What changed in this filing

/stocks — the workspaceLOADING

Item 1. Financial Statements

2022-05-06 compared with 2021-11-03 · 225 added, 212 removed, 523 unchanged (46% of the section changed)

Financial Statements

iShares S&P GSCI ™ 

iShares S&P GSCI™

Commodity-Indexed Trust

Statements of Assets and Liabilities (Unaudited)

At September 30, 2021 and December 31, 2020

September 30,

At March 31, 2022 and December 31, 2021

Assets  

$ 36,425,862  

6 unchanged sentences

85,581,308  

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

2,222,001,627  

1,540,010,117  

Sponsor’s fees payable

1,447,325  

890,974  

Sponsor’s fees payable

Payable for investment securities purchased

89,994,437  

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

78,713,457  

Payable for capital shares redeemed

17,314,591  

20 unchanged sentences

Statements of Operations (Unaudited)

For the three and nine months ended September 30, 2021 and 2020  

For the three months ended March 31, 2022 and 2021

Three Months Ended

Nine Months Ended

September 30,

Investment Income

Total investment income

Sponsor’s fees

Brokerage commissions and fees

Total expenses

Net Investment loss

Net Realized and Unrealized Gain (Loss)

Investment Income  

Interest  

$ 447,870  

$ 143,437  

Total investment income  

447,870  

143,437  

Expenses  

Sponsor’s fees  

3,459,826  

1,893,497  

Brokerage commissions and fees  

409,606  

330,285  

Total expenses  

3,869,432  

2,223,782  

Net Investment loss  

( 3,421,562 )  

( 2,080,345 )

Net Realized and Unrealized Gain (Loss)  

Net realized gain (loss) from:

1 unchanged sentence

Futures contracts

( 275,413,702

Net realized gain (loss)

( 275,352,582

736,763,238  

202,940,665  

Net realized gain

736,764,577  

202,940,932  

Net change in unrealized appreciation/depreciation on:

Short-term investments

31,515  

Futures contracts

Net change in unrealized appreciation/depreciation

Net realized and unrealized gain (loss)

( 224,589,428 )  

( 87,559,310 )

Net increase (decrease) in net assets resulting from operations

Net change in unrealized appreciation/depreciation

( 224,557,913 )  

( 87,561,537 )

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

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

Net realized and unrealized gain

512,206,664  

115,379,395  

Net increase in net assets resulting from operations

$ 508,785,102  

$ 113,299,050  

Net increase in net assets per Share (a)

$ 5.58  

$ 1.51  

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

See notes to financial statements.

2 unchanged sentences

Statements of Changes in Net Assets (Unaudited)

For the three, six and nine months ended September 30, 2021

Nine Months Ended

September 30, 2021

For the three months ended March 31, 2022

Three Months Ended

March 31, 2022

Net Assets at December 31, 2021

$ 1,431,810,115  

Net investment loss

Net realized gain

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 March 31, 2021

( 3,421,562 )

Net investment loss

Net realized gain

736,764,577  

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, 2021

( 224,557,913 )

Net investment loss

Net realized gain

Net change in unrealized appreciation/depreciation

Net increase in net assets resulting from operations

508,785,102  

Capital Share Transactions

Contributions for Shares issued

376,347,498  

Distributions for Shares redeemed

( 175,101,870 )

Net decrease in net assets from capital share transactions

( 102,633,427

Decrease in net assets

Net Assets at September 30, 2021

1,316,939,595

Net increase in net assets from capital share transactions

201,245,628  

Increase in net assets

710,030,730  

Net Assets at March 31, 2022

$ 2,141,840,845  

Shares issued and redeemed

Shares issued

18,600,000  

Shares redeemed

( 7,950,000 )

Net increase in Shares issued and outstanding

10,650,000  

See notes to financial statements.

2 unchanged sentences

Statements of Changes in Net Assets (Unaudited)

For the three, six and nine months ended September 30, 2020

Nine Months Ended

September 30, 2020

For the three months ended March 31, 2021

Three Months Ended

March 31, 2021

Net Assets at December 31, 2020

Net investment income

Net realized loss

( 224,167,336

Net change in unrealized appreciation/depreciation

( 144,962,309

Net decrease in net assets resulting from operations

( 368,101,390

Capital Share Transactions:

Contributions for Shares issued

Distributions for Shares redeemed

Net increase in net assets from capital share transactions

Decrease in net assets

( 273,796,349

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

$ 827,346,620  

Net investment loss

( 2,080,345 )

Net realized gain

202,940,932  

Net change in unrealized appreciation/depreciation

( 87,561,537 )

Net increase in net assets resulting from operations

113,299,050  

Capital Share Transactions

Contributions for Shares issued

217,200,755  

Distributions for Shares redeemed

( 43,811,299 )

Net increase in net assets from capital share transactions

173,389,456  

Increase in net assets

Net Assets at September 30, 2020

286,688,506  

Net Assets at March 31, 2021

$ 1,114,035,126  

Shares issued and redeemed

Shares issued

15,850,000  

Shares redeemed

( 3,150,000 )

Net increase in Shares issued and outstanding

12,700,000  

See notes to financial statements.

2 unchanged sentences

Statements of Cash Flows (Unaudited)

For the nine months ended September 30, 2021 and 2020

Nine Months Ended

September 30,

For the three months ended March 31, 2022 and 2021

Three Months Ended March 31,  

Cash Flows from Operating Activities

Net increase (decrease) in net assets resulting from operations

( 283,583,662

$ 508,785,102  

$ 113,299,050  

Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used in) operating activities:

Purchases of short-term investments

( 6,773,376,889

( 3,625,574,775 )  

( 2,047,574,345 )

Sales/maturities of short-term investments

6,290,691,567

3,081,735,489

2,938,864,277  

1,746,699,953  

Accretion of discount

( 447,870 )  

Net realized (gain) loss on short-term investments

( 1,339 )  

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

( 31,515 )  

Change in operating assets and liabilities:

Receivable for variation margin on open futures contracts

3,335,487  

Payable for variation margin on open futures contracts

61,398,866  

3,683,488  

Payable for investment securities purchased

( 89,994,437 )  

Sponsor’s fees payable

556,351  

223,928  

Net cash provided by (used in) operating activities

( 143,875,627

( 206,445,340 )  

( 180,473,917 )

1 unchanged sentence

Contributions for Shares issued

376,347,498  

217,200,755  

Distributions for Shares redeemed

( 175,101,870 )  

( 54,883,596 )

Net cash provided by (used in) financing activities

Net decrease in cash

Beginning of period

201,245,628  

162,317,159  

Net increase (decrease) in cash

( 5,199,712 )  

( 18,156,758 )

Beginning of period  

Unrestricted –

End of period

41,625,574  

20,622,531  

End of period  

Unrestricted –

$ 36,425,862  

$ 2,465,773  

See notes to financial statements.

iShares S&P GSCI ™ 

iShares S&P GSCI™

Commodity-Indexed Trust

Schedules of Investments (Unaudited)

At September 30, 2021 and December 31, 2020

September 30, 2021

Security Description  

Face Amount  

Fair Value  

 At March 31, 2022 and December 31, 2021

March 31, 2022

Security Description

Treasury bills (a)(b) :

0.01% – 

0.04% due 10/05/21

$ 153,000,000  

$ 152,999,615  

0.03% – 

0.04% due 10/07/21

85,000,000  

84,999,469  

0.03% –

0.14% due 4/05/22

1 unchanged sentence

$ 199,997,112  

0.06% –

0.13% due 4/07/22

1 unchanged sentence

174,995,770  

0.10% –

0.13% due 4/12/22

1 unchanged sentence

124,449,675  

0.09% –

0.12% due 4/14/22

1 unchanged sentence

39,997,960  

0.11% –

0.19% due 4/19/22

5 unchanged sentences

264,981,964  

0.19% –

0.20% due 4/28/22

1 unchanged sentence

67,044,657  

0.03% – 

0.21% due 5/03/22

1 unchanged sentence

79,990,578  

0.20% –

0.24% due 5/05/22

1 unchanged sentence

202,516,784  

0.03% – 

0.04% due 

128,000,000  

127,990,272  

0.02% – 

0.15% –

0.23% due 5/10/22

1 unchanged sentence

246,850,853  

0.23% –

0.24% due 5/12/22

1 unchanged sentence

209,954,199  

0.23% –

0.27% due 5/17/22

1 unchanged sentence

139,959,749  

0.04% due 12/30/21

0.21% –

0.22% due 5/19/22  

75,000,000  

6 unchanged sentences

19,991,215  

0.33% –

0.41% due 5/31/22

5 unchanged sentences

Treasury bills (Cost:

$ 1,297,924,397 )

$ 2,185,521,917 )  

2,185,575,765  

Total Investments –

102.04%  

2,185,575,765  

Other Assets, Less Liabilities –

(2.04)%  

( 43,734,920 )

Net Assets –

100.00%  

$ 2,141,840,845  

A portion of the above U.S.

1 unchanged sentence

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

As of September 30, 2021, the open S&P GSCI-ER futures contracts were as follows:

As of March 31, 2022, the open S&P GSCI-ER futures contracts were as follows:

Number of Contracts  

4 unchanged sentences

63,415  

December 15, 2021  

June 15, 2022  

$ 2,138,569,411  

11 unchanged sentences

83,999,971  

0.03% due 1/11/22

53,000,000  

52,999,941  

0.04% –

13 unchanged sentences

104,996,981  

0.08% –

0.05% due 2/10/22

9 unchanged sentences

120,995,463  

0.03% –

0.04% due 2/22/22

5 unchanged sentences

135,444,620  

0.05% –

0.06% due 3/1/22

1 unchanged sentence

119,993,349  

0.04% –

0.06% due 3/03/22

7 unchanged sentences

34,997,273  

0.06% due 4/15/21

0.05% due 3/15/22  

58,000,000  

57,995,081  

0.06% due 3/17/22  

35,000,000  

34,996,079  

0.08% due 3/24/22  

60,000,000  

59,992,534  

Treasury bills (Cost:

$ 814,949,549 )

$ 1,498,362,211 )  

1,498,384,543  

Total Investments –

104.65%  

1,498,384,543  

Other Assets, Less Liabilities –

(4.65)%  

( 66,574,428 )

Net Assets –

100.00%  

$ 1,431,810,115  

A portion of the above U.S.

15 unchanged sentences

Notes to Financial Statements (Unaudited)

September 30, 2021

1  - Organization

March 31, 2022

The iShares S&P GSCI™

4 unchanged sentences

is the trustee of the Trust (the “Trustee”).

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 is governed by the Fourth Amended and Restated Trust Agreement, dated as of March 31, 2022 ( 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.

21 unchanged sentences

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

Significant Accounting Policies

Basis of Accounting

25 unchanged sentences

These investments are valued at fair value.

As of September 30, 2021 and December 31, 2020, the Trust had restricted short-term investments held at the broker of $ 48,196,963 and $ 42,290,413 , respectively, which were posted as margin for the Trust’s Index Futures positions.

As of March 31, 2022 and December 31, 2021, the Trust had restricted short-term investments held at the broker of $ 204,451,160 and $ 85,581,308 , respectively, which were posted as margin for the Trust’s Index Futures positions.

Securities Transactions and Income Recognition

5 unchanged sentences

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 September 30, 2021, 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 March 31, 2022, 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

The net asset value of the Trust on any given day is obtained by subtracting the Trust’s accrued expenses and other liabilities on that day from the value of ( 1 ) the Trust’s Index Futures positions and Collateral Assets on that day, ( 2 ) the interest earned on those assets by the Trust and ( 3 ) any other assets of the Trust, as of 4:00 p.m.

The net asset value of the Trust on any given day is obtained by subtracting the Trust’s accrued expenses and other liabilities on that day from the value of ( 1 ) the Trust’s Index Futures positions and Collateral Assets on that day, ( 2 ) the interest earned on those assets by the Trust and ( 3 ) any other assets of the Trust, as of 4:00 p.m.

(New York time) that day.

6 unchanged sentences

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

3  - Offering of the Shares

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).

7 unchanged sentences

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

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.

4 unchanged sentences

( 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 $ 500,000 annually.

5  - Related Parties

Prior to March 31, 2022 the Sponsor had agreed to assume up to $ 100,000 per annum in legal fees and expenses.

The Sponsor may determine in its sole discretion to assume legal fees and expenses of the Trust in excess of the amount required under the Trust Agreement.

To the extent that the Sponsor does not voluntarily assume such fees and expenses, they will be the responsibility of the Trust. 

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

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.

1 unchanged sentence

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

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 and nine months ended September 

2021 and 2020.

Three Months Ended  

Nine Months Ended  

September 30,  

Net asset value per Share, beginning of period

$ 16.08  

$ 10.33  

$ 12.30  

$ 16.24  

Net investment income (loss) (a)

( 0.03 )  

( 0.02 )  

( 0.09 )  

Net realized and unrealized gain (loss) (b)

Net increase (decrease) in net assets from operations  

Net asset value per Share, end of period  

$ 16.86  

Financial Highlights

The following financial highlights relate to investment performance and operations for a Share outstanding for the three months ended March 31, 2022 and 2021.

Three Months Ended March 31,  

Net asset value per Share, beginning of period  

$ 17.10  

$ 12.30  

Net investment loss (a)

( 0.04 )  

Total return, at net asset value (c)(d)  

Net realized and unrealized gain (b)

Net increase in net assets from operations

Net asset value per Share, end of period

$ 22.69  

$ 13.93  

Total return, at net asset value (c)(d)

32.69 %  

3 unchanged sentences

0.84 %  

( 0.83 )%  

0.85 %  

0.91 %  

0.86 %  

Based on average Shares outstanding during the period.

3 unchanged sentences

Percentage is annualized.

9  - Investing in Index Futures

Investing in Index Futures

Substantially all of the Trust’s assets are invested in Index Futures.

3 unchanged sentences

The commodities markets have historically been extremely volatile.

For the nine months ended September 

2021 and the year ended December 31, 2020, the average month-end notional amounts of open Index Futures were $ 1,191,513,696 and $ 668,432,601 , 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 September 30, 2021 and December 31, 2020:

Asset Derivatives

Liability Derivatives

September 30, 2021

Commodity contracts

Receivable for variation margin on open futures contracts

Payable for variation margin on open futures contracts

December 31, 2020

Commodity contracts

For the three months ended March 31, 2022 and the year ended December 31, 2021, the average month-end notional amounts of open Index Futures were $ 1,793,333,050 and $ 1,239,905,352 , 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 

2022 and December 31, 2021:

Asset Derivatives  

Fair Value  

Liability Derivatives  

Fair Value  

March 31, 2022  

Commodity contracts  

Receivable for variation margin on open futures contracts

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 and nine months ended September 30, 2021 and 2020:

Payable for variation margin on open

futures contracts

$ 78,713,457  

December 31, 2021  

Commodity contracts 

Receivable for variation margin on open

futures contracts

Payable for variation margin on open

futures contracts

$ 17,314,591  

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, 2022 and 2021:

Statements of

2 unchanged sentences

Appreciation/Depreciation

Three Months Ended September 30, 2021

Commodity contracts

Net realized gain (loss) from futures contracts

Net change in unrealized appreciation/depreciation on futures contracts

Three Months Ended September 30, 2020

Commodity contracts

Net realized gain (loss) from futures contracts

Net change in unrealized appreciation/depreciation on futures contracts

Nine Months Ended September 30, 2021

Commodity contracts

Net realized gain (loss) from futures contracts

Net change in unrealized appreciation/depreciation on futures contracts

Nine Months Ended September 30, 2020

Commodity contracts

Net realized gain (loss) from futures contracts

Three Months Ended March 31, 2022  

Commodity contracts  

Net realized gain (loss) from futures contracts  

$ 736,763,238  

Net change in unrealized appreciation/depreciation on futures contracts  

( 224,589,428 )

Net change in unrealized appreciation/depreciation on futures contracts

10  - Investment Valuation

Three Months Ended March 31, 2021  

Commodity contracts  

Net realized gain (loss) from futures contracts  

$ 202,940,665  

Net change in unrealized appreciation/depreciation on futures contracts  

( 87,559,310 )

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.

9 unchanged sentences

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

Level 1  –

Level 1 –

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

Level 2  –

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 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 September 30, 2021 and December 

The following table summarizes the value of each of the Trust’s investments by the fair value hierarchy levels as of March 31, 2022 and December 31, 2021:

Level 1  

1 unchanged sentence

Level 3  

September 30, 2021  

March 31, 2022  

Futures contracts (a)

83 unchanged sentences

(New York time) are not deemed to be received, and the related creation or redemption will not be deemed to occur, until the following Business Day.

Subject to the approval of the Trustee, Baskets may be created solely for cash, but the related creation orders will be deemed received as of the following Business Day unless received by 10:00 a.m.

Subject to the approval of the Trustee, Baskets may be created solely for cash, but the related creation orders will be deemed received as of the following Business Day unless received by 10:00 a.m.

(New York time).

2 unchanged sentences

Results of Operations

The Quarter Ended September 30, 2021

The Trust’s net asset value decreased from $1,359,450,396 at June 30, 2021 to $1,316,939,595 at September 30, 2021.

The decrease in the Trust’s net asset value resulted primarily from a net decrease in the number of outstanding Shares, which fell from 84,550,000 Shares at June 30, 2021 to 78,100,000 Shares at September 30, 2021, a consequence of 1,400,000 Shares (28 Baskets) being created and 7,850,000 Shares (157 Baskets) being redeemed during the quarter.

This decrease was offset by a net increase in net assets resulting from operations.

The 4.85% increase in the NAV from $16.08 at June 30, 2021 to $16.86 at September 30, 2021 is directly related to the 5.10% increase in the settlement price for the Index Futures.

The 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 September 30, 2021 was $60,122,626, resulting from a net investment loss of $2,710,384 and a net realized and unrealized gain of $62,833,010.

For the quarter ended September 30, 2021, the Trust had a net realized and unrealized gain of $49,494 on short-term investments and a net realized and unrealized gain of $62,783,516 on futures contracts.

Other than the Sponsor’s fees of $2,482,274 and brokerage commissions and fees of $322,517, the Trust had no expenses during the quarter.

The Nine-Month Period Ended September 30, 2021

The Trust’s net asset value increased from $827,346,620 at December 31, 2020 to $1,316,939,595 at September 30, 2021.

The Quarter Ended March 31, 2022

The Trust’s net asset value increased from $1,431,810,115 at December 31, 2021 to $2,141,840,845 at March 31, 2022.

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 67,250,000 Shares at December 31, 2020 to 78,100,000 Shares at September 30, 2021, a consequence of 27,900,000 Shares (558 Baskets) being created and 17,050,000 Shares (341 Baskets) being redeemed during the period.

The 37.07% increase in the NAV from $12.30 at December 31, 2020 to $16.86 at September 30, 2021 is directly related to the 38.08% increase in the settlement price for the Index Futures.

The 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 period was $352,712,242, resulting from a net investment loss of $7,493,141 and a net realized and unrealized gain of $360,205,383.

For the nine months ended September 30, 2021, the Trust had a net realized and unrealized loss of $21,513 on short‑term investments and a net realized and unrealized gain of $360,226,896 on futures contracts.

Other than the Sponsor’s fees of $6,783,239 and brokerage commissions and fees of $1,000,308, the Trust had no expenses during the period.

The Trust’s net asset value also benefited from an increase in the number of outstanding Shares, which rose from 83,750,000 Shares at December 31, 2021 to 94,400,000 Shares at March 31, 2022, a consequence of 18,600,000 Shares (372 Baskets) being created and 7,950,000 Shares (159 Baskets) being redeemed during the quarter.

The 32.69% increase in the NAV from $17.10 at December 31, 2021 to $22.69 at March 31, 2022 is directly related to the 33.03% increase in the settlement price for the Index Futures.

The 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.

The net increase in net assets resulting from operations for the quarter ended March 31, 2022 was $508,785,102, resulting from a net realized and unrealized gain of $512,206,664, offset by a net investment loss of $3,421,562.

For the quarter ended March 31, 2022, the Trust had a net realized and unrealized gain of $32,854 on short-term investments and a net realized and unrealized gain of $512,173,810 on futures contracts.

Other than the Sponsor’s fees of $3,459,826 and brokerage commissions and fees of $409,606, the Trust had no expenses during the quarter.

Liquidity and Capital Resources

The Trust’s assets as of September 30, 2021 consist of Index Futures and Collateral Assets used to satisfy applicable margin requirements for those Index Futures positions.

The Trust’s assets as of March 31, 2022 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.

2 unchanged sentences

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 September 30, 2021, 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 March 31, 2022, 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.

22 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-Q

Item 1. Financial Statements