What changed in this filing

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Item 1. Financial Statements

2024-08-08 compared with 2024-05-08 · 115 added, 41 removed, 467 unchanged (25% of the section changed)

2 unchanged sentences

Statements of Assets and Liabilities (Unaudited)

At March 31, 2024 and December 31, 2023

At June 30, 2024 and December 31, 2023

$ 2,166,626 $ 2,435,084

3 unchanged sentences

39,781,919 68,298,743

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

1,103,171,394 974,548,533

2 unchanged sentences

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

3,979,438 5,873,212

Total Liabilities

14 unchanged sentences

Statements of Operations (Unaudited)

For the three months ended March 31, 2024 and 2023

For the three and six months ended June 30, 2024 and 2023

Three Months Ended

Six Months Ended

Investment Income

14 unchanged sentences

Net realized and unrealized gain (loss)

( 115,636,809

Net increase (decrease) in net assets resulting from operations

4 unchanged sentences

Statements of Changes in Net Assets (Unaudited)

For the three months ended March 31, 2024

Three Months Ended

March 31, 2024

For the three and six months ended June 30, 2024

Six Months Ended

June 30, 2024

Net Assets at December 31, 2023

10 unchanged sentences

1,034,489,890

Net investment income

Net realized loss

Net change in unrealized appreciation/depreciation

Net increase in net assets resulting from operations

Capital Share Transactions

Contributions for Shares issued

Distributions for Shares redeemed

Net increase in net assets from capital share transactions

Increase in net assets

Net Assets at June 30, 2024

1,098,519,705

Shares issued and redeemed

1 unchanged sentence

Shares redeemed

Net decrease in Shares issued and outstanding

Net increase in Shares issued and outstanding

See notes to financial statements.

1 unchanged sentence

Statements of Changes in Net Assets (Unaudited)

For the three months ended March 31, 2023

Three Months Ended

March 31, 2023

For the three and six months ended June 30, 2023

Six Months Ended

June 30, 2023

Net Assets at December 31, 2022

1,221,109,857

Net investment gain

Net investment income

Net realized loss

9 unchanged sentences

1,080,129,847

Net investment income

Net realized loss

Net change in unrealized appreciation/depreciation

Net decrease in net assets resulting from operations

Capital Share Transactions

Contributions for Shares issued

Distributions for Shares redeemed

Net decrease in net assets from capital share transactions

Decrease in net assets

Net Assets at June 30, 2023

Shares issued and redeemed

5 unchanged sentences

Statements of Cash Flows (Unaudited)

For the three months ended March 31, 2024 and 2023

Three Months Ended March 31,

For the six months ended June 30, 2024 and 2023

Six Months Ended June 30,

Cash Flows from Operating Activities

18 unchanged sentences

Distributions for Shares redeemed

( 135,178,020

( 166,069,665

Net cash provided by (used in) financing activities

( 132,820,775

Net increase (decrease) in cash

6 unchanged sentences

Schedules of Investments (Unaudited)

At March 31, 2024 and December 31, 2023

March 31, 2024

At June 30, 2024 and December 31, 2023

June 30, 2024

Security Description

40 unchanged sentences

39,000,000 38,597,303

5.39 % due 9/12/24

78,000,000 77,171,542

5.38 % due 9/19/24

40,000,000 39,536,556

5.35 % due 9/24/24

3,000,000 2,963,082

5.37 % due 9/26/24

50,000,000 49,368,646

Treasury bills (Cost:

$ 1,100,678,421 )

1,101,004,768

Total Investments – 100.23 %

1,101,004,768

Other Assets, Less Liabilities – (0.23) %

( 2,485,063 )

Net Assets – 100.00 %

$ 1,098,519,705

A portion of the above U.S.

1 unchanged sentence

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

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

As of June 30, 2024, the open S&P GSCI-ER futures contracts were as follows:

Number of Contracts Expiration Date Current Notional Amount Net Unrealized Appreciation

(Depreciation)

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

35,630 September 17, 2024

$ 1,096,381,419 $ 25,699,152

See notes to financial statements.

53 unchanged sentences

Notes to Financial Statements (Unaudited)

March 31, 2024

June 30, 2024

1 - Organization

50 unchanged sentences

These investments are valued at fair value.

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.

As of June 30, 2024 and December 31, 2023, the Trust had restricted short-term investments held at the broker of $ 39,781,919 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 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.

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

34 unchanged sentences

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.

The Trust’s maximum exposure under these arrangements is unknown because it involves future potential claims against the Trust, which cannot be predicted with any certainty.

7 - Commitments and Contingent Liabilities

2 unchanged sentences

8 - Financial Highlights

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,

The following financial highlights relate to investment performance and operations for a Share outstanding for the three and six months ended June 30, 2024 and 2023.

Three Months Ended

Six Months Ended

Net asset value per Share, beginning of period

$ 22.10 $ 20.11 $ 20.08 $ 21.22

Net investment income (a)

0.24 0.19 0.49 0.37

Net realized and unrealized gain (loss) (b)

( 0.15 ) ( 0.80 ) 1.62 ( 2.09 )

Net increase (decrease) in net assets from operations

0.09 ( 0.61 ) 2.11 ( 1.72 )

Net asset value per Share, end of period

$ 22.19 $ 19.50 $ 22.19 $ 19.50

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

0.41 % ( 3.03 )% 10.51 % ( 8.11 )%

Ratio to average net assets:

Net investment income (e)

4.41 % 3.79 % 4.51 % 3.71 %

0.82 % 0.84 % 0.83 % 0.84 %

Based on average Shares outstanding during the period.

8 unchanged sentences

The commodities markets have historically been extremely volatile.

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:

For the six months ended June 30, 2024 and the year ended December 31, 2023, the average month-end notional amounts of open Index Futures were $ 1,018,440,970 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 June 30, 2024 and December 31, 2023:

Asset Derivatives

Liability Derivatives

March 31, 2024

Liability Derivatives Fair Value

June 30, 2024

Commodity contracts

5 unchanged sentences

$ — Payable for variation margin on open futures contracts $ 5,873,212

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:

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, 2024 and 2023:

Statements of

2 unchanged sentences

Appreciation/Depreciation

Three Months Ended March 31, 2024

Three Months Ended June 30, 2024

Commodity contracts

Net realized gain (loss) from futures contracts

$ ( 720,717 ) $ —

Net change in unrealized appreciation/depreciation on futures contracts — ( 7,036,546 )

Three Months Ended March 31, 2023

Three Months Ended June 30, 2023

Commodity contracts

Net realized gain (loss) from futures contracts

$ ( 62,297,247 ) $ —

Net change in unrealized appreciation/depreciation on futures contracts

Six Months Ended June 30, 2024

Commodity contracts

Net realized gain (loss) from futures contracts

$ 56,484,353 $ —

Net change in unrealized appreciation/depreciation on futures contracts — 17,525,300

Six Months Ended June 30, 2023

Commodity contracts

Net realized gain (loss) from futures contracts

$ ( 62,900,533 ) $ —

Net change in unrealized appreciation/depreciation on futures contracts

— ( 52,523,952 )

10 - Investment Valuation

14 unchanged sentences

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

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

March 31, 2024

The following table summarizes the value of each of the Trust’s investments by the fair value hierarchy levels as of June 30, 2024 and December 31, 2023:

June 30, 2024

Futures contracts (a)

Treasury bills

$ 25,699,152 $ — $ — $ 25,699,152

Treasury bills

— 1,101,004,768 — 1,101,004,768

1 unchanged sentence

Futures contracts (a)

$ 8,173,852 $ — $ — 8,173,852

Treasury bills

— 972,113,449 — 972,113,449

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

53 unchanged sentences

Results of Operations

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 Quarter Ended June 30, 2024

The Trust’s net asset value increased from $1,034,489,890 at March 31, 2024 to $1,098,519,705 at June 30, 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.

The Trust’s net asset value also benefited from an increase in the number of outstanding Shares, which rose from 46,800,000 Shares at March 31, 2024 to 49,500,000 Shares at June 30, 2024, a consequence of 4,700,000 Shares (94 Baskets) being created and 2,000,000 Shares (40 Baskets) being redeemed during the quarter.

The Trust’s NAV increased by 0.41% from $22.10 at March 31, 2024 to $22.19 at June 30, 2024 despite a 0.70% decrease in the settlement price for the Index Futures due to the interest income from U.S.

Treasury bills.

The net increase in net assets resulting from operations for the quarter ended June 30, 2024 was $4,499,014, resulting from a net investment income of $11,931,547, partially offset by a net realized and unrealized loss of $7,432,533.

For the quarter ended June 30, 2024, the Trust had a net realized and unrealized gain of $324,730 on short-term investments and a net realized and unrealized loss of $7,757,263 on futures contracts.

Other than the Sponsor’s fees of $2,026,058 and brokerage commissions and fees of $188,202, the Trust had no expenses during the quarter.

The Six-Month Period Ended June 30, 2024

The Trust’s net asset value increased from $968,051,679 at December 31, 2023 to $1,098,519,705 at June 30, 2024.

The increase in the Trust’s net asset value resulted primarily from an increase in the number of outstanding Shares, which rose from 48,200,000 Shares at December 31, 2023 to 49,500,000 Shares at June 30, 2024, a consequence of 7,750,000 Shares (155 Baskets) being created and 6,450,000 Shares (129 Baskets) being redeemed during the period.

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

The 10.51% increase in the Trust’s NAV from $20.08 at December 31, 2023 to $22.19 at June 30, 2024 is directly related to the 8.16% increase in the settlement price for the Index Futures.

The Trust’s 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 period ended June 30, 2024 was $96,838,770, resulting from a net realized and unrealized gain of $73,910,143, and a net investment income of $22,928,627.

For the six months ended June 30, 2024, the Trust had a net realized and unrealized loss of $99,510 on short-term investments and a net realized and unrealized gain of $74,009,653 on futures contracts.

Other than the Sponsor’s fees of $3,811,159 and brokerage commissions and fees of $421,801, the Trust had no expenses during the period.

Liquidity and Capital Resources

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’s assets as of June 30, 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.

2 unchanged sentences

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

As of March 31, 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.

As of June 30, 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.

22 unchanged sentences

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

What changed 10-Q

Item 1. Financial Statements