What changed in this filing

/stocks — the workspaceLOADING

Item 9A. Controls and Procedures

2021-03-01 compared with 2020-02-27 · 415 added, 121 removed, 451 unchanged (54% of the section changed)

34 unchanged sentences

Lohrey earned a Bachelor of Arts in economics from Duke University in 1984 and an MBA in finance from the University of Chicago in 1986.

Belinda Ng Castaneda, 38, became a principal of the Sponsor on June 20, 2019.

Castaneda became a principal of BlackRock Institutional Trust Company, N.A.

on June 19, 2019 and of BlackRock Fund BFA on June 20, 2019.

Castaneda serves as a listed principal for each of the foregoing entities, performing supervisory and managerial functions on such entities’

Business Continuity Management Program Operations Team.

In that role, Mrs.

Castaneda is responsible for running global program level tasks including metrics, reporting and data analysis along with development and administration of their business continuity planning system.

From February 2016 to the present, Mrs.

Castaneda has served as a Vice President of BlackRock, Inc.

and each of the foregoing entities, all of which are affiliates of BlackRock, Inc., performing supervisory and managerial functions on the firm’s Business Continuity Management Program Operations Team.

In that role, Mrs.

Castaneda is responsible for running global program level tasks including metrics, reporting and data analysis along with development and administration of the firm’s business continuity planning system.

From January 2012 to February 2016, Mrs.

Castaneda served as an Associate of BlackRock Inc.

as a Business Continuity Program Manager.

From February 2009 to January 2012, Mrs.

Castaneda served as an Analyst of BlackRock, Inc.

performing operational support to the firm’s Business Continuity Management team.

Prior to joining BlackRock, Inc., Mrs.

Castaneda served in a data analyst function at H5, Inc.

a data analytics technology firm, from July 2006 to February 2009.

Prior to that, Mrs.

Castaneda was an office automation assistant at the U.S.

Department of Health and Human Services, where she focused on the Employee Human Resource and Payroll System (i.e., PeopleSoft software) from July 2002 to July 2006.

Castaneda earned a Bachelor of Science in Business Administration from San Jose State University, in 2005.

Mary Cronin (formerly, Miley), 43, became a principal of the Sponsor in April 2019 and serves as its Director and Chief Financial Officer.

Since May 2012, Ms.

Cronin has served as a Director of BlackRock, performing supervisory and managerial functions.

Prior to joining BlackRock, Ms.

Cronin served in an accounting operations and financial reporting function supporting the registered funds and UCITS funds at Dodge & Cox, an asset management firm, from November 2008 to April 2012.

Cronin has served as a Director of BlackRock, performing supervisory and managerial functions.

Prior to joining BlackRock, Ms.

Cronin served in an accounting operations and financial reporting function supporting the registered funds and UCITS funds at Dodge & Cox, an asset management firm, from November 2008 to April 2012.

Prior to that, Ms.

Cronin was an audit Senior Manager at PricewaterhouseCoopers LLP where she focused on the audits of registered investment companies from September 1999 to October 2008.

Ms. Cronin earned a Bachelor of Science in business administration from California Polytechnic State University, San Luis Obispo, in 1999, and is a certified public accountant (inactive).

Cronin earned a Bachelor of Science in business administration from California Polytechnic State University, San Luis Obispo, in 1999, and is a certified public accountant (inactive).

Ann Frechette , CPA, 52, became a principal of the Sponsor on April 13, 2020.

Frechette became a principal of BlackRock Advisors, LLC on April 9, 2020 and of BFA, BlackRock Institutional Trust Company, N.A., BlackRock International Limited, BlackRock Investment Management, LLC, and BlackRock Financial Management, Inc.

on April 13, 2020.

Frechette serves as a listed principal for each of the foregoing entities, performing supervisory and managerial functions as head of a Global Financial Reporting team that prepares financial statements for various pooled investment vehicles managed by such entities.

From May 2016 to the present, Ms.

Frechette has served as a Managing Director of BlackRock, Inc.

and each of the foregoing entities, all of which are affiliates of BlackRock, Inc., performing supervisory and managerial functions as head of the Global Financial Reporting team that prepares financial statements for various pooled investment vehicles managed by affiliates of BlackRock, Inc.

From April 2013 to May 2016 Ms.

Frechette served as the Managing Director of BlackRock, Inc.

responsible for performing supervisory and managerial functions for the U.S.

Registered Active Funds Financial Reporting team that prepares financial statements.

From April 2006 to April 2012, Ms.

Frechette served as the Global Director of Internal Audit at Citco Fund Services, a provider of banking, cash management, fund administration, and trust services, where her responsibilities included managing that firm’s audit team’s risk-based audits and SOC 1 project.

From October 2002 to April 2006, Ms.

Frechette served as a Senior Vice President at PNC Global Investment Servicing, a provider of processing, technology and business intelligence services to asset managers, broker/dealers and financial advisors, where she worked both in internal audit and the finance area within the transfer agency.

From September 1991 to October 2002, Ms.

Frechette served as a Senior Manager in the audit division of Ernst & Young’s financial services industry practice.

Frechette graduated with honors from Drexel University with a Bachelor of Science in accounting in 1991 and was initially licensed as a certified public accountant in 1993.

Philip Jensen , 62, became a principal of the Sponsor in September 2009 and is Chairman of the Sponsor’s audit committee.

2 unchanged sentences

Jensen received his Bachelor of Science from San Francisco State University and is a certified public accountant (inactive).

Timothy Kane, 40, became a principal of the Sponsor on June 28, 2019.

Kane became a principal of BlackRock Financial Management, Inc.

on June 27, 2019 and of BlackRock Advisors, LLC, BFA and BlackRock Institutional Trust Company, N.A.

on June 28, 2019.

Kane serves as a listed principal for each of the foregoing entities, performing supervisory and managerial functions in his capacity as Global Head of Enterprise Resilience, including Business Continuity, Crisis Management and Disaster Recovery in Technology and Enterprise Services on a team that team is responsible for ensuring recoverability and resiliency when faced with crisis situations.

From February 2014 to the present, Mr.

Kane has served as a Director of BlackRock, Inc.

and each of the foregoing entities, all of which are affiliates of BlackRock, Inc., performing supervisory and managerial functions in his capacity as the Global Head of Enterprise Resilience, including Business Continuity, Crisis Management and Disaster Recovery in Technology and Enterprise Services on a team that team is responsible for ensuring recoverability and resiliency when faced with crisis situations.

Prior to joining BlackRock, Inc., Mr.

Kane served as the Deputy Global Head of Crisis Management supporting the Business Continuity function at Deutsche Bank, multinational investment bank and financial services firm, from January 2009 to January 2014.

Prior to that, Mr.

Kane was the Director of Information Technology at the New York City Office of Emergency Management where he focused on agency's technology needs from December 2006 to December 2008.

Kane earned a Bachelor of Science in Geographic Information Science from Salisbury University in 2002.

Peter Landini , 69, became a principal of the Sponsor in September 2009 and is a member of the Sponsor’s audit committee.

15 unchanged sentences

He also completed the executive education program on corporate governance at Stanford Graduate School of Business.

Charles Park , 53, became a principal of the Advisor in December 2012 and has served as Chief Compliance Officer for the Advisor since August 2006.

Park became a principal of BlackRock Advisors, LLC, a commodity pool operator and commodity trading advisor registered with the CFTC, in June 2014 and has served as its Chief Compliance Officer since June 2014.

Park became a principal of BlackRock Financial Management, Inc., an investment management company, in September 2016 and has served as Chief Compliance Officer of BlackRock Financial Management, Inc.

since September 2016 and performs supervisory and managerial functions.

He became a principal of BlackRock Investment Management, LLC, an investment management company, in September 2016 and has served as Chief Compliance Officer of BlackRock Investment Management, LLC since September 2016 and performs supervisory and managerial functions.

Park was a principal of BlackRock Asset Management International Inc., a former commodity pool operator that withdrew its commodity pool operator registration in February 2014, from December 2012 to February 2014, performing supervisory and managerial functions.

Park joined BlackRock Institutional Trust Company, N.A., a commodity pool operator and commodity trading advisor registered with the CFTC, in August 2006, and performs supervisory and managerial functions.

Park has also served as the Chief Compliance Officer of the iShares business since August 2006 and of BlackRock SEC-registered funds since June 2014.

Park was a principal of the Sponsor from December 2012 to April 2015 and since August 4, 2016, performing supervisory and managerial functions.

Prior to joining BlackRock Institutional Trust Company, N.A., in August 2006, Mr.

Park served as Chief Compliance Officer of American Century Investment Management, Inc., an exempt commodity pool operator and an exempt commodity trading advisor, from October 1995 to July 2006.

Park earned a Bachelor of Arts in economics from the University of Michigan in 1989 and a Juris Doctor from the University of Michigan in 1992.

Greg Savage , 49, became a principal and associated person of the Sponsor in July 2012 and performs supervisory and managerial functions.

Since March 2009, Mr.

Savage was a principal and associated person, performing supervisory and managerial functions, of BlackRock Asset Management International Inc., a former commodity pool operator that withdrew its commodity pool operator registration in February 2014.

Savage has served as a Senior Portfolio Manager and Team Leader for BlackRock Fund Advisors, an investment advisor registered with the SEC and a commodity trading advisor registered with the CFTC, since September 2007 and became a principal and associated person of that entity in March 2009.

Savage also served as a Portfolio Manager for BFA from March 2001 to September 2007.

Savage served as a Transition Services Manager for BlackRock Institutional Trust Company, N.A., a national banking association and commodity trading advisor registered with the CFTC, from June 1999 to March 2001 and became an associated person of that entity in June 2007.

Savage received his Bachelor of Science in accounting from the University of Colorado at Boulder and is a CFA charterholder.

He has the FINRA Series 7, 63 and 3 licenses.

The Sponsor has a code of ethics (the “Code of Ethics”) that applies to its executive officers, including its Chief Executive Officer, President, Chief Financial Officer and Treasurer, who perform certain functions with respect to the Trust that, if the Trust had executive officers would typically be performed by them.

4 unchanged sentences

The Trust is managed by the Sponsor and pays the Sponsor the Sponsor’s Fee.

For the year ended December 31, 2019, the Trust has incurred a Sponsor’s Fee of $7,353,186.

For the year ended December 31, 2020, the Trust has incurred a Sponsor’s Fee of $5,005,767.

Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters.

24 unchanged sentences

Commodity-Indexed Trust is incorporated by reference to Exhibit 3.1(i) of registrant’s Current Report on Form 8-K on May 9, 2007

Third Amended and Restated Trust Agreement is incorporated by reference to Exhibit 4.1 of registrant’s Registration Statement No. 333‑193156 on January 2, 2014

Authorized Participant Agreement is incorporated by reference to Exhibit 4.2 of registrant’s Current Report on Form 8-K on November 29, 2013

Third Amended and Restated Trust Agreement is incorporated by reference to Exhibit 4.1 of registrant’s Registration Statement No.

333‑193156 on January 2, 2014

Authorized Participant Agreement is incorporated by reference to Exhibit 4.2 of registrant’s Current Report on Form 8-K on November 29, 2013

Description of Securities Registered under Section 12 of the Securities Exchange Act of 1934

Investment Advisory Agreement is incorporated by reference to Exhibit 10.1 of Registrant’s Registration Statement No.

333-193156 on January 2, 2014

333-193156 on January 2, 2014

Sublicense Agreement is incorporated by reference to Exhibit 10.2 of Registration Statement No.

333-126810 on May 26, 2006

Futures and Options Account Agreement is incorporated by reference to Exhibit 10.3 filed with registrant’s Registration Statement No. 333-193156 on January 2, 2014

Futures and Options Account Agreement is incorporated by reference to Exhibit 10.3 filed with registrant’s Registration Statement No.

333-193156 on January 2, 2014

Master Service Agreement is incorporated by reference to Exhibit 10.6 of registrant’s Current Report on Form 8-K on March 4, 2013

Service Module for Custodial Services is incorporated by reference to Exhibit 10.5 of registrant’s Registration Statement No.

333-193156 on January 2, 2014

333-193156 on January 2, 2014

Service Module for Fund Administration and Accounting Services is incorporated by reference to Exhibit 10.6 of registrant’s Registration Statement No.

1 unchanged sentence

Control Agreement is incorporated by reference to Exhibit 10.7 of registrant’s Post-Effective Amendment No.

1 to Registration Statement No. 333‑193156 on April 2, 2014

1 to Registration Statement No.

333‑193156 on April 2, 2014

Consent of PricewaterhouseCoopers LLP

5 unchanged sentences

Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes‑Oxley Act of 2002

Inline XBRL Instance Document - the instance document does not appear in the Interactive Data File because its XBRL tags are embedded within the Inline XBRL document.

Inline XBRL Instance Document - the instance document does not appear in the Interactive Data File because its XBRL tags are embedded within the Inline XBRL document.

Inline XBRL Taxonomy Extension Schema Document

11 unchanged sentences

Statements of Operations for the years ended December 31, 2020, 2019 and 2018

Statements of Changes in Net Assets for the years ended December 31, 2019, 2018 and 2017

Statements of Changes in Net Assets for the years ended December 31, 2020, 2019 and 2018

Statements of Cash Flows for the years ended December 31, 2020, 2019 and 2018

8 unchanged sentences

S&P GSCI ™

Commodity‑Indexed Trust (the “Trust”) as of December 31, 2019 and 2018, and the related statements of operations, changes in net assets, and cash flows for each of the three years in the period ended December 31, 2019, including the related notes (collectively referred to as the “financial statements”).

Commodity-Indexed Trust (the “Trust”) as of December 31, 2020 and 2019, and the related statements of operations, changes in net assets, and cash flows for each of the three years in the period ended December 31, 2020, including the related notes (collectively referred to as the “financial statements”).

We also have audited the Trust’s internal control over financial reporting as of December 31, 2020, based on criteria established in Internal Control - Integrated Framework (2013) issued by the Committee of Sponsoring Organizations of the Treadway Commission (COSO).

26 unchanged sentences

Philadelphia, Pennsylvania

February 27, 2020

March 1, 2021

We have served as the Trust’s auditor since 2006.

3 unchanged sentences

At December 31, 2020 and 2019

December 31,  

Assets  

$ 20,622,531  

$ 31,242,158  

Short-term investments (a)

1,135,484,485

772,677,694  

721,080,429  

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

42,290,413  

29,438,936  

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

1,210,680,592

3,335,487  

838,926,125  

781,761,523  

Sponsor’s fees payable

Brokerage commissions and fees payable

507,208  

465,837  

Payable for capital shares redeemed

11,072,297  

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

5,952,581  

Total Liabilities

11,579,505  

6,418,418  

Commitments and contingent liabilities (Note 7)

1,209,866,609

$ 827,346,620  

$ 775,343,105  

Shares issued and outstanding (c)

67,250,000  

47,750,000  

Net asset value per Share (Note 2G)

$ 12.30  

$ 16.24  

Cost of short-term investments:

$720,991,393 and $1,135,426,788, respectively.

Cost of short-term investments held at broker (restricted):

$29,427,850 and $64,238,656, respectively.

$772,661,613 and $720,991,393, respectively.

Cost of short-term investments held at broker (restricted):

$42,287,936 and $29,427,850, respectively.

No par value, unlimited amount authorized.

4 unchanged sentences

For the years ended December 31, 2020, 2019 and 2018

Years Ended December 31,

Investment Income

$ 3,742,855  

$ 21,394,995  

$ 24,497,221  

Total investment income

3,742,855  

21,394,995  

24,497,221  

Sponsor’s fees

5,005,767  

7,353,186  

10,502,114  

Brokerage commissions and fees

1,013,439  

1,015,967  

1,422,790  

Total expenses

6,019,206  

8,369,153  

11,924,904  

Net investment income (loss)

( 2,276,351 )  

13,025,842  

12,572,317  

Net Realized and Unrealized Gain (Loss)

1 unchanged sentence

Short-term investments

62,112  

96,367  

Futures contracts

( 204,137,367 )  

25,617,934  

( 11,940,106 )

Net realized gain (loss)

( 204,075,255 )  

25,714,301  

( 11,936,763 )

Net change in unrealized appreciation/depreciation on:

Short-term investments

( 81,566 )  

38,916  

77,730  

Futures contracts

22,817,921  

136,157,900  

( 190,921,734 )

Net change in unrealized appreciation/depreciation

22,736,355  

136,196,816  

( 190,844,004 )

Net realized and unrealized gain (loss)

( 181,338,900 )  

161,911,117  

( 202,780,767 )

Net increase (decrease) in net assets resulting from operations

$ ( 183,615,251 )  

$ 174,936,959  

$ ( 190,208,450 )

Net increase (decrease) in net assets per Share (a)

$ ( 3.09 )  

$ 2.79  

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

4 unchanged sentences

For the years ended December 31, 2020, 2019 and 2018

Years Ended December 31,

Net Assets, Beginning of Year

1,209,866,609

1,393,408,765

1,035,799,565

$ 775,343,105  

$ 1,209,866,609  

$ 1,393,408,765  

Net investment income (loss)

( 2,276,351 )  

13,025,842  

12,572,317  

Net realized gain (loss)

( 204,075,255 )  

25,714,301  

( 11,936,763 )

Net change in unrealized appreciation/depreciation

22,736,355  

136,196,816  

( 190,844,004 )

Net increase (decrease) in net assets resulting from operations

( 183,615,251 )  

174,936,959  

( 190,208,450 )

1 unchanged sentence

Contributions for Shares issued

366,906,034  

180,290,776  

277,791,824  

Distributions for Shares redeemed

( 789,751,239

( 131,287,268 )  

( 789,751,239 )  

( 271,125,530 )

Net increase (decrease) in net assets from capital share transactions

( 609,460,463

235,618,766  

( 609,460,463 )  

6,666,294  

Increase (decrease) in net assets

( 434,523,504

52,003,515  

( 434,523,504 )  

( 183,542,156 )

Net Assets, End of Year

1,209,866,609

1,393,408,765

$ 827,346,620  

$ 775,343,105  

$ 1,209,866,609  

Shares issued and redeemed

Shares issued

31,850,000  

11,950,000  

17,100,000  

Shares redeemed

( 12,350,000 )  

( 50,700,000 )  

( 16,000,000 )

Net increase (decrease) in Shares issued and outstanding

19,500,000  

( 38,750,000 )  

1,100,000  

See notes to financial statements.

3 unchanged sentences

For the years ended December 31, 2020, 2019 and 2018

Years Ended December 31,

Cash Flows from Operating Activities

Years Ended December 31,  

Cash Flows from Operating Activities  

Net increase (decrease) in net assets resulting from operations

$ ( 183,615,251 )  

$ 174,936,959  

$ ( 190,208,450 )

1 unchanged sentence

Purchases of short-term investments

( 6,476,139,465

( 14,886,123,153

( 3,958,461,167 )  

( 6,476,139,465 )  

( 14,886,123,153 )

Sales/maturities of short-term investments

6,946,868,283

15,054,622,653

7,442,051,201

3,897,733,626  

6,946,868,283  

15,054,622,653  

Accretion of discount

( 3,740,655 )  

( 21,386,248 )  

( 24,490,437 )

Net realized (gain) loss on short-term investments

( 62,112 )  

( 96,367 )  

Net change in unrealized appreciation/depreciation on short-term investments

81,566  

( 38,916 )  

Change in operating assets and liabilities:

Receivable for variation margin on open futures contracts

( 3,335,487 )  

920,643  

4,637,434  

Payable for variation margin on open futures contracts

( 5,952,581 )  

5,952,581  

Sponsor’s fees payable

41,371  

( 340,100 )  

Brokerage commissions and fees payable

( 8,046 )  

Net cash provided by (used in) operating activities

( 257,310,690 )  

630,669,324  

( 41,682,676 )

1 unchanged sentence

Contributions for Shares issued

366,906,034  

180,290,776  

281,055,224  

Distributions for Shares redeemed

( 789,751,239

( 120,214,971 )  

( 789,751,239 )  

( 271,125,530 )

Net cash provided by (used in) financing activities

( 609,460,463

246,691,063  

( 609,460,463 )  

9,929,694  

Net increase (decrease) in cash and cash equivalents

Beginning of year

( 10,619,627 )  

21,208,861  

( 31,752,982 )

Beginning of year  

Unrestricted –

31,242,158  

10,033,297  

41,786,279  

End of year  

Unrestricted –

$ 20,622,531  

$ 31,242,158  

$ 10,033,297  

See notes to financial statements.

2 unchanged sentences

Schedules of Investments

December 31, 2019 

At December 31, 2020 and 2019

December 31, 2020

1 unchanged sentence

Treasury bills (a)(b) :

1.56% due 01/07/20

1.54% - 1.87% due 01/16/20

1.62% due 01/21/20

0.05% –

0.08% due 1/05/21

$ 53,000,000  

$ 52,999,993  

0.06% –

0.10% due 1/07/21

112,000,000  

111,999,720  

0.07% –

0.08% due 1/12/21

30,000,000  

29,999,734  

0.07% –

0.10% due 1/14/21

155,000,000  

154,998,062  

0.07% due 1/19/21

40,000,000  

39,999,333  

0.07% –

0.11% due 1/21/21

60,000,000  

59,998,725  

0.08% –

0.09% due 1/28/21

50,000,000  

49,998,084  

0.07% –

0.09% due 2/04/21

26,000,000  

25,998,769  

0.06% –

0.07% due 2/09/21

73,000,000  

72,996,715  

0.11% due 2/11/21

75,000,000  

74,995,250  

0.07% –

0.11% due 2/18/21

60,000,000  

59,995,125  

0.09% due 2/25/21

16,000,000  

15,998,440  

0.10% due 3/04/21  

10,000,000  

9,998,853  

0.07% due 3/11/21  

29,000,000  

28,996,012  

0.08% due 3/23/21  

19,000,000  

18,996,912  

0.06% due 4/15/21

7,000,000  

6,998,380  

Treasury bills (Cost:

$ 814,949,549 )

814,968,107  

Total Investments –

814,968,107  

Other Assets, Less Liabilities –

12,378,513  

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.

$ 827,346,620  

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, 2020, 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

December 

Security Description

45,779  

March 15, 2021  

$ 827,249,420  

42,452,572  

December 31, 2019

Security Description  

Face Amount  

Fair Value  

Treasury bills (a)(b) :

2.08% –

1.56% due 01/07/20

$ 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

2.30% –

50,000,000  

49,957,125  

1.55% due 01/30/20

100,000,000  

99,886,820  

1.56% due 02/04/20

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

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

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 )

1,199,726,652

750,519,365  

Total Investments –

1,199,726,652

750,519,365  

Other Assets, Less Liabilities –

24,823,740  

Net Assets –

1,209,866,609

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.

$ 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 15, 2019

1,200,110,078

( 116,523,249

32,510  

March 16, 2020  

$ 773,217,840  

19,634,651  

See notes to financial statements.

11 unchanged sentences

The Trust is governed by the Third Amended and Restated Trust Agreement, dated as of December 31, 2013 ( the “Trust Agreement”), among the Sponsor, the Trustee and Wilmington Trust Company (the “Delaware Trustee”).

The Trust 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 (“Index Futures”) on the S&P GSCI™

5 unchanged sentences

Treasury securities or other short-term securities and similar securities that are eligible as margin deposits for those Index Futures positions.

The Index Futures held by the Trust are listed on the Chicago Mercantile Exchange (the “CME”). 

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 investment returns of the Index before payment of the Trust’s expenses and liabilities. 

The Index Futures held by the Trust are listed on the Chicago Mercantile Exchange (the “CME”).

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 payment of the Trust’s expenses and liabilities.

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.

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. 

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 –

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. 

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.

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

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GAAP requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenue and expenses during the reporting period.

Actual results could differ from those estimates. 

Certain statements and captions in the financial statements for the prior year have been changed to conform to the current financial statement presentation. 

Actual results could differ from those estimates.

Certain statements and captions in the financial statements for the prior year have been changed to conform to the current financial statement presentation.

Investment in Index 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 commodities futures, including energy commodities, precious and industrial metal commodities, agricultural commodities and livestock commodities.

The Trust seeks to track the investment returns of the Index before payment of the Trust’s expenses and liabilities. 

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, including energy commodities, precious and industrial metal commodities, agricultural commodities and livestock commodities.

The Trust seeks to track the investment returns of the Index before payment of the Trust’s expenses and liabilities.

The assets of the Trust consist of Index Futures and cash or other Collateral Assets used to satisfy applicable margin requirements for those Index Futures positions.

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Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statements of Assets and Liabilities.

When an Index Futures contract is closed, the Trust records a realized gain or loss based on the difference between the value of the Index Futures contract at the time it was opened and the value at the time it was closed. 

Index Futures are derivative instruments valued at fair value, which the Trustee has determined to be that day’s announced settlement price on the CME or any such other futures exchange listing Index Futures (the “Exchange”).

If there is no announced settlement price for a particular Index Futures contract on that day, the Trustee will use 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.

The Trust’s derivatives are not designated as hedges, and all changes in the fair value are reflected in the statements of operations. 

For futures contracts, counterparty credit risk is mitigated because futures contracts are exchange-traded and the exchange’s clearing house acts as central counterparty to all exchange-traded futures contracts (although customers continue to have credit exposure to the clearing member who holds their account). 

The Trust’s derivatives are not designated as hedges, and all changes in the fair value are reflected in the statements of operations.

Please refer to Note 9 for additional disclosures regarding the Trust’s investments in futures contracts.

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

Short-term investments on the statements of assets and liabilities consist principally of short-term fixed income securities with original maturities of one year or less.

These investments are valued at fair value. 

As of December 31, 2020 and December 31, 2019, the Trust had restricted short-term investments held at the broker of $ 42,290,413 and $ 29,438,936 , respectively, which were posted as margin for the Trust’s Index Futures positions.

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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.

No provision for federal, state, and local income taxes has been made in the accompanying financial statements because the Trust is not subject to income taxes.

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 December 31, 2019, 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. 

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 December 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.

Calculation of Net Asset Value

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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.

(New York time). 

Distributions

Interest and distributions received by the Trust on its assets may be used to acquire additional Index Futures and Collateral Assets or, in the discretion of the Sponsor, distributed to shareholders.

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

3 - Offering of the Shares

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(New York time) on any business day in one or more Baskets.

Redemptions of Shares in exchange for baskets of Index Futures and cash (or, in the discretion of the Sponsor, other Collateral Assets in lieu of cash) are treated as sales for financial statement purposes. 

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.

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. 

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.

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.

These expenses are recorded as brokerage commissions and fees in the statements of operations as incurred. 

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 payable 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

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

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. 

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 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

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Net investment income (loss) (a)

Net realized and unrealized gain (loss) (c)

Net realized and unrealized gain (loss) (b)

Net increase (decrease) in net assets from operations

Net asset value per Share, end of year

Total return, at net asset value (d)

Total return, at net asset value (c)

Ratio to average net assets:

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Based on average Shares outstanding during the year.

Rounds to less than $0.01.

The amounts reported for a Share outstanding may not accord with the change in aggregate gains and losses on investments for the period due to the timing of Trust Share transactions in relation to the fluctuating fair values of the Trust’s underlying investments.

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The Index Futures’

settlement value at expiration is based on the value of the S&P GSCI-ER at that time.

settlement value at expiration is based on the value of the S&P GSCI-ER at that time.

Therefore, the value of the Trust will fluctuate based upon the value of the S&P GSCI-ER and the prices of futures contracts and commodities underlying the S&P GSCI-ER.

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Net realized gain (loss) from futures contracts

( 204,137,367

Net change in unrealized appreciation/depreciation on futures contracts

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Net change in unrealized appreciation/depreciation on futures contracts

( 190,921,734

December 31, 20 18

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Net change in unrealized appreciation/depreciation on futures contracts

10 - Investment Valuation 

( 190,921,734

10 - Investment Valuation

FASB Accounting Standards Codification Topic 820, Fair Value Measurements and Disclosures, defines fair value as the price the Trust would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date.

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.

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

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.

In determining the value of a fixed income investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments, various relationships observed in the market between investments and calculated yield measures. 

Various inputs are used in determining the fair value of financial instruments.

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The level of a value determined for a financial instrument within the fair value hierarchy is based on the lowest level of any input that is significant to the fair value measurement in its entirety.

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

Level 1 –

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 –

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.

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Futures contracts (a)

( 116,523,249

Treasury bills

1,199,726,652

Shown at the unrealized appreciation (depreciation) on the contracts.

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(Principal executive officer)

February 27, 2020

March 1, 2021

/s/ Mary Cronin

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(Principal financial and accounting officer)

February 27, 2020

March 1, 2021

/s/ Philip Jensen

Philip Jensen

February 27, 2020

March 1, 2021

/s/ Peter Landini

Peter Landini

February 27, 2020

March 1, 2021

/s/ Kimun Lee

February 27, 2020

March 1, 2021

The registrant is a trust and the persons are signing in their respective capacities as officers or directors of iShares Delaware Trust Sponsor LLC, the Sponsor of the registrant.

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 9A. Controls and Procedures