What changed in this filing

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Item 1. Financial Statements

2022-08-04 compared with 2022-05-06 · 271 added, 165 removed, 583 unchanged (43% of the section changed)

Financial Statements

iShares S&P GSCI™

Commodity-Indexed Trust

iShares S&P GSCI™ Commodity-Indexed Trust

Statements of Assets and Liabilities (Unaudited)

At March 31, 2022 and December 31, 2021

Assets  

At June 30, 2022 and December 31, 2021

$ 33,594,895  

6 unchanged sentences

85,581,308  

Receivable for interest income

10,890  

2,089,530,271  

1,540,010,117  

Liabilities  

Sponsor’s fees payable

24 unchanged sentences

See notes to financial statements.

iShares S&P GSCI™

Commodity-Indexed Trust

iShares S&P GSCI™ Commodity-Indexed Trust

Statements of Operations (Unaudited)

For the three months ended March 31, 2022 and 2021

For the three and six months ended June 30, 2022 and 2021

Three Months Ended

Six Months Ended

Investment Income  

Interest  

$ 2,968,486  

$ 52,562  

Total investment income  

$ 3,416,356  

$ 195,999  

Total investment income

2,968,486  

52,562  

3,416,356  

195,999  

Expenses  

Sponsor’s fees  

4,090,111  

2,407,468  

Brokerage commissions and fees  

7,549,937  

4,300,965  

Total expenses  

Brokerage commissions and fees

387,291  

347,506  

Net Investment loss  

796,897  

677,791  

Total expenses

4,477,402  

2,754,974  

8,346,834  

4,978,756  

Net Investment loss

( 1,508,916 )  

( 2,702,412 )  

( 4,930,478 )  

( 4,782,757 )

2 unchanged sentences

Short-term investments

( 4,298 )  

( 2,959 )  

Futures contracts

1 unchanged sentence

119,959,860  

841,486,838  

322,900,525  

Net realized gain

1 unchanged sentence

119,960,219  

841,483,879  

322,901,151  

Net change in unrealized appreciation/depreciation on:

1 unchanged sentence

( 722,311 )  

( 69,406 )  

( 690,796 )  

Futures contracts

( 67,121,004 )  

62,102,165  

( 291,710,432 )  

( 25,457,145 )

1 unchanged sentence

( 67,843,315 )  

62,032,759  

( 292,401,228 )  

( 25,528,778 )

2 unchanged sentences

181,992,978  

549,082,651  

297,372,373  

Net increase in net assets resulting from operations

1 unchanged sentence

$ 179,290,566  

$ 544,152,173  

$ 292,589,616  

Net increase in net assets per Share (a)

1 unchanged sentence

$ 2.11  

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

$ 6.00  

$ 3.66  

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

See notes to financial statements.

iShares S&P GSCI™

Commodity-Indexed Trust

iShares S&P GSCI™ Commodity- Indexed Trust

Statements of Changes in Net Assets (Unaudited)

For the three months ended March 31, 2022

Three Months Ended

March 31, 2022

For the three and six months ended June 30, 2022

Six Months Ended

June 30, 2022

Net Assets at December 31, 2021

19 unchanged sentences

$ 2,141,840,845  

Net investment loss

( 1,508,916 )

Net realized gain

104,719,302  

Net change in unrealized appreciation/depreciation

( 67,843,315 )

Net increase in net assets resulting from operations

35,367,071  

Capital Share Transactions

Contributions for Shares issued

46,891,437  

Distributions for Shares redeemed

( 215,009,316 )

Net decrease in net assets from capital share transactions

( 168,117,879 )

Decrease in net assets

( 132,750,808 )

Net Assets at June 30, 2022

$ 2,009,090,037  

Shares issued and redeemed

6 unchanged sentences

See notes to financial statements.

iShares S&P GSCI™

Commodity-Indexed Trust

iShares S&P GSCI™ Commodity-Indexed Trust

Statements of Changes in Net Assets (Unaudited)

For the three months ended March 31, 2021

Three Months Ended

March 31, 2021

For the three and six months ended June 30, 2021

Six Months Ended

June 30, 2021

Net Assets at December 31, 2020

19 unchanged sentences

$ 1,114,035,126  

Net investment loss

( 2,702,412 )

Net realized gain

119,960,219  

Net change in unrealized appreciation/depreciation

62,032,759  

Net increase in net assets resulting from operations

179,290,566  

Capital Share Transactions

Contributions for Shares issued

160,863,723  

Distributions for Shares redeemed

( 94,739,019 )

Net increase in net assets from capital share transactions

66,124,704  

Increase in net assets

245,415,270  

Net Assets at June 30, 2021

$ 1,359,450,396  

Shares issued and redeemed

6 unchanged sentences

See notes to financial statements.

iShares S&P GSCI™

Commodity-Indexed Trust

iShares S&P GSCI™ Commodity-Indexed Trust

Statements of Cash Flows (Unaudited)

For the three months ended March 31, 2022 and 2021

Three Months Ended March 31,  

For the six months ended June 30, 2022 and 2021

Six Months Ended June 30,

Cash Flows from Operating Activities

Net increase (decrease) in net assets resulting from operations

Net increase in net assets resulting from operations

$ 544,152,173  

10 unchanged sentences

Net realized (gain) loss on short-term investments

( 1,339 )  

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

690,796  

Change in operating assets and liabilities:

Receivable for variation margin on open futures contracts

71,633  

Payable for variation margin on open futures contracts

Change in operating assets and liabilities:

Receivable for variation margin on open futures contracts  

( 11,792,400 )

Receivable for interest income  

( 10,890 )  

Payable for variation margin on open futures contracts  

61,753,536  

Payable for investment securities purchased

( 89,994,437 )  

Sponsor’s fees payable

481,133  

329,302  

Net cash provided by (used in) operating activities

( 41,158,428 )  

( 240,815,562 )

Cash Flows from Financing Activities

Contributions for Shares issued

Cash Flows from Financing Activities  

Contributions for Shares issued  

423,238,935  

378,064,478  

Distributions for Shares redeemed

( 390,111,186 )  

( 142,387,218 )

Net cash provided by (used in) financing activities

33,127,749  

235,677,260  

Net increase (decrease) in cash

( 8,030,679 )  

9 unchanged sentences

See notes to financial statements.

iShares S&P GSCI™

Commodity-Indexed Trust

iShares S&P GSCI™ Commodity-Indexed Trust

Schedules of Investments (Unaudited)

 At March 31, 2022 and December 31, 2021

March 31, 2022

Security Description

At June 30, 2022 and December 31, 2021

June 30, 2022

Security Description  

Face Amount  

Fair Value  

Treasury bills (a)(b) :

0.03% –

0.14% due 4/05/22

0.71% due 7/05/22  

$ 50,000,000  

$ 49,995,172  

0.06% –

0.13% due 4/07/22

0.74%  –

0.79% due 7/12/22  

295,000,000  

294,913,467  

0.10% –

0.13% due 4/12/22

1.01% due 7/14/22  

18,500,000  

18,492,884  

0.09% –

0.12% due 4/14/22

1.02% due 7/19/22  

30,000,000  

29,984,663  

0.11% –

0.19% due 4/19/22

0.82% due 7/21/22  

100,000,000  

1 unchanged sentence

1.07% –

0.17% due 4/21/22

1.22% due 7/26/22  

82,000,000  

81,941,774  

1.25% due 7/28/22  

19,000,000  

18,984,646  

0.93% –

0.20% due 4/28/22

1.06% due 8/02/22  

95,000,000  

94,903,100  

0.21% due 5/03/22

0.92% due 8/04/22  

75,000,000  

74,916,239  

0.20% –

0.24% due 5/05/22

0.98% due 8/09/22  

75,000,000  

74,899,047  

0.15% –

0.23% due 5/10/22

1.03%  –

1.27% due 8/11/22  

141,000,000  

140,793,249  

0.23% –

0.24% due 5/12/22

1.04% due 8/16/22  

100,000,000  

99,824,625  

0.23% –

0.27% due 5/17/22

1.04% due 8/18/22  

77,000,000  

76,863,368  

1.06% due 8/23/22  

155,000,000  

154,662,842  

1.27% due 8/25/22  

100,000,000  

99,780,764  

1.15% due 8/30/22  

82,000,000  

81,800,467  

1.12% due 9/01/22  

40,000,000  

39,895,117  

1.19% –

2 unchanged sentences

158,547,247  

0.33% due 5/24/22

1.26% due 9/08/22  

150,000,000  

149,556,891  

0.29% due 5/26/22

1.21% due 9/13/22  

85,000,000  

1 unchanged sentence

1.24% –

0.41% due 5/31/22

1.57% due 9/15/22  

90,000,000  

89,699,800  

0.37% due 6/02/22

1.31% due 9/20/22  

20,000,000  

19,929,125  

Treasury bills (Cost:

Treasury notes (a)(b) :

1.35% due 7/31/22  

20,885,000  

20,867,732  

Treasury bills and notes (Cost:

$ 2,056,592,950 )  

2,055,924,486  

Total Investments –

8 unchanged sentences

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.

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

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

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

As of June 30, 2022, the open S&P GSCI-ER futures contracts were as follows:

Number of Contracts  

4 unchanged sentences

58,530  

June 15, 2022  

$ 2,138,569,411  

September 16, 2022  

$ 2,008,017,975  

$ ( 254,703,511 )

December 31, 2021

Security Description

Face Amount  

Fair Value  

Treasury bills (a)(b) :

0.03% –

0.04% due 1/04/22

$ 100,000,000  

1 unchanged sentence

0.03% –

0.04% due 1/06/22

84,000,000  

83,999,971  

0.03% due 1/11/22

53,000,000  

1 unchanged sentence

0.04% –

0.05% due 1/25/22

20,000,000  

1 unchanged sentence

0.03% –

0.06% due 2/01/22

74,000,000  

73,998,510  

0.05% due 2/03/22

20,000,000  

1 unchanged sentence

0.03% –

0.05% due 2/08/22

105,000,000  

104,996,981  

0.05% due 2/10/22

89,000,000  

1 unchanged sentence

0.03% –

0.05% due 2/15/22

120,000,000  

1 unchanged sentence

0.03% –

0.05% due 2/17/22

121,000,000  

1 unchanged sentence

0.03% –

0.04% due 2/22/22

76,000,000  

1 unchanged sentence

0.04% –

0.05% due 2/24/22

135,450,000  

1 unchanged sentence

0.05% –

0.06% due 3/1/22

120,000,000  

1 unchanged sentence

0.04% –

0.06% due 3/03/22

127,000,000  

126,990,114  

0.05% due 3/08/22

66,000,000  

65,994,133  

0.04% due 3/10/22

35,000,000  

35 unchanged sentences

See notes to financial statements.

iShares S&P GSCI™

Commodity-Indexed Trust

iShares S&P GSCI™ Commodity-Indexed Trust

Notes to Financial Statements (Unaudited)

March 31, 2022

The iShares S&P GSCI™

Commodity-Indexed Trust (the “Trust”) is a Delaware statutory trust that was organized under the laws of the State of Delaware on July 7, 2006 and commenced operations on July 10, 2006.

June 30, 2022

1  - Organization

The iShares S&P GSCI™ Commodity-Indexed Trust (the “Trust”) is a Delaware statutory trust that was organized under the laws of the State of Delaware on July 7, 2006 and commenced operations on July 10, 2006.

iShares Delaware Trust Sponsor LLC, a Delaware limited liability company, is the sponsor of the Trust (the “Sponsor”).

26 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.

Significant Accounting Policies

2  - Significant Accounting Policies

Basis of Accounting

25 unchanged sentences

These investments are valued at fair value.

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.

As of June 30, 2022 and December 31, 2021, the Trust had restricted short-term investments held at the broker of $ 154,411,500 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 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.

The Sponsor has analyzed the tax positions as of June 30, 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

8 unchanged sentences

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

Offering of the Shares

3  - Offering of the Shares

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

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.

Trust Expenses

4  - Trust Expenses

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

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.

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

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

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

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.

Indemnification

6  - Indemnification

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

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.

Commitments and Contingent Liabilities

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.

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  

8  - Financial Highlights

The following financial highlights relate to investment performance and operations for a Share outstanding for the three and six months ended June 30, 2022 and 2021.

Three Months Ended

Six Months Ended

Net asset value per Share, beginning of period

$ 22.69  

$ 13.93  

$ 17.10  

$ 12.30  

Net investment loss (a)

( 0.02 )  

( 0.03 )  

( 0.05 )  

Net realized and unrealized gain (b)

3 unchanged sentences

$ 16.08  

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

$ 23.05  

$ 16.08  

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

Ratio to average net assets:

Net investment income (loss) (e)

Net investment loss (e)

( 0.28 ) %  

( 0.84 ) %  

( 0.49 ) %  

Based on average Shares outstanding during the period.

3 unchanged sentences

Percentage is annualized.

Investing in Index Futures

9  - 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 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

For the three months ended June 30, 2022 and the year ended December 31, 2021, the average month-end notional amounts of open Index Futures were $ 1,937,512,821 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 June 30, 2022 and December 31, 2021:

Asset Derivatives

Liability Derivatives

June 30, 2022  

Commodity contracts

Receivable for variation margin on open futures contracts  

Payable for variation margin on open futures contracts

$ 79,068,127  

December 31, 2021  

Commodity contracts 

Receivable for variation margin on open

futures contracts

Payable for variation margin on open

futures contracts

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:

The following table shows the effect of the open futures contracts, by risk exposure category, on the statements of operations for the three and six months ended June 30, 2022 and 2021:

Statements of

2 unchanged sentences

Appreciation/Depreciation

Three Months Ended March 31, 2022  

Three Months Ended June 30, 2022  

Commodity contracts

Net realized gain (loss) from futures contracts

$ 104,723,600  

Net change in unrealized appreciation/depreciation on futures contracts

( 67,121,004 )

Three Months Ended June 30, 2021  

Commodity contracts

Net realized gain (loss) from futures contracts

$ 119,959,860  

Net change in unrealized appreciation/depreciation on futures contracts

62,102,165  

Six Months Ended June 30, 2022  

Commodity contracts  

3 unchanged sentences

( 291,710,432 )

Three Months Ended March 31, 2021  

Six Months Ended June 30, 2021  

Commodity contracts  

1 unchanged sentence

$ 322,900,525  

Net change in unrealized appreciation/depreciation on futures contracts  

( 25,457,145 )

Investment Valuation

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.

16 unchanged sentences

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

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

The following table summarizes the value of each of the Trust’s investments by the fair value hierarchy levels as of June 30, 2022 and December 31, 2021:

Level 1  

1 unchanged sentence

Level 3  

March 31, 2022  

June 30, 2022  

Futures contracts (a)

$ ( 254,703,511 )  

$ 187,582,507  

Treasury bills

$ ( 254,703,511 )

Treasury bills and notes

2,055,924,486  

12 unchanged sentences

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

In some cases, such forward‑looking statements can be identified by terminology such as “may,”

“should,”

“could,”

“expect,”

“plan,”

“anticipate,”

“believe,”

“estimate,”

“predict,”

“potential”

In some cases, such forward ‑

looking statements can be identified by terminology such as “

may, ”

should, ”

could, ”

expect, ”

plan, ”

anticipate, ”

believe, ”

estimate, ”

predict, ”

potential ”

or the negative of these terms or other comparable terminology.

2 unchanged sentences

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

Whether or not actual results and developments will conform to the Sponsor’s expectations and predictions, however, is subject to a number of risks and uncertainties, including the special considerations discussed below, general economic, market and business conditions, changes in laws or regulations, including those concerning taxes, made by governmental authorities or regulatory bodies, and other world economic and political developments.

Whether or not actual results and developments will conform to the Sponsor ’

s expectations and predictions, however, is subject to a number of risks and uncertainties, including the special considerations discussed below, general economic, market and business conditions, changes in laws or regulations, including those concerning taxes, made by governmental authorities or regulatory bodies, and other world economic and political developments.

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

Except as required by applicable disclosure laws, none of the Trust, the Sponsor, the Advisor, the Trustee or the Delaware Trustee is under a duty to update any of the forward‑looking statements to conform such statements to actual results or to a change in expectations or predictions.

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

looking statements to conform such statements to actual results or to a change in expectations or predictions.

The iShares S&P GSCI™

48 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 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 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.

The Quarter Ended June 30, 2022

The Trust’s net asset value decreased from $2,141,840,845 at March 31, 2022 to $2,009,090,037 at June 30, 2022.

The decrease in the Trust’s net asset value resulted primarily from a net decrease in the number of outstanding Shares, which fell from 94,400,000 Shares at March 31, 2022 to 87,150,000 Shares at June 30, 2022, a consequence of 1,850,000 Shares (37 Baskets) being created and 9,100,000 Shares (182 Baskets) being redeemed during the quarter.

The decrease in the Trust’s net asset value was partially offset by a net increase in net assets resulting from operations.

The 1.59% increase in the NAV from $22.69 at March 31, 2022 to $23.05 at June 30, 2022 is directly related to the 1.73% 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 June 30, 2022 was $35,367,071, resulting from a net realized and unrealized gain of $36,875,987, offset by a net investment loss of $1,508,916.

For the quarter ended June 30, 2022, the Trust had a net realized and unrealized loss of $726,609 on short-term investments and a net realized and unrealized gain of $37,602,596 on futures contracts.

Other than the Sponsor’s fees of $4,090,111 and brokerage commissions and fees of $387,291, the Trust had no expenses during the quarter.

The Six-Month Period Ended June 30, 2022

The Trust’s net asset value increased from $1,431,810,115 at December 31, 2021 to $2,009,090,037 at June 30, 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 83,750,000 Shares at December 31, 2021 to 87,150,000 Shares at June 30, 2022, a consequence of 20,450,000 Shares (409 Baskets) being created and 17,050,000 Shares (341 Baskets) being redeemed during the period.

The 34.80% increase in the NAV from $17.10 at December 31, 2021 to $23.05 at June 30, 2022 is directly related to the 35.33% 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 period was $544,152,173, resulting from a net realized and unrealized gain of $549,082,651, offset by a net investment loss of $4,930,478.

For the six months ended June 30, 2022, the Trust had a net realized and unrealized loss of $693,755 on short-term investments and a net realized and unrealized gain of $549,776,406 on futures contracts.

Other than the Sponsor’s fees of $7,549,937 and brokerage commissions and fees of $796,897, the Trust had no expenses during the period.

Liquidity and Capital Resources

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’s assets as of June 30, 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.

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

As of March 31, 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.

As of June 30, 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