What changed in this filing

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Item 1. Financial Statements

2024-05-08 compared with 2023-11-03 · 220 added, 571 removed, 288 unchanged (73% 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 September 30, 2023 and December 31, 2022

September 30,

$ 4,682,206  

$ 5,181,064  

At March 31, 2024 and December 31, 2023

$ 2,985,274 $ 2,435,084

Short-term investments, at fair value (a)

1,085,324,729  

1,100,309,661  

979,917,620 903,814,706

Short-term investments held at the broker (restricted), at fair value (b)

71,836,027  

102,037,820  

37,024,934 68,298,743

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

14,408,722  

1,161,842,962  

1,221,937,267  

Sponsor’s fees payable

704,673  

827,410  

1,035,120,904 974,548,533

Sponsor’s fees payable

631,014 623,642

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

11,383,272  

Total Liabilities

12,087,945  

827,410  

631,014 6,496,854

Commitments and contingent liabilities (Note 7)

$ 1,149,755,017  

$ 1,221,109,857  

$ 1,034,489,890 $ 968,051,679

Shares issued and outstanding (c)

51,000,000  

57,550,000  

46,800,000 48,200,000

Net asset value per Share (Note 2G)

$ 22.54  

$ 21.22  

$ 22.10 $ 20.08

Cost of short-term investments:

4 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 nine months ended September 30, 2023 and 2022

For the three months ended March 31, 2024 and 2023

Three 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  

Sponsor’s fees

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 Investment income

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)

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, six and nine months ended September 30, 2023

Nine Months Ended

September 30, 2023

For the three months ended March 31, 2024

Three Months Ended

March 31, 2024

Net Assets at December 31, 2023

$ 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

( 140,980,010 )

Net Assets at March 31, 2023

$ 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  

Net decrease in net assets from capital share transactions

Increase in net assets

157,352,222  

Net Assets at September 30, 2023

$ 1,149,755,017  

Net Assets at March 31, 2024

1,034,489,890

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, six and nine months ended September 30, 2022

Nine Months Ended

September 30, 2022

For the three months ended March 31, 2023

Three Months Ended

March 31, 2023

Net Assets at December 31, 2022

$ 1,431,810,115  

Net investment loss

1,221,109,857

Net realized gain

736,764,577  

Net change in unrealized appreciation/depreciation

( 224,557,913 )

Net increase in net assets resulting from operations

508,785,102  

Capital Share Transactions

Contributions for Shares issued

376,347,498  

Distributions for Shares redeemed

( 175,101,870 )

Net 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  

Net investment loss

( 1,508,916 )

Net realized gain

104,719,302  

Net change in unrealized appreciation/depreciation

( 67,843,315 )

Net increase in net assets resulting from operations

35,367,071  

Capital Share Transactions

Contributions for Shares issued

46,891,437  

Distributions for Shares redeemed

( 215,009,316 )

Net decrease in net assets from capital share transactions

( 168,117,879 )

Decrease in net assets

( 132,750,808 )

Net Assets at June 30, 2022

$ 2,009,090,037  

Net investment income

3,616,275  

Net investment gain

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

( 140,980,010

Net Assets at September 30, 2022

$ 1,436,219,419  

Net Assets at March 31, 2023

1,080,129,847

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.

iShares S&P GSCI ™

Commodity-Indexed Trust

iShares S&P GSCI ™ Commodity-Indexed Trust

Statements of Cash Flows (Unaudited)

For the nine months ended September 30, 2023 and 2022

Nine Months Ended September 30,  

For the three months ended March 31, 2024 and 2023

Three Months Ended March 31,

Cash Flows from Operating Activities

Net increase in net assets resulting from operations

$ 58,218,986  

$ 353,898,465  

Net increase (decrease) in net assets resulting from operations

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

Purchases of short-term investments

( 6,770,315,665 )  

( 1,324,233,999

( 2,269,958,766

Sales/maturities of short-term investments

6,853,731,713  

9,734,910,489  

Accretion of discount

( 38,272,641 )  

1,291,972,580

Net realized (gain) loss on short-term investments

( 25,335 )  

37,282  

2,417,775,004

Accretion of discount

Net realized loss on short-term investments

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

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  

Sponsor’s fees payable

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

( 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 )

Net increase (decrease) in cash

Beginning of period

Unrestricted –

5,181,064  

41,625,574  

End of period  

Unrestricted –

4,682,206  

15,264,063  

Unrestricted – cash

End of period

Unrestricted – cash

See notes to financial statements.

iShares S&P GSCI ™

 Commodity-Indexed Trust

iShares S&P GSCI ™ Commodity-Indexed Trust

Schedules of Investments (Unaudited)

At September 30, 2023 and December 31, 2022

September 30, 2023

At March 31, 2024 and December 31, 2023

March 31, 2024

Security Description

Treasury bills (a)(b) :

5.35 % – 

5.36 % - 5.40 % due 4/02/24

$ 159,000,000  

$ 158,976,761  

5.37 % – 

$ 23,000,000 $ 22,996,665

5.39 % - 5.40 % due 4/04/24

100,000,000  

99,956,084  

5.37 % – 

44,000,000 43,980,965

5.41 % due 4/09/24

84,000,000  

83,901,814  

50,000,000 49,941,761

5.39 % - 5.40 % due 4/11/24

66,000,000  

65,903,246  

5.39 % – 

69,000,000 68,899,585

5.34 % - 5.40 % due 4/16/24

61,000,000  

60,865,990  

5.39 % – 

71,000,000 70,844,111

5.37 % - 5.38 % due 4/18/24

107,000,000  

106,654,992  

5.40 % – 

52,000,000 51,870,745

5.36 % - 5.42 % due 4/23/24

85,164,000  

84,864,033  

55,000,000 54,822,869

5.36 % due 4/25/24

60,000,000  

59,726,683  

72,000,000 71,747,670

5.36 % due 5/02/24

52,000,000  

51,725,635  

45,000,000 44,795,419

5.38 % due 5/09/24

50,000,000  

49,720,542  

5.40 % – 

55,000,000 54,694,105

5.22 % due 5/16/24

54,836,000  

54,489,742  

51,000,000 50,666,659

5.38 % due 5/21/24

50,000,000  

49,630,903  

35,000,000 34,744,063

5.40 % due 5/23/24

46,000,000  

45,640,480  

49,000,000 48,628,487

5.37 % due 6/04/24

12,000,000  

11,898,777  

76,000,000 75,302,084

5.39 % due 6/06/24

50,000,000  

49,563,236  

62,000,000 61,406,944

5.36 % due 6/11/24

50,000,000  

49,527,422  

24,000,000 23,754,163

5.40 % due 6/13/24

75,000,000  

74,114,416  

Treasury bills (Cost:

64,000,000 63,323,144

1,157,160,756  

Total Investments – 

1,157,160,756  

Other Assets, Less Liabilities – 

5.37 % due 6/18/24

60,000,000 59,325,820

Net Assets – 

$ 1,149,755,017  

5.38 % - 5.39 % due 6/20/24

29,000,000 28,663,826

5.37 % - 5.39 % due 6/27/24

37,000,000 36,533,469

Treasury bills (Cost:

$ 1,016,940,948 ) 1,016,942,554

Total Investments – 98.30 % 1,016,942,554

Other Assets, Less Liabilities – 1.70 % 17,547,336

Net Assets – 100.00 % $ 1,034,489,890

A portion of the above U.S.

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

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

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

Number of Contracts  

Expiration Date  

Current Notional Amount  

Net Unrealized Appreciation

As of March 31, 2024, the open S&P GSCI-ER futures contracts were as follows:

Number of Contracts Expiration Date Current Notional Amount Net Unrealized Appreciation

(Depreciation)

35,473  

December 15, 2023  

$ 1,145,909,150  

$ 16,151,230  

33,309 June 17, 2024 $ 1,032,162,638 $ 32,735,698

See notes to financial statements.

2 unchanged sentences

Treasury bills (a)(b) :

3.05 % – 

5.33 % – 5.39 % due 1/02/24

$ 94,000,000  

3.37 % – 

$ 99,000,000 $ 99,000,000

5.47 % – 5.49 % due 1/04/24

120,000,000  

119,975,767  

3.81 % – 

65,000,000 64,981,111

5.39 % – 5.41 % due 1/09/24

80,000,000  

79,943,727  

83,000,000 82,915,365

5.38 % – 5.50 % due 1/11/24

35,000,000  

34,969,615  

3.80 % – 

92,000,000 91,879,784

5.39 % – 5.47 % due 1/16/24

170,000,000  

169,756,793  

3.56 % – 

62,000,000 61,873,236

5.46 % due 1/18/24

71,000,000  

70,885,769  

3.68 % – 

50,000,000 49,882,636

5.34 % – 5.46 % due 1/25/24

255,000,000  

254,428,687  

3.72 % – 

66,000,000 65,777,666

5.42 % – 5.45 % due 2/01/24

68,000,000  

67,831,414  

73,000,000 72,679,210

5.39 % due 2/06/24

60,000,000  

59,816,134  

3.99 % – 

20,000,000 19,897,343

5.35 % due 2/08/24

81,000,000  

80,692,100  

50,000,000 49,729,212

5.40 % due 2/13/24

6,000,000  

5,971,795  

45,000,000 44,722,879

5.41 % due 2/15/24

45,000,000  

44,776,219  

62,000,000 61,602,848

5.38 % – 5.39 % due 2/20/24

60,000,000  

59,660,552  

16,000,000 15,885,256

5.34 % due 2/22/24

60,000,000  

59,638,909  

51,000,000 50,620,877

5.40 % due 2/27/24

42,000,000 41,654,885

5.35 % due 3/07/24

50,000,000 49,529,991

5.37 % due 3/14/24

50,000,000 49,481,150

Treasury bills (Cost:

$ 971,687,389 )

1,202,347,481  

Total Investments – 

1,202,347,481  

Other Assets, Less Liabilities – 

18,762,376  

Net Assets – 

$ 1,221,109,857  

Total Investments – 100.42 %

Other Assets, Less Liabilities – (0.42) %

( 4,061,770 )

Net Assets – 100.00 %

$ 968,051,679

A portion of the above U.S.

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

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

As of December 31, 2023, the open S&P GSCI-ER futures contracts were as follows:

Number of Contracts  

Expiration Date  

Current Notional Amount  

Net Unrealized Appreciation

Number of Contracts Expiration Date Current Notional Amount Net Unrealized Appreciation

(Depreciation)

38,848  

March 15, 2023  

$ 1,215,724,851  

$ 60,324,698  

33,910 March 15, 2024 $ 964,753,064 $ 8,173,852

See notes to financial statements.

iShares S&P GSCI ™

Commodity-Indexed Trust

iShares S&P GSCI ™ Commodity-Indexed Trust

Notes to Financial Statements (Unaudited)

September 30, 2023

March 31, 2024

1 - Organization

The iShares S&P GSCI™

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

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

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”).

The sole member and manager of the Sponsor is BlackRock Asset Management International Inc., a Delaware corporation.

BlackRock Institutional Trust Company, N.A.

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

The Trust is governed by the Fourth Amended and Restated Trust Agreement, dated as of March 31, 2022 ( the “Trust Agreement”), among the Sponsor, the Trustee and Wilmington Trust Company (the “Delaware Trustee”).

The Trust issues units of beneficial interest (“Shares”) representing fractional undivided beneficial interests in its net assets.

The Trust holds long positions in exchange-traded index futures contracts of various expirations (“Index Futures”) on the S&P GSCI™

Excess Return Index (“S&P GSCI‑ER”).

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

The Trust issues units of beneficial interest (“Shares”) representing fractional undivided beneficial interests in its net assets.

The Trust holds long positions in exchange-traded index futures contracts of various expirations (“Index Futures”) on the S&P GSCI™ Excess Return Index (“S&P GSCI‑ER”).

In order to collateralize its Index Futures positions and to reflect the U.S.

Treasury component of the S&P GSCI™

Total Return Index (the “Index”), the Trust also holds “Collateral Assets,”

which consist of cash, U.S.

Treasury component of the S&P GSCI™ Total Return Index (the “Index”), the Trust also holds “Collateral Assets,” which consist of cash, U.S.

Treasury securities or other short-term securities and similar securities that are eligible as margin deposits for those Index Futures positions.

The Index Futures held by the Trust are listed on the Chicago Mercantile Exchange (the “CME”).

The Trust seeks to track the results of a fully collateralized investment in futures contracts on an index composed of a diversified group of commodity futures.

The Trust seeks to track the investment returns of the Index before payment of the Trust’s expenses and liabilities.

The Trust is a commodity pool, as defined in the Commodity Exchange Act (the “CEA”) and the applicable regulations of the Commodity Futures Trading Commission (the “CFTC”), and is operated by the Sponsor, a commodity pool operator registered with the CFTC.

The Trust seeks to track the investment returns of the Index before payment of the Trust’s expenses and liabilities.

The Sponsor is an indirect subsidiary of BlackRock, Inc.

(“BlackRock”).

BlackRock Fund Advisors (the “Advisor”), an indirect subsidiary of BlackRock, serves as the commodity trading advisor of the Trust and is registered with the CFTC.

The accompanying unaudited financial statements were prepared in accordance with generally accepted accounting principles in the United States of America (“U.S.

GAAP”) for interim financial information and with the instructions for Form 10 -Q and the rules and regulations of the U.S.

Securities and Exchange Commission (the “SEC”).

(“BlackRock”).

BlackRock Fund Advisors (the “Advisor”), an indirect subsidiary of BlackRock, serves as the commodity trading advisor of the Trust and is registered with the CFTC.

The accompanying unaudited financial statements were prepared in accordance with generally accepted accounting principles in the United States of America (“U.S.

GAAP”) for interim financial information and with the instructions for Form 10 -Q and the rules and regulations of the U.S.

Securities and Exchange Commission (the “SEC”).

In the opinion of management, all material adjustments, consisting only of normal recurring adjustments considered necessary for a fair statement of the interim period financial statements, have been made.

Interim period results are not necessarily indicative of results for a full-year period.

These financial statements and the notes thereto should be read in conjunction with the Trust’s financial statements included in its Annual Report on Form 10 -K for the year ended December 31, 2022, as filed with the SEC on February 23, 2023.

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  - 

The Trust qualifies as an investment company solely for accounting purposes and follows the accounting and reporting guidance under the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services – 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

4 unchanged sentences

Actual results could differ from those estimates.

Certain statements and captions in the financial statements for the prior periods have been changed to conform to the current financial statement presentation.

Investment in Index Futures

The Trust seeks to track the results of a fully collateralized investment in futures contracts on an index composed of a diversified group of commodity futures, including energy commodities, precious and industrial metal commodities, agricultural commodities and livestock commodities.

The Trust seeks to track the investment returns of the Index before payment of the Trust’s expenses and liabilities.

The assets of the Trust consist of Index Futures and cash or other Collateral Assets used to satisfy applicable margin requirements for those Index Futures positions.

1 unchanged sentence

The Trust is expected to roll out of existing positions in Index Futures and establish new positions in Index Futures on an ongoing basis.

When establishing positions in Index Futures, the Trust is required to deposit cash or other Collateral Assets with the broker as “initial margin.”

On a daily basis, the Trust is obligated to pay, or entitled to receive, cash in an amount equal to the change in the daily settlement level of its Index Futures positions.

When establishing positions in Index Futures, the Trust is required to deposit cash or other Collateral Assets with the broker as “initial margin.” On a daily basis, the Trust is obligated to pay, or entitled to receive, cash in an amount equal to the change in the daily settlement level of its Index Futures positions.

Such payments or receipts are known as variation margin.

1 unchanged sentence

When an Index Futures contract is closed, the Trust records a realized gain or loss based on the difference between the value of the Index Futures contract at the time it was opened and the value at the time it was closed.

Index Futures are derivative instruments valued at fair value, which the Trustee has determined to be that day’s announced settlement price on the CME or any such other futures exchange listing Index Futures (the “Exchange”).

If there is no announced settlement price for a particular Index Futures contract on that day, the Trustee will use the most recently announced settlement price unless the Trustee, in consultation with the Sponsor, determines that such price is inappropriate as a basis for valuation.

The Trust’s derivatives are not designated as hedges, and all changes in the fair value are reflected in the Statements of Operations.

For futures contracts, counterparty credit risk is mitigated because futures contracts are exchange-traded and the exchange’s clearing house acts as central counterparty to all exchange-traded futures contracts (although customers continue to have credit exposure to the clearing member who holds their account).

Please refer to Note 9 for additional disclosures regarding the Trust’s investments in futures contracts.

The Trust’s derivatives are not designated as hedges, and all changes in the fair value are reflected in the Statements of Operations.

Please refer to Note 9 for additional disclosures regarding the Trust’s investments in futures contracts.

The Trust considers cash as currencies deposited in one or more bank account.

3 unchanged sentences

These investments are valued at fair value.

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.

As of March 31, 2024 and December 31, 2023, the Trust had restricted short-term investments held at the broker of $ 37,024,934 and $ 68,298,743 , respectively, which were posted as margin for the Trust’s Index Futures positions.

Securities Transactions and Income Recognition

5 unchanged sentences

Shareholders are individually responsible for their own tax payments on their proportionate share of income, gain, loss, deduction, expense and credit.

The Sponsor has analyzed the tax positions as of September 30, 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 March 31, 2024, 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.

(New York time) that day.

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.

(“NYSE Arca”) is open for regular trading, as soon as practicable after 4:00 p.m.

(New York time).

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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).

Only registered broker-dealers who have entered into an authorized participant agreement with the Trust (each, an “Authorized Participant”) may purchase or redeem Baskets.

Individual investors that are not Authorized Participants cannot purchase or redeem Shares in direct transactions with the Trust.

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Redemptions of Shares in exchange for baskets of Index Futures and cash (or, in the discretion of the Sponsor, other Collateral Assets in lieu of cash) are treated as sales for financial statement purposes.

It is possible that, from time to time, BlackRock and/or funds or other accounts managed by the Trustee or an affiliate (collectively, “Affiliates”) may purchase and hold Shares of the Trust.

Affiliates reserve the right, subject to compliance with applicable law, to sell into the market or redeem in Baskets through an Authorized Participant at any time some or all of the Shares of the Trust acquired for their own accounts.

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The Sponsor pays the amounts that would otherwise be considered the ordinary operating expenses, if any, of the Trust.

In return, the Sponsor receives a fee from the Trust that accrues daily and is paid monthly in arrears at an annualized rate equal to 0.75 % of the net asset value of the Trust, as calculated before deducting fees and expenses based on the value of the Trust’s assets.

The Sponsor has agreed under the Trust Agreement to pay the following administrative, operational and marketing expenses:

( 1 ) the fees of the Trustee, the Delaware Trustee, the Advisor, the Trust Administrator, the processing agent and their respective agents, ( 2 ) NYSE Arca listing fees, ( 3 ) printing and mailing costs, ( 4 ) audit fees, ( 5 ) fees for registration of the Shares with the SEC, ( 6 ) tax reporting costs, ( 7 ) license fees and ( 8 ) legal expenses relating to the Trust of up to $ 500,000 annually.

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

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

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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

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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

In the normal course of business, the Trust may enter into contracts with service providers that contain general indemnification clauses.

The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred.

8 - Financial Highlights

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

2023 and 2022.

Three Months Ended

Nine Months Ended  

September 30,

The following financial highlights relate to investment performance and operations for a Share outstanding for the three months ended March 31, 2024 and 2023.

Three Months Ended March 31,

Net asset value per Share, beginning of period

$ 19.50  

$ 23.05  

$ 21.22  

$ 17.10  

Net investment income (loss) (a)

Net investment income (a)

Net realized and unrealized gain (loss) (b)

( 2.51 )  

Net increase (decrease) in net assets from operations

( 2.46 )  

Net asset value per Share, end of period

$ 22.54  

$ 20.59  

$ 22.54  

$ 20.59  

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

15.59 %  

( 10.67 )%  

6.22 %  

Ratio to average net assets:

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.

Net investment income (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

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.

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.

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 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:

For the three months ended March 31, 2024 and the year ended December 31, 2023, the average month-end notional amounts of open Index Futures were $ 966,881,907 and $ 1,076,086,188 , respectively.

The following table shows the variation margin on open futures contracts, by risk exposure category, on the Statements of Assets and Liabilities as of March 31, 2024 and December 31, 2023:

Asset Derivatives

Liability Derivatives

September 30, 2023

March 31, 2024

Commodity contracts

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Payable for variation margin on open futures contracts

$ 11,383,272  

December 31, 2023

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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 nine months ended September 30, 2023 and 2022:

The following table shows the effect of the open futures contracts, by risk exposure category, on the Statements of Operations for the three months ended March 31, 2024 and 2023:

Statements of

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Appreciation/Depreciation

Three Months Ended September 30, 2023  

Commodity contracts  

Three Months Ended March 31, 2024

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 September 30, 2022  

Commodity contracts  

Net realized gain (loss) from futures contracts  

$ ( 394,948,409 )  

Net change in unrealized appreciation/depreciation on futures contracts  

200,395,693  

Nine Months Ended September 30, 2023  

Commodity contracts  

Net realized gain (loss) from futures contracts  

$ 70,797,608  

Net change in unrealized appreciation/depreciation on futures contracts  

( 44,173,468 )

Nine Months Ended September 30, 2022  

Commodity contracts  

Net realized gain (loss) from futures contracts  

$ 446,538,429  

Net change in unrealized appreciation/depreciation on futures contracts  

( 91,314,739 )

Three Months Ended March 31, 2023

Commodity contracts

Net realized gain (loss) from futures contracts

Net change in unrealized appreciation/depreciation on futures contracts

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.

The Trust’s policy is to value its investments at fair value.

Investments in Index Futures are measured at fair value on the basis of that day’s settlement price for Index Futures as announced by the applicable Exchange.

The Trust’s policy is to value its investments at fair value.

Investments in Index Futures are measured at fair value on the basis of that day’s settlement price for Index Futures as announced by the applicable Exchange.

If there is no announced settlement price for a particular Index Futures contract on a Business Day, the Trustee uses the most recently announced settlement price unless the Trustee, in consultation with the Sponsor, determines that such price is inappropriate as a basis for valuation.

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Various inputs are used in determining the fair value of financial instruments.

Inputs may be based on independent market data (“observable inputs”) or they may be internally developed (“unobservable inputs”).

These inputs are categorized into a disclosure hierarchy consisting of three broad levels for financial reporting purposes.

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

Level 1 –

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

Level 2 –

Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability, and inputs that are derived principally from or corroborated by observable market data by correlation or other means;

Level 3 –

Unobservable inputs that are unobservable for the asset or liability, including the Trust’s assumptions used in determining the fair value of investments.

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

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

September 30, 2023

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

Unobservable inputs that are unobservable for the asset or liability, including the Trust’s assumptions used in determining the fair value of investments.

The following table summarizes the value of each of the Trust’s investments by the fair value hierarchy levels as of March 31, 2024 and December 31, 2023:

March 31, 2024

Futures contracts (a)

$ 16,151,230  

Treasury bills

1,157,160,756  

December 31, 2022  

1,016,942,554

December 31, 2023

Futures contracts (a)

$ 60,324,698  

60,324,698  

Treasury bills

1,202,347,481  

Shown at the unrealized appreciation (depreciation) on the contracts.

Management ’

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.

Management ’ 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.

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

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

“should,”

“could,”

“expect,”

“plan,”

“anticipate,”

“believe,”

“estimate,”

“predict,”

“potential”

or the negative of these terms or other comparable terminology.

In some cases, such forward ‑ looking statements can be identified by terminology such as “ may, ” “ should, ” “ could, ” “ expect, ” “ plan, ” “ anticipate, ” “ believe, ” “ estimate, ” “ predict, ” “ potential ” or the negative of these terms or other comparable terminology.

These statements are only predictions.

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

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

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

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

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

The iShares S&P GSCI™

Commodity-Indexed Trust (the “Trust”) is a Delaware statutory trust that issues units of beneficial interest (“Shares”) representing fractional undivided beneficial interests in its net assets.

The Trust holds long positions in exchange-traded index futures contracts of various expirations, (“Index Futures”) on the S&P GSCI™

Excess Return Index (the “S&P GSCI-ER”), together with cash, U.S.

Treasury securities or other short-term securities and similar securities that are eligible as margin deposits for the Trust’s Index Futures positions, referred to as “Collateral Assets.”

The Index Futures held by the Trust are listed on the Chicago Mercantile Exchange (the “CME”).

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

The iShares S&P GSCI™ Commodity-Indexed Trust (the “Trust”) is a Delaware statutory trust that issues units of beneficial interest (“Shares”) representing fractional undivided beneficial interests in its net assets.

The Trust holds long positions in exchange-traded index futures contracts of various expirations, (“Index Futures”) on the S&P GSCI™ Excess Return Index (the “S&P GSCI-ER”), together with cash, U.S.

Treasury securities or other short-term securities and similar securities that are eligible as margin deposits for the Trust’s Index Futures positions, referred to as “Collateral Assets.” The Index Futures held by the Trust are listed on the Chicago Mercantile Exchange (the “CME”).

The Trust seeks to track the results of a fully collateralized investment in futures contracts on an index composed of a diversified group of commodities futures.

The Trust seeks to track the investment returns of the S&P GSCI™

Total Return Index (the “Index”) before payment of the Trust’s expenses and liabilities.

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

The Trust seeks to track the investment returns of the S&P GSCI™ Total Return Index (the “Index”) before payment of the Trust’s expenses and liabilities.

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

BlackRock Institutional Trust Company, N.A.

is the “Trustee”

of the Trust.

BlackRock Fund Advisors (the “Advisor”), an indirect subsidiary of BlackRock, Inc., serves as the commodity trading advisor of the Trust and is registered with the CFTC.

is the “Trustee” of the Trust.

BlackRock Fund Advisors (the “Advisor”), an indirect subsidiary of BlackRock, Inc., serves as the commodity trading advisor of the Trust and is registered with the CFTC.

The Trust is not an investment company registered under the Investment Company Act of 1940, as amended.

The Trust has delegated day-to-day administration of the Trust to the Trustee.

The Trustee has delegated certain day-to-day administrative functions of the Trustee to State Street Bank and Trust Company (the “Trust Administrator”).

Wilmington Trust Company, a Delaware trust company, serves as the “Delaware Trustee”

of the Trust.

The Trustee has delegated certain day-to-day administrative functions of the Trustee to State Street Bank and Trust Company (the “Trust Administrator”).

Wilmington Trust Company, a Delaware trust company, serves as the “Delaware Trustee” of the Trust.

The Trust intends to offer Shares on a continuous basis.

The Trust issues and redeems Shares only in one or more blocks of 50,000 Shares (“Baskets”).

Only institutions that enter into an agreement with the Trust to become “Authorized Participants”

may purchase or redeem Baskets, in exchange for Index Futures and Collateral Assets with an aggregate value equal to the net asset value per Share, or “NAV”

of the Shares being purchased or redeemed.

Owners of beneficial interests in Shares (“Shareholders”) who are not Authorized Participants have no right to redeem their Shares.

The Trust issues and redeems Shares only in one or more blocks of 50,000 Shares (“Baskets”).

Only institutions that enter into an agreement with the Trust to become “Authorized Participants” may purchase or redeem Baskets, in exchange for Index Futures and Collateral Assets with an aggregate value equal to the net asset value per Share, or “NAV” of the Shares being purchased or redeemed.

Owners of beneficial interests in Shares (“Shareholders”) who are not Authorized Participants have no right to redeem their Shares.

In order to liquidate their investment in the Shares, Shareholders who are not Authorized Participants must generally sell their Shares in the secondary market, assuming that demand for their Shares exists.

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Shares of the Trust trade on NYSE Arca, Inc.

(“NYSE Arca”) under the ticker symbol GSG.

Valuation of Index Futures ;

Computation of the Trust ’

s Net Asset Value

(“NYSE Arca”) under the ticker symbol GSG.

Valuation of Index Futures ; Computation of the Trust ’ s Net Asset Value

The Sponsor has the exclusive authority to determine the net asset value of the Trust and the NAV, which it has delegated to the Trustee under the Fourth Amended and Restated Trust Agreement.

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(New York time), on each Business Day on which NYSE Arca is open for regular trading, as soon as practicable after that time.

A “Business Day”

is a day (1) on which none of the following occurs:

A “Business Day” is a day (1) on which none of the following occurs:

(a) NYSE Arca is closed for regular trading, (b) the Exchange is closed for regular trading or (c) the Federal Reserve wire transfer system is closed for cash wire transfers, or (2) that the Trustee determines that it is able to conduct business.

The Trustee values the Trust’s long positions in Index Futures on the basis of that day’s settlement prices for the Index Futures held by the Trust as announced by the applicable Exchange.

The value of the Trust’s positions in any particular Index Futures contract equals the product of (1) the number of such Index Futures contracts owned by the Trust, (2) the settlement price of such Index Futures contract on the date of calculation and (3) the multiplier of such Index Futures contract.

The Trustee values the Trust’s long positions in Index Futures on the basis of that day’s settlement prices for the Index Futures held by the Trust as announced by the applicable Exchange.

The daily settlement price for each Index Futures contract currently held by the Trust is established on each trading day, generally at 2:40 p.m.

(New York time), by the CME Group Inc., and its designed contract markets, including the CME, CBOT (Board of Trade of the City of Chicago, Inc.), NYMEX (New York Mercantile Exchange), COMEX and KCBT (the “CME Group”) staff.

The Trustee values all other holdings of the Trust at (1) its current market value, if quotations for such property are readily available or (2) its fair value, as reasonably determined by the Trustee, if the current market value cannot be determined.

Once the value of the Index Futures, Collateral Assets of the Trust and interest earned on the Trust’s Collateral Assets has been determined, the Trustee subtracts all accrued expenses and liabilities of the Trust as of the time of calculation in order to calculate the net asset value of the Trust.

Once the net asset value of the Trust has been calculated, the Trustee determines the NAV by dividing the net asset value of the Trust by the number of Shares outstanding at the time the calculation is made.

Any changes to the NAV that may result from creation and redemption activity are not reflected in the NAV calculations for purposes of the Trust’s operations until the Business Day following the Business Day on which they occur, but are reflected in the Trust’s financial statements as of such first Business Day.

Creation and redemption orders received after 2:40 p.m.

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Results of Operations

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 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 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 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.

The Quarter Ended March 31, 2024

The Trust’s net asset value increased from $968,051,679 at December 31, 2023 to $1,034,489,890 at March 31, 2024.

The increase in the Trust’s net asset value resulted primarily from a net increase in net assets resulting from operations.

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 48,200,000 Shares at December 31, 2023 to 46,800,000 Shares at March 31, 2024, a consequence of 3,050,000 Shares (61 Baskets) being created and 4,450,000 Shares (89 Baskets) being redeemed during the quarter.

The 10.06% increase in the Trust’s NAV from $20.08 at December 31, 2023 to $22.10 at March 31, 2024 is directly related to the 8.92% increase in the settlement price for the Index Futures.

The Trust’s NAV increased slightly less than the settlement price for the Index Futures on a percentage basis due to the Sponsor’s fees and brokerage commissions.

The net increase in net assets resulting from operations for the quarter ended March 31, 2024 was $92,339,756, resulting from a net realized and unrealized gain of $81,342,676 and a net investment income of $10,997,080.

For the quarter ended March 31, 2024, the Trust had a net realized and unrealized loss of $424,240 on short-term investments and a net realized and unrealized gain of $81,766,916 on futures contracts.

Other than the Sponsor’s fees of $1,785,101 and brokerage commissions and fees of $233,599, the Trust had no expenses during the quarter.

Liquidity and Capital Resources

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’s assets as of March 31, 2024 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.

Interest earned on the assets posted as collateral is paid to the Trust and is used to pay the Sponsor’s fees and purchase additional Index Futures and Collateral Assets, or, in the discretion of the Sponsor, distributed to Shareholders.

In exchange for a fee based on the net asset value of the Trust, the Sponsor has assumed most of the ordinary expenses incurred by the Trust.

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

As of September 30, 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 March 31, 2024, 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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The existence of such a limited number of market participants could cause or exacerbate losses to the Trust if the Trust were required to liquidate its Index Futures positions.

The Sponsor is unaware of any other trends, demands, conditions or events that are reasonably likely to result in material changes to the Trust’s liquidity needs.

Because the Trust trades Index Futures, its capital is at risk due to changes in the value of the Index Futures or other assets (market risk) or the inability of counterparties to perform (credit risk).

The Trust holds Index Futures positions and Collateral Assets to satisfy applicable margin requirements on those Index Futures positions.

Because of this limited diversification of the Trust’s assets, fluctuations in the value of the Index Futures are expected to directly affect the value of the Shares.

The value of the Index Futures is expected to track generally the S&P GSCI-ER, although this correlation may not be exact.

The S&P GSCI-ER, in turn, reflects the value of a diversified group of commodities.

The Trust’s exposure to market risk will be influenced by a number of factors, including the lack of liquidity of the Index Futures market and activities of other market participants.

When the Trust purchases or holds Index Futures, it is exposed to the credit risk of a default by the CME’s clearing house, which serves as the counterparty to each Index Futures position, and of a default by its futures commission merchant, or Clearing FCM.

The Trust’s exposure to market risk will be influenced by a number of factors, including the lack of liquidity of the Index Futures market and activities of other market participants.

In the case of such a default, the Trust may be unable to recover amounts due to it on its Index Futures positions and Collateral Assets posted as margin.

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The Trust does not have and is not expected to have loan guarantee arrangements or other off-balance sheet arrangements of any kind other than agreements entered into in the normal course of business, which may include indemnification provisions related to certain risks service providers undertake in performing services that are in the interest of the Trust.

While the Trust’s exposure under such indemnification provisions cannot be estimated, these general business indemnifications are not expected to have a material impact on the Trust’s financial position.

Critical Accounting Policies

The financial statements and accompanying notes are prepared in accordance with accounting principles generally accepted in the United States of America.

The preparation of these financial statements relies on estimates and assumptions that impact the Trust’s financial position and results of operations.

These estimates and assumptions affect the Trust’s application of accounting policies.

In addition, please refer to Note 2 to the financial statements of the Trust for further discussion of the Trust’s accounting policies.

The preparation of these financial statements relies on estimates and assumptions that impact the Trust’s financial position and results of operations.

These estimates and assumptions affect the Trust’s application of accounting policies.

In addition, please refer to Note 2 to the financial statements of the Trust for further discussion of the Trust’s accounting policies.

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