What changed in this filing

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Item 1A. Risk Factors

2022-03-01 compared with 2021-03-01 · 53 added, 42 removed, 428 unchanged (18% of the section changed)

10 unchanged sentences

Such risks may be exacerbated as a result of the COVID-19 pandemic and other factors.

With regard to oil, a variety of factors can affect the price of oil and in turn the related Index Futures, including sudden and significant increases or decreases in production or available supply or significant increases or decreases in demand due to natural factors, epidemics, technological factors, tension and competition between oil exporting nations, civil unrest and sabotage, fluctuations in the reserve capacity, large purchases by governmental entities and competition from other energy sectors.

With regard to oil, a variety of factors can affect the price of oil and in turn the related Index Futures, including sudden and significant increases or decreases in production or available supply or significant increases or decreases in demand due to natural factors, epidemics, technological factors, tension and competition between oil exporting nations, war or other geopolitical conflicts, civil unrest and sabotage, fluctuations in the reserve capacity, large purchases by governmental entities and competition from other energy sectors.

Such risks historically and recently have led, and in the future could lead, to significant market volatility, which could impact the Index Futures held by the Trust and negatively impact the price of the Shares.

10 unchanged sentences

Should the speculative community take a negative view towards one or more of the underlying futures contracts or commodities, it could cause a decline in the price of the Index Futures, which may reduce the price of the Shares.

Based on market conditions, futures contracts underlying the S&P GSCI-ER may trade or settle at or below zero, and the zero or negative value will be used in calculation of impacted indices, including the S&P GSCI-ER.

A zero or negative value in respect of one or more underlying futures contracts may result in a zero or negative value in respect of the S&P GSCI-ER, and, consequently, the Index Futures.

Significant reductions in the size of positions permitted to be owned by the Trust or others in Index Futures or in the futures contracts and/or commodities comprising the S&P GSCI-ER, for example, as a result of more restrictive position limits or position limit exemptions or more expansive position aggregation requirements, could reduce liquidity and depress the price of the S&P GSCI-ER and/or the underlying futures contracts or commodities, adversely affecting the value of your Shares.

Based on market conditions, futures contracts underlying the S&P GSCI-ER may trade or settle at or below zero, and the zero or negative value will be used in the calculation of impacted indices, including the S&P GSCI-ER.

A zero or negative value in respect of one or more underlying futures contracts may result in a zero or negative value in respect of the S&P GSCI-ER and, consequently, the Index Futures, adversely affecting the value of the Shares.

Significant reductions in the size of positions permitted to be owned by the Trust or others in Index Futures or in the futures contracts and/or commodities composing the S&P GSCI-ER, for example, as a result of more restrictive position limits or position limit exemptions or more expansive position aggregation requirements, could reduce liquidity and depress the price of the S&P GSCI-ER and/or the underlying futures contracts or commodities, adversely affecting the value of your Shares.

Conversely, several factors could trigger a temporary increase in the price of the futures contracts or commodities underlying the S&P GSCI-ER and, consequently, the Index Futures.

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In these circumstances, the value of the Index Futures and the value of your Shares may be adversely affected.

The absence of “backwardation”

or the existence of “contango”

The absence of “

backwardation ”

or the existence of “

contango ”

in the prices of the commodities included in the S&P GSCI-ER may adversely affect the value of your Shares.

15 unchanged sentences

The effects of rolling futures contracts under such conditions generally are more severe than rolling futures contracts in the absence of such conditions.

Such conditions may continue to exist, which could adversely affect the value of the S&P GSCI-ER and the Index Futures, and accordingly, adversely affect the value of your Shares.

Such conditions may continue to exist, which could adversely affect the value of the S&P GSCI-ER and the Index Futures and, accordingly, adversely affect the value of your Shares.

Regulatory developments with respect to the futures and over-the-counter derivatives markets, and in particular, with respect to speculative trading in futures contracts and over-the-counter derivatives involving commodities and commodity indices, could adversely affect the value of your Shares.

4 unchanged sentences

These provisions of the Dodd-Frank Act have been interpreted by the CFTC to require the CFTC to expand its existing speculative position limits regime that is applicable to certain agricultural commodity futures (and options thereon), as appropriate, to a wider range of listed futures and options on physical commodities (including certain energy, metals and agricultural products) as well as to economically equivalent swaps.

Pursuant to the provisions of the Dodd-Frank Act described above, the CFTC proposed regulations in January 2020 (withdrawing previous proposals from 2013 and 2016),”

that would impose new spot month federal position limits.

Pursuant to the provisions of the Dodd-Frank Act described above, the CFTC proposed regulations in January 2020 (withdrawing previous proposals from 2013 and 2016), that would impose new spot month federal position limits.

Previously in December 2016, the CFTC adopted final position aggregation requirements.

2 unchanged sentences

agricultural contracts already subject to federal position limits together with 16 new agricultural, metals and energy contracts).

The Final Position Limits Rules will be effective March 15, 2021, and a compliance date of January 1, 2022 applies to position limits for the 16 non-legacy contracts that are subject to federal position limits for the first time under the Final Position Limits Rules.

The Final Position Limits Rules include as Referenced Contracts a number of the futures contracts included in the S&P GSCI-ER, and as of the date of this report such contracts represent a substantial portion of the weight of the S&P GSCI-ER.

The Final Position Limits Rules were effective March 15, 2021, and a compliance date of January 1, 2022 applies to position limits for the 16 non-legacy contracts that are subject to federal position limits for the first time under the Final Position Limits Rules.

The Final Position Limits Rules include as Referenced Contracts a number of the futures contracts included in the S&P GSCI-ER and as of the date of this report, such contracts represent a substantial portion of the weight of the S&P GSCI-ER.

Consequently, under the Final Position Limits Rules, the maximum positions that market participants can hold for the spot month in the Referenced Contracts that underlie the S&P GSCI-ER are limited, which could reduce the liquidity of such Referenced Contracts and adversely affect the performance of the S&P GSCI-ER and the value of your Shares.

1 unchanged sentence

The risks presented by the Final Position Limits Rules also arise with respect to existing federal limits on certain agricultural commodity futures contracts, which include futures contracts underlying the S&P GSCI-ER.

The Final Position Limits Rules also revise the definition of “bona fide hedging transaction or position,”

including revisions to expand the current list of enumerated bona fide hedging activities that are exempt from position limits rules and to provide more flexibility for market participants to qualify for bona fide hedge exemptions.

The Final Position Limits Rules also revise the definition of “bona fide hedging transaction or position,”

including revisions to expand the current list of enumerated bona fide hedging activities that are exempt from position limits rules and to provide more flexibility for market participants to qualify for bona fide hedge exemptions.

Such revisions may affect the hedging and investing activities of participants in the markets for the Index Futures and the futures contracts and commodities underlying the S&P GSCI-ER, which in turn could reduce the liquidity and adversely affect the pricing of the Index Futures and such futures contracts and commodities.

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positions in Referenced Contracts, on a pro‑rata basis, with other positions in Referenced Contracts held or controlled by such person.

These aggregation rules will apply to all commodity derivative contracts that are subject to position limits under the Final Position Limits Rules. CFTC staff has granted relief, until August 12, 2022, from various conditions and requirements in the final aggregation rules, including the “substantially identical trading strategies”

These aggregation rules will apply to all commodity derivative contracts that are subject to position limits under the Final Position Limits Rules.

CFTC staff has granted relief, until August 12, 2022, from various conditions and requirements in the final aggregation rules, including the “substantially identical trading strategies”

aggregation requirement.

2 unchanged sentences

Although Index Futures are not among the Referenced Contracts identified in the Final Position Limits Rules, if federal position limits are extended to Index Futures or if the Exchange adopts similar aggregation rules, some participants in the market for Index Futures may be encumbered in trying to hedge their exposure, which could reduce liquidity in such Index Futures and the futures contracts and commodities underlying the S&P GSCI-ER and adversely affect the value of the Shares.

In addition to, the Final Position Limits Rules, the CFTC could propose other rules that may lower the applicable position limits, apply position limits to a broader range of contracts (including commodity index contracts such as the Index Futures) or further restrict position limit exemptions.

In addition to the Final Position Limits Rules, the CFTC could propose other rules that may lower the applicable position limits, apply position limits to a broader range of contracts (including commodity index contracts such as the Index Futures) or further restrict position limit exemptions.

If any of these actions is taken, such measures could further reduce the size of positions that the Trust and other investors could hold directly in Index Futures and the underlying futures contracts and commodities, with potential reductions in liquidity and adverse effects on the pricing of Index Futures.

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The trading of various Index Futures presents risks unrelated to the S&P GSCI-ER that could adversely affect the value of your Shares .

Although Index Futures are based on the S&P GSCI-ER, the value of the Index Futures could be affected by factors that do not directly affect the

S&P GSCI-ER and accordingly, the value of the Index Futures and the level of the S&P GSCI-ER may vary from each other.

Although Index Futures are based on the S&P GSCI-ER, the value of the Index Futures could be affected by factors that do not directly affect the S&P GSCI-ER and, accordingly, the value of the Index Futures and the level of the S&P GSCI-ER may vary from each other.

The activities of market participants in trading Index Futures, or in trading other instruments related to the S&P GSCI-ER, could affect the value of the Index Futures independent of any change in the S&P GSCI-ER and adversely affect the correlation between the value of the Index Futures and the level of the S&P GSCI-ER.

11 unchanged sentences

The S&P GSCI-ER may in the future include contracts that are not traded on regulated futures exchanges and that offer different or diminished protections to investors.

Currently, the S&P GSCI-ER is comprised exclusively of futures contracts traded on DCMs, or regulated futures exchanges.

Currently, the S&P GSCI-ER is composed exclusively of futures contracts traded on designated contract markets (“DCMs”), or regulated futures exchanges.

The S&P GSCI-ER may in the future include contracts (such as swaps and forward contracts) traded in the over-the-counter market or on trading facilities that are subject to lesser degrees of regulation or, in some cases, no substantive regulation.

10 unchanged sentences

The Index and the S&P GSCI-ER.”

Based on market conditions, futures contracts included in the S&P GSCI-ER may trade or settle at or below zero, and the zero or negative value will be used in calculation of impacted indices, including the S&P GSCI-ER.

Based on market conditions, futures contracts included in the S&P GSCI-ER may trade or settle at or below zero, and the zero or negative value will be used in the calculation of impacted indices, including the S&P GSCI-ER.

Zero or negative values of futures contracts included in the S&P GSCI-ER occurring during a roll period may impact the composition of the S&P GSCI-ER.

For example, based on market conditions, the Index Committee may elect to implement an unscheduled designated contract roll in relation to the normal parameters of the roll of one or more futures contracts included in the S&P GSCI-ER.

Among other things, this may entail adjustments of when the roll occurs, the length of the roll, the proportions of the roll, or the roll-in contract.

Among other things, this may entail adjustments to when the roll occurs, the length of the roll, the proportions of the roll, or the roll-in contract.

In the event of the foregoing circumstances, the Index Committee has indicated it will aim to conform to the index’s objective to the greatest extent possible, and will typically roll into the next most viable contract as published in the methodology.

10 unchanged sentences

This means that for every gain, there is an equal and offsetting loss.

Futures contracts themselves (including Index Futures) are not assets with intrinsic value, and simply reflect, in the case of cash-settled contracts, certain rights to payment or obligations to make payments to the other party to the contract, and in the case of physically-settled contracts, such as the futures contracts underlying the Index, an agreement to make or take delivery of a particular asset at a specified price.

Futures contracts themselves (including Index Futures) are not assets with intrinsic value and simply reflect, in the case of cash-settled contracts, certain rights to payment or obligations to make payments to the other party to the contract, and in the case of physically-settled contracts, such as the futures contracts underlying the Index, an agreement to make or take delivery of a particular asset at a specified price.

Accordingly, market participants taking the opposite side of the Trust’s Index Futures trades may believe that the price of such Index Futures will move against the Trust, and the Trust may be at an informational or other disadvantage relative to such market participants.

The Trust’s trading activity in Index Futures could expose it to additional risks.

The Trust ’

s trading activity in Index Futures could expose it to additional risks.

In order for the Trust to achieve its investment objective on an ongoing basis, it is anticipated that existing positions in Index Futures will need to be closed out and new positions in Index Futures will need to be established from time to time.

6 unchanged sentences

The Exchange may cease to list other Index Futures that the Trust will be able to roll its positions into, and any Index Futures listed by an Exchange in the future may have terms that differ from those currently held by the Trust.

The liquidation of Index Futures could expose the Trust to the effects of temporary aberrations or distortions in the market, which could adversely affect the prices at which the Trust’s Index Futures positions are liquidated.

The liquidation of Index Futures could expose the Trust to the effects of temporary aberrations or distortions in the market, which could adversely affect the prices at which the Trust ’

s Index Futures positions are liquidated.

If the Trust liquidates positions in Index Futures in order to satisfy redemption requests or to pay expenses and liabilities, it does so by entering sell orders with its Clearing FCM for execution on the Exchange.

3 unchanged sentences

If the Trust’s Index Futures are liquidated at inopportune times or in a manner that causes a temporary market distortion, this may adversely affect the NAV and the value of your Shares.

The Clearing FCM or an Exchange’s clearing house could fail.

The Clearing FCM or an Exchange ’

s clearing house could fail.

In the event of the bankruptcy of the Clearing FCM or an Exchange’s clearing house, the Trust could be exposed to a risk of loss with respect to its assets that are posted as margin.

5 unchanged sentences

Consequently, the Trust could be unable to recover amounts due to it on its Index Futures positions, including assets posted as margin, and could sustain substantial losses, even if the level of the S&P GSCI-ER increases.

The Clearing FCM is subject to regulations relating to enhanced customer protections, risk management programs, internal monitoring and controls, capital and liquidity standards, customer disclosures and auditing and examination programs for FCMs.

The Clearing FCM is subject to regulations relating to enhanced customer protections, risk management programs, internal monitoring and controls, capital and liquidity standards, customer disclosures and auditing and examination programs for FCMs.

There can be no assurance that the implementation of these regulations will prevent losses to, or not materially adversely affect, the Trust or the Shareholders.

6 unchanged sentences

The Index Sponsor has no obligation to take the needs of the Sponsor, the Trustee, 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 Index Sponsor is not responsible for and has not participated in the determination of the prices and the number of Shares or the timing of the issuance of sale of Shares or in the determination or calculation of the Basket Amount.

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

The Index Sponsor has no obligation or liability in connection with the administration, marketing or trading of the Shares.

9 unchanged sentences

Treasury return component of the Index, timing differences, differences between the portion of the Trust’s assets invested in Index Futures versus the portion of the return of the Index contributed by the S&P GSCI-ER, differences between the settlement price of Index Futures and the closing level of the S&P GSCI-ER and the payment of expenses and liabilities by the Trust.

The Trust is a passive investment vehicle and the value of the Shares may be adversely affected by losses that, if it had been actively managed, might have been possible to avoid.

The Trust is a passive investment vehicle.

The Trust is not actively managed and will be affected by a general decline in the price of commodities.

The Advisor manages the Trust’s assets in a manner that seeks to obtain returns that correspond generally, but are not necessarily identical, to the performance of the Index, before the payment of expenses and liabilities of the Trust.

9 unchanged sentences

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

The Trust’s ability to operate is dependent on the Sponsor, the Trustee, the Advisor and certain other key service providers and other parties.

The Trust ’

s ability to operate is dependent on the Sponsor, the Trustee, the Advisor and certain other key service providers and other parties.

The Trust’s ability to operate and to achieve its investment objective is dependent on a number of parties, including:

6 unchanged sentences

the Index Sponsor, who maintains the Index, and whose affiliates own the rights to the Index on which the Trust’s investment objective is based;

the Authorized Participants, whose creation and redemption activities allow Index Futures and Collateral Assets to be converted to Shares and vice versa, to help maintain the relationship between the Index and the Shares;

the tax administrator, who provides tax reporting and tax administrative services.

119 unchanged sentences

Under the Trust Agreement, the Sponsor, the Trustee and their respective agents have the right to be indemnified by the Trust for any liability or expense they incur without negligence, bad faith, willful misconduct or reckless disregard of their duties on their part.

That means the Sponsor and the Trustee may require the assets of the Trust to be sold in order to cover losses or liabilities suffered by it, which would reduce the net asset value of the Trust and the value of the Shares.

That means the Sponsor or the Trustee may require the assets of the Trust to be sold in order to cover losses or liabilities suffered by it, which would reduce the net asset value of the Trust and the value of the Shares.

Likewise, under the Trust’s advisory agreement, the Advisor and its agents have the right to be indemnified by the Trust for any liability or expense they incur without negligence, bad faith, willful misconduct or reckless disregard of their duties on their part.

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See also “—Exchange position limits and other rules may restrict the creation of Baskets and the operation of the Trust”

above and “Risk Factors Relating to Commodities Markets —

above and “Risk Factors Relating to Commodities Markets —

6 unchanged sentences

Risk Factors Relating to Conflicts of Interest

The Sponsor’s relationship with the Trustee and the Advisor and the proprietary and managed trading activities of the Sponsor and its affiliates could conflict with your interests as a Shareholder.

The Sponsor ’

s relationship with the Trustee and the Advisor and the proprietary and managed trading activities of the Sponsor and its affiliates could conflict with your interests as a Shareholder.

The Sponsor is an affiliate of the Trustee and therefore may have a conflict of interest with respect to its oversight of the Trustee.

36 unchanged sentences

Accordingly, it is anticipated that you will not receive cash distributions sufficient to cover your allocable share of such taxable income or even the tax liability resulting from that income.

The Internal Revenue Service (the “IRS”) could adjust or reallocate items of income, gain, deduction, loss and credit with respect to the Shares if the IRS does not accept the assumptions or conventions utilized by the Trust.

The Internal Revenue Service (the “

) could adjust or reallocate items of income, gain, deduction, loss and credit with respect to the Shares if the IRS does not accept the assumptions or conventions utilized by the Trust.

federal income tax rules that apply to partnerships are complex and their application is not always clear.

10 unchanged sentences

If the Trust were to fail to qualify as a partnership for U.S.

federal income tax purposes, the Trust’s income and items of deduction would not pass through to the Shareholders, the Trust would be required to pay tax at corporate rates on any portion of the Trust’s net income that does not constitute tax-exempt income and distributions by the Trust to the Trust’s Shareholders would be taxable dividends to the extent of the Trust’s earnings and profits.

federal income tax purposes, the Trust ’

s income and items of deduction would not pass through to the Shareholders, the Trust would be required to pay tax at corporate rates on any portion of the Trust ’

s net income that does not constitute tax-exempt income and distributions by the Trust to the Trust ’

s Shareholders would be taxable dividends to the extent of the Trust ’

s earnings and profits.

It is expected that the Trust will operate and be classified as a partnership for U.S.

15 unchanged sentences

These consequences could have a material adverse effect on the Trust, its Shareholders and the value of the Shares.

If the IRS makes audit adjustments to the Trust’s income tax returns for tax years beginning after 2017, it may collect any resulting taxes (including any applicable penalties and interest) directly from the Trust, in which case the cash available for the distribution to the Trust’s Shareholders might be substantially reduced.

If the IRS makes audit adjustments to the Trust ’

s income tax returns for tax years beginning after 2017, it may collect any resulting taxes (including any applicable penalties and interest) directly from the Trust, in which case the cash available for the distribution to the Trust ’

s Shareholders might be substantially reduced.

If the IRS makes audit adjustments to the Trust’s U.S.

federal income tax returns for the Trust’s taxable years beginning after December 31, 2017, it may collect any resulting taxes (including any applicable penalties and interest) directly from the Trust.

federal income tax returns for the Trust’s taxable years beginning after December 31, 2017, it may collect any resulting taxes (including any applicable penalties and interest) directly from the Trust.

The Trust may have the ability to shift any such tax liability to the Sponsor and the Trust’s Shareholders in accordance with their interests in the Trust during the year under audit, but there can be no assurance that it will be able to do so, in which case the current Shareholders would economically bear the burden of the tax even if they were not Shareholders during the year under audit (or if they had a different percentage interest in the Trust in that year).

1 unchanged sentence

Investors in the Shares are urged to consult their tax advisors regarding these rules and their potential impact.

tax legislation referred to as the “Tax Cuts and Jobs Act”

(the “TCJA”), Shareholders that are not U.S.

Shareholders that are not U.S.

persons could be subject to U.S.

5 unchanged sentences

with such trade or business to the extent it does not exceed the effectively connected gain that would be allocable to the transferor if the Trust sold all of its assets at their fair market value as of the date of the transferor’s disposition.

Under the TCJA, any such gain that is treated as effectively connected will generally be subject to U.S.

Any such gain that is treated as effectively connected will generally be subject to U.S.

federal income tax.

1 unchanged sentence

If the transferee fails to properly withhold such tax, the Trust would be required to deduct and withhold from distributions to the transferee a tax in an amount equal to the amount the transferee failed to withhold, plus interest.

The withholding requirements with respect to the disposition of an interest in a publicly traded partnership apply to dispositions made on or after January 1, 2022.

Future additional guidance on the implementation of these requirements will be applicable on a prospective basis.

Investors in the Shares are urged to consult their tax advisors regarding these changes and their potential impact.

The withholding requirements with respect to the disposition of an interest in a publicly traded partnership apply to dispositions made on or after January 1, 2023. Any future additional guidance on the implementation of these requirements will be applicable on a prospective basis. Investors in the Shares are urged to consult their tax advisors regarding these changes and their potential impact.

Unresolved Staff Comments.

4 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 1A. Risk Factors