What changed in this filing

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Item 1. Financial Statements

2020-08-05 compared with 2020-05-07 · 252 added, 112 removed, 407 unchanged (47% of the section changed)

2 unchanged sentences

Commodity-Indexed Trust

Statements of Assets and Liabilities (Unaudited)

At March 31, 2020 and December 31, 2019

Short-term investments (a)

Short-term investments held at the broker (restricted) (b)

Statements of Assets and Liabilities  

At June 30, 2020 and December 31, 2019

$ 30,430,030  

$ 31,242,158  

Short-term investments, at fair value (a)

508,126,088  

721,080,429  

Short-term investments held at the broker (restricted), at fair value (b)

55,726,170  

29,438,936  

Receivable for variation margin on open futures contracts (Note 9)

3,964,473  

Receivable for capital Shares sold

11,358,791  

609,605,552  

781,761,523  

Sponsor’s fees payable

361,345  

465,837  

Payable for variation margin on open futures contracts (Note 9)

5,952,581  

Total Liabilities

361,345  

6,418,418  

Commitments and contingent liabilities (Note 7)

$ 609,244,207  

$ 775,343,105  

Shares issued and outstanding (c)

59,000,000  

47,750,000  

Net asset value per Share (Note 2G)

$ 10.33  

$ 16.24  

Cost of short-term investments:

7 unchanged sentences

Statements of Operations (Unaudited)

For the three months ended March 31, 2020 and 2019

For the three and six months ended June 30, 2020 and 2019

Three Months Ended

Six Months Ended

Investment Income

3 unchanged sentences

Total expenses

Net investment income

Net Investment income (loss)

Net Realized and Unrealized Gain (Loss)

3 unchanged sentences

( 306,932,849

Net realized gain (loss)

Net realized loss

( 306,871,745

2 unchanged sentences

Futures contracts

( 145,592,464

Net change in unrealized appreciation/depreciation

( 144,962,309

Net realized and unrealized gain (loss)

4 unchanged sentences

Net increase (decrease) in net assets per Share based on average shares outstanding during the period.

See notes to financial statements.

Se e note s t o financial statements.

iShares S&P GSCI™

1 unchanged sentence

Statements of Changes in Net Assets (Unaudited)

For the three months ended March 31, 2020

Three months Ended

March 3 1 , 20 20

For the three and six months ended June 30, 2020

Six Months Ended

June 3 0 , 2020

Net Assets at December 31, 2019

13 unchanged sentences

Net Assets at March 31, 2020

Net investment loss

Net realized loss

Net change in unrealized appreciation/depreciation

Net increase in net assets resulting from operations

Capital Share Transactions:

Contributions for Shares issued

Distributions for Shares redeemed

Net increase in net assets from capital share transactions

Increase in net assets

Net Assets at June 30, 2020

Shares issued and redeemed

6 unchanged sentences

Statements of Changes in Net Assets (Unaudited)

For the three months ended March 31, 2019

Three months Ended

March 3 1 , 2019

For the three and six months ended June 30, 2019

Six Months Ended

June 3 0 , 2019

Net Assets at December 31, 2018

13 unchanged sentences

1,232,799,956

Net investment income

Net realized loss

Net change in unrealized appreciation/depreciation

Net decrease in net assets resulting from operations

Capital Share Transactions:

Contributions for Shares issued

Distributions for Shares redeemed

( 341,748,867

Net decrease in net assets from capital share transactions

( 340,857,547

Decrease in net assets

( 356,465,230

Net Assets at June 30, 2019

Shares issued and redeemed

6 unchanged sentences

Statements of Cash Flows (Unaudited)

For the three months ended March 31, 2020 and 2019

Three Months Ended

For the six months ended June 30, 2020 and 2019

Six Months Ended

Cash Flows from Operating Activities

33 unchanged sentences

Schedules of Investments (Unaudited)

At March 31, 2020 and December 31, 2019

March 3 1 , 20 20

At June 30, 2020 and December 31, 2019

June 3 0 , 2020

Security Description

1 unchanged sentence

1.54 % due 07/02/20

0.31%  –

1.55% due 04/16/20

1.55%  –

1.61% due 04/23/20

1.51%  –

1.54% due 05/07/20

$ 45,000,000  

$ 44,999,884  

0.14 % due 07/07/20  

60,000,000  

59,998,813  

0.09 % –

1.57% due 05/14/20

0.13 % due 07/14/20  

55,000,000  

54,997,815  

0.09 % due 07/23/20  

25,000,000  

24,998,128  

0.13 % due 07/28/20  

57,000,000  

56,994,335  

0.12 % –

1.55% due 05/21/20

1.52% due 06/11/20

1.13% due 06/25/20

1.54% due 07/02/20

0.13 % due 08/04/20  

50,000,000  

49,993,625  

0.11 % – 

1.06 % due 08/06/20

70,000,000  

69,991,600  

0.12 % due 08/11/20  

70,000,000  

69,989,636  

0.12 % due 08/20/20  

50,000,000  

49,990,972  

0.12 % due 08/27/20  

15,000,000  

14,996,675  

0.12 % due 09/10/20  

30,000,000  

29,992,013  

0.14 % due 09/24/20  

6,925,000  

6,922,629  

0.14 % due 10/13/20  

30,000,000  

29,986,133  

Treasury bills (Cost:

$490,592,111 )

Total Investments –

Other Assets, Less Liabilities –

Net Assets –

A portion of the above United States Treasury bills are posted as margin for the Trust’s Index Futures positions as described in Note 2D.

$ 563,837,730 )  

563,852,258  

Total Investments –

92.55 %  

563,852,258  

Other Assets, Less Liabilities –

7.45 %  

45,391,949  

Net Assets –

100.00 %  

$ 609,244,207  

A portion of the above U.S.

Treasury bills are posted as margin for the Trust’s Index Futures positions as described in Note 2D.

Rates shown are discount rates paid at the time of purchase.

As of March 31, 2020, the open S&P GSCI-ER futures contracts were as follows:

Number of Contracts

Expiration Date

Current Notional Amount

As of June 30, 2020, the open S&P GSCI-ER futures contracts were as follows:

Number of Contracts  

Expiration Date  

Current Notional Amount  

Net Unrealized Appreciation

(Depreciation)

June 15, 2020

( 125,957,813

40,295  

September 16, 2020  

$ 608,341,674  

$ 15,591,346  

December 31, 2019

Security Description

Face Amount  

Fair Value  

Treasury bills (a)(b) :

1.56 % due 01/07/20

1.54%  –

50,000,000  

$ 49,990,521  

1.54 % – 

1.87 % due 01/16/20

85,000,000  

84,953,805  

1.62 % due 01/21/20

50,600,000  

50,560,743  

1.87 % due 01/23/20

50,000,000  

49,957,125  

1.55 % due 01/30/20

100,000,000  

99,886,820  

1.56 % due 02/04/20

1.88%  –

15,000,000  

14,978,480  

1.88 % – 

1.93 % due 02/06/20

70,000,000  

69,898,597  

1.55 % due 02/13/20

65,000,000  

64,887,198  

1.55 % due 02/20/20

30,000,000  

29,938,138  

1.81 % due 02/27/20

1.53%  –

15,000,000  

14,964,767  

1.53 % – 

1.61 % due 03/12/20

75,000,000  

74,780,885  

1.55 % due 03/26/20

25,000,000  

24,912,048  

1.55 % due 04/16/20

1.55%  –

35,000,000  

34,845,071  

1.55 % – 

1.61 % due 04/23/20

55,000,000  

54,737,729  

1.51 % due 05/07/20

15,000,000  

14,920,003  

1.55 % due 05/14/20

16,400,000  

16,307,435  

Treasury bills (Cost:

$750,419,242 )

Total Investments –

Other Assets, Less Liabilities –

Net Assets –

A portion of the above United States Treasury bills are posted as margin for the Trust’s Index Futures positions as described in Note 2D.

$ 750,419,242 )  

750,519,365  

Total Investments –

96.80 %  

750,519,365  

Other Assets, Less Liabilities –

3.20 %  

24,823,740  

Net Assets –

100.00 %  

$ 775,343,105  

A portion of the above U.S.

Treasury bills are posted as margin for the Trust’s Index Futures positions as described in Note 2D.

Rates shown are discount rates paid at the time of purchase.

As of December 31, 2019, the open S&P GSCI-ER futures contracts were as follows:

Number of Contracts

Expiration Date

Current Notional Amount

Number of Contracts  

Expiration Date  

Current Notional Amount  

Net Unrealized Appreciation

(Depreciation)

March 16, 2020

32,510  

March 16, 2020  

$ 773,217,840  

$ 19,634,651  

See notes to financial statements.

2 unchanged sentences

Notes to Financial Statements (Unaudited)

March 31, 2020

1 - Organization 

June 30, 2020

1 - Organization

The iShares S&P GSCI™

17 unchanged sentences

The Trust is a commodity pool, as defined in the Commodity Exchange Act (the “CEA”) and the applicable regulations of the Commodity Futures Trading Commission (the “CFTC”), and is operated by the Sponsor, a commodity pool operator registered with the CFTC.

The Sponsor is an indirect subsidiary of BlackRock, Inc (“BlackRock”).

The Sponsor is an indirect subsidiary of BlackRock, Inc (“BlackRock”).

BlackRock Fund Advisors (the “Advisor”), an indirect subsidiary of BlackRock, serves as the commodity trading advisor of the Trust and is registered with the CFTC.

5 unchanged sentences

These financial statements and the notes thereto should be read in conjunction with the Trust’s financial statements included in its Annual Report on Form 10‑K for the year ended December 31, 2019, as filed with the SEC on February 27, 2020.

The Trust qualifies as an investment company for accounting purposes and follows the accounting and reporting guidance under the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services –

The Trust qualifies as an investment company solely for accounting purposes and follows the accounting and reporting guidance under the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services –

Investment Companies , but is not registered, and is not required to be registered, as an investment company under the Investment Company Act of 1940, as amended.

2 - Significant Accounting Policies

2  - Significant Accounting Policies

Basis of Accounting

The following significant accounting policies are consistently followed by the Trust in the preparation of its financial statements in conformity with

The following significant accounting policies are consistently followed by the Trust in the preparation of its financial statements in conformity with U.S.

The preparation of financial statements in conformity with U.S.

19 unchanged sentences

The Trust considers cash as currencies deposited in one or more bank account.

Cash is presented on the Statement of Cash Flows as unrestricted cash.

Cash is presented on the Statements of Cash Flows as unrestricted cash.

Short-Term Investments

1 unchanged sentence

These investments are valued at fair value.

As of March 31, 2020 and December 31, 2019, the Trust had restricted short-term investments held at the broker of $ 59,285,472 and $ 29,438,936 , respectively, which were posted as margin for the Trust’s Index Futures positions.

As of June 30, 2020 and December 31, 2019, the Trust had restricted short-term investments held at the broker of $ 55,726,170 and $ 29,438,936 , respectively, which were posted as margin for the Trust’s Index Futures positions.

Securities Transactions and Income Recognition

1 unchanged sentence

Realized gains and losses on investment transactions are determined using the specific identification method.

Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized daily on the accrual basis.

Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized daily on an accrual basis.

The Trust is treated as a partnership for federal, state and local income tax purposes.

1 unchanged sentence

Shareholders are individually responsible for their own tax payments on their proportionate share of income, gain, loss, deduction, expense and credit.

The Sponsor has analyzed the tax positions as of March 31, 2020, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability.

The Sponsor has analyzed the tax positions as of June 30, 2020, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability.

Calculation of Net Asset Value

2 unchanged sentences

The Trustee determines the net asset value per Share (the “NAV”) by dividing the net asset value of the Trust on a given day by the number of Shares outstanding at the time the calculation is made.

The NAV is calculated each day on which NYSE Arca, Inc.

The NAV is calculated each business day on which NYSE Arca, Inc.

(“NYSE Arca”) is open for regular trading, as soon as practicable after 4:00 p.m.

3 unchanged sentences

The Trust is under no obligation to make periodic distributions to shareholders.

3 - Offering of the Shares

3  - Offering of the Shares

Shares are issued and redeemed continuously in one or more blocks of 50,000 Shares (the “Baskets”) in exchange for Index Futures and cash (or, in the discretion of the Sponsor, other Collateral Assets in lieu of cash).

5 unchanged sentences

It is possible that, from time to time, BlackRock and/or funds or other accounts managed by the Trustee or an affiliate (collectively, “Affiliates”) may purchase and hold Shares of the Trust.

Affiliates reserve the right, subject to compliance with applicable law, to sell into the market or redeem Baskets through an Authorized Participant at any time some or all of the Shares of the Trust acquired for their own accounts.

Affiliates reserve the right, subject to compliance with applicable law, to sell into the market or redeem in Baskets through an Authorized Participant at any time some or all of the Shares of the Trust acquired for their own accounts.

A large sale or redemption of Shares of the Trust by Affiliates could significantly reduce the asset size of the Trust, which might have an adverse effect on the Trust and the Shares that remain outstanding.

4 - Trust Expenses

4  - Trust Expenses

The Trust is responsible for paying any applicable brokerage commissions and similar transaction fees out of its assets in connection with the roll of Index Futures held by the Trust.

1 unchanged sentence

The Sponsor pays the amounts that would otherwise be considered the ordinary operating expenses, if any, of the Trust.

In return, the Sponsor receives a fee from the Trust that accrues daily at an annualized rate equal to 0.75 % of the net asset value of the Trust, as calculated before deducting fees and expenses based on the value of the Trust’s assets.

In return, the Sponsor receives a fee from the Trust that accrues daily and is paid monthly in arrears at an annualized rate equal to 0.75 % of the net asset value of the Trust, as calculated before deducting fees and expenses based on the value of the Trust’s assets.

The Sponsor has agreed under the Trust Agreement to pay the following administrative, operational and marketing expenses:

( 1 ) the fees of the Trustee, the Delaware Trustee, the Advisor, the Trust Administrator, the processing agent and their respective agents, ( 2 ) NYSE Arca listing fees, ( 3 ) printing and mailing costs, ( 4 ) audit fees, ( 5 ) fees for registration of the Shares with the SEC, ( 6 ) tax reporting costs, ( 7 ) license fees and ( 8 ) legal expenses relating to the Trust of up to $ 100,000 annually.

5 - Related Parties

5  - Related Parties

The Sponsor, the Trustee and the Advisor are considered to be related parties to the Trust.

The Trustee’s and Advisor’s fees are paid by the Sponsor and are not a separate expense of the Trust.

6 - Indemnification

6  - Indemnification

The Trust Agreement provides that the Trustee shall indemnify the Sponsor, its directors, employees, delegees and agents against, and hold each of them harmless from, any loss, liability, claim, cost, expense or judgment of any kind whatsoever (including reasonable fees and expenses of counsel) (i) caused by the negligence or bad faith of the Trustee or (ii) arising out of any information furnished in writing to the Sponsor by the Trustee expressly for use in the registration statement, or any amendment thereto or periodic report, filed with the SEC relating to the Shares that is not materially altered by the Sponsor.

The Trust Agreement provides that the Sponsor and its shareholders, directors, officers, employees, affiliates (as such term is defined under the Securities Act of 1933, as amended) and subsidiaries and agents shall be indemnified from the Trust and held harmless against any loss, liability, claim, cost, expense or judgment of any kind whatsoever (including the reasonable fees and expenses of counsel) arising out of or in connection with the performance of their obligations under the Trust Agreement or any actions taken in accordance with the provisions of the Trust Agreement and incurred without their ( 1 ) negligence, bad faith or willful misconduct or ( 2 ) reckless disregard of their obligations and duties under the Trust Agreement.

The investment advisory agreement (the “Advisory Agreement”) between the Trust and the Advisor provides that the Advisor and its shareholders, directors, officers, employees, affiliates (as such term is defined under the Securities Act of 1933, as amended) and subsidiaries shall be indemnified from the Trust and held harmless against any loss, liability, cost, expense or judgment (including the reasonable fees and expenses of counsel) arising out of or in connection with the performance of its obligations under the Advisory Agreement or any actions taken in accordance with the provisions of the Advisory Agreement and incurred without their ( 1 ) negligence, bad faith or willful misconduct or ( 2 ) reckless disregard of their obligations and duties under the Advisory Agreement.

7 - Commitments and Contingent Liabilities

The investment advisory agreement (the “Advisory Agreement”) between the Sponsor and the Advisor provides that the Advisor and its shareholders, directors, officers, employees, affiliates (as such term is defined under the Securities Act of 1933, as amended) and subsidiaries shall be indemnified from the Trust and held harmless against any loss, liability, cost, expense or judgment (including the reasonable fees and expenses of counsel) arising out of or in connection with the performance of their obligations under the Advisory Agreement or any actions taken in accordance with the provisions of the Advisory Agreement and incurred without their ( 1 ) negligence, bad faith or willful misconduct or ( 2 ) reckless disregard of their obligations and duties under the Advisory Agreement.

7  - Commitments and Contingent Liabilities

In the normal course of business, the Trust may enter into contracts with service providers that contain general indemnification clauses.

The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred.

8 - Financial Highlights

The following financial highlights relate to investment performance and operations for a Share outstanding for the three months ended March 

2020 and 2019.

8  - Financial Highlights

The following financial highlights relate to investment performance and operations for a Share outstanding for the three and six months ended June 30, 2020 and 2019.

Three Months Ended

Six Months Ended

Net asset value per Share, beginning of period

Net investment income (a)

Net investment income (loss) (a)

Net realized and unrealized gain (loss) (b)

3 unchanged sentences

Ratio to average net assets:

Net investment income (e)

Net investment income (loss) (e)

Based on average Shares outstanding during the period.

9 unchanged sentences

The commodities markets have historically been extremely volatile.

For the three months ended 

2020 and the year ended December 31, 2019, the average month-end notional amounts of open Index Futures were $ 672,663,538 and $ 960,422,151 , respectively.

The following table shows the variation margin on open futures contracts, by risk exposure category, on the statements of assets and liabilities as of March 

For the six months ended June 30, 2020 and the year ended December 31, 2019, the average month-end notional amounts of open Index Futures were $ 615,128,927 and $ 960,422,151 , respectively.

The following table shows the variation margin on open futures contracts, by risk exposure category, on the statements of assets and liabilities as of June 

2020 and December 31, 2019:

1 unchanged sentence

Liability Derivatives

March 3 1 , 20 20

June 30, 2020

Commodity contracts

4 unchanged sentences

Receivable for variation margin on open futures contracts

The following table shows the effect of the open futures contracts, by risk exposure category, on the statements of operations for the three months ended March 31, 2020 and 2019:

Payable for variation margin on open futures contracts

The following table shows the effect of the open futures contracts, by risk exposure category, on the statements of operations for the three months and six ended June 30, 2020 and 2019:

Statements of

2 unchanged sentences

Appreciation/Depreciation

Three Months Ended March 31, 2020

Three Months Ended June 30, 2020

Commodity contracts

Net realized gain (loss) from futures contracts

( 224,199,265

Net change in unrealized appreciation/depreciation on futures contracts

Three Months Ended June 30, 201 9

Commodity contracts

Net realized gain (loss) from futures contracts

Net change in unrealized appreciation/depreciation on futures contracts

Six Months Ended June 30, 20 20

Commodity contracts

Net realized gain (loss) from futures contracts

( 306,932,849

Three Months Ended March 31, 2019

Net change in unrealized appreciation/depreciation on futures contracts

Six Months Ended June 30, 201 9

Commodity contracts

4 unchanged sentences

The Trust’s policy is to value its investments at fair value.

Investments in Index Futures are measured at fair value using the last reported CME settlement price for Index Futures.

Investments in Index Futures are measured at fair value on the basis of that day’s settlement price for Index Futures as announced by the applicable Exchange.

If there is no announced settlement price for a particular Index Futures contract on a Business Day, the Trustee uses the most recently announced settlement price unless the Trustee, in consultation with the Sponsor, determines that such price is inappropriate as a basis for valuation. 

Treasury bills are valued at the last available bid price received from independent pricing services.

5 unchanged sentences

The three levels of the fair value hierarchy are as follows:

Level 1 – 

Unadjusted quoted prices in active markets for identical assets or liabilities;

Level 2 – 

Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability, and inputs that are derived principally from or corroborated by observable market data by correlation or other means;

Level 3 – 

Unobservable inputs that are unobservable for the asset or liability, including the Trust’s assumptions used in determining the fair value of investments.

Fair value pricing could result in a difference between the prices used to calculate the Trust’s net asset value and the prices used by the Trust’s underlying index, which in turn could result in a difference between the Trust’s performance and the performance of the Trust’s underlying index.

The following table summarizes the value of each of the Trust’s investments by the fair value hierarchy levels as of March 31, 2020 and December 31, 2019:

March 3 1 , 20 20

The following table summarizes the value of each of the Trust’s investments by the fair value hierarchy levels as of June 30, 2020 and December 31, 2019:

June 3 0 , 2020

Futures contracts (a)

( 125,957,813

Treasury bills

4 unchanged sentences

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 to financial statements included in Item 1 of Part I of this Form 10 ‑

This information should be read in conjunction with the financial statements and notes to financial statements included in Item 1 of Part I of this Form 10‑Q.

The discussion and analysis that follows may contain statements that relate to future events or future performance.

14 unchanged sentences

These statements are based upon certain assumptions and analyses made by the Sponsor on the basis of its perception of historical trends, current conditions and expected future developments, as well as other factors it believes are appropriate in the circumstances.

Whether or not actual results and developments will conform to the Sponsor’s expectations and predictions, however, is subject to a number of risks and uncertainties, including the special considerations discussed below, general economic, market and business conditions, changes in laws or regulations, including those concerning taxes, made by governmental authorities or regulatory bodies, and other world economic and political developments. Although the Sponsor does not make forward looking statements unless it believes it has a reasonable basis for doing so, the Sponsor cannot guarantee their accuracy.

Although the Sponsor does not make forward looking statements unless it believes it has a reasonable basis for doing so, the Sponsor cannot guarantee their accuracy.

Except as required by applicable disclosure laws, none of the Trust, the Sponsor, the Advisor, the Trustee or the Delaware Trustee is under a duty to update any of the forward ‑

2 unchanged sentences

Commodity-Indexed Trust (the “Trust”) is a Delaware statutory trust that issues units of beneficial interest (“Shares”) representing fractional undivided beneficial interests in its net assets.

The Trust holds long positions in exchange-traded index futures contracts of various expirations, or “Index Futures”

on the S&P GSCI™

The Trust holds long positions in exchange-traded index futures contracts of various expirations, (“Index Futures”) on the S&P GSCI™

Excess Return Index (the “S&P GSCI-ER”), together with cash, U.S.

49 unchanged sentences

Results of Operations

The Quarter Ended March 3 1 , 20 20

The Trust’s net asset value decreased from $775,343,105 at December 31, 2019 to $501,546,756 at March 31, 2020.

The decrease in the Trust’s net asset value resulted primarily from a net decrease in net assets resulting from operations.

The decrease in the Trust’s net asset value was partially offset by a net increase in the number of outstanding Shares, which rose from 47,750,000 Shares at December 31, 2019 to 53,500,000 Shares at March 31, 2020, a consequence of 9,450,000 Shares (189 Baskets) being created and 3,700,000 Shares (74 Baskets) being redeemed during the quarter.

The 42.30% decrease in the NAV from $16.24 at December 31, 2019 to $9.37 at March 31, 2020 is directly related to the 42.52% decrease in the settlement price for the Index Futures.

The NAV decreased slightly less than the settlement price for the Index Futures on a percentage basis due to interest income from U.S.

Treasury bills.

Net decrease in net assets resulting from operations for the quarter ended March 31, 2020 was $368,101,390, resulting from a net investment income of $1,028,255 and a net realized and unrealized loss of $369,129,645.

For the quarter ended March 31, 2020, the Trust had a net realized and unrealized gain of $662,084 on short-term investments and a net realized and unrealized loss of $369,791,729 on futures contracts.

The Quarter Ended June 3 0 , 2020

The Trust’s net asset value increased from $501,546,756 at March 31, 2020 to $609,244,207 at June 30, 2020.

The increase in the Trust’s net asset value resulted primarily from a net increase in net assets resulting from operations.

The Trust’s net asset value also benefitted from an increase in the number of outstanding Shares, which rose from 53,500,000 Shares at March 31, 2020 to 59,000,000 Shares at June 30, 2020, a consequence of 7,650,000 Shares (153 Baskets) being created and 2,150,000 Shares (43 Baskets) being redeemed during the quarter.

The 10.25% increase in the Trust’s NAV from $9.37 at March 31, 2020 to $10.33 at June 30, 2020 is directly related to the 10.43% increase in the settlement price for the Index Futures.

The Trust’s NAV increased slightly less than the settlement price for the Index Futures on a percentage basis due to the Sponsor’s fees and brokerage commissions.

Net increase in net assets resulting from operations for the quarter ended June 30, 2020 was $57,709,585, resulting from a net investment loss of $419,416 and a net realized and unrealized gain of $58,129,001.

For the quarter ended June 30, 2020, the Trust had a net realized and unrealized loss of $686,574 on short-term investments and a net realized and unrealized gain of $58,815,575 on futures contracts.

Other than the Sponsor’s fees of $984,873 and brokerage commissions and fees of $237,503, the Trust had no expenses during the quarter.

The Six-Month Period Ended June 30, 2020

The Trust’s net asset value decreased from $775,343,105 at December 31, 2019 to $609,244,207 at June 30, 2020.

The decrease in the Trust’s net asset value resulted primarily from a net decrease in net assets resulting from operations.

The decrease in the Trust’s net asset value was partially offset by an increase in the number of outstanding Shares, which rose from 47,750,000 Shares at December 31, 2019 to 59,000,000 Shares at June 30, 2020, a consequence of 17,100,000 Shares (342 Baskets) being created and 5,850,000 Shares (117 Baskets) being redeemed during the period.

The 36.39% decrease in the Trust’s NAV from $ 16.24 at December 31, 2019 to $ 10.33 at June 30, 2020 is directly related to the 36.52% decrease in the settlement price for the Index Futures.

The Trust’s NAV decreased slightly less than the settlement price for the Index Futures on a percentage basis due to interest income from Treasury bills.

Net decrease in net assets resulting from operations for the period was $310,391,805, resulting from a net investment income of $608,839 and a net realized and unrealized loss of $311,000,644.

For the six months ended June 30, 2020, the Trust had a net realized and unrealized loss of $24,490 on short-term investments and a net realized and unrealized loss of $310,976,154 on futures contracts.

Other than the Sponsor’s fees of $2,300,279 and brokerage commissions and fees of $467,129, the Trust had no expenses during the period.

Liquidity and Capital Resources

The Trust’s assets as of March 31, 2020 consist of Index Futures and Collateral Assets used to satisfy applicable margin requirements for those Index Futures positions.

The Trust’s assets as of June 30, 2020 consist of Index Futures and Collateral Assets used to satisfy applicable margin requirements for those Index Futures positions.

The Trust does not anticipate any further need for liquidity, because creations and redemptions of Shares generally occur in-kind and ordinary expenses are met by cash on hand.

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In the case of an extraordinary expense and/or insufficient interest income to cover ordinary expenses, however, the Trust could be forced to liquidate its positions in Index Futures and Collateral Assets to pay such expenses.

As of March 31, 2020, the market for Index Futures had not developed significant liquidity and the Trust represented substantially all of the long-side open interest in Index Futures.

As of June 30, 2020, the market for Index Futures had not developed significant liquidity and the Trust represented substantially all of the long-side open interest in Index Futures.

In addition, it is expected that Goldman Sachs & Co.

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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 1. Financial Statements