350.2 million was received from sales of affiliated investments and $400.9 million was paid to purchase affiliated investments during the nine months ended September 30, 2023.

During the three months ended March 31, 2025, $0 was paid to purchase United States Treasury Obligations and $14.0 million was received from sales and maturing United States Treasury Obligations.

During the three months ended March 31, 2024, $13.6 million was paid to purchase United States Treasury Obligations and $14.0 million was received from sales and maturing United States Treasury Obligations.

$82.3 million was received from sales of affiliated investments and $68.7 million was paid to purchase affiliated investments during the three months ended March 31, 2025.

$82.8 million was received from sales of affiliated investments and $85.3 million was paid to purchase affiliated investments during the three months ended March 31, 2024.

During the three months ended March 31, 2025, net deposits to/from the Commodity Broker was $20.7 million.

There were no net deposits to/from the Commodity Broker during the three months ended March 31, 2024.

Financing Activities

The Fund’s net cash flow provided by (used in) financing activities was $(38.0) million and $(67.6) million during the nine months ended September 30, 2024 and 2023, respectively.

This included $48.3 million and $79.6 million from Shares purchased by Authorized Participants and $86.1 million and $147.2 million from Shares redeemed by Authorized Participants during the nine

months ended September 30, 2024 and 2023, respectively.

During the nine months ended September 30, 2024, distributions paid to Shareholders were $0.2 million.

No distributions were paid to Shareholders during the nine months ended September 30, 2023.

The Fund’s net cash flow provided by (used in) financing activities was $(12.5) million and $(19.8) million during the three months ended March 31, 2025 and 2024, respectively.

This included $17.4 million and $20.0 million from Shares purchased by Authorized Participants and $29.9 million and $39.6 million from Shares redeemed by Authorized Participants during the three months ended March 31, 2025 and 2024, respectively.

During the three months ended March 31, 2025 and 2024, distributions paid to Shareholders were $0 and $0.2 million, respectively.

Results of Operations

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2024 AND 2023

FOR THE THREE MONTHS ENDED MARCH 31, 2025 AND 2024

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 Opt Yield Crude Oil Index ER TM ”).

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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.

COMPARISON OF MARKET, NAV AND DBIQ OPT YIELD CRUDE OIL INDEX ER TM FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2024 AND 2023

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

COMPARISON OF MARKET, NAV AND DBIQ OPT YIELD CRUDE OIL INDEX ER TM FOR THE

THREE MONTHS ENDED MARCH 31, 2025 AND 2024

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.

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Performance Summary

This Report covers the three and nine months ended September 30, 2024 and 2023.

This Report covers the three months ended March 31, 2025 and 2024.

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

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Past results of the DBIQ-OY CL TR are not necessarily indicative of future changes, positive or negative, in the closing levels of the DBIQ-OY CL TR.

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

The section “Summary of the DBIQ-OY CL TR and Underlying Index Commodity Returns for the Three Months Ended March 31, 2025 and 2024” below provides an overview of the changes in the closing levels of the DBIQ-OY CL TR by disclosing the change in market value of the underlying component Index Commodity through a “surrogate” (and analogous) index that also reflects 3-month United States Treasury Obligations returns.

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

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Summary of the DBIQ-OY CL TR and Underlying Index Commodity

Returns for the Three and Nine Months Ended Ended September 30, 2024 and 2023

Returns for the Three Months Ended March 31, 2025 and 2024

Three Months Ended

Nine Months Ended

September 30,

Underlying Index

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

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

Fund Share Price Performance

For the three months ended September 30, 2024, the NYSE Arca market value of each Share decreased from $15.87 per Share to $13.97 per Share.

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

Shares traded at a low of $13.36 per Share (-15.82%) on September 10, 2024 and a high of $16.21 per Share (+2.14%) on July 3, 2024.

The total return for the Fund on a market value basis was -11.97%.

Crude oil ended the third quarter of 2024 lower.

There were several bearish drivers including low refining margins decreasing demand for crude oil and expectations for a second Trump presidential term who is seen as bearish for energy given his stated plans to increase domestic production.

Bearish sentiment on China also fueled demand concerns amid expectations for a supply glut in 2025 and OPEC’s spare capacity overhang.

Rising geopolitical tensions and the start of the Federal Reserve interest rate easing cycle, as well as the surprise stimulus from China in September provided some support, but gains were short lived;

the market remained in wait-and-see mode for any actual oil supply disruptions in the Middle East and follow through on Chinese stimulus measures.

For the three months ended September 30, 2023, the NYSE Arca market value of each Share increased from $14.13 per Share to $17.77 per Share.

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

Shares traded at a low of $14.08 per Share (-0.35%) on July 3, 2023 and a high of $18.18 per Share (+28.67%) on September 27, 2023.

The total return for the Fund on a market value basis was +25.76%.

Crude oil posted strong returns in the third quarter of 2023.

Front month prices gained nearly 30% as Saudi Arabia and Russia both indicated that they would continue to limit oil supply through the end of the year, helping the global oil market return to a deficit in July.

Demand also came in stronger than expected with China and several non-traditional consuming regions like Latin America and Africa surprising with increased demand.

Finally, an improving macro sentiment supported by increased confidence that the Federal Reserve was nearing the end of its rate hike cycle further helped crude oil recover.

Fund Share Net Asset Performance

For the three months ended September 30, 2024, the NAV of each Share decreased from $15.86 per Share to $13.94 per Share.

Falling commodity futures contract prices for Light Sweet Crude Oil during the three months ended September 30, 2024 contributed to an overall -13.17% decrease in the level of the Index and to a -12.02% decrease in the level of the DBIQ-OY CL TR.

The total return for the Fund on a NAV value basis was -12.11%.

Net income (loss) for the three months ended September 30, 2024 was $(26.8) million, primarily resulting from $2.8 million of income, net realized gain (loss) of $1.0 million, net change in unrealized gain (loss) of $(30.2) million and net operating expenses of $0.4 million.

For the three months ended September 30, 2023, the NAV of each Share increased from $14.15 per Share to $17.73 per Share.

Rising commodity futures contract prices for Light Sweet Crude Oil during the three months ended September 30, 2023 contributed to an overall 23.90% increase in the level of the Index and to a 25.58% increase in the level of the DBIQ-OY CL TR.

The total return for the Fund on a NAV value basis was +25.30%.

Net income (loss) for the three months ended September 30, 2023 was $58.2 million, primarily resulting from $3.4 million of income, net realized gain (loss) of $3.4 million, net change in unrealized gain (loss) of $51.8 million and net operating expenses of $0.5 million.

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2024 COMPARED TO THE NINE MONTHS ENDED SEPTEMBER 30, 2023

FOR THE THREE MONTHS ENDED MARCH 31, 2025 COMPARED TO THE THREE MONTHS ENDED MARCH 31, 2024

Fund Share Price Performance

For the nine months ended September 30, 2024, the NYSE Arca market value of each Share increased from $13.92 per Share to $13.97 per Share.

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

Shares traded at a low of $13.36 per Share (-4.02%) on September 10, 2024 and a high of $16.21 per Share (+16.46%) on July 3, 2024.

For the three months ended March 31, 2025, the NYSE Arca market value of each Share increased from $14.31 per Share to $14.34 per Share.

The Share price low and high for the three months ended March 31, 2025 and related change from the Share price on December 31, 2024 was as follows:

Shares traded at a low of $13.36 per Share (-6.64%) on March 10, 2025 and a high of $15.90 per Share (+11.11%) on January 15, 2025.

The total return for the Fund on a market value basis was +0.21%.

Crude oil performed negatively in the first three quarters of 2024.

Prices gained as escalating tensions in the Middle East and Russia/Ukraine raised supply concerns and Federal Reserve interest rate easing expectations grew, ending the first half of the year up around 15%.

However, crude oil was pressured in the third quarter by low refining margins decreasing crude demand, the bearish "Trump trade", expectations for a supply glut in 2025, and the OPEC spare capacity overhang.

While heightened geopolitical turmoil, the Federal Reserve easing kickoff and the surprise China stimulus boosted overall sentiment in September, those gains faded as the market remained in wait-and-see mode.

For the nine months ended September 30, 2023, the NYSE Arca market value of each Share increased from $15.21 per Share to $17.77 per Share.

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

Shares traded at a low of $13.10 per Share (-13.88%) on March 17, 2023 and a high of $18.18 per Share (+19.53%) on September 27, 2023.

Crude Oil ended flat on the quarter but prices were volatile throughout the period.

Crude Oil prices initially rallied in January on the prior U.S.

administration's farewell sanctions on Russian oil and gas but then retreated as ceasefire developments provided relief on the geopolitical front.

administrations's “drill, baby, drill” plans raised U.S.

supply expectations, tariff headlines drove a risk-off move, and OPEC announced it would be gradually bringing back production.

Oil prices recovered significantly in March, as the U.S.

imposed a 25% tariff on any country buying Venezuelan oil and gas and issued fresh sanctions on Chinese refineries processing Iranian Crude Oil.

For the three months ended March 31, 2024, the NYSE Arca market value of each Share increased from $13.92 per Share to $15.54 per Share.

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

Shares traded at a low of $13.81 per Share (+0.79%) on January 2, 2024 and a high of $15.54 per Share (+11.64%) on March 28, 2024.

The total return for the Fund on a market value basis was +11.64%.

Crude oil prices ended the first three quarters of 2023 in positive territory thanks to strong gains in the third quarter.

While prices ping ponged in the first quarter on crude inventory builds, Federal Reserve rate hike concerns, the Russian “production cut”, mandated US Strategic Petroleum Reserve (SPR) releases, and some optimistic signs out of China, losses were extended in the second quarter.

Headwinds from the disappointing recovery in China and Federal Reserve/banking sector/debt ceiling-driven recession concerns continued to blow hard, while Russian oil supplies continued to make their way onto the market adding to the sloppiness in balances.

However, prices recovered significantly in June and through the third quarter as Saudi Arabian and Russian supply curbs brought the global oil market back to a deficit and demand outperformed expectations.

Macro sentiment also improved amid US economic resilience and a slowdown in Federal Reserve interest rate hikes, supporting broader risk appetite.

Crude oil prices gained in the first quarter of 2024 as escalating tensions in the Middle East and Ukraine raised supply disruption risk.

In addition to geopolitics, an improving macro backdrop amid a resilient U.S.

economy and expected Federal Reserve easing also supported broader risk assets like energy.

Furthermore, the extended OPEC+ production cuts also helped to tighten global balances, providing a sturdy floor for prices.

Fund Share Net Asset Performance

For the nine months ended September 30, 2024, the NAV of each Share decreased from $13.96 per Share to $13.94 per Share.

Rising commodity futures contract prices for Light Sweet Crude Oil during the nine months ended September 30, 2024 contributed to an overall -3.49% decrease in the level of the Index and to a 0.43% increase in the level of the DBIQ-OY CL TR.

For the three months ended March 31, 2025, the NAV of each Share increased from $14.28 per Share to $14.35 per Share.

Rising commodity futures contract prices for Light Sweet Crude Oil during the three months ended March 31, 2025 contributed to an overall 0.36% decrease in the level of the Index and to a 0.70% increase in the level of the DBIQ-OY CL TR.

The total return for the Fund on a NAV value basis was +0.49%.

Net income (loss) for the nine months ended September 30, 2024 was $4.1 million, primarily resulting from $9.3 million of income, net realized gain (loss) of $2.7 million, net change in unrealized gain (loss) of $(6.7) million and net operating expenses of $1.3 million.

For the nine months ended September 30, 2023, the NAV of each Share increased from $15.18 per Share to $17.73 per Share.

Rising commodity futures contract prices for Light Sweet Crude Oil during the nine months ended September 30, 2023 contributed to an overall 13.27% increase in the level of the Index and to a 17.65% increase in the level of the DBIQ-OY CL TR.

Net income (loss) for the three months ended March 31, 2025 was $2.7 million, primarily resulting from $2.1 million of income, net realized gain (loss) of $0 million, net change in unrealized gain (loss) of $1.0 million and net operating expenses of $0.4 million.

For the three months ended March 31, 2024, the NAV of each Share increased from $13.96 per Share to 15.57 per Share.

Rising commodity futures contract prices for Light Sweet Crude Oil during the three months ended March 31, 2024 contributed to an overall 10.37% increase in the level of the Index and to a 11.84% increase in the level of the DBIQ-OY CL TR.

The total return for the Fund on a NAV value basis was +11.53%.

Net income (loss) for the nine months ended September 30, 2023 was $39.8 million, primarily resulting from $9.6 million of income, net realized gain (loss) of $0.0 million, net change in unrealized gain (loss) of $31.6 million and net operating expenses of $1.5 million.

Net income (loss) for the three months ended March 31, 2024 was $26.8 million, primarily resulting from $3.3 million of income, net realized gain (loss) of $(0.1) million, net change in unrealized gain (loss) of $24.1 million and net operating expenses of $0.5 million.

Critical Accounting Estimates

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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 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).

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 U.S.

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.

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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 September 30, 2024.

For the Nine Months Ended

September 30, 2024

The following table indicates the trading VaR associated with the Fund’s net assets as of March 31, 2025.

For the Three Months Ended

March 31, 2025

Daily Volatility

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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 September 30, 2024:

The following were the primary trading risk exposures of the Fund as of March 31, 2025:

Light Sweet Crude Oil

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

What changed 10-Q

Item 2. Management’s Discussion and Analysis