Invesco DB Commodity Index Tracking Fund 10-Q for FY2020 Q3

Invesco DB Commodity Index Tracking Fund (DBC)

10-Q 2020-11-06 For: 2020-09-30

Added on April 11, 2026

About this 10-Q

Invesco DB Commodity Index Tracking Fund filed this 10-Q on November 6, 2020, covering the quarter ended September 30, 2020 (FY2020 Q3).

Headline figures

Quarter ended September 30, 2020, as reported in this filing, compared with the same period a year earlier where the filing states it.

Net income: $53.77M; compared with a net loss of $75.97M a year earlier

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Delaware		32-6042243
(State or Other Jurisdiction of Incorporation or Organization)		(I.R.S. Employer Identification No.)

c/o Invesco Capital Management LLC 3500 Lacey Road, Suite 700 Downers Grove, Illinois		60515
(Address of Principal Executive Offices)		(Zip Code)


Title of each class	Trading Symbol(s)	Name of each exchange on which registered
Common Units of Beneficial Interest	DBC	NYSE Arca, Inc.

Large Accelerated Filer	☑	Accelerated Filer	☐
Non-Accelerated Filer	☐	Smaller reporting company	☐
		Emerging growth company	☐

			Page
PART I.		FINANCIAL INFORMATION	1

	ITEM 1.	Financial Statements	1
		Notes to Unaudited Financial Statements	10
	ITEM 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	20
	ITEM 3.	Quantitative and Qualitative Disclosures About Market Risk	29
	ITEM 4.	Controls and Procedures	32

PART II.		OTHER INFORMATION	33

	Item 1.	Legal Proceedings	33
	Item 1A.	Risk Factors	33
	Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	36
	Item 3.	Defaults Upon Senior Securities	36
	Item 4.	Mine Safety Disclosures	36
	Item 5.	Other Information	36
	Item 6.	Exhibits	37

SIGNATURES			38

	September 30,		December 31,
	2020		2019
Assets
United States Treasury Obligations, at value (cost $369,952,285 and $664,622,057, respectively)	$	369,962,827	$	664,863,392
Affiliated investments, at value (cost $648,207,210 and $767,489,717, respectively)		648,816,139		767,882,587
Other investments:
Variation margin receivable- Commodity Futures Contracts		12,215,609		—
LME Commodity Futures Contracts receivable		806,055		—
Unrealized appreciation on LME Commodity Futures Contracts		20,973,886		7,078,689
Receivable for:
Dividends from affiliates		4,437		346,785
Total assets	$	1,052,778,953	$	1,440,171,453
Liabilities
Other investments:
Variation margin payable- Commodity Futures Contracts	$	—	$	8,060,074
LME Commodity Futures Contracts payable		—		2,496,880
Payable for:
Management fees		666,689		954,189
Brokerage commissions and fees		5,005		3,227
Total liabilities		671,694		11,514,370
Commitments and Contingencies (Note 10)
Equity
Shareholder's equity—General Shares		524		638
Shareholders' equity—Shares		1,052,106,735		1,428,656,445
Total shareholders' equity		1,052,107,259		1,428,657,083
Total liabilities and equity	$	1,052,778,953	$	1,440,171,453
General Shares outstanding		40		40
Shares outstanding		80,400,000		89,600,000

Net asset value per share	$	13.09	$	15.94

Market value per share	$	13.06	$	15.96

Description	Percentage of Shareholders' Equity			Value		Principal Value
United States Treasury Obligations^(a)
U.S. Treasury Bills, 0.090% due October 15, 2020 ^(b)		15.21	%	$	159,995,800	$	160,000,000
U.S. Treasury Bills, 0.085% due November 12, 2020 ^(b)		4.75			49,995,261		50,000,000
U.S. Treasury Bills, 0.110% due December 17, 2020		15.20			159,971,766		160,000,000
Total United States Treasury Obligations (cost $369,952,285)		35.16	%	$	369,962,827
Affiliated Investments						Shares
Exchange-Traded Fund
Invesco Treasury Collateral ETF (cost $180,443,123) ^(c)		17.21	%	$	181,052,052		1,712,400
Money Market Mutual Fund
Invesco Government & Agency Portfolio, Institutional Class, 0.02% (cost $467,764,087) ^(c)(d)		44.46			467,764,087		467,764,087
Total Affiliated Investments (cost $648,207,210)		61.67	%	$	648,816,139
Total Investments in Securities (cost $1,018,159,495)		96.83	%	$	1,018,778,966

Open Commodity Futures Contracts	Number of Contracts		Expiration Date	Notional Value		Value^(e)			Unrealized Appreciation (Depreciation)^(e)
Long Futures Contracts
CBOT Corn		3,066	September - 2021	$	59,518,725	$	5,047,527		$	5,047,527
CBOT Soybean		1,437	November - 2020		73,538,475		5,249,318			5,249,318
CBOT Wheat		2,502	July - 2021		72,808,200		6,822,380			6,822,380
COMEX Gold		659	February - 2021		125,381,340		16,014,286			16,014,286
COMEX Silver		286	May - 2021		33,925,320		9,613,168			9,613,168
ICE-UK Brent Crude		2,520	November - 2020		107,730,000		(25,750,590	)		(25,750,590	)
LME Aluminum		1,058	May - 2021		47,457,913		5,223,855			5,223,855
LME Copper		341	May - 2021		56,929,950		10,312,850			10,312,850
LME Zinc		811	August - 2021		49,420,312		5,437,181			5,437,181
NYB-ICE Sugar		4,623	September - 2021		66,171,773		1,372,501			1,372,501
NYMEX Natural Gas		2,027	April - 2021		55,701,960		6,443,407			6,443,407
NYMEX NY Harbor ULSD		1,484	May - 2021		76,756,932		4,077,542			4,077,542
NYMEX RBOB Gasoline		2,378	November - 2020		116,375,515		(29,134,832	)		(29,134,832	)
NYMEX WTI Crude		2,671	February - 2021		110,766,370		(20,272,364	)		(20,272,364	)
Total Commodity Futures Contracts						$	456,229		$	456,229

	Three Months Ended						Nine Months Ended
	September 30,						September 30,
	2020			2019			2020			2019
Income
Interest Income	$	103,534		$	6,695,131		$	3,204,737		$	24,115,062
Dividends from Affiliates		160,952			1,837,418			2,762,551			5,844,853
Total Income		264,486			8,532,549			5,967,288			29,959,915
Expenses
Management Fees		2,137,418			3,204,939			6,300,576			10,768,355
Brokerage Commissions and Fees		87,241			123,146			250,603			290,905
Interest Expense		2,934			36,153			38,852			290,361
Total Expenses		2,227,593			3,364,238			6,590,031			11,349,621
Less: Waivers		(235,059	)		(93,078	)		(563,933	)		(280,253	)
Net Expenses		1,992,534			3,271,160			6,026,098			11,069,368
Net Investment Income (Loss)		(1,728,048	)		5,261,389			(58,810	)		18,890,547
Net Realized and Net Change in Unrealized Gain (Loss) on United States Treasury Obligations, Affiliated Investments and Commodity Futures Contracts
Net Realized Gain (Loss) on
United States Treasury Obligations		1,105			33,003			150,237			32,242
Affiliated Investments		—			—			384,050			—
Commodity Futures Contracts		(18,219,332	)		(40,903,614	)		(209,756,791	)		(102,006,167	)
Net Realized Gain (Loss)		(18,218,227	)		(40,870,611	)		(209,222,504	)		(101,973,925	)
Net Change in Unrealized Gain (Loss) on
United States Treasury Obligations		11,894			(255,940	)		(230,793	)		362,864
Affiliated Investments		(119,868	)		(47,447	)		216,059			320,274
Commodity Futures Contracts		73,823,788			(40,061,347	)		(47,238,166	)		181,974,461
Net Change in Unrealized Gain (Loss)		73,715,814			(40,364,734	)		(47,252,900	)		182,657,599
Net Realized and Net Change in Unrealized Gain (Loss) on United States Treasury Obligations, Affiliated Investments and Commodity Futures Contracts		55,497,587			(81,235,345	)		(256,475,404	)		80,683,674
Net Income (Loss)	$	53,769,539		$	(75,973,956	)	$	(256,534,214	)	$	99,574,221

	General Shares					Shares						Total
	Shares		Total Equity			Shares			Total Equity			Shareholders' Equity
Balance at June 30, 2020		40	$	492			69,200,000		$	851,267,113		$	851,267,605
Purchases of Shares							13,200,000			173,286,373			173,286,373
Redemption of Shares							(2,000,000	)		(26,216,258	)		(26,216,258	)
Net Increase (Decrease) due to Share Transactions							11,200,000			147,070,115			147,070,115
Net Income (Loss)
Net Investment Income (Loss)				(1	)					(1,728,047	)		(1,728,048	)
Net Realized Gain (Loss) on United States Treasury Obligations, Affiliated Investments and Commodity Futures Contracts				(3	)					(18,218,224	)		(18,218,227	)
Net Change in Unrealized Gain (Loss) on United States Treasury Obligations, Affiliated Investments and Commodity Futures Contracts				36						73,715,778			73,715,814
Net Income (Loss)				32						53,769,507			53,769,539
Net Change in Shareholders' Equity		—		32			11,200,000			200,839,622			200,839,654
Balance at September 30, 2020		40	$	524			80,400,000		$	1,052,106,735		$	1,052,107,259

	Level 1			Level 2		Level 3		Total
Investments in Securities
United States Treasury Obligations	$	—		$	369,962,827	$	—	$	369,962,827
Exchange-Traded Fund		181,052,052			—		—		181,052,052
Money Market Mutual Fund		467,764,087			—		—		467,764,087
Total Investments in Securities		648,816,139			369,962,827		—		1,018,778,966
Other Investments—Assets^(a)
Commodity Futures Contracts		75,614,015			—		—		75,614,015
Other Investments—Liabilities^(a)
Commodity Futures Contracts		(75,157,786	)		—		—		(75,157,786	)
Total Other Investments		456,229			—		—		456,229
Total Investments	$	649,272,368		$	369,962,827	$	—	$	1,019,235,195

	September 30, 2020					December 31, 2019
Risk Exposure/Derivative Type ^(a)	Assets		Liabilities			Assets		Liabilities
Commodity risk
Commodity Futures Contracts	$	75,614,015	$	(75,157,786	)	$	67,605,844	$	(19,911,449	)

		For the Three Months Ended
	Location of Gain (Loss) on Derivatives	September 30,
Risk Exposure/Derivative Type	Recognized in Income	2020			2019
Commodity risk
Commodity Futures Contracts	Net Realized Gain (Loss)	$	(18,219,332	)	$	(40,903,614	)
	Net Change in Unrealized Gain (Loss)		73,823,788			(40,061,347	)
Total		$	55,604,456		$	(80,964,961	)

		For the Nine Months Ended
	Location of Gain (Loss) on Derivatives	September 30,
Risk Exposure/Derivative Type	Recognized in Income	2020			2019
Commodity risk
Commodity Futures Contracts	Net Realized Gain (Loss)	$	(209,756,791	)	$	(102,006,167	)
	Net Change in Unrealized Gain (Loss)		(47,238,166	)		181,974,461
Total		$	(256,994,957	)	$	79,968,294

	Value 06/30/2020		Purchases at Cost		Proceeds from Sales			Change in Unrealized Appreciation (Depreciation)			Realized Gain (Loss)		Value 09/30/2020		Dividend Income
Invesco Treasury Collateral ETF	$	181,171,920	$	—	$	—		$	(119,868	)	$	—	$	181,052,052	$	131,255
Investments in Affiliated Money Market Funds:
Invesco Government & Agency Portfolio, Institutional Class		—		476,687,876		(8,923,789	)		—			—		467,764,087		1,486
Invesco Premier U.S. Government Money Portfolio, Institutional Class		336,636,283		350,716,588		(687,352,871	)		—			—		—		28,211
Total	$	517,808,203	$	827,404,464	$	(696,276,660	)	$	(119,868	)	$	—	$	648,816,139	$	160,952

	Value 12/31/2019		Purchases at Cost		Proceeds from Sales			Change in Unrealized Appreciation (Depreciation)		Realized Gain (Loss)		Value 09/30/2020		Dividend Income
Invesco Treasury Collateral ETF	$	250,383,096	$	—	$	(69,931,153	)	$	216,059	$	384,050	$	181,052,052	$	1,662,729
Investments in Affiliated Money Market Funds:
Invesco Government & Agency Portfolio, Institutional Class		—		476,687,876		(8,923,789	)		—		—		467,764,087		1,486
Invesco Premier U.S. Government Money Portfolio, Institutional Class		517,499,491		1,329,363,136		(1,846,862,627	)		—		—		—		1,098,336
Total	$	767,882,587	$	1,806,051,012	$	(1,925,717,569	)	$	216,059	$	384,050	$	648,816,139	$	2,762,551

	Nine Months Ended
	September 30,
	2020			2019
Cash flows from operating activities:
Net Income (Loss)	$	(256,534,214	)	$	99,574,221
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Cost of securities purchased		(858,980,266	)		(3,011,434,334	)
Proceeds from securities sold and matured		1,156,994,204			3,530,220,557
Cost of affiliated investments purchased		(1,806,051,012	)		(2,309,633,070	)
Proceeds from affiliated investments sold		1,925,717,569			2,388,424,582
Net accretion of discount on United States Treasury Obligations		(3,193,929	)		(24,024,190	)
Net realized (gain) loss on United States Treasury Obligations and Affiliated Investments		(534,287	)		(32,242	)
Net change in unrealized (gain) loss on United States Treasury Obligations, Affiliated Investments and LME Commodity Futures Contracts		(13,880,463	)		(26,949,632	)
Change in operating assets and liabilities:
Dividends from affiliates		342,348			136,102
Variation margin - Commodity Futures Contracts		(20,275,683	)		13,813,977
LME Commodity Futures Contracts		(3,302,935	)		(13,942,706	)
Management fees		(287,500	)		(422,532	)
Brokerage commissions and fees		1,778			4,447
Other receivables		—			17,077
Net cash provided by (used in) operating activities		120,015,610			645,752,257
Cash flows from financing activities:
Proceeds from purchases of Shares		255,230,466			51,179,193
Redemption of Shares		(375,246,076	)		(677,971,167	)
Increase (decrease) in payable for amount due to custodian		—			(18,960,283	)
Net cash provided by (used in) financing activities		(120,015,610	)		(645,752,257	)
Net change in cash		—			—
Cash at beginning of period		—			—
Cash at end of period	$	—		$	—
Supplemental disclosure of cash flow information
Cash paid for interest	$	38,852		$	290,361

	Value 06/30/2019		Purchases at Cost		Proceeds from Sales			Change in Unrealized Appreciation (Depreciation)			Realized Gain (Loss)		Value 09/30/2019		Dividend Income
Invesco Treasury Collateral ETF	$	250,513,577	$	—	$	—		$	(47,447	)	$	—	$	250,466,130	$	1,383,536
Investments in Affiliated Money Market Funds:
Invesco Premier U.S. Government Money Portfolio, Institutional Class		99,356,050		963,309,339		(996,517,834	)		—			—		66,147,555		453,882
Total	$	349,869,627	$	963,309,339	$	(996,517,834	)	$	(47,447	)	$	—	$	316,613,685	$	1,837,418

	Value 12/31/2018		Purchases at Cost		Proceeds from Sales			Change in Unrealized Appreciation (Depreciation)		Realized Gain (Loss)		Value 09/30/2019		Dividend Income
Invesco Treasury Collateral ETF	$	250,145,856	$	—	$	—		$	320,274	$	—	$	250,466,130	$	4,329,886
Investments in Affiliated Money Market Funds:
Invesco Premier U.S. Government Money Portfolio, Institutional Class		144,939,067		2,309,633,070		(2,388,424,582	)		—		—		66,147,555		1,514,967
Total	$	395,084,923	$	2,309,633,070	$	(2,388,424,582	)	$	320,274	$	—	$	316,613,685	$	5,844,853

Index Commodity	Fund Weight (%)
Light Sweet Crude Oil (WTI)		10.53	%
Ultra Low Sulphur Diesel		7.29
RBOB Gasoline		11.05
Natural Gas		5.29
Brent Crude Oil		10.23
Gold		11.92
Silver		3.22
Aluminum		4.51
Zinc		4.70
Copper Grade A		5.41
Corn		5.66
Wheat		6.92
Soybeans		6.99
Sugar		6.28
Closing Level as of September 30, 2020:		100.00	%

	AGGREGATE RETURNS FOR INDICES IN THE DBIQ-OY DIVERSIFIED TR™
	Three Months Ended						Nine Months Ended
	September 30,						September 30,
Underlying Index	2020			2019			2020			2019
DB Light Crude Oil Indices		3.78	%		(6.91	)%		(32.04	)%		12.77	%
DB Ultra Low Sulphur Diesel Indices		(4.87	)		(5.56	)		(52.56	)		11.07
DB Aluminum Indices		7.25			(4.72	)		(7.05	)		(8.33	)
DB Gold Indices		4.14			4.00			22.85			14.11
DB Corn Indices		(0.52	)		(7.13	)		(15.02	)		1.43
DB Wheat Indices		12.70			(6.07	)		(2.18	)		(7.27	)
DB RBOB Gasoline Indices		8.38			(6.08	)		(26.18	)		15.03
DB Natural Gas Indices		12.52			(4.78	)		(9.88	)		(11.19	)
DB Silver Indices		24.65			10.81			30.35			8.14
DB Zinc Indices		17.03			(3.85	)		5.38			0.42
DB Copper Grade A Indices		10.72			(4.30	)		6.81			(3.02	)
DB Soybeans Indices		16.04			(1.33	)		4.94			(1.48	)
DB Sugar Indices		3.33			(9.26	)		(10.68	)		(7.54	)
DB Brent Crude Oil Indices		1.94			(7.51	)		(34.89	)		7.65
AGGREGATE RETURNS		6.60	%		(4.63	)%		(17.63	)%		4.50	%

								For the Year Ended
								December 31, 2019
Description	Net Assets		Daily Volatility			VaR* (99 Percentile)		Number of times VaR Exceeded
Invesco DB Commodity Index Tracking Fund	$	1,428,657,083		0.76	%	$	25,370,657		11

Period of Redemption	Total Number of Shares Redeemed		Average Price Paid per Share
July 1, 2020 to July 31, 2020		—	$	—
August 1, 2020 to August 31, 2020		—	$	—
September 1, 2020 to September 30, 2020		2,000,000	$	13.11
Total		2,000,000	$	13.11

10.1		Form of Participant Agreement (filed herewith)

10.2		Amendment to Form of Participant Agreement (filed herewith)

31.1		Certification required under Exchange Act Rules 13a-14 and 15d-14 (filed herewith)

31.2		Certification required under Exchange Act Rules 13a-14 and 15d-14 (filed herewith)

32.1		Certification of Principal Executive Officer pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (furnished herewith)

32.2		Certification of Principal Financial Officer pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (furnished herewith)

101		Interactive data file pursuant to Rule 405 of Regulation S-T: (i) the Statements of Financial Condition of Invesco DB Commodity Index Tracking Fund – September 30, 2020 and December 31, 2019 (Unaudited), (ii) the Schedule of Investments of Invesco DB Commodity Index Tracking Fund - September 30, 2020 (Unaudited), (iii) the Schedule of Investments of Invesco DB Commodity Index Tracking Fund – December 31, 2019 (Unaudited), (iv) the Statements of Income and Expenses of Invesco DB Commodity Index Tracking Fund – For the Three and Nine Months Ended September 30, 2020 and 2019 (Unaudited), (v) the Statement of Changes in Shareholders’ Equity of Invesco DB Commodity Index Tracking Fund – For the Three Months Ended September 30, 2020 (Unaudited), (vi) the Statement of Changes in Shareholders’ Equity of Invesco DB Commodity Index Tracking Fund – For the Three Months Ended September 30, 2019 (Unaudited), (vii) the Statement of Changes in Shareholders’ Equity of Invesco DB Commodity Index Tracking Fund – For the Nine Months Ended September 30, 2020 (Unaudited), (viii) the Statement of Changes in Shareholders’ Equity of Invesco DB Commodity Index Tracking Fund- For the Nine Months Ended September 30, 2019 (Unaudited), (ix) the Statements of Cash Flows of Invesco DB Commodity Index Tracking Fund – For the Nine Months Ended September 30, 2020 and 2019 (Unaudited), and (x) Notes to Unaudited Financial Statements of Invesco DB Commodity Index Tracking Fund– September 30, 2020.

101.INS		Inline XBRL Instance Document – The instance document does not appear in the interactive data file because its XBRL tags are embedded within the Inline XBRL document

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101.CAL		Inline XBRL Taxonomy Extension Calculation Linkbase Document

101.LAB		Inline XBRL Taxonomy Extension Label Linkbase Document

101.PRE		Inline XBRL Taxonomy Extension Presentation Linkbase Document

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104		The cover page of the Fund's Quarterly Report on Form 10-Q for the quarter ended September 30, 2020, formatted in Inline XBRL

	Invesco DB Commodity Index Tracking Fund

	By:	Invesco Capital Management LLC,
		its Managing Owner

Dated: November 5, 2020		By:	/S/ ANNA PAGLIA
		Name:	Anna Paglia
		Title:	Principal Executive Officer




Dated: November 5, 2020		By:	/S/ KELLI GALLEGOS
		Name:	Kelli Gallegos
		Title:	Principal Financial and Accounting Officer, Investment Pools