What changed in this filing

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Item 1A. Risk Factors

2023-02-23 compared with 2022-03-01 · 66 added, 56 removed, 425 unchanged (22% of the section changed)

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Risk Factors Relating to Commodities Markets

The value of the Shares depends on the value of Index Futures, which fluctuates based on the prices of commodity futures contracts reflected in the S&P GSCI-ER.

The value of the Shares depends on the value of Index Futures, which fluctuates based on the prices of commodity futures contracts reflected in the S&P GSCI-ER.

These prices may be volatile, thereby creating the potential for losses regardless of the length of time you intend to hold your Shares.

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

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

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

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

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

In April 2020, the collapse of demand for fuel as a result of economic conditions relating to COVID-19 and other factors created an oversupply of crude oil that rapidly filled most available oil storage facilities.

As a result, market participants that had agreed to take delivery of crude oil under the May 2020 WTI crude oil futures contract were at risk of default.

In response, certain market participants took the extreme measure of selling their futures contracts at a negative price.

This caused the May 2020 WTI crude oil futures contract to trade at a negative price.

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A significant increase in hedging activity by producers of the underlying commodities.

Should producers of the commodities underlying the S&P GSCI-ER increase their hedging of their future production through forward sales or other short positions, this increased selling pressure could depress the price of one or more of the underlying commodities, which could adversely affect the price of the Shares.

Should producers of the commodities underlying the S&P GSCI-ER increase their hedging of their future production through forward sales or other short positions, this increased selling pressure could depress the price of one or more of the underlying commodities, which could adversely affect the price of the Shares.

A significant change in the attitude of speculators and investors toward the futures contracts or commodities underlying the S&P GSCI-ER.

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

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

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

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

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The commodity futures markets are subject to temporary distortions or other disruptions due to various factors, including the lack of liquidity, congestion, disorderly markets, manipulation, limitations on deliverable supplies, the participation of speculators, government regulation and intervention, technical and operational or system failures, nuclear accidents, terrorism, riots and acts of God.

In connection with such events, a futures exchange may determine to halt trading, to cancel trades executed during a specified period, and to take other actions it deems appropriate.

In addition, U.S.

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

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

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

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

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Many of these legislative proposals have not been enacted but could be in the future.

In 2010, Congress adopted certain anti-speculative proposals in the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”).

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

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

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

In October 2020, the CFTC approved final rule amendments (the “Final Position Limits Rules”) to its regulations of federal position limits on futures and options on certain energy, metal, and agricultural commodities and economically equivalent swaps (collectively, “Referenced Contracts”).

Among other things, the Final Position Limits Rules include federal spot month position limits for derivatives contracts associated with 25 physical commodities (i.e., the nine “legacy”

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

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

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

The CFTC has adopted federal position limits for commodity derivatives (the “Final Position Limits Rules”), which include as referenced contracts, a number of the futures contracts included in the S&P GSCI-ER, and as of the date of this report such contracts represent a substantial portion of the weight of the S&P GSCI-ER.

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

Moreover, because the relative weights of the commodities in the S&P GSCI-ER are largely determined based on the trading volume of the futures contracts designated for such commodities, a reduction in the trading volume of such futures contracts could significantly alter the weights of the futures contracts underlying the S&P GSCI-ER, which could have further adverse effects on the level of the S&P GSCI-ER and the value of your Shares.

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

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

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

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

CFTC staff has granted relief, until the earlier of August 12, 2025 or the effective date of a rulemaking codifying such relief, from various conditions and requirements in the final aggregation rules, including the “substantially identical trading strategies”

aggregation requirement.

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These prices may be volatile, thereby creating the potential for losses regardless of the length of time you intend to hold your Shares.”

In addition to federal position limits adopted by the CFTC, the CME has established position limits applicable to the Index Futures held by the Trust.

In addition, the Trust’s Clearing FCM may reduce its internal risk limits on the size of positions in Index Futures that the Clearing FCM trades or clears for the Trust.

As of the date of this report, internal risk limits implemented by the Clearing FCM do not constrain the size of positions in Index Futures that it will trade or clear for the Trust.

If the Trust were to reach a position limit established by the CME or if the Trust’s Clearing FCM were to reduce its internal risk limits on the size of positions in Index Futures that it trades or clears for the Trust, this could adversely impact the Trust’s ability to transact in Index Futures, issue new Shares or reinvest income in additional Index Futures positions.

From August 24, 2009 to April 26, 2010, the Trust suspended the issuance of new Shares because the Trust could not invest the proceeds of new issuances in additional Index Futures positions due to restrictions on speculative position limits imposed by the CME.

The liquidity of the Shares and the correlation between the value of the Shares and the level of the S&P GSCI-ER may be adversely affected in the event of any such suspension of issuance.

The Trust may be negatively impacted by the effects of the spread of illnesses or other public health emergencies on the global economy and the markets and service providers relevant to the performance of the Trust.

An outbreak of an infectious respiratory illness, COVID-19, caused by a novel coronavirus was first detected in China in December 2019 and has now been spread globally.

This outbreak has resulted in travel restrictions, closed international borders, enhanced health screenings at ports of entry and elsewhere, disruption of and delays in healthcare service preparation and delivery, prolonged quarantines, cancellations, supply chain disruptions, disruptions in markets, lower consumer demand, layoffs, defaults and other significant economic impacts, as well as general concern and uncertainty.

Further, certain markets in which the Trust may invest may be subject to closures, and there can be no assurance that the ability to invest in Index Futures will continue in any segment of the markets in which the Trust invests, when any resumption of trading will occur or, once such markets resume trading, whether they will face further closures.

Any suspension of the ability to invest in the Index Futures in which the Trust invests will impact the Trust’s ability to purchase Index Futures and could cause the Trust to suspend the issuance of new Shares.

The outbreak will continue to have serious negative effects on social, economic and financial systems, including significant uncertainty and volatility in the financial markets.

The outbreak has caused increased volatility in the market for the Index Futures and the underlying futures contracts, which has led to increased trading spreads in the Index Futures and the underlying futures contracts, a higher than usual number of trading or price limits for certain underlying futures, reduced liquidity in the markets for the underlying futures contracts, and increased premium or discount in the Shares.

A prolonged outbreak could result in an increase of the costs of the Trust, affect liquidity in the market for the Index Futures or the underlying futures contracts, as well as the correlation between the price of the Shares and the net asset value of the Trust, any of which could adversely affect the value of your Shares.

In addition, the outbreak could also impair the information technology and other operational systems upon which the Trust’s service providers, including the Sponsor, the Trustee and the Advisor, rely, and could otherwise disrupt the ability of employees of the Trust’s service providers to perform essential tasks on behalf of the Trust.

The impact of this outbreak has adversely affected the economies of many nations and the entire global economy and may impact individual issuers and capital markets in ways that cannot be foreseen.

In the past, governmental and quasi-governmental authorities and regulators throughout the world have at times responded to major economic disruptions with a variety of fiscal and monetary policy changes, including, but not limited to, direct capital infusions into companies and other issuers, new monetary tools and lower interest rates.

An unexpected or sudden reversal of these policies, or the ineffectiveness of these policies, is likely to increase volatility in the market for the Index Futures or the underlying futures contracts, which could adversely affect the price of the Shares.

Other infectious illness outbreaks that may arise in the future could have similar impacts or other unforeseen effects.

Public health crises caused by the outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally.

The duration of the outbreak and its effects cannot be determined with certainty.

The impact of the COVID-19 pandemic has adversely affected the economies of many nations and the entire global economy as well as individual issuers, assets and capital markets and could continue to, and other future public health emergencies could, have serious negative effects on social, economic and financial systems, including significant uncertainty and volatility in the financial markets.

For instance, the COVID-19 pandemic caused increased volatility in the market for the Index Futures and the underlying futures contracts, which led to increased trading spreads in the Index Futures and the underlying futures contracts, a higher than usual number of trading or price limits for certain underlying futures, reduced liquidity in the markets for the underlying futures contracts, and increased premium or discount in the Shares.

Future infectious illness outbreaks or other public health emergencies could have similar or other unforeseen impacts and may exacerbate pre-existing political, social and economic risks in certain countries or globally, which could adversely affect the value of the Shares.

A prolonged COVID-19 pandemic or other future public health emergencies could result in an increase of the costs of the Trust and affect liquidity in the market for the Index Futures or the underlying futures contracts, as well as the correlation between the price of the Shares and the net asset value of the Trust, any of which could adversely affect the value of your Shares.

In addition, the COVID-19 pandemic or other future public health emergencies could impair the information technology and other operational systems upon which the Trust's service providers, including the Sponsor, the Trustee and the Advisor, rely, and could otherwise disrupt the ability of employees of the Trust's service providers to perform essential tasks on behalf of the Trust. 

Governmental and quasi-governmental authorities and regulators throughout the world have at times responded to major economic disruptions with a variety of fiscal and monetary policy changes, including, but not limited to, direct capital infusions into companies and other issuers, new monetary tools and lower interest rates.

Russia's invasion of Ukraine, and sanctions brought by the United States and other countries against Russia, have resulted in significant disruptions and increased volatility in the markets for certain commodities, including energy, precious metals, agriculture and other sectors.

Russia launched a large-scale invasion of Ukraine on February 24, 2022.

Among other things, the conflict has led to disruptions and increased volatility in the markets for certain commodities, including energy, precious metals, agriculture and other sectors, as well as for certain commodity futures contracts that make up the S&P GSCI-ER due to actual and potential disruptions in the supply of commodities underlying such contracts.

The United States, other countries and certain international organizations have imposed broad ranging economic sanctions on Russia and certain Russian corporations and individuals.

In March 2022, the United States announced that it would ban imports of oil, natural gas and coal from Russia.

As a result, the invasion of

Ukraine and related events have contributed to backwardation (i.e., when current prices are higher than future prices) in the market for energy futures contracts such as crude oil, heating oil and natural gas.

The impact on commodities and futures prices of the U.S.

ban, as well as the extent and duration of the military action, resulting sanctions and associated market disruptions, are impossible to predict and depend on a number of factors.

The impact of these events or any related developments could be significant and may have a severe adverse effect on the performance of the Index and the value of the Shares.

Risk Factors Relating to Index Futures and the S&P GSCI-ER

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

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

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

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

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

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

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

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

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

The Trust ’

s performance could be adversely affected if the Clearing FCM reduces its internal risk limits for the Trust.

The CFTC requires FCMs, such as the Clearing FCM, to implement and periodically evaluate risk-based limits on futures positions and order sizes.

Under this regime, the Clearing FCM could determine to reduce its internal risk limits on the size of futures positions it will trade or clear for the Trust.

Such a development would reduce the Trust’s capacity to transact in Index Futures.

In this scenario, the Trust could seek to enter into clearing relationships with one or more other clearing FCMs with the goal of increasing its overall capacity to trade and clear Index Futures.

The introduction of one or more additional clearing broker relationships would be likely to increase the Trust’s trading costs and could make its overall trading less efficient and more prone to error.

These consequences could have an adverse impact on the Trust’s performance.

Recourse to the Index Sponsor may be limited.

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The S&P GSCI™, the S&P GSCI-ER and the Index are determined and composed by the Index Sponsor and calculated by the Index Sponsor or its agents without regard to the Sponsor, the Trustee or the Trust.

The Index Sponsor has no obligation to take the needs of the Sponsor, the Trustee, the Trust or the Shareholders into consideration in determining, composing or calculating the S&P GSCI™, the S&P GSCI-ER or the Index.

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

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

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

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These risks cannot be fully mitigated or prevented, and further efforts or expenditures to do so may not be cost‑effective, whether due to reduced benefits from implementing additional or redundant safeguards or due to increases in associated maintenance requirements and other expenses that may make it more costly for the Trust to operate in more typical circumstances.

The Trust relies on the information and technology systems of the Custodian, the Trustee and, to a lesser degree, the Sponsor, which could be adversely affected by information systems interruptions, cybersecurity attacks or other disruptions which could have a material adverse effect on our record keeping and operations.

The Trustee, the Trust Administrator, the Advisor, the Clearing FCM and, to a lesser degree, the Sponsor, depend upon information technology infrastructure, including network, hardware and software systems to conduct their business as it relates to the Trust.

A cybersecurity incident, or a failure to protect their computer systems, networks and information against cybersecurity threats, could result in loss or unintended disclosure of information or loss or theft of the Trust assets, and could adversely impact the ability of the Trust’s service providers to conduct their business, including their business on behalf of the Trust.

Despite implementation of network and other cybersecurity measures, these security measures may not be adequate to protect against all cybersecurity threats.

The price you receive upon the sale of your Shares may be less than their NAV.

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See also “Risk Factors Relating to Commodities Markets—Regulatory developments with respect to the futures and over-the-counter derivatives markets, and in particular, with respect to speculative trading in futures contracts and over-the-counter derivatives involving commodities and commodity indices, could adversely affect the value of your Shares.”

On May 13, 2020, the CFTC published a Staff Advisory on Risk Management and Market Integrity under Current Market Conditions addressed to DCMs, FCMs and derivatives clearing organizations (“DCOs”) registered with the CFTC (the “Staff Advisory”).

The Staff Advisory notes that adverse economic conditions resulting from the COVID-19 pandemic have coincided with substantially increased market volatility in key agricultural, energy, and financial sectors, including the futures and options on futures markets regulated by the CFTC, and that the impact has been particularly acute for contracts that call for physical delivery of the underlying commodity.

The Staff Advisory notes DCMs, FCMs and DCOs should prepare for the possibility that certain contracts may continue to experience extreme market volatility, low liquidity and possibly negative pricing.

Such preparations include assessment of risk controls and related mechanisms in light of market conditions, including whether such risk controls and related mechanisms are reasonably designed, fit for purpose, and appropriately implemented.

In response to the Staff Advisory and other factors, the Trust may be subject to increased margin requirements and limitations on the size of positions that the Trust may take in Index Futures.

Other market participants may also be subject to increased margin requirements and position limits, adversely affecting the liquidity and price of Index Futures and the underlying futures.

Such events could force the Trust or other market participants to sell Index Futures, or encourage market participants to sell or redeem their Shares.

Shareholders do not have the rights normally associated with ownership of common shares ;

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

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

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

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

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

above and “Risk Factors Relating to Commodities Markets —

above and “Risk Factors Relating to Commodities Markets — Regulatory developments with respect to the futures and over-the-counter derivatives markets, and in particular, with respect to speculative trading in futures contracts and over-the-counter derivatives involving commodities and commodity indices, could adversely affect the value of your Shares.”

NYSE Arca may halt trading in the Shares, which would adversely impact your ability to sell your Shares.

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Trading in the Shares may be halted due to market conditions or, in light of NYSE Arca rules and procedures, for reasons that, in the view of NYSE Arca, make trading in the Shares inadvisable, or in the event certain information about the Index, the value of the Shares and the NAV is not made available as required by such rules and procedures.

In addition, trading generally on NYSE Arca is subject to trading halts caused by extraordinary market volatility pursuant to circuit breaker rules that require trading to be halted for a specified period based on a specified market decline.

In addition, trading generally on NYSE Arca is subject to trading halts caused by extraordinary market volatility pursuant to “circuit breaker”

rules that require trading to be halted for a specified period based on a specified market decline.

There can be no assurance that the requirements necessary to maintain the listing of the Shares will continue to be met or will remain unchanged.

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In addition, it is expected that Goldman Sachs or its accountholders will represent, directly or indirectly, a substantial portion of the short-side market for the Index Futures.

Further, Goldman Sachs and its affiliates actively trade futures contracts and options on futures contracts on the commodities that underlie the S&P GSCI™, over-the-counter contracts on these commodities, the underlying commodities included in the S&P GSCI™

Further, Goldman Sachs and its affiliates actively trade futures contracts and options on futures contracts on the commodities that underlie the S&P GSCI™, over-the-counter contracts on these commodities, the underlying commodities included in the S&P GSCI™

and other instruments and derivative products based on the S&P GSCI™

and the S&P GSCI-ER.

Any of these activities of Goldman Sachs or its affiliates could adversely affect the level of the S&P GSCI-ER or the Index Futures, directly or indirectly, by affecting the price of the underlying commodities and, therefore, the value of the S&P GSCI‑ER, the Index Futures and the price of the Shares.

Goldman Sachs and its affiliates may also issue or underwrite other securities or financial or derivative instruments with returns indexed to the S&P GSCI™, the S&P GSCI-ER or the Index, which would compete with the Shares.

Any of these activities of Goldman Sachs or its affiliates could adversely affect the level of the S&P GSCI-ER or the Index Futures, directly or indirectly, by affecting the price of the underlying commodities and, therefore, the value of the S&P GSCI‑ER, the Index Futures and the price of the Shares.

Goldman Sachs and its affiliates may also issue or underwrite other securities or financial or derivative instruments with returns indexed to the S&P GSCI™, the S&P GSCI-ER or the Index, which would compete with the Shares.

By introducing competing products into the marketplace, Goldman Sachs and its affiliates could adversely affect the price of the Shares.

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federal income tax purposes involves the application of numerous technical provisions under which there is a lack of direct authority.

In general, if a partnership is publicly traded, as defined in the Code, it will be treated as a corporation for U.S.

In general, if a partnership is “publicly traded”, as defined in the Code, it will be treated as a corporation for U.S.

federal income tax purposes.

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A publicly traded partnership will, however, be taxed as a partnership, and not as a corporation, for U.S.

federal income tax purposes, so long as 90% or more of its gross income for each taxable year constitutes qualifying income within the meaning of Section 7704(d) of the Code and the partnership is not required to register under the Investment Company Act.

federal income tax purposes, so long as 90% or more of its gross income for each taxable year constitutes “qualifying income”

within the meaning of Section 7704(d) of the Code and the partnership is not required to register under the Investment Company Act.

This exception is referred to as the “qualifying income exception.”

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federal income tax, including a 10% withholding tax, on the disposition of their Shares.

It is expected that the Trust will be treated as a publicly traded partnership for U.S.

federal income tax purposes, and investors are expected to be taxed as partners in a partnership.

Although the Trust intends to conduct its activities in a manner that avoids the conduct of a U.S.

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federal income tax.

In addition, the transferee of the Shares or the applicable withholding agent would be required to deduct and withhold a tax equal to 10% of the amount realized by the transferor on the disposition, which would include an allocable portion of the Trust’s liabilities and would therefore generally exceed the amount of cash received by the transferor in the disposition, unless the transferor provides an affidavit stating the transferor’s taxpayer identification number and that the transferor is not a foreign person.

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

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

In addition, the transferee of the Shares or the applicable withholding agent generally would be required to deduct and withhold a tax equal to 10% of the amount realized by the transferor on the disposition, which would include an allocable portion of the Trust’s liabilities and would therefore generally exceed the amount of cash received by the transferor in the disposition, unless an exception to withholding applies, including if the transferor provides an affidavit stating the transferor’s taxpayer identification number and that the transferor is not a foreign person. Another exception to this withholding requirement applies if the Trust properly certifies via public notice that it was not engaged in a trade or business within the United States at any time during the Trust's taxable year through the date designated on the public notice.

The Trust intends to post a quarterly notice to the Fund's website confirming that it has not engaged in a U.S.

trade or business.

This notice is intended to allow non-U.S.

Shareholders to indicate that the amount realized on the transfer of their Shares should not be subject to this withholding tax.

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

The withholding requirements with respect to the disposition of an interest in a publicly traded partnership apply to dispositions made on or after January 1, 2023. Investors in the Shares are urged to consult their tax advisors regarding these rules and their potential impact.

Unresolved Staff Comments.

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Compared sentence by sentence after normalising whitespace, quotation marks, case and digits, so re-formatting and restated figures do not read as changed language. Wording changes appear as one removal and one addition. The current filing and the prior one are authoritative.

What changed 10-K

Item 1A. Risk Factors