What changed in this filing

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Item 2. Management’s Discussion and Analysis

2025-08-07 compared with 2025-05-08 · 90 added, 51 removed, 269 unchanged (34% of the section changed)

30 unchanged sentences

The Fund may also gain exposure to United States Treasury Obligations through investments in exchange-traded funds (“ETFs”) (affiliated or otherwise) that track indexes that measure the performance of United States Treasury Obligations with a maximum remaining maturity of up to 12 months (“T-Bill ETFs”).

The Fund holds as collateral United States Treasury Obligations, money market mutual funds and T-Bill ETFs (affiliated or otherwise), if any, for margin and/or cash management purposes.

The Fund may hold as collateral United States Treasury Obligations, money market mutual funds and T-Bill ETFs (affiliated or otherwise), if any, for margin and/or cash management purposes.

While the Fund’s performance reflects the appreciation and depreciation of those holdings, the Fund’s performance, whether positive or negative, is driven primarily by its strategy of trading DX contracts with the aim of seeking to track the Index.

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The Fund does not have any material cash requirements as of the end of the latest fiscal period.

The Fund is unaware of any

known material trends, favorable or unfavorable, in the Fund’s capital resources.

The Fund is unaware of any known material trends, favorable or unfavorable, in the Fund’s capital resources.

In the normal course of its business, the Fund is a party to financial instruments with off-balance sheet risk.

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Operating Activities

Net cash flow provided by (used in) operating activities was $(15.8) million and $1.8 million for the three months ended March 31, 2025 and 2024, respectively.

Net cash flow provided by (used in) operating activities was $(87.0) million and $10.8 million for the six months ended June 30, 2025 and 2024, respectively.

These amounts primarily include net income (loss), net purchases and sales of money market mutual funds and net purchases and sales of United States Treasury Obligations, affiliated investments and net deposits to/from the Commodity Broker.

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While the Fund’s performance reflects the appreciation and depreciation of those holdings, the Fund’s performance, whether positive or negative, is driven primarily by its strategy of trading DX Contracts with the aim of seeking to track the Index.

During the three months ended March 31, 2025, $0 was paid to purchase United States Treasury Obligations and $5.0 million was received from sales and maturing United States Treasury Obligations.

During the three months ended March 31, 2024, $4.9 million was paid to purchase United States Treasury Obligations and $5.0 million was received from sales and maturing United States Treasury Obligations.

$8.7 million was received from sales of affiliated investments and $28.8 million was paid to purchase affiliated investments during the three months ended March 31, 2025.

$8.3 million was received from sales of affiliated investments and $4.7 million was paid to purchase affiliated investments during the three months ended March 31, 2024.

During the three months ended

March 31, 2025, net deposits to/from the Commodity Broker was $2.6 million.

There were no net deposits to/from the Commodity Broker during the three months ended March 31, 2024.

During the six months ended June 30, 2025, there were no purchases of United States Treasury Obligations and $15.0 million was received from sales and maturing United States Treasury Obligations.

During the six months ended June 30, 2024, $29.2 million was paid to purchase United States Treasury Obligations and $30.0 million was received from sales and maturing United States Treasury Obligations.

$9.6 million was received from sales of affiliated investments and $110.9 million was paid to purchase affiliated investments during the six months ended June 30, 2025.

$23.9 million was received from sales of affiliated investments and $11.3 million was paid to purchase affiliated investments during the six months ended June 30, 2024.

During the six months ended June 30, 2025, net deposits to/from the Commodity Broker was $10.4 million.

There were no net deposits to/from the Commodity Broker during the six months ended June 30, 2024.

Financing Activities

The Fund’s net cash flow provided by (used in) financing activities was $15.8 million and $(1.8) million during the three months ended March 31, 2025 and 2024, respectively.

This included $20.9 million and $0.9 million from Shares purchased by Authorized Participants and $5.0 million and $2.7 million from Shares redeemed by Authorized Participants during the three months ended March 31, 2025 and 2024, respectively.

No distributions were paid to Shareholders during the three months ended March 31, 2025 and 2024, respectively.

The Fund’s net cash flow provided by (used in) financing activities was $87.0 million and $(10.8) million during the six months ended June 30, 2025 and 2024, respectively.

This included $93.0 million and $2.7 million from Shares purchased by Authorized Participants and $5.9 million and $13.5 million from Shares redeemed by Authorized Participants during the six months ended June 30, 2025 and 2024, respectively.

No distributions were paid to Shareholders during the six months ended June 30, 2025 and 2024, respectively.

Results of Operations

FOR THE THREE MONTHS ENDED MARCH 31, 2025 AND 2024

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2025 AND 2024

The following graphs illustrate the percentage changes in (i) the market price of the Shares (as reflected by the line “Market”), (ii) the Fund’s NAV (as reflected by the line “NAV”), and (iii) the closing levels of the Index (as reflected by the line “Deutsche Bank Short USD Currency Portfolio Index-Excess Return TM ”).

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Similarly, no representation is being made that the Fund will generate profits or losses similar to the Fund’s past performance or changes in the Index closing levels.

COMPARISON OF MARKET, NAV AND DEUTSCHE BANK SHORT USD CURRENCY PORTFOLIO INDEX EXCESS RETURN TM FOR THE THREE MONTHS ENDED MARCH 31, 2025 AND 2024

COMPARISON OF MARKET, NAV AND DEUTSCHE BANK SHORT USD CURRENCY PORTFOLIO INDEX EXCESS RETURN TM FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2025 AND 2024

NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE OR NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

Performance Summary

This Report covers the three months ended March 31, 2025 and 2024.

This Report covers the three and six months ended June 30, 2025 and 2024.

Past performance of the Fund is not necessarily indicative of future performance.

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Past results of the Index and the Short Index–TR TM are not necessarily indicative of future changes, positive or negative, in the Index closing levels.

The section “Summary of the Deutsche Bank Short USD Currency Portfolio Index–Total Return TM and Underlying DX Contract Returns for the Three Months Ended March 31, 2025 and 2024” below provides an overview of the changes in the closing levels of the Short Index–TR TM by disclosing the change in closing levels of the underlying DX Contracts of the Index through a “surrogate” (and analogous) index that also reflects the return of 3-month United States Treasury Bills.

The section “Summary of the Deutsche Bank Short USD Currency Portfolio Index–Total Return TM and Underlying DX Contract Returns for the Three and Six Months Ended June 30, 2025 and 2024” below provides an overview of the changes in the closing levels of the Short Index–TR TM by disclosing the change in closing levels of the underlying DX Contracts of the Index through a “surrogate” (and analogous) index that also reflects the return of 3-month United States Treasury Bills.

Please note also that the Fund’s objective is to track the Index (not the Short Index–TR) and the Fund does not attempt to outperform or underperform the Index.

Summary of the Deutsche Bank Short USD Currency Portfolio Index–Total Return TM and Underlying DX Contract Returns for the Three Months Ended March 31, 2025 and 2024

AGGREGATE RETURNS FOR THE

SHORT INDEX-TR

Summary of the Deutsche Bank Short USD Currency Portfolio Index–Total Return TM and Underlying DX Contract Returns for the Three Months Ended June 30, 2025 and 2024

Three Months Ended

Six Months Ended

Underlying Index

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If the Fund’s fees and expenses were to exceed the Fund’s Treasury Income, Money Market Income and T-Bill ETF Income, if any, the aggregate return on an investment in the Fund is expected to underperform the Excess Return Index.

FOR THE THREE MONTHS ENDED MARCH 31, 2025 COMPARED TO THE THREE MONTHS ENDED MARCH 31, 2024

FOR THE THREE MONTHS ENDED JUNE 30, 2025 COMPARED TO THE THREE MONTHS ENDED JUNE 30, 2024

Fund Share Price Performance

For the three months ended March 31, 2025, the NYSE Arca market value of each Share increased from $16.71 per Share to $17.55 per Share.

The Share price low and high for the three months ended March 31, 2025 and related change from the Share price on December 31, 2024 was as follows:

Shares traded at a low of $16.53 per Share (-1.08%) on January 13, 2025, and a high of $17.69 per Share (+5.87%) on March 18, 2025.

For the three months ended June 30, 2025, the NYSE Arca market value of each Share increased from $17.55 per Share to $18.92 per Share.

The Share price low and high for the three months ended June 30, 2025 and related change from the Share price on March 31, 2025 was as follows:

Shares traded at a low of $17.54 per Share (-0.06%) on April 1, 2025, and a high of $18.92 per Share (+7.81%) on June 30, 2025.

The total return for the Fund on a market value basis was +7.81%.

dollar moved lower in the first quarter of 2025 leading to strong gains for the Fund.

This marked a sharp reversal from the strong rally to end 2024, when the incoming U.S.

administration's tariff policy was expected to have a disproportionate adverse effect on the currency of the United States' trading partners, in turn boosting the U.S.

Inflation predictions also led the markets to re-evaluate the Federal Reserve’s easing plans, with the potential to leave interest rates higher for longer.

However, those factors are now hurting the U.S.

tariffs and stagflation fears have upended market confidence in the U.S., while the Federal Reserve may still reduce interest rates by 0.50% in 2025 (lower interest rates reduce demand for the U.S.

In contrast, the euro and other European currencies are being propped up by major defense and infrastructure spending plans, and the outlook looks brighter for the Japanese yen, with the Bank of Japan in a rate hiking cycle as the rest of the world’s major economies pulled back.

For the three months ended March 31, 2024 the NYSE Arca market value of each Share decreased from $18.43 per Share to $17.98 per Share.

The Share price low and high for the three months ended March 31, 2024 and related change from the Share price on December 31, 2023 was as follows:

Shares traded at a low of $17.87 per Share (-3.01%) on February 13, 2024, and a high of $18.28 per Share (-0.81%) on January 8, 2024.

dollar remained under pressure in the second quarter of 2025, extending its first quarter weakness, leading to gains for the Fund.

While the initial tariff driven rally in late 2024 was predicated on relative U.S.

strength versus trading partners, the narrative has since reversed.

The tariffs announced on Liberation Day in April undermined U.S.

consumer and business confidence, fueling domestic growth concerns and de-dollarization trades.

The 90-day tariff truce with China temporarily eased trade tensions in mid-May but continued uncertainty weighed on gains.

Meanwhile, the Federal Reserve maintained its dovish stance, with markets still pricing in 50 basis points of interest rate cuts for the year, further eroding yield support for the greenback.

In contrast, the euro found support from resilient economic data and fiscal stimulus tied to defense and infrastructure, while the yen benefited from the Bank of Japan’s continued tightening bias.

With global policy divergence widening and confidence in U.S.

fiscal discipline faltering, the U.S.

dollar’s outlook remained clouded heading into the second half of the year.

For the three months ended June 30, 2024 the NYSE Arca market value of each Share decreased from $17.99 per Share to $17.90 per Share.

The Share price low and high for the three months ended June 30, 2024 and related change from the Share price on March 31, 2024 was as follows:

Shares traded at a low of $17.67 per Share (-1.75%) on April 16, 2024, and a high of $18.17 per Share (+1.03%) on June 3, 2024.

The total return for the Fund on a market value basis was -0.50%.

dollar performed positively in the first quarter of 2024, leading to losses for the Fund.

While the dollar had fallen to end 2023 on expectations for imminent rate cuts, the Federal Reserve stuck to its higher for longer rhetoric through the first two months of 2024 and inflation proved stickier than expected, forcing the market to delay easing expectations.

While not following a smooth path, the U.S.

dollar moved higher in the second quarter of 2024, leading to losses for the Fund.

The key driver was the Federal Reserve’s more hawkish stance amid persistent U.S.

While the markets had expected for the central bank to start cutting rates imminently, those hopes were repeatedly dashed through the quarter.

In comparison, many global economies, including Switzerland, Sweden, Canada, and the European Central Bank (ECB), had kicked off their easing (i.e., lowering interest rates) cycles.

Higher interest rates generally make a country’s currency more attractive to hold.

Fund Share Net Asset Performance

For the three months ended June 30, 2025, the NAV of each Share increased from $17.53 per Share to $18.90 per Share.

Rising currency futures contracts prices for short DX Contracts during the three months ended June 30, 2025 contributed to a 6.89% increase in the level of the Index and to a 8.04% increase in the level of the Short Index–TR TM .

The total return for the Fund on a NAV basis was +7.82%.

Net income (loss) for the three months ended June 30, 2025 was $7.9 million, primarily resulting from $1.3 million of income, net realized gain (loss) of $4.0 million, net change in unrealized gain (loss) of $2.8 million and net operating expenses of $0.2 million.

For the three months ended June 30, 2024, the NAV of each Share decreased from $17.98 per Share to $17.90 per Share.

Falling currency futures contracts prices for short DX Contracts during the three months ended June 30, 2024 contributed to a 1.60% decrease in the level of the Index and to a 0.27% decrease in the level of the Short Index–TR TM .

The total return for the Fund on a NAV basis was -0.45%.

Net income (loss) for the three months ended June 30, 2024 was $(0.3) million, primarily resulting from $0.7 million of income, net realized gain (loss) of $(1.4) million, net change in unrealized gain (loss) of $0.5 million and net operating expenses of $0.1 million.

FOR THE SIX MONTHS ENDED JUNE 30, 2025 COMPARED TO THE SIX MONTHS ENDED JUNE 30, 2024

Fund Share Price Performance

For the six months ended June 30, 2025, the NYSE Arca market value of each Share increased from $16.71 per Share to $18.92 per Share.

The Share price low and high for the six months ended June 30, 2025 and related change from the Share price on December 31, 2024 was as follows:

Shares traded at a low of $16.53 per Share (-1.08%) on January 13, 2025, and a high of $18.92 per Share (+13.23%) on June 30, 2025.

The total return for the Fund on a market value basis was +13.22%.

dollar declined sharply in the first half of 2025, resulting in positive performance for the Fund.

This marks a sharp reversal from the strong rally that closed out 2024, when President Trump’s tariff policy was expected to disproportionately impact trading partners’ currencies and support the greenback.

However, those same policies have since undermined U.S.

investor and business confidence, with stagflation and domestic growth concerns becoming top of mind.

This, coupled with geopolitical instability in the second quarter, pushed investors further away from the U.S.

dollar and towards safe havens like the Swiss franc and Japanese yen.

The euro was also buoyed by defense and infrastructure stimulus, and the Japanese yen strengthened on expected Bank of Japan rate hikes, which added pressure to the U.S.

Finally, the Federal Reserve’s dovish stance, maintaining 50 basis points of expected interest rate cuts, also eroded yield support for the U.S.

For six months ended June 30, 2024, the NYSE Arca market value of each Share decreased from $18.43 per Share to $17.90 per Share.

The Share price low and high for the six months ended June 30, 2024 and related change from the Share price on December 31, 2023 was as follows:

Shares traded at a low of $17.67 per Share (-4.10%) on April 16, 2024, and a high of $18.28 per Share (-0.81%) on January 8, 2024.

The total return for the Fund on a market value basis was -2.88%.

dollar performed positively in the first half of 2024, leading to losses for the Fund.

While the dollar had fallen to end 2023 on expectations for imminent rate cuts, the Federal Reserve stuck to its higher-for-longer rhetoric as U.S.

inflation proved more persistent than expected, forcing the market to repeatedly delay easing expectations.

In comparison, many global economies including Switzerland, Sweden, Canada, and the European Central Bank (ECB) had kicked off their easing (i.e., lowering interest rates) cycles;

higher interest rates tend to make holding the currency more attractive.

A resilient U.S.

economy also provided support.

economy and heightened geopolitical tensions also provided some support.

Fund Share Net Asset Performance

For the three months ended March 31, 2025, the NAV of each Share increased from $16.73 per Share to $17.53 per Share.

Rising currency futures contracts prices for short DX Contracts during the three months ended March 31, 2025 contributed to a 3.85% increase in the level of the Index and to a 4.96% increase in the level of the Short Index–TR TM .

For the six months ended June 30, 2025, the NAV of each Share increased from $16.73 per Share to $18.90 per Share.

Rising currency futures contracts prices for short DX Contracts during the six months ended June 30, 2025 contributed to a 11.00% increase

in the level of the Index and to a 13.39% increase in the level of the Short Index–TR TM .

The total return for the Fund on a NAV basis was +12.97%.

Net income (loss) for the three months ended March 31, 2025 was $2.3 million, primarily resulting from $0.6 million of income, net realized gain (loss) of $1.4 million, net change in unrealized gain (loss) of $0.5 million and net operating expenses of $0.1 million.

For the three months ended March 31, 2024, the NAV of each Share decreased from $18.42 per Share to $17.98 per Share.

Falling currency futures contracts prices for short DX Contracts during the three months ended March 31, 2024 contributed to a 3.45% decrease in the level of the Index and to a 2.17% decrease in the level of the Short Index–TR TM .

Net income (loss) for the six months ended June 30, 2025 was $10.3 million, primarily resulting from $1.9 million of income, net realized gain (loss) of $5.4 million, net change in unrealized gain (loss) of $3.3 million and net operating expenses of $0.3 million.

For the six months ended June 30, 2024, the NAV of each Share decreased from $18.42 per Share to $17.90 per Share.

Falling currency futures contracts prices for short DX Contracts during the six months ended June 30, 2024 contributed to a 5.00% decrease in the level of the Index and to a 2.43% decrease in the level of the Short Index–TR TM .

The total return for the Fund on a NAV basis was -2.82%.

Net income (loss) for the three months ended March 31, 2024 was $(1.5) million, primarily resulting from $0.9 million of income, net realized gain (loss) of $(0.3) million, net change in unrealized gain (loss) of $(2.0) million and net operating expenses of $0.1 million.

Net income (loss) for the six months ended June 30, 2024 was $(1.8) million, primarily resulting from $1.6 million of income, net realized gain (loss) of $(1.7) million, net change in unrealized gain (loss) of $(1.4) million and net operating expenses of $0.2 million.

Critical Accounting Estimates

18 unchanged sentences

VaR is measured over a specified holding period (one day) and to a specified level of statistical confidence (99th percentile).

However, the inherent uncertainty in the markets in which the Fund trades and the recurrence in the markets traded by the Fund of market movements far

exceeding expectations could result in actual trading or non-trading losses far beyond the indicated VaR or the Fund’s experience to date (i.e., “risk of ruin”).

However, the inherent uncertainty in the markets in which the Fund trades and the recurrence in the markets traded by the Fund of market movements far exceeding expectations could result in actual trading or non-trading losses far beyond the indicated VaR or the Fund’s experience to date (i.e., “risk of ruin”).

In light of these considerations, as well as the risks and uncertainties intrinsic to all future projections, the following VaR presentation does not constitute any assurance or representation that the Fund’s losses in any market sector will be limited to VaR.

1 unchanged sentence

The Fund calculates VaR using the actual historical market movements of the Fund’s net assets.

The following table indicates the trading VaR associated with the Fund’s net assets as of March 31, 2025.

For the Three Months Ended

March 31, 2025

The following table indicates the trading VaR associated with the Fund’s net assets as of June 30, 2025.

For the Six Months Ended

June 30, 2025

Daily Volatility

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Although the Fund purchases and sells shares of T-Bill ETFs on an exchange, it does not establish or liquidate those positions for trading purposes.

QUALITATIVE DISCLOSURES REGARDING PRIMARY TRADING RISK EXPOSURES

QUALITATIVE DISCLOSURES REGARDING PRIMARY TRADING MARKET RISK EXPOSURES

The following qualitative disclosures regarding the Fund’s market risk exposures—except for those disclosures that are statements of historical fact—constitute forward-looking statements within the meaning of Section 27A of the Securities Act and Section 21E of the Exchange Act.

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Changes in Internal Control Over Financial Reporting

There has been no change in internal control over financial reporting (as defined in the Rules 13a-15(f) and 15d-15(f) of the Exchange Act) that occurred during the Fund’s quarter ended March 31, 2025 that has materially affected, or is reasonably likely to materially affect, the Fund’s internal control over financial reporting.

There has been no change in internal control over financial reporting (as defined in the Rules 13a-15(f) and 15d-15(f) of the Exchange Act) that occurred during the Fund’s quarter ended June 30, 2025 that has materially affected, or is reasonably likely to materially affect, the Fund’s internal control over financial reporting.

OTHER INFORMATION

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 2. Management’s Discussion and Analysis