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Item 1. Financial Statements

2022-11-01 compared with 2022-08-04 · 217 added, 214 removed, 640 unchanged (40% 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 June 30, 2022 and December 31, 2021

At September 30, 2022 and December 31, 2021

September 30,

Assets  

$ 15,264,063  

6 unchanged sentences

85,581,308  

Receivable for interest income

1,456,146,638  

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 and six months ended June 30, 2022 and 2021

For the three and nine months ended September 30, 2022 and 2021

Three Months Ended

Six Months Ended

Investment Income  

September 30,

Nine Months Ended

September 30,

Investment Income

$ 7,031,116  

7 unchanged sentences

290,406  

Expenses  

Sponsor’s fees

13 unchanged sentences

7,783,547  

Net Investment loss

Net Investment Income (loss)

3,616,275  

2 unchanged sentences

( 7,493,141 )

Net Realized and Unrealized Gain (Loss)  

Net realized gain (loss) from:

2 unchanged sentences

( 1,506 )  

( 37,282 )  

Futures contracts

3 unchanged sentences

333,696,632  

Net realized gain

Net realized gain (loss)

( 394,982,732 )  

11 unchanged sentences

( 91,314,739 )  

( 25,457,145 )

26,530,264  

Net change in unrealized appreciation/depreciation

2 unchanged sentences

( 91,288,479 )  

( 25,528,778 )

Net realized and unrealized gain

26,509,631  

Net realized and unrealized gain (loss)

( 193,869,983 )  

1 unchanged sentence

355,212,668  

Net increase in net assets resulting from operations

360,205,383  

Net increase (decrease) in net assets resulting from operations

$ ( 190,253,708 )  

1 unchanged sentence

$ 353,898,465  

Net increase in net assets per Share (a)

$ 352,712,242  

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

$ ( 2.51 )  

1 unchanged sentence

$ 4.13  

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

$ 4.37  

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

See notes to financial statements.

1 unchanged sentence

Statements of Changes in Net Assets (Unaudited)

For the three and six months ended June 30, 2022

Six Months Ended

June 30, 2022

For the three, six and nine months ended September 30, 2022

Nine Months Ended

September 30, 2022

Net Assets at December 31, 2021

38 unchanged sentences

$ 2,009,090,037  

Shares issued and redeemed

Shares issued

Net investment income

3,616,275  

Shares redeemed

Net realized loss

( 394,982,732 )

Net increase in Shares issued and outstanding

Net change in unrealized appreciation/depreciation

201,112,749  

Net decrease in net assets resulting from operations

( 190,253,708 )

Capital Share Transactions  

Contributions for Shares issued

38,664,493  

Distributions for Shares redeemed

( 421,281,403 )

Net decrease in net assets from capital share transactions

( 382,616,910 )

Decrease in net assets

( 572,870,618 )

Net Assets at September 30, 2022

$ 1,436,219,419  

Shares issued and redeemed  

Shares issued  

22,200,000  

Shares redeemed  

( 36,200,000 )

Net decrease in Shares issued and outstanding  

( 14,000,000 )

See notes to financial statements.

1 unchanged sentence

Statements of Changes in Net Assets (Unaudited)

For the three and six months ended June 30, 2021

Six Months Ended

June 30, 2021

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

Nine Months Ended

September 30, 2021

Net Assets at December 31, 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

286,688,506  

Net Assets at March 31, 2021

$ 1,114,035,126  

Net investment loss

1,114,035,126

Net investment loss

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  

1,359,450,396

Net investment loss

Net realized gain

Net change in unrealized appreciation/depreciation

Net decrease in net assets resulting from operations

Capital Share Transactions

Contributions for Shares issued

Distributions for Shares redeemed

( 125,347,633

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

Shares issued and redeemed

Shares issued

26,500,000  

Shares redeemed

( 9,200,000 )

Net increase in Shares issued and outstanding

17,300,000  

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 six months ended June 30, 2022 and 2021

Six Months Ended June 30,

For the nine months ended September 30, 2022 and 2021

Nine Months Ended

September 30,

Cash Flows from Operating Activities

11 unchanged sentences

( 10,444,065 )  

Net realized (gain) loss on short-term investments

Net realized gain on short-term investments

37,282  

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

2 unchanged sentences

Change in operating assets and liabilities:

Receivable for variation margin on open futures contracts  

( 2,847,649 )

Receivable for interest income  

( 10,890 )  

Payable for variation margin on open futures contracts  

1,659,166  

Payable for investment securities purchased  

( 11,072,297 )

Payable for investment securities purchased

( 89,994,437 )  

Sponsor’s fees payable  

62,488  

286,292  

Net cash provided by (used in) operating activities  

323,127,650  

( 143,875,627 )

Cash Flows from Financing Activities  

Contributions for Shares issued  

Cash Flows from Financing Activities

Contributions for Shares issued

461,903,428  

400,778,684  

Distributions for Shares redeemed  

( 811,392,589 )  

( 263,897,951 )

Net cash provided by (used in) financing activities  

( 349,489,161 )  

136,880,733  

Net increase (decrease) in cash  

Net decrease in cash

( 26,361,511 )  

( 6,994,894 )

Beginning of period  

Unrestricted –

8 unchanged sentences

Schedules of Investments (Unaudited)

At June 30, 2022 and December 31, 2021

June 30, 2022

Security Description  

Face Amount  

Fair Value  

At September 30, 2022 and December 31, 2021

September 30, 2022

Security Description

Treasury bills (a)(b) :

0.71% due 7/05/22  

$ 50,000,000  

$ 49,995,172  

0.74%  –

0.79% due 7/12/22  

295,000,000  

294,913,467  

1.01% due 7/14/22  

18,500,000  

18,492,884  

1.02% due 7/19/22  

30,000,000  

29,984,663  

0.82% due 7/21/22  

100,000,000  

99,943,611  

2.33% –

1.22% due 7/26/22  

82,000,000  

81,941,774  

1.25% due 7/28/22  

2.41% due 10/04/22

$ 155,000,000  

$ 154,989,598  

0.93% –

1.06% due 8/02/22  

2.25%  –

2.27% due 10/06/22

45,000,000  

44,990,803  

0.92% due 8/04/22  

2.30%  –

2.44% due 10/11/22

190,000,000  

189,896,557  

0.98% due 8/09/22  

2.49%  –

2.53% due 10/18/22

110,000,000  

1 unchanged sentence

2.41%  –

1.27% due 8/11/22  

2.48% due 10/20/22

150,000,000  

149,819,109  

1.04% due 8/16/22  

2.62% due 10/25/22

25,000,000  

24,961,271  

1.04% due 8/18/22  

2.52% due 10/27/22

50,000,000  

49,914,208  

1.06% due 8/23/22  

2.66% due 11/01/22

75,000,000  

74,838,763  

1.27% due 8/25/22  

2.63% due 11/03/22

30,000,000  

29,931,210  

1.15% due 8/30/22  

2.58%  –

2.78% due 11/08/22

125,000,000  

124,661,406  

1.12% due 9/01/22  

2.54% due 11/10/22

74,000,000  

73,788,807  

1.19% –

1.38% due 9/06/22  

2.58%  –

2.90% due 11/15/22

90,000,000  

89,695,506  

1.26% due 9/08/22  

2.62%  –

2.69% due 11/17/22

100,000,000  

99,643,750  

1.21% due 9/13/22  

2.62%  –

2.70% due 11/22/22

100,000,000  

99,592,534  

1.24% –

1.57% due 9/15/22  

2.91% due 12/01/22

50,000,000  

49,761,747  

1.31% due 9/20/22  

2.94% due 12/06/22

25,000,000  

24,868,667  

Treasury notes (a)(b) :

1.35% due 7/31/22  

3.23% due 12/22/22

50,000,000  

49,644,667  

Treasury bills and notes (Cost:

Treasury bills (Cost:

$ 1,440,833,981 )  

10 unchanged sentences

A portion of the above U.S.

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

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

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

Number of Contracts  

1 unchanged sentence

Current Notional Amount  

Net Unrealized Appreciation

(Depreciation)

Net Unrealized Appreciation (Depreciation)  

46,953  

September 16, 2022  

December 15, 2022  

$ 1,435,099,664  

1 unchanged sentence

December 31, 2021

Security Description  

Face Amount  

Fair Value  

Security Description

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  

34,997,273  

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  

1 unchanged sentence

Treasury bills (Cost:

$ 1,498,362,211 )  

1,498,384,543  

1 unchanged sentence

1,498,384,543  

Other Assets, Less Liabilities –

(4.65)%  

( 66,574,428 )

1 unchanged sentence

$ 1,431,810,115  

A portion of the above U.S.

5 unchanged sentences

Current Notional Amount  

Net Unrealized Appreciation

(Depreciation)

Net Unrealized Appreciation (Depreciation)  

56,436  

3 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)

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.

September 30, 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.

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.

2  - Significant Accounting Policies

Significant Accounting Policies

Basis of Accounting

The following significant accounting policies are consistently followed by the Trust in the preparation of its financial statements in conformity with U.S.

The following significant accounting policies are consistently followed by the Trust in the preparation of its financial statements in conformity with U.S. GAAP.

The preparation of financial statements in conformity with U.S.

23 unchanged sentences

These investments are valued at fair value.

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.

As of September 30, 2022 and December 31, 2021, the Trust had restricted short-term investments held at the broker of $ 122,796,360 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 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.

The Sponsor has analyzed the tax positions as of September 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

2 unchanged sentences

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 business 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.

3 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.

7 unchanged sentences

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

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.

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 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

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 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

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 six months ended June 30, 2022 and 2021.

Financial Highlights

The following financial highlights relate to investment performance and operations for a Share outstanding for the three and nine months ended September 

2022 and 2021.

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Net asset value per Share, beginning of period

3 unchanged sentences

$ 12.30  

Net investment loss (a)

Net investment income (loss) (a)

( 0.03 )  

( 0.02 )  

Net realized and unrealized gain (loss) (b)

( 2.51 )  

Net realized and unrealized gain (b)

Net increase in net assets from operations

Net increase (decrease) in net assets from operations

( 2.46 )  

Net asset value per Share, end of period

4 unchanged sentences

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

( 10.67 )%  

4.85 %  

20.41 %  

Ratio to average net assets:

Net investment loss (e)

Net investment income (loss) (e)

0.85 %  

1 unchanged sentence

( 0.09 )%  

0.80 %  

0.85 %  

0.82 %  

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.

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.

The commodities markets have historically been extremely volatile.

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:

For the nine months ended September 

2022 and the year ended December 31, 2021, the average month-end notional amounts of open Index Futures were $ 1,846,523,605 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 September 30, 2022 and December 31, 2021:

Asset Derivatives

Fair Value  

Liability Derivatives

June 30, 2022  

September 30, 2022

Commodity contracts

Receivable for variation margin on open futures contracts  

Payable for variation margin on open futures contracts

2 unchanged sentences

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 and six months ended June 30, 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 nine months ended September 30, 2022 and 2021:

Statements of

2 unchanged sentences

Appreciation/Depreciation

Three Months Ended June 30, 2022  

Commodity contracts

Net realized gain (loss) from futures contracts

Three Months Ended September 30, 2022  

Commodity contracts  

Net realized gain (loss) from futures contracts  

$ ( 394,948,409 )  

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

Net change in unrealized appreciation/depreciation on futures contracts  

200,395,693  

Net change in unrealized appreciation/depreciation on futures contracts

Three Months Ended September 30, 2021  

Commodity contracts  

Net realized gain (loss) from futures contracts  

$ 10,796,107  

Six Months Ended June 30, 2022  

Net change in unrealized appreciation/depreciation on futures contracts  

51,987,409  

Nine Months Ended September 30, 2022  

Commodity contracts  

3 unchanged sentences

( 91,314,739 )

Six Months Ended June 30, 2021  

Nine Months Ended September 30, 2021  

Commodity contracts  

1 unchanged sentence

$ 333,696,632  

Net change in unrealized appreciation/depreciation on futures contracts

( 25,457,145 )

10  - Investment Valuation

Net change in unrealized appreciation/depreciation on futures contracts  

26,530,264  

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 June 30, 2022 and December 31, 2021:

Level 1  

Level 2  

Level 3  

June 30, 2022  

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

September 30, 2022

Futures contracts (a)

1 unchanged sentence

$ ( 54,307,818 )

Treasury bills and notes

Treasury bills

1,440,882,575  

December 31, 2021

Futures contracts (a)

7 unchanged sentences

s Discussion and Analysis of Financial Condition and Results of Operations

This information should be read in conjunction with the financial statements and notes to financial statements included in Item 1 of Part I of this Form 10‑Q.

This information should be read in conjunction with the financial statements and notes to financial statements included in Item 1 of Part I of this Form 10 ‑

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

75 unchanged sentences

Results of Operations

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.

The Quarter Ended September 30, 2022

The Trust’s net asset value decreased from $2,009,090,037 at June 30, 2022 to $1,436,219,419 at September 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 87,150,000 Shares at June 30, 2022 to 69,750,000 Shares at September 30, 2022, a consequence of 1,750,000 Shares (35 Baskets) being created and 19,150,000 Shares (383 Baskets) being redeemed during the quarter.

The Trust’s net asset value was also affected by a net decrease in net assets resulting from operations.

The 10.67% decrease in the NAV from $23.05 at June 30, 2022 to $20.59 at September 30, 2022 is directly related to the 10.91% decrease in the settlement price for the Index Futures.

The NAV decreased slightly less than the settlement price for the Index Futures on a percentage basis due to the interest income from U.S.

Treasury bills.

The net decrease in net assets resulting from operations for the quarter ended September 30, 2022 was $190,253,708, resulting from a net realized and unrealized loss of $193,869,983, offset by net investment income of $3,616,275.

For the quarter ended September 30, 2022, the Trust had a net realized and unrealized gain of $682,733 on short-term investments and a net realized and unrealized loss of $194,552,716 on futures contracts.

Other than the Sponsor’s fees of $3,199,124 and brokerage commissions and fees of $215,717, 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 Nine-Month Period Ended September 30, 2022

The Trust’s net asset value increased from $1,431,810,115 at December 31, 2021 to $1,436,219,419 at September 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 increase in the Trust’s net asset value was partially offset by a net decrease in the number of outstanding Shares, which fell from 83,750,000 Shares at December 31, 2021 to 69,750,000 Shares at September 30, 2022, a consequence of 22,200,000 Shares (444 Baskets) being created and 36,200,000 Shares (724 Baskets) being redeemed during the period.

The 20.41% increase in the NAV from $17.10 at December 31, 2021 to $20.59 at September 30, 2022 is directly related to the 20.57% 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 $353,898,465, resulting from a net realized and unrealized gain of $355,212,668, offset by a net investment loss of $1,314,203.

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.

For the nine months ended September 30, 2022, the Trust had a net realized and unrealized loss of $11,022 on short-term investments and a net realized and unrealized gain of $355,223,690 on futures contracts.

Other than the Sponsor’s fees of $10,749,061 and brokerage commissions and fees of $1,012,614, the Trust had no expenses during the period.

Liquidity and Capital Resources

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’s assets as of September 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.

27 unchanged sentences

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What changed 10-Q

Item 1. Financial Statements