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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM 10-Q

 

(Mark One)

QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended June 30, 2020

OR

TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from                      to                     

Commission File Number:                    001-33240

 

INVESCO DB ENERGY FUND

(A Series of Invesco DB Multi-Sector Commodity Trust)

(Exact name of registrant as specified in its charter)

 

Delaware

87-0778060

(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)

 

Registrant’s telephone number, including area code: (800983-0903

 

Securities registered pursuant to Section 12(b) of the Act:

Title of each class

Trading Symbol(s)

Name of each exchange on which registered

Common Units of Beneficial Interest

DBE

NYSE Arca, Inc.

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.    Yes      No  

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).    Yes      No  

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company,” and “emerging growth company” in Rule 12b-2 of the Exchange Act.

 

Large Accelerated Filer

Accelerated Filer

 

 

 

 

Non-Accelerated Filer

  

Smaller reporting company

 

 

 

 

 

 

Emerging growth company

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.              

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).    Yes      No  

Indicate the number of outstanding Shares as of June 30, 2020: 6,200,000

 

 


 

INVESCO DB ENERGY FUND

(A SERIES OF INVESCO DB MULTI-SECTOR COMMODITY TRUST)

QUARTER ENDED JUNE 30, 2020

TABLE OF CONTENTS

 

 

 

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

21

ITEM 3.

Quantitative and Qualitative Disclosures About Market Risk

30

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

 

 

 

 


PART I. FINANCIAL INFORMATION

ITEM  1.

FINANCIAL STATEMENTS.

Invesco DB Energy Fund

Statements of Financial Condition

June 30, 2020 and December 31, 2019

(Unaudited)

 

 

 

June 30,

 

 

December 31,

 

 

 

2020

 

 

2019

 

Assets

 

 

 

 

 

 

 

 

United States Treasury Obligations, at value (cost $15,996,229 and

   $14,957,355, respectively)

 

$

15,996,056

 

 

$

14,963,000

 

Affiliated investments, at value (cost $40,710,356 and $50,030,279, respectively)

 

 

40,750,873

 

 

 

50,061,710

 

Other investments:

 

 

 

 

 

 

 

 

Cash held by custodian

 

 

1,181,476

 

 

 

 

Receivable for:

 

 

 

 

 

 

 

 

Dividends from affiliates

 

 

2,453

 

 

 

18,867

 

Total assets

 

$

57,930,858

 

 

$

65,043,577

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

Other investments:

 

 

 

 

 

 

 

 

Variation margin payable- Commodity Futures Contracts

 

$

484,751

 

 

$

669,751

 

Payable for:

 

 

 

 

 

 

 

 

Management fees

 

 

29,989

 

 

 

36,969

 

Brokerage commissions and fees

 

 

5,002

 

 

 

4,944

 

Total liabilities

 

 

519,742

 

 

 

711,664

 

Commitments and Contingencies (Note 10)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Equity

 

 

 

 

 

 

 

 

Shareholder's equity—General Shares

 

 

370

 

 

 

585

 

Shareholders' equity—Shares

 

 

57,410,746

 

 

 

64,331,328

 

Total shareholders' equity

 

 

57,411,116

 

 

 

64,331,913

 

Total liabilities and equity

 

$

57,930,858

 

 

$

65,043,577

 

 

 

 

 

 

 

 

 

 

General Shares outstanding

 

 

40

 

 

 

40

 

Shares outstanding

 

 

6,200,000

 

 

 

4,400,000

 

Net asset value per share

 

$

9.26

 

 

$

14.62

 

Market value per share

 

$

9.28

 

 

$

14.64

 

 

See accompanying Notes to Unaudited Financial Statements which are an integral part of the financial statements.

 

 

1


Invesco DB Energy Fund

Schedule of Investments

June 30, 2020

(Unaudited)

 

Description

 

Percentage of

Shareholders'

Equity

 

 

Value

 

 

Principal Value

 

United States Treasury Obligations (a)

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury Bills, 0.170% due September 10, 2020 (b)

 

 

27.86

%

 

$

15,996,056

 

 

$

16,000,000

 

Total United States Treasury Obligations (cost $15,996,229)

 

 

27.86

%

 

$

15,996,056

 

 

 

 

 

Affiliated Investments

 

 

 

 

 

 

 

 

 

Shares

 

Exchange-Traded Fund

 

 

 

 

 

 

 

 

 

 

 

 

Invesco Treasury Collateral ETF (cost $10,031,643)(c)

 

 

17.54

%

 

$

10,072,160

 

 

 

95,200

 

Money Market Mutual Fund

 

 

 

 

 

 

 

 

 

 

 

 

Invesco Premier U.S. Government Money Portfolio, Institutional Class, 0.08% (cost $30,678,713)(c)(d)

 

 

53.44

 

 

 

30,678,713

 

 

 

30,678,713

 

Total Affiliated Investments (cost $40,710,356)

 

 

70.98

%

 

$

40,750,873

 

 

 

 

 

Total Investments in Securities (cost $56,706,585)

 

 

98.84

%

 

$

56,746,929

 

 

 

 

 

 

(a)

Security may be traded on a discount basis. The interest rate shown represents the discount rate at the most recent auction date of the security prior to period end.

(b)

United States Treasury Obligations of $15,995,200 are on deposit with the Commodity Broker and held as maintenance margin for open futures contracts.

(c)

Affiliated issuer. The issuer and/or the Fund is a wholly-owned subsidiary of Invesco Ltd., or is affiliated by having an investment adviser that is under common control of Invesco Ltd. See Note 8.

 

(d)     The rate shown is the 7-day SEC standardized yield as of June 30, 2020.

 

 

Open Commodity Futures Contracts

 

Number of Contracts

 

Expiration Date

 

Notional

Value

 

 

Value(e)

 

 

Unrealized Appreciation (Depreciation)(e)

 

Long Futures Contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

ICE-UK Brent Crude

 

322

 

November - 2020

 

$

13,507,900

 

 

$

(761,430

)

 

$

(761,430

)

NYMEX Natural Gas

 

259

 

April - 2021

 

 

6,327,370

 

 

 

(43,970

)

 

 

(43,970

)

NYMEX NY Harbor ULSD

 

189

 

May - 2021

 

 

10,278,916

 

 

 

1,159,096

 

 

 

1,159,096

 

NYMEX RBOB Gasoline

 

303

 

November - 2020

 

 

13,685,541

 

 

 

(917,047

)

 

 

(917,047

)

NYMEX WTI Crude

 

341

 

February  - 2021

 

 

13,629,770

 

 

 

(349,229

)

 

 

(349,229

)

Total Commodity Futures Contracts

 

 

 

 

 

 

 

 

 

$

(912,580

)

 

$

(912,580

)

 

(e)

Unrealized Appreciation (Depreciation) and Value are presented above, net by contract.

See accompanying Notes to Unaudited Financial Statements which are an integral part of the financial statements.

2


Invesco DB Energy Fund

Schedule of Investments

December 31, 2019

(Unaudited)

 

Description

 

Percentage of

Shareholders'

Equity

 

 

Value

 

 

Principal Value

 

United States Treasury Obligations (a)

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury Bills, 1.520% due February 6, 2020

 

 

4.66

%

 

$

2,995,669

 

 

$

3,000,000

 

U.S. Treasury Bills, 1.560% due March 5, 2020 (b)

 

 

17.05

 

 

 

10,971,173

 

 

 

11,000,000

 

U.S. Treasury Bills, 1.520% due April 2, 2020

 

 

1.55

 

 

 

996,158

 

 

 

1,000,000

 

Total United States Treasury Obligations (cost $14,957,355)

 

 

23.26

%

 

$

14,963,000

 

 

 

 

 

Affiliated Investments

 

 

 

 

 

 

 

 

 

Shares

 

   Exchange-Traded Fund

 

 

 

 

 

 

 

 

 

 

 

 

      Invesco Treasury Collateral ETF (cost $20,000,061)(c)

 

 

31.14

%

 

$

20,031,492

 

 

 

189,800

 

   Money Market Mutual Fund

 

 

 

 

 

 

 

 

 

 

 

 

Invesco Premier U.S. Government Money Portfolio,

Institutional Class, 1.47% (cost $30,030,218)(c)(d)

 

 

46.68

 

 

 

30,030,218

 

 

 

30,030,218

 

Total Affiliated Investments (cost 50,030,279)

 

 

77.82

%

 

$

50,061,710

 

 

 

 

 

Total Investments in Securities (cost $64,987,634)

 

 

101.08

%

 

$

65,024,710

 

 

 

 

 

 

(a)

Security may be traded on a discount basis. The interest rate shown represents the discount rate at the most recent auction date of the security prior to period end.

(b)

United States Treasury Obligations of $8,178,680 are on deposit with the Commodity Broker and held as maintenance margin for open futures contracts.

(c)

Affiliated issuer. The issuer and/or the Fund is a wholly-owned subsidiary of Invesco Ltd., or is affiliated by having an investment adviser that is under common control of Invesco Ltd. See Note 8.

(d)

The security and the Fund are advised by wholly-owned subsidiaries of Invesco Ltd. and are therefore considered to be affiliated. The rate shown is the 7-day SEC standardized yield as of December 31, 2019.

 

 

Open Commodity Futures Contracts

 

Number of Contracts

 

Expiration Date

 

Notional

Value

 

 

Value(e)

 

 

Unrealized Appreciation (Depreciation)(e)

 

Long Futures Contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

ICE-UK Brent Crude

 

227

 

January - 2020

 

$

14,982,000

 

 

$

825,310

 

 

$

825,310

 

NYMEX Natural Gas

 

256

 

April - 2020

 

 

5,601,280

 

 

 

(832,732

)

 

 

(832,732

)

NYMEX NY Harbor ULSD

 

177

 

May - 2020

 

 

14,654,644

 

 

 

(92,939

)

 

 

(92,939

)

NYMEX RBOB Gasoline

 

215

 

November - 2020

 

 

14,302,617

 

 

 

495,645

 

 

 

495,645

 

NYMEX WTI Crude

 

243

 

February - 2020

 

 

14,767,110

 

 

 

1,220,000

 

 

 

1,220,000

 

Total Commodity Futures Contracts

 

 

 

 

 

 

 

 

 

$

1,615,284

 

 

$

1,615,284

 

 

(e)

Unrealized Appreciation (Depreciation) and Value are presented above, net by contract.

See accompanying Notes to Unaudited Financial Statements which are an integral part of the financial statements.

 

 

3


Invesco DB Energy Fund

Statements of Income and Expenses

For the Three and Six Months Ended June 30, 2020 and 2019

(Unaudited)

 

 

 

Three Months Ended

 

 

Six Months Ended

 

 

 

 

June 30,

 

 

June 30,

 

 

 

 

2020

 

 

2019

 

 

2020

 

 

2019

 

 

Income

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest Income

 

$

35,444

 

 

$

363,020

 

 

$

125,726

 

 

$

787,199

 

 

Dividends from Affiliates

 

 

30,002

 

 

 

145,626

 

 

 

146,458

 

 

 

298,218

 

 

Total Income

 

 

65,446

 

 

 

508,646

 

 

 

272,184

 

 

 

1,085,417

 

 

Expenses

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Management Fees

 

 

86,753

 

 

 

159,091

 

 

 

190,251

 

 

 

342,739

 

 

Brokerage Commissions and Fees

 

 

5,029

 

 

 

4,956

 

 

 

11,500

 

 

 

8,819

 

 

Interest Expense

 

 

1,077

 

 

 

4,253

 

 

 

3,029

 

 

 

7,828

 

 

Total Expenses

 

 

92,859

 

 

 

168,300

 

 

 

204,780

 

 

 

359,386

 

 

Less: Waivers

 

 

(11,477

)

 

 

(6,019

)

 

 

(22,692

)

 

 

(13,220

)

 

Net Expenses

 

 

81,382

 

 

 

162,281

 

 

 

182,088

 

 

 

346,166

 

 

Net Investment Income (Loss)

 

 

(15,936

)

 

 

346,365

 

 

 

90,096

 

 

 

739,251

 

 

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

 

 

 

 

 

2,818

 

 

 

(600

)

 

 

2,357

 

 

Affiliated Investments

 

 

 

 

 

 

 

 

21,121

 

 

 

 

 

Commodity Futures Contracts

 

 

(11,181,695

)

 

 

(1,418,296

)

 

 

(19,751,001

)

 

 

(7,135,844

)

 

Net Realized Gain (Loss)

 

 

(11,181,695

)

 

 

(1,415,478

)

 

 

(19,730,480

)

 

 

(7,133,487

)

 

Net Change in Unrealized Gain (Loss) on

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

United States Treasury Obligations

 

 

(32,192

)

 

 

17,548

 

 

 

(5,818

)

 

 

19,678

 

 

Affiliated Investments

 

 

(37,128

)

 

 

19,929

 

 

 

9,086

 

 

 

29,419

 

 

Commodity Futures Contracts

 

 

19,151,540

 

 

 

(1,665,849

)

 

 

(2,527,864

)

 

 

20,616,192

 

 

Net Change in Unrealized Gain (Loss)

 

 

19,082,220

 

 

 

(1,628,372

)

 

 

(2,524,596

)

 

 

20,665,289

 

 

Net Realized and Net Change in Unrealized Gain (Loss) on United States Treasury Obligations, Affiliated Investments and Commodity Futures Contracts

 

 

7,900,525

 

 

 

(3,043,850

)

 

 

(22,255,076

)

 

 

13,531,802

 

 

Net Income (Loss)

 

$

7,884,589

 

 

$

(2,697,485

)

 

$

(22,164,980

)

 

$

14,271,053

 

 

 

See accompanying Notes to Unaudited Financial Statements which are an integral part of the financial statements.

 

 


4


Invesco DB Energy Fund
Statement of Changes in Shareholders' Equity
For the Three Months Ended June 30, 2020
(Unaudited)

 

 

 

General Shares

 

 

Shares

 

 

Total

 

 

 

Shares

 

 

Total

Equity

 

 

Shares

 

 

Total

Equity

 

 

Shareholders'

Equity

 

Balance at March 31, 2020

 

 

40

 

 

$

328

 

 

 

4,400,000

 

 

$

36,026,312

 

 

$

36,026,640

 

Purchases of Shares

 

 

 

 

 

 

 

 

 

 

3,000,000

 

 

 

24,012,215

 

 

 

24,012,215

 

Redemption of Shares

 

 

 

 

 

 

 

 

 

 

(1,200,000

)

 

 

(10,512,328

)

 

 

(10,512,328

)

Net Increase (Decrease) due to Share Transactions

 

 

 

 

 

 

 

 

 

 

1,800,000

 

 

 

13,499,887

 

 

 

13,499,887

 

Net Income (Loss)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Investment Income (Loss)

 

 

 

 

 

 

 

 

 

 

 

 

 

(15,936

)

 

 

(15,936

)

Net Realized Gain (Loss) on United States Treasury

   Obligations, Affiliated Investments and Commodity

   Futures Contracts

 

 

 

 

 

 

(118

)

 

 

 

 

 

 

(11,181,577

)

 

 

(11,181,695

)

Net Change in Unrealized Gain (Loss) on United States

   Treasury Obligations, Affiliated Investments and

   Commodity Futures Contracts

 

 

 

 

 

 

160

 

 

 

 

 

 

 

19,082,060

 

 

 

19,082,220

 

Net Income (Loss)

 

 

 

 

 

 

42

 

 

 

 

 

 

 

7,884,547

 

 

 

7,884,589

 

Net Change in Shareholders' Equity

 

 

 

 

 

42

 

 

 

1,800,000

 

 

 

21,384,434

 

 

 

21,384,476

 

Balance at June 30, 2020

 

 

40

 

 

$

370

 

 

 

6,200,000

 

 

$

57,410,746

 

 

$

57,411,116

 

 

See accompanying Notes to Unaudited Financial Statements which are an integral part of the financial statements.

 


5


Invesco DB Energy Fund
Statement of Changes in Shareholders' Equity
For the Three Months Ended June 30, 2019
(Unaudited)

 

 

 

General Shares

 

 

Shares

 

 

Total

 

 

 

Shares

 

 

Total

Equity

 

 

Shares

 

 

Total

Equity

 

 

Shareholders'

Equity

 

Balance at March 31, 2019

 

 

40

 

 

$

588

 

 

 

6,600,000

 

 

$

96,949,979

 

 

$

96,950,567

 

Purchases of Shares

 

 

 

 

 

 

 

 

 

 

400,000

 

 

 

6,042,181

 

 

 

6,042,181

 

Redemption of Shares

 

 

 

 

 

 

 

 

 

 

(1,800,000

)

 

 

(26,076,377

)

 

 

(26,076,377

)

Net Increase (Decrease) due to Share Transactions

 

 

 

 

 

 

 

 

 

 

(1,400,000

)

 

 

(20,034,196

)

 

 

(20,034,196

)

Net Income (Loss)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Investment Income (Loss)

 

 

 

 

 

 

2

 

 

 

 

 

 

 

346,363

 

 

 

346,365

 

Net Realized Gain (Loss) on United States Treasury

   Obligations, Affiliated Investments and Commodity

   Futures Contracts

 

 

 

 

 

 

(7

)

 

 

 

 

 

 

(1,415,471

)

 

 

(1,415,478

)

Net Change in Unrealized Gain (Loss) on United States

   Treasury Obligations, Affiliated Investments and

   Commodity Futures Contracts

 

 

 

 

 

 

(12

)

 

 

 

 

 

 

(1,628,360

)

 

 

(1,628,372

)

Net Income (Loss)

 

 

 

 

 

 

(17

)

 

 

 

 

 

 

(2,697,468

)

 

 

(2,697,485

)

Net Change in Shareholders' Equity

 

 

 

 

 

(17

)

 

 

(1,400,000

)

 

 

(22,731,664

)

 

 

(22,731,681

)

Balance at June 30, 2019

 

 

40

 

 

$

571

 

 

 

5,200,000

 

 

$

74,218,315

 

 

$

74,218,886

 

 

See accompanying Notes to Unaudited Financial Statements which are an integral part of the financial statements.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

6


Invesco DB Energy Fund
Statement of Changes in Shareholders' Equity
For the Six Months Ended June 30, 2020
(Unaudited)

 

 

 

General Shares

 

 

Shares

 

 

Total

 

 

 

Shares

 

 

Total

Equity

 

 

Shares

 

 

Total

Equity

 

 

Shareholders'

Equity

 

Balance at December 31, 2019

 

 

40

 

 

$

585

 

 

 

4,400,000

 

 

$

64,331,328

 

 

$

64,331,913

 

Purchases of Shares

 

 

 

 

 

 

 

 

 

 

5,400,000

 

 

 

54,777,347

 

 

 

54,777,347

 

Redemption of Shares

 

 

 

 

 

 

 

 

 

 

(3,600,000

)

 

 

(39,533,164

)

 

 

(39,533,164

)

Net Increase (Decrease) due to Share Transactions

 

 

 

 

 

 

 

 

 

 

1,800,000

 

 

 

15,244,183

 

 

 

15,244,183

 

Net Income (Loss)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Investment Income (Loss)

 

 

 

 

 

 

1