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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 September 30, 2021 

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 September 30, 2021 : 6,500,000

 

 


 

 

INVESCO DB ENERGY FUND

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

QUARTER ENDED SEPTEMBER 30, 2021

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

33

Item 3.

Defaults Upon Senior Securities

33

Item 4.

Mine Safety Disclosures

33

Item 5.

Other Information

33

Item 6.

Exhibits

34

 

 

SIGNATURES

35

 

 

 

 


 

PART I. FINANCIAL INFORMATION

ITEM  1.

FINANCIAL STATEMENTS.

Invesco DB Energy Fund

Statements of Financial Condition

September 30, 2021 and December 31, 2020

(Unaudited)

 

 

 

September 30,

 

 

December 31,

 

 

 

2021

 

 

2020

 

Assets

 

 

 

 

 

 

 

 

United States Treasury Obligations, at value (cost $40,998,292 and $19,992,113, respectively)

 

$

40,999,497

 

 

$

19,993,340

 

Affiliated Investments, at value (cost $68,322,302 and $38,240,835, respectively)

 

 

68,349,491

 

 

 

38,268,976

 

Other investments:

 

 

 

 

 

 

 

 

Variation margin receivable - Commodity Futures Contracts

 

 

819,817

 

 

 

173,501

 

Cash held by custodian

 

 

 

 

 

246,166

 

Receivable for:

 

 

 

 

 

 

 

 

Dividends from affiliates

 

 

1,128

 

 

 

525

 

Total assets

 

$

110,169,933

 

 

$

58,682,508

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

Payable for:

 

 

 

 

 

 

 

 

Management fees

 

 

63,647

 

 

 

35,268

 

Brokerage commissions and fees

 

 

5,435

 

 

 

4,992

 

Total liabilities

 

 

69,082

 

 

 

40,260

 

Commitments and Contingencies (Note 10)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Equity

 

 

 

 

 

 

 

 

Shareholder's equity—General Shares

 

 

678

 

 

 

434

 

Shareholders' equity—Shares

 

 

110,100,173

 

 

 

58,641,814

 

Total shareholders' equity

 

 

110,100,851

 

 

 

58,642,248

 

Total liabilities and equity

 

$

110,169,933

 

 

$

58,682,508

 

 

 

 

 

 

 

 

 

 

General Shares outstanding

 

 

40

 

 

 

40

 

Shares outstanding

 

 

6,500,000

 

 

 

5,400,000

 

Net asset value per share

 

$

16.94

 

 

$

10.86

 

Market value per share

 

$

16.94

 

 

$

10.86

 

 

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

 

 

1


 

Invesco DB Energy Fund

Schedule of Investments

September 30, 2021

(Unaudited)

 

Description

 

Percentage of

Shareholders'

Equity

 

 

Value

 

 

Principal Value

 

United States Treasury Obligations (a) (b)

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury Bills, 0.050% due October 7, 2021(b)

 

 

4.54

%

 

$

4,999,978

 

 

$

5,000,000

 

U.S. Treasury Bills, 0.045% due December 2, 2021(b)

 

 

15.44

 

 

 

16,999,268

 

 

 

17,000,000

 

U.S. Treasury Bills, 0.045% due December 9, 2021

 

 

0.91

 

 

 

999,961

 

 

 

1,000,000

 

U.S. Treasury Bills, 0.040% due January 6, 2022

 

 

6.36

 

 

 

6,999,476

 

 

 

7,000,000

 

U.S. Treasury Bills, 0.050% due January 20, 2022

 

 

1.81

 

 

 

1,999,804

 

 

 

2,000,000

 

U.S. Treasury Bills, 0.055% due February 3, 2022(b)

 

 

7.27

 

 

 

8,001,188

 

 

 

8,002,300

 

U.S. Treasury Bills, 0.050% due March 10, 2022

 

 

0.91

 

 

 

999,822

 

 

 

1,000,000

 

Total United States Treasury Obligations (cost $40,998,292)

 

 

37.24

%

 

$

40,999,497

 

 

 

 

 

Affiliated Investments

 

 

 

 

 

 

 

 

 

Shares

 

Exchange-Traded Fund

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

9.14

%

 

$

10,058,832

 

 

 

95,200

 

Money Market Mutual Fund

 

 

 

 

 

 

 

 

 

 

 

 

Invesco Government & Agency Portfolio,

  Institutional Class, 0.03% (cost $58,290,659)(c)(d)

 

 

52.94

 

 

 

58,290,659

 

 

 

58,290,659

 

Total Affiliated Investments (cost $68,322,302)

 

 

62.08

%

 

$

68,349,491

 

 

 

 

 

Total Investments in Securities (cost $109,320,594)

 

 

99.32

%

 

$

109,348,988

 

 

 

 

 

 

(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 $16,998,100 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 September 30, 2021.

 

 

Open Commodity Futures Contracts

 

Number of Contracts

 

Expiration Date

 

Notional

Value

 

 

Value(e)

 

 

Unrealized Appreciation (Depreciation)(e)

 

Long Futures Contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

ICE-UK Brent Crude

 

310

 

November - 2021

 

$

24,034,300

 

 

$

7,848,744

 

 

$

7,848,744

 

NYMEX Natural Gas

 

228

 

April - 2022

 

 

8,718,720

 

 

 

3,005,117

 

 

 

3,005,117

 

NYMEX NY Harbor ULSD

 

266

 

May - 2022

 

 

24,897,919

 

 

 

2,598,315

 

 

 

2,598,315

 

NYMEX RBOB Gasoline

 

284

 

November - 2021

 

 

25,717,961

 

 

 

7,964,508

 

 

 

7,964,508

 

NYMEX WTI Crude

 

362

 

December - 2021

 

 

26,856,780

 

 

 

6,591,753

 

 

 

6,591,753

 

Total Commodity Futures Contracts

 

 

 

 

 

 

 

 

 

$

28,008,437

 

 

$

28,008,437

 

 

(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, 2020

(Unaudited)

 

Description

 

Percentage of

Shareholders'

Equity

 

 

Value

 

 

Principal Value

 

United States Treasury Obligations (a)

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury Bills, 0.080% due March 11, 2021 (b)

 

 

13.64

%

 

$

7,999,047

 

 

$

8,000,000

 

U.S. Treasury Bills, 0.090% due June 10, 2021

 

 

8.52

 

 

 

4,998,414

 

 

 

5,000,000

 

U.S. Treasury Bills, 0.140% due September 9, 2021

 

 

3.41

 

 

 

1,998,946

 

 

 

2,000,000

 

U.S. Treasury Bills, 0.140% due October 7, 2021

 

 

8.52

 

 

 

4,996,933

 

 

 

5,000,000

 

Total United States Treasury Obligations (cost $19,992,113)

 

 

34.09

%

 

$

19,993,340

 

 

 

 

 

Affiliated Investments

 

 

 

 

 

 

 

 

 

Shares

 

   Exchange-Traded Fund

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

17.16

%

 

$

10,059,784

 

 

 

95,200

 

   Money Market Mutual Fund

 

 

 

 

 

 

 

 

 

 

 

 

      Invesco Government & Agency Portfolio,

         Institutional Class, 0.03% (cost $28,209,192)(c)(d)

 

 

48.10

 

 

 

28,209,192

 

 

 

28,209,192

 

Total Affiliated Investments (cost $38,240,835)

 

 

65.26

%

 

$

38,268,976

 

 

 

 

 

Total Investments in Securities (cost $58,232,948)

 

 

99.35

%

 

$

58,262,316

 

 

 

 

 

 

(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 $7,998,400 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, 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

 

259

 

November - 2021

 

$

13,107,990

 

 

$

1,708,402

 

 

$

1,708,402

 

NYMEX Natural Gas

 

186

 

April - 2021

 

 

4,752,300

 

 

 

(86,063

)

 

 

(86,063

)

NYMEX NY Harbor ULSD

 

219

 

May - 2021

 

 

13,709,619

 

 

 

2,728,484

 

 

 

2,728,484

 

NYMEX RBOB Gasoline

 

237

 

November - 2021

 

 

13,401,070

 

 

 

732,206

 

 

 

732,206

 

NYMEX WTI Crude

 

282

 

February - 2021

 

 

13,713,660

 

 

 

3,314,346

 

 

 

3,314,346

 

Total Commodity Futures Contracts

 

 

 

 

 

 

 

 

 

$

8,397,375

 

 

$

8,397,375

 

 

(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 Nine Months Ended September 30, 2021 and 2020

(Unaudited)

 

 

 

Three Months Ended

 

 

Nine Months Ended

 

 

 

September 30,

 

 

September 30,

 

 

 

2021

 

 

2020

 

 

2021

 

 

2020

 

Income

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest Income

 

$

5,326

 

 

$

5,916

 

 

$

15,089

 

 

$

131,642

 

Dividends from Affiliates

 

 

3,523

 

 

 

9,463

 

 

 

11,388

 

 

 

155,921

 

Total Income

 

 

8,849

 

 

 

15,379

 

 

 

26,477

 

 

 

287,563

 

Expenses

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Management Fees

 

 

198,332

 

 

 

112,902

 

 

 

510,248

 

 

 

303,153

 

Brokerage Commissions and Fees

 

 

742

 

 

 

586

 

 

 

7,702

 

 

 

12,086

 

Interest Expense

 

 

556

 

 

 

307

 

 

 

1,301

 

 

 

3,336

 

Total Expenses

 

 

199,630

 

 

 

113,795

 

 

 

519,251

 

 

 

318,575

 

Less: Waivers

 

 

(2,029

)

 

 

(14,914

)

 

 

(14,746

)

 

 

(37,606

)

Net Expenses

 

 

197,601

 

 

 

98,881

 

 

 

504,505

 

 

 

280,969

 

Net Investment Income (Loss)

 

 

(188,752

)

 

 

(83,502

)

 

 

(478,028

)

 

 

6,594

 

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

 

 

 

 

 

197

 

 

 

 

 

 

(403

)

Affiliated Investments

 

 

 

 

 

 

 

 

 

 

 

21,121

 

Commodity Futures Contracts

 

 

1,943,083

 

 

 

(1,028,870

)

 

 

18,611,760

 

 

 

(20,779,871

)

Net Realized Gain (Loss)

 

 

1,943,083

 

 

 

(1,028,673

)

 

 

18,611,760

 

 

 

(20,759,153

)

Net Change in Unrealized Gain (Loss) on

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

United States Treasury Obligations

 

 

379

 

 

 

736

 

 

 

(22

)

 

 

(5,082

)

Affiliated Investments

 

 

(952

)

 

 

(6,664

)

 

 

(952

)

 

 

2,422

 

Commodity Futures Contracts

 

 

6,894,200

 

 

 

3,540,919

 

 

 

19,611,062

 

 

 

1,013,055

 

Net Change in Unrealized Gain (Loss)

 

 

6,893,627

 

 

 

3,534,991

 

 

 

19,610,088

 

 

 

1,010,395

 

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

 

 

8,836,710

 

 

 

2,506,318

 

 

 

38,221,848

 

 

 

(19,748,758

)

Net Income (Loss)

 

$

8,647,958

 

 

$

2,422,816

 

 

$

37,743,820

 

 

$

(19,742,164

)

 

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 September 30, 2021
(Unaudited)

 

 

 

General Shares

 

 

Shares

 

 

Total

 

 

 

Shares

 

 

Total

Equity

 

 

Shares

 

 

Total

Equity

 

 

Shareholders'

Equity

 

Balance at June 30, 2021

 

 

40

 

 

$

624

 

 

 

7,000,000

 

 

$

109,172,625

 

 

$

109,173,249

 

Purchases of Shares

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Redemption of Shares

 

 

 

 

 

 

 

 

 

 

(500,000

)

 

 

(7,720,356

)

 

 

(7,720,356

)

Net Increase (Decrease) due to Share Transactions

 

 

 

 

 

 

 

 

 

 

(500,000

)

 

 

(7,720,356

)

 

 

(7,720,356

)

Net Income (Loss)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Investment Income (Loss)

 

 

 

 

 

 

(1

)

 

 

 

 

 

 

(188,751

)

 

 

(188,752

)

Net Realized Gain (Loss) on United States Treasury

   Obligations, Affiliated Investments and Commodity

   Futures Contracts

 

 

 

 

 

 

11

 

 

 

 

 

 

 

1,943,072

 

 

 

1,943,083

 

Net Change in Unrealized Gain (Loss) on United States

   Treasury Obligations, Affiliated Investments and

   Commodity Futures Contracts

 

 

 

 

 

 

44

 

 

 

 

 

 

 

6,893,583

 

 

 

6,893,627

 

Net Income (Loss)

 

 

 

 

 

 

54

 

 

 

 

 

 

 

8,647,904

 

 

 

8,647,958

 

Net Change in Shareholders' Equity

 

 

 

 

 

54

 

 

 

(500,000

)

 

 

927,548

 

 

 

927,602

 

Balance at September 30, 2021

 

 

40

 

 

$

678

 

 

 

6,500,000

 

 

$

110,100,173

 

 

$

110,100,851

 

 

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 September 30, 2020

(Unaudited)

 

 

 

General Shares

 

 

Shares

 

 

Total

 

 

 

Shares

 

 

Total

Equity

 

 

Shares

 

 

Total

Equity

 

 

Shareholders'

Equity

 

Balance at June 30, 2020

 

 

40

 

 

$

370

 

 

 

6,200,000

 

 

$

57,410,746

 

 

$

57,411,116

 

Purchases of Shares

 

 

 

 

 

 

 

 

 

 

200,000

 

 

 

1,934,182

 

 

 

1,934,182

 

Redemption of Shares

 

 

 

 

 

 

 

 

 

 

(800,000

)

 

 

(8,003,776

)

 

 

(8,003,776

)

Net Increase (Decrease) due to Share Transactions

 

 

 

 

 

 

 

 

 

 

(600,000

)

 

 

(6,069,594

)

 

 

(6,069,594

)

Net Income (Loss)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Investment Income (Loss)

 

 

 

 

 

 

(1

)

 

 

 

 

 

 

(83,501

)

 

 

(83,502

)

Net Realized Gain (Loss) on United States Treasury

   Obligations, Affiliated Investments and Commodity

   Futures Contracts

 

 

 

 

 

 

(20

)

 

 

 

 

 

 

(1,028,653

)

 

 

(1,028,673

)

Net Change in Unrealized Gain (Loss) on United States

   Treasury Obligations, Affiliated Investments and

   Commodity Futures Contracts

 

 

 

 

 

 

35

 

 

 

 

 

 

 

3,534,956

 

 

 

3,534,991

 

Net Income (Loss)

 

 

 

 

 

 

14

 

 

 

 

 

 

 

2,422,802

 

 

 

2,422,816

 

Net Change in Shareholders' Equity

 

 

 

 

 

14

 

 

 

(600,000

)

 

 

(3,646,792

)

 

 

(3,646,778

)

Balance at September 30, 2020

 

 

40

 

 

$

384

 

 

 

5,600,000

 

 

$

53,763,954

 

 

$

53,764,338

 

 

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 Nine Months Ended September 30, 2021
(Unaudited)

 

 

 

General Shares

 

 

Shares

 

 

Total

 

 

 

Shares

 

 

Total

Equity

 

 

Shares

 

 

Total

Equity

 

 

Shareholders'

Equity

 

Balance at December 31, 2020

 

 

40

 

 

$

434

 

 

 

5,400,000

 

 

$

58,641,814

 

 

$

58,642,248

 

Purchases of Shares

 

 

 

 

 

 

 

 

 

 

2,900,000