What changed in this filing

/stocks — the workspaceLOADING

Item 1. Financial Statements

2023-11-03 compared with 2023-08-04 · 312 added, 143 removed, 547 unchanged (45% of the section changed)

2 unchanged sentences

Statements of Assets and Liabilities (Unaudited)

At June 30, 2023 and December 31, 2022

At September 30, 2023 and December 31, 2022

September 30,

$ 4,682,206  

10 unchanged sentences

1,221,937,267  

Sponsor’s fees payable

1 unchanged sentence

827,410  

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

11,383,272  

Total Liabilities

16 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, 2023 and 2022

For the three and nine months ended September 30, 2023 and 2022

Three Months Ended

Six Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

$ 14,165,520  

$ 7,031,116  

$ 38,377,733  

$ 10,447,472  

Total investment income

14,165,520  

7,031,116  

38,377,733  

10,447,472  

Sponsor’s fees

2,053,996  

3,199,124  

6,055,752  

10,749,061  

Brokerage commissions and fees

223,882  

215,717  

683,817  

1,012,614  

Total expenses

2,277,878  

3,414,841  

6,739,569  

11,761,675  

Net Investment income (loss)

11,887,642  

3,616,275  

31,638,164  

( 1,314,203 )

Net Realized and Unrealized Gain (Loss)

1 unchanged sentence

Short-term investments

( 34,323 )  

25,335  

Futures contracts

133,698,141  

( 394,948,409 )  

70,797,608  

446,538,429  

Net realized gain (loss)

133,699,703  

( 394,982,732 )  

70,822,943  

446,501,147  

Net change in unrealized appreciation/depreciation on:

Short-term investments

167,444  

717,056  

( 68,653 )  

26,260  

Futures contracts

8,350,484  

200,395,693  

( 44,173,468 )  

( 91,314,739 )

Net change in unrealized appreciation/depreciation

8,517,928  

201,112,749  

( 44,242,121 )  

( 91,288,479 )

Net realized and unrealized gain (loss)

( 115,636,809

142,217,631  

( 193,869,983 )  

26,580,822  

355,212,668  

Net increase (decrease) in net assets resulting from operations

$ 154,105,273  

$ ( 190,253,708 )  

$ 58,218,986  

$ 353,898,465  

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

$ 3.04  

$ ( 2.51 )  

$ 1.11  

$ 4.13  

Net increase (decrease) 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 and six months ended June 30, 2023

Six Months Ended

June 30, 2023

For the three, six and nine months ended September 30, 2023

Nine Months Ended

September 30, 2023

Net Assets at December 31, 2022

1,221,109,857

Net investment gain

$ 1,221,109,857  

Net investment income

10,110,125  

Net realized loss

Net change in unrealized appreciation/depreciation

( 72,863,085 )

Net decrease in net assets resulting from operations

( 63,342,116 )

Capital Share Transactions

Contributions for Shares issued

19,639,766  

Distributions for Shares redeemed

( 97,277,660 )

Net decrease in net assets from capital share transactions

( 77,637,894 )

Decrease in net assets

1 unchanged sentence

Net Assets at March 31, 2023

1,080,129,847

Net investment gain

$ 1,080,129,847  

Net investment income

9,640,397  

Net realized loss

( 62,287,604 )

Net change in unrealized appreciation/depreciation

20,103,036  

Net decrease in net assets resulting from operations

( 32,544,171 )

Capital Share Transactions

Contributions for Shares issued

13,609,124  

Distributions for Shares redeemed

( 68,792,005 )

Net decrease in net assets from capital share transactions

( 55,182,881 )

Decrease in net assets

( 87,727,052 )

Net Assets at June 30, 2023

$ 992,402,795  

Net investment income

11,887,642  

Net realized gain

133,699,703  

Net change in unrealized appreciation/depreciation

8,517,928  

Net increase in net assets resulting from operations

154,105,273  

Capital Share Transactions

Contributions for Shares issued

56,352,120  

Distributions for Shares redeemed

( 53,105,171 )

Net increase in net assets from capital share transactions

3,246,949  

Increase in net assets

157,352,222  

Net Assets at September 30, 2023

$ 1,149,755,017  

Shares issued and redeemed

Shares issued

4,250,000  

Shares redeemed

( 10,800,000 )

Net decrease in Shares issued and outstanding

( 6,650,000 )

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 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

1,431,810,115

$ 1,431,810,115  

Net investment loss

( 3,421,562 )

Net realized gain

736,764,577  

Net change in unrealized appreciation/depreciation

1 unchanged sentence

Net increase in net assets resulting from operations

508,785,102  

Capital Share Transactions

Contributions for Shares issued

376,347,498  

Distributions for Shares redeemed

1 unchanged sentence

Net increase in net assets from capital share transactions

201,245,628  

Increase in net assets

710,030,730  

Net Assets at March 31, 2022

2,141,840,845

$ 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

5 unchanged sentences

Net Assets at June 30, 2022

$ 2,009,090,037  

Net investment income

3,616,275  

Net realized loss

( 394,982,732 )

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

Net increase in Shares issued and outstanding

( 36,200,000 )

Net decrease in Shares issued and outstanding

( 14,000,000 )

See notes to financial statements.

iShares S&P GSCI ™

1 unchanged sentence

Statements of Cash Flows (Unaudited)

For the six months ended June 30, 2023 and 2022

Six Months Ended June 30,

For the nine months ended September 30, 2023 and 2022

Nine Months Ended September 30,  

Cash Flows from Operating Activities

Net increase (decrease) in net assets resulting from operations

Net increase in net assets resulting from operations

$ 58,218,986  

$ 353,898,465  

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

Purchases of short-term investments

( 4,288,681,752

( 6,770,315,665 )  

( 9,666,975,478 )

Sales/maturities of short-term investments

4,534,348,098

7,008,666,792

6,853,731,713  

9,734,910,489  

Accretion of discount

( 38,272,641 )  

( 10,444,065 )

Net realized (gain) loss on short-term investments

( 25,335 )  

37,282  

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

68,653  

Change in operating assets and liabilities:

Receivable for variation margin on open futures contracts

Receivable for interest income

14,408,722  

Payable for variation margin on open futures contracts

11,383,272  

1,659,166  

Payable for investment securities purchased

( 89,994,437 )

Sponsor’s fees payable

( 122,737 )  

62,488  

Net cash provided by (used in) operating activities

129,074,968  

323,127,650  

Cash Flows from Financing Activities

Contributions for Shares issued

89,601,010  

461,903,428  

Distributions for Shares redeemed

( 166,069,665

( 219,174,836 )  

( 811,392,589 )

Net cash provided by (used in) financing activities

( 129,573,826 )  

( 349,489,161 )

Net decrease in cash

( 498,858 )  

( 26,361,511 )

Beginning of period

Unrestricted –

End of period

5,181,064  

41,625,574  

End of period  

Unrestricted –

4,682,206  

15,264,063  

See notes to financial statements.

iShares S&P GSCI ™

Commodity-Indexed Trust

Schedules of Investments (Unaudited)

At June 30, 2023 and December 31, 2022

June 30, 2023

At September 30, 2023 and December 31, 2022

September 30, 2023

Security Description

Treasury bills (a)(b) :

4.46%  –

5.35 % – 

5.40 % due 10/03/23

1 unchanged sentence

$ 158,976,761  

4.69%  –

5.37 % – 

5.39 % due 10/05/23

1 unchanged sentence

99,956,084  

4.96%  –

5.37 % – 

5.39 % due 10/10/23

1 unchanged sentence

83,901,814  

4.98%  –

5.38 % due 10/12/23

1 unchanged sentence

65,903,246  

5.39 % – 

5.40 % due 10/17/23

1 unchanged sentence

60,865,990  

5.06%  –

5.39 % – 

5.42 % due 10/24/23

1 unchanged sentence

106,654,992  

5.40 % – 

5.42 % due 10/26/23

10 unchanged sentences

49,720,542  

5.05%  –

5.40 % – 

5.42 % due 11/14/23

4 unchanged sentences

49,630,903  

Treasury bills (Cost:

5.42 % due 11/24/23

46,000,000  

45,640,480  

Total Investments –

5.39 % due 11/28/23

12,000,000  

11,898,777  

Other Assets, Less Liabilities –

5.43 % due 11/30/23

50,000,000  

Net Assets –

49,563,236  

5.44 % due 12/05/23

50,000,000  

49,527,422  

5.48 % due 12/21/23

75,000,000  

74,114,416  

Treasury bills (Cost:

$ 1,156,831,754 )

1,157,160,756  

Total Investments – 

1,157,160,756  

Other Assets, Less Liabilities – 

( 7,405,739 )

Net Assets – 

$ 1,149,755,017  

A portion of the above U.S.

1 unchanged sentence

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

As of June 30, 2023, the open S&P GSCI-ER futures contracts were as follows:

As of September 30, 2023, the open S&P GSCI-ER futures contracts were as follows:

Number of Contracts  

1 unchanged sentence

Current Notional Amount  

Net Unrealized

Net Unrealized Appreciation

(Depreciation)

35,473  

September 18, 2023  

December 15, 2023  

$ 1,145,909,150  

$ 16,151,230  

See notes to financial statements.

December 31, 2022

1 unchanged sentence

Treasury bills (a)(b) :

3.05% –

3.05 % – 

3.89 % due 1/03/23

1 unchanged sentence

$ 94,000,000  

3.37% –

3.37 % – 

3.87 % due 1/05/23

1 unchanged sentence

119,975,767  

3.81% –

3.81 % – 

4.01 % due 1/10/23

4 unchanged sentences

34,969,615  

3.80% –

3.80 % – 

4.10 % due 1/17/23

1 unchanged sentence

169,756,793  

3.56% –

3.56 % – 

3.86 % due 1/19/23

1 unchanged sentence

70,885,769  

3.68% –

3.68 % – 

4.19 % due 1/24/23

1 unchanged sentence

254,428,687  

3.72% –

3.72 % – 

3.96 % due 1/26/23

4 unchanged sentences

59,816,134  

3.99% –

3.99 % – 

4.01 % due 2/07/23

14 unchanged sentences

Treasury bills (Cost:

$ 1,201,949,825 )  

1,202,347,481  

Total Investments –

98.46%  

$ 1,201,949,825 )

1,202,347,481  

Other Assets, Less Liabilities –

Total Investments – 

1,202,347,481  

Net Assets –

Other Assets, Less Liabilities – 

18,762,376  

Net Assets – 

$ 1,221,109,857  

6 unchanged sentences

Current Notional Amount  

Net Unrealized

Net Unrealized Appreciation

(Depreciation)

7 unchanged sentences

Notes to Financial Statements (Unaudited)

June 30, 2023

1 - Organization

September 30, 2023

1 - Organization

The iShares S&P GSCI™

28 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

2  - 

Significant Accounting Policies

Basis of Accounting

25 unchanged sentences

These investments are valued at fair value.

As of June 30, 2023 and December 31, 2022, the Trust had restricted short-term investments held at the broker of $ 71,026,565 and $ 102,037,820 , respectively, which were posted as margin for the Trust’s Index Futures positions.

As of September 30, 2023 and December 31, 2022, the Trust had restricted short-term investments held at the broker of $ 71,836,027 and $ 102,037,820 , 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, 2023, 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, 2023, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability.

Calculation of Net Asset Value

The net asset value of the Trust on any given day is obtained by subtracting the Trust’s accrued expenses and other liabilities on that day from the value of

( 1 ) the Trust’s Index Futures positions and Collateral Assets on that day, ( 2 ) the interest earned on those assets by the Trust and ( 3 ) any other assets of the Trust, as of 4:00 p.m.

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

(New York time) that day.

6 unchanged sentences

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

3 - Offering of the Shares

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.

4 - 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.

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

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.

6 - 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.

7 - 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.

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, 2023 and 2022.

8 - Financial Highlights

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

2023 and 2022.

Three Months Ended

Six Months Ended

Nine Months Ended  

September 30,

Net asset value per Share, beginning of period

4 unchanged sentences

Net investment income (loss) (a)

( 0.02 )  

Net realized and unrealized gain (loss) (b)

( 2.51 )  

( 2.09 )  

Net increase (decrease) in net assets from operations

( 2.46 )  

( 1.72 )  

Net asset value per Share, end of period

4 unchanged sentences

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

15.59 %  

( 10.67 )%  

6.22 %  

Ratio to average net assets:

Net investment income (loss) (e)

Based on average Shares outstanding during the period.

The amounts reported for a Share outstanding may not accord with the change in aggregate gains and losses on investments for each period due to the timing of Trust Share transactions in relation to the fluctuating fair values of the Trust’s underlying investments.

Based on the change in net asset value of a Share during the period.

Percentage is not annualized.

Percentage is annualized.

9 - Investing in Index Futures

Net investment income (loss) (e)  

4.33 %  

0.85 %  

3.92 %  

Expenses (e)  

0.83 %  

0.80 %  

0.83 %  

(a) Based on average Shares outstanding during the period.

(b) The amounts reported for a Share outstanding may not accord with the change in aggregate gains and losses on investments for each period due to the timing of Trust Share transactions in relation to the fluctuating fair values of the Trust’s underlying investments.

(d) Percentage is not annualized.

(e) Percentage is annualized.

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 six months ended June 30, 2023 and the year ended December 31, 2022, the average month-end notional amounts of open Index Futures were $ 1,081,268,844 and $ 1,745,238,003 , 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, 2023 and December 31, 2022:

Asset Derivatives  

Fair Value  

Liability Derivatives  

Fair Value  

June 30, 2023  

Commodity contracts  

Receivable for variation margin on open futures contracts  

For the nine months ended September 

2023 and the year ended December 31, 2022, the average month-end notional amounts of open Index Futures were $ 1,087,799,095 and $ 1,745,238,003 , 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, 2023 and December 31, 2022:

Asset Derivatives

Liability Derivatives

September 30, 2023

Commodity contracts

Receivable for variation margin on open futures contracts

Payable for variation margin on open futures contracts

$ 11,383,272  

Payable for variation margin on open futures contracts  

December 31, 2022

Commodity contracts 

Receivable for variation margin on open futures contracts  

Commodity contracts

Receivable for variation margin on open futures contracts

$ 14,408,722  

Payable for variation margin on open futures contracts  

The following table shows the effect of the open futures contracts, by risk exposure category, on the Statements of Operations for the three and six months ended June 30, 2023 and 2022:

Payable for variation margin on open futures contracts

The following table shows the effect of the open futures contracts, by risk exposure category, on the Statements of Operations for the three and nine months ended September 30, 2023 and 2022:

Statements of

Operations Location

Net Change in Unrealized Appreciation/Depreciation  

Three Months Ended June 30, 2023  

Net Change in Unrealized

Appreciation/Depreciation

Three Months Ended September 30, 2023  

Commodity contracts  

Net realized gain (loss) from futures contracts  

$ 133,698,141  

Net change in unrealized appreciation/depreciation on futures contracts  

8,350,484  

Three Months Ended June 30, 2022  

Three Months Ended September 30, 2022  

Commodity contracts  

2 unchanged sentences

Net change in unrealized appreciation/depreciation on futures contracts  

( 67,121,004 )

Six Months Ended June 30, 2023  

200,395,693  

Nine Months Ended September 30, 2023  

Commodity contracts  

3 unchanged sentences

( 44,173,468 )

Six Months Ended June 30, 2022  

Nine Months Ended September 30, 2022  

Commodity contracts  

3 unchanged sentences

( 91,314,739 )

10 - 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 June 30, 2023 and December 31, 2022:

Level 1  

Level 2  

Level 3  

June 30, 2023  

Futures contracts (a)  

The following table summarizes the value of each of the Trust’s investments by the fair value hierarchy levels as of September 30, 2023 and December 

September 30, 2023

Futures contracts (a)

$ 16,151,230  

Treasury bills  

1,157,160,756  

1 unchanged sentence

December 31, 2022  

Futures contracts (a)  

$ 60,324,698  

60,324,698  

Treasury bills  

1,202,347,481  

72 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 June 30, 2023

The Trust’s net asset value decreased from $1,080,129,847 at March 31, 2023 to $992,402,795 at June 30, 2023.

The decrease in the Trust’s net asset value resulted primarily from a net decrease in the number of outstanding Shares, which fell from 53,700,000 Shares at March 31, 2023 to 50,900,000 Shares at June 30, 2023, a consequence of 700,000 Shares (14 Baskets) being created and 3,500,000 Shares (70 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 3.03% decrease in the NAV from $20.11 at March 31, 2023 to $19.50 at June 30, 2023 is directly related to the 3.98% 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.

The Quarter Ended September 30, 2023

The Trust’s net asset value increased from $992,402,795 at June 30, 2023 to $1,149,755,017 at September 30, 2023.

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 50,900,000 Shares at June 30, 2023 to 51,000,000 Shares at September 30, 2023, a consequence of 2,600,000 Shares (52 Baskets) being created and 2,500,000 Shares (50 Baskets) being redeemed during the quarter.

The 15.59% increase in the NAV from $19.50 at June 30, 2023 to $22.54 at September 30, 2023 is directly related to the 14.43% increase in the settlement price for the Index Futures.

The NAV increased slightly more 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 June 30, 2023 was $32,544,171, resulting from a net realized and unrealized loss of $42,184,568, offset by net investment income of $9,640,397.

For the quarter ended June 30, 2023, the Trust had a net realized and unrealized loss of $27,051 on short-term investments and a net realized and unrealized loss of $42,157,517 on futures contracts.

The net increase in net assets resulting from operations for the quarter ended September 30, 2023 was $154,105,273, resulting from a net realized and unrealized gain of $142,217,631 and a net investment income of $11,887,642.

For the quarter ended September 30, 2023, the Trust had a net realized and unrealized gain of $169,006 on short-term investments and a net realized and unrealized gain of $142,048,625 on futures contracts.

Other than the Sponsor’s fees of $2,053,996 and brokerage commissions and fees of $223,882, the Trust had no expenses during the quarter.

The Six-Month Period Ended June 30, 2023

The Trust’s net asset value decreased from $1,221,109,857 at December 31, 2022 to $992,402,795 at June 30, 2023.

The decrease in the Trust’s net asset value resulted primarily from a net decrease in the number of outstanding Shares, which fell from 57,550,000 Shares at December 31, 2022 to 50,900,000 Shares at June 30, 2023, a consequence of 1,650,000 Shares (33 Baskets) being created and 8,300,000 Shares (166 Baskets) being redeemed during the period.

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

The 8.11% decrease in the Trust’s NAV from $21.22 at December 31, 2022 to $19.50 at June 30, 2023 is directly related to the 9.80% decrease in the settlement price for the Index Futures.

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

The Nine-Month Period Ended September 30, 2023

The Trust’s net asset value decreased from $1,221,109,857 at December 31, 2022 to $1,149,755,017 at September 30, 2023.

The decrease in the Trust’s net asset value resulted primarily from a net decrease in the number of outstanding Shares, which fell from 57,550,000 Shares at December 31, 2022 to 51,000,000 Shares at September 30, 2023, a consequence of 4,250,000 Shares (85 Baskets) being created and 10,800,000 Shares (216 Baskets) being redeemed during the period.

The Trust’s net asset value benefited from a net increase in net assets resulting from operations.

The 6.22% increase in the Trust’s NAV from $21.22 at December 31, 2022 to $22.54 at September 30, 2023 is directly related to the 3.23% increase in the settlement price for the Index Futures.

The Trust’s NAV increased more 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 period was $95,886,287, resulting from a net realized and unrealized loss of $115,636,809, offset by a net investment income of $19,750,522.

For the six months ended June 30, 2023, the Trust had a net realized and unrealized loss of $212,324 on short-term investments and a net realized and unrealized loss of 115,424,485 on futures contracts.

The net increase in net assets resulting from operations for the period was $58,218,986, resulting from a net realized and unrealized gain of $26,580,822 and a net investment income of $31,638,164.

For the nine months ended September 30, 2023, the Trust had a net realized and unrealized loss of $43,318 on short-term investments and a net realized and unrealized gain of $26,624,140 on futures contracts.

Other than the Sponsor’s fees of $6,055,752 and brokerage commissions and fees of $683,817, the Trust had no expenses during the period.

Liquidity and Capital Resources

The Trust’s assets as of June 30, 2023 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, 2023 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 June 30, 2023, 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 September 30, 2023, 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.

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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-Q

Item 1. Financial Statements