What changed in this filing

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Item 1. Business

2021-03-01 compared with 2020-02-27 · 33 added, 25 removed, 458 unchanged (11% of the section changed)

2 unchanged sentences

representing fractional undivided beneficial interests in its net assets.

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

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

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

33 unchanged sentences

Investment Objective of the Trust

The Trust seeks to track the results of a fully collateralized investment in futures contracts on an index composed of a diversified group of commodities futures.

The Trust seeks to track the results of a fully collateralized investment in futures contracts on an index composed of a diversified group of commodity futures.

The Trust seeks to track the investment returns of the Index before fees and expenses of the Trust.

1 unchanged sentence

The S&P GSCI-ER is calculated based on the same commodities that are included in the S&P GSCI™

Commodity Index (the “S&P GSCI™”), which is a production‑weighted index of the prices of a diversified group of futures contracts on physical commodities.

Commodity Index (the “S&P GSCI™”), which is a production‑weighted index of the prices of a diversified group of futures contracts on physical commodities.

The S&P GSCI-ER reflects the return of an uncollateralized investment in the contracts comprising the S&P GSCI™, and in addition incorporates the economic effect of rolling the contracts included in the S&P GSCI™

1 unchanged sentence

Rolling a futures contract means closing out a position in an expiring futures contract and establishing an equivalent position in a replacement futures contract on the same commodity.

When establishing positions in Index Futures, the Trust is required to deposit initial margin with a value of approximately 3% to 10% of the value of each Index Futures position at the time it is established.

The Index, in turn, reflects the return of the S&P GSCI-ER, together with the return on specified U.S.

Treasury securities that are deemed to have been held to collateralize a hypothetical long position in the futures contracts comprising the S&P GSCI™.

If the Index Sponsor ceases to maintain the Index, the Trust may seek investment results that correspond generally, but are not necessarily identical, to the performance of a fully-collateralized investment in a successor index or any other index that, in the opinion of the Sponsor, is reasonably similar to the Index.

When establishing positions in Index Futures, the Advisor estimates as of the date of this report that the Trust will be required to deposit initial margin with a value of approximately 3% to 10% of the value of each Index Futures position at the time it is established.

These margin requirements are subject to change from time to time by the Exchange or Goldman Sachs & Co.

53 unchanged sentences

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

the fees of the Trustee, the Delaware Trustee, the Advisor and their respective agents;

the fees of the Trustee, the Delaware Trustee, the Advisor, the Trust Administrator, the processing agent and their respective agents;

NYSE Arca listing fees;

66 unchanged sentences

The Trust’s Index Futures and the Collateral Assets posted as margin for these Index Futures positions are held in the Trust’s account, established at its Clearing FCM.

The Clearing FCM further transfers some or all of the Collateral Assets posted as margin for the Trust’s Index Futures positions to the Exchange.

The Clearing FCM further transfers some or all of the Collateral Assets posted as margin for the Trust’s Index Futures positions to the clearing house of the Exchange.

Substantially all of the Trust’s remaining assets are held in the Trust’s accounts at the Trust Administrator.

15 unchanged sentences

Futures contracts and options on futures contracts on the S&P GSCI™, a benchmark index which does not reflect the rolling methodology embedded in the S&P GSCI-ER, have been traded on the CME since 1992.

Index Futures are listed and traded separately from the S&P GSCI™

Index Futures are listed and traded separately from the S&P GSCI™

futures contracts and options on futures contracts.

36 unchanged sentences

and other intellectual property.

The S&P GSCI™, the S&P GSCI-ER and the Index are determined and composed by the Index Sponsor and calculated by the Index Sponsor or its agents without regard to iShares Delaware Trust Sponsor LLC, BlackRock Institutional Trust Company, N.A or the Trust.

The Index Sponsor has no obligation to take the needs of iShares Delaware Trust Sponsor LLC, BlackRock Institutional Trust Company, N.A., the Trust or the Shareholders into consideration in determining, composing or calculating the S&P GSCI™, the S&P GSCI-ER or the Index.

The S&P GSCI™, the

S&P GSCI-ER and the Index are determined and composed by the Index Sponsor and calculated by the Index Sponsor or its agents without regard to iShares Delaware Trust Sponsor LLC, BlackRock Institutional Trust Company, N.A or the Trust.

The Index Sponsor is not responsible for and has not participated in the determination of the prices and the amount of the Shares or the timing of the issuance of sale of Shares or in the determination or calculation of the Basket Amount.

33 unchanged sentences

The roll process continues on the sixth, seventh and eighth business days, with the relative weights of the nearest to the next nearest expirations gradually shifting from a 60%/40% weighting, to a 40%/60% weighting, to a 20%/80% weighting.

At the end of the ninth business day, the last of the contracts with the nearest expirations are exchanged, completing the roll and leaving the S&P GSCI™

At the end of the ninth business day, the last of the contracts with the nearest expirations are exchanged, completing the roll and leaving the S&P GSCI™

composed entirely of contracts with the next nearest expirations.

The Index Sponsor may from time to time determine that market conditions warrant adjustment of the normal parameters of the roll, including without limitation when the roll occurs, the length of the roll, the proportions of the roll, or the roll in contract.

If there are no viable designated contracts to roll into, the Index Sponsor will determine the appropriate course of action, which may include, but not be limited to, the removal of the commodity from any impacted index.

The S&P GSCI™

31 unchanged sentences

(the “Index Committee”), and is responsible for all analytical methods and calculation in the indices.

The Index Committee is comprised of full-time professional members of S&P’s staff.

The Index Committee is comprised of full-time professional members of the Index Sponsor’s staff.

At each meeting, the Index Committee reviews any issues that may affect index constituents, statistics comparing the composition of the indices to the market, commodities that are being considered as candidates for addition to an index, and any significant market events.

In addition, the Index Committee may revise index policy covering rules for selecting commodities or other matters.

S&P considers information about changes to its indices and related matters to be potentially market moving and material.

The Index Sponsor considers information about changes to its indices and related matters to be potentially market moving and material.

Therefore, all Index Committee discussions are confidential.

29 unchanged sentences

A contract that is not included in the S&P GSCI™

at the time of determination and that is based on a commodity that is not represented in the S&P GSCI™

at that time must, in order to be added to the S&P GSCI™

at the time of determination and that is based on a commodity that is not represented in the S&P GSCI™

at that time must, in order to be added to the S&P GSCI™

at that time, have an annualized total dollar value traded over the relevant period of at least $15 billion.

16 unchanged sentences

The “reference percentage dollar weight”

of a contract represents the current value of the quantity of the underlying commodity that is included in the S&P GSCI™ at a given time.

of a contract represents the current value of the quantity of the underlying commodity that is included in the S&P GSCI™

at a given time.

This figure is determined by dividing (A) the product of the contract production weight of each contract, or “CPW,”

and the average of its daily contract reference prices on the last day of each month during the relevant period, by (B) the sum of the products in (A) for all contracts included in the S&P GSCI™.

and the average of its daily contract reference prices on the last day of each month during the relevant period, by (B) the sum of the products in (A) for all contracts included in the S&P GSCI™.

The contract production weight of a contract is calculated by the Index Sponsor based on world production and trading volume.

19 unchanged sentences

(“CMX”) and the London Metal Exchange (“LME”).

The futures contracts included in the S&P GSCI™, their percentage dollar weights, their market symbols and the exchanges on which they are traded, in each case as of January 31, 2020, are as follows:

Open for back up

Dollar Weights

21 unchanged sentences

is reevaluated, based on the criteria and weighting procedure described above.

This procedure is undertaken to allow the S&P GSCI™

This procedure is undertaken to allow the S&P GSCI™

to shift from contracts that have lost substantial liquidity into more liquid contracts during the course of a given year.

2 unchanged sentences

The likely circumstances under which the Index Sponsor would be expected to change the composition of the Index during a given year, however, are (1) a substantial shift of liquidity away from a contract included in the Index as described above, or (2) an emergency, such as a natural disaster or act of war or terrorism, that causes trading in a particular contract to cease permanently or for an extended period of time.

In either event, the Index Sponsor will publish the nature of the changes, through websites, news media or other outlets, with as much prior notice to market participants as is reasonably practicable.

In either event, the Index Sponsor is expected to publish the nature of the changes, through websites, news media or other outlets, with as much prior notice to market participants as is reasonably practicable.

Moreover, regardless of whether any changes have occurred during the year, the Index Sponsor reevaluates the composition of the S&P GSCI™

9 unchanged sentences

An “Active Contract”

for this purpose is a liquid, actively-traded contract expiration, as defined or identified by the relevant trading facility or, if no such definition or identification is provided by the relevant trading facility, as defined by standard custom and practice in the industry.

for this purpose is a liquid, actively-traded contract with respect to a particular contract included in the S&P GSCI™

and contract expiration, as defined or identified by the relevant trading facility or, if no such definition or identification is provided by the relevant trading facility, as defined by standard custom and practice in the industry.

If a trading facility deletes one or more Contract Expirations, the S&P GSCI™

12 unchanged sentences

multiplied by the appropriate CPW;

during a roll period, the appropriate “roll weights” (discussed below).

during a roll period, the appropriate “roll weights”

(discussed below).

The daily contract reference price used in calculating the dollar weight of each commodity on any given day is the most recent daily contract reference price made available by the relevant trading facility, except that the daily contract reference price for the most recent prior day is used if the exchange is closed or otherwise fails to publish a daily contract reference price on that day.

1 unchanged sentence

provided, that, if the price is not made available or corrected by 4:00 p.m.

(New York time), the Index Sponsor may determine the appropriate daily contract reference price for the applicable futures contract in its reasonable judgment for purposes of the relevant S&P GSCI™

(New York time), the Index Sponsor may determine the appropriate daily contract reference price for the applicable futures contract in its reasonable judgment for purposes of the relevant S&P GSCI™

It is generally considered unlikely that a trading facility will fail to publish a daily contract reference price in the regular course of business, because the price is required to margin open positions in the relevant contracts.

22 unchanged sentences

In that event, the Index Sponsor may, but is not required to, determine a daily contract reference price and complete the relevant portion of the roll based on that price;

provided, that, if the trading facility publishes a price before the opening of trading on the next day, the Index Sponsor will revise the portion of the roll accordingly;

provided, that, if the trading facility publishes a price before the opening of trading on the next day, the Index Sponsor will revise the portion of the roll accordingly;

trading in the relevant contract terminates prior to its scheduled closing time.

10 unchanged sentences

Business Day on which the calculation is made, multiplied by (3) one plus the Treasury bill return for each non-S&P GSCI™

Business Day since the immediately preceding S&P GSCI™

Business Day since the immediately preceding S&P GSCI™

Business Day.

2 unchanged sentences

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-K

Item 1. Business