☒ | Quarterly report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 |
☐ | Transition report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 |
Delaware |
87-6284802 | |
(State or other jurisdiction of incorporation or organization) |
(I.R.S. Employer Identification No.) |
Title of each class |
Trading Symbol(s) |
Name of each exchange on which registered | ||
ProShares Short VIX Short-Term Futures ETF |
SVXY |
Cboe BZX Exchange | ||
ProShares Ultra Bloomberg Crude Oil |
UCO |
NYSE Arca | ||
ProShares Ultra Bloomberg Natural Gas |
BOIL |
NYSE Arca | ||
ProShares Ultra Euro |
ULE |
NYSE Arca | ||
ProShares Ultra Gold |
UGL |
NYSE Arca | ||
ProShares Ultra Silver |
AGQ |
NYSE Arca | ||
ProShares Ultra VIX Short-Term Futures ETF |
UVXY |
Cboe BZX Exchange | ||
ProShares Ultra Yen |
YCL |
NYSE Arca | ||
ProShares UltraShort Bloomberg Crude Oil |
SCO |
NYSE Arca | ||
ProShares UltraShort Bloomberg Natural Gas |
KOLD |
NYSE Arca | ||
ProShares UltraShort Euro |
EUO |
NYSE Arca | ||
ProShares UltraShort Gold |
GLL |
NYSE Arca | ||
ProShares UltraShort Silver |
ZSL |
NYSE Arca | ||
ProShares UltraShort Yen |
YCS |
NYSE Arca | ||
ProShares VIX Mid-Term Futures ETF |
VIXM |
Cboe BZX Exchange | ||
ProShares VIX Short-Term Futures ETF |
VIXY |
Cboe BZX Exchange |
Large Accelerated Filer | ☒ | Accelerated Filer | ☐ | |||
Non-Accelerated Filer | ☐ | Smaller Reporting Company | ☐ | |||
Emerging Growth Company | ☐ |
June 30, 2022 (unaudited) |
December 31, 2021 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $151,906,089 and $147,851,244, respectively) |
$ | 151,418,355 | $ | 147,815,719 | ||||
Cash |
34,531,284 | 44,359,519 | ||||||
Segregated cash balances with brokers for futures contracts |
113,898,635 | 138,651,465 | ||||||
Receivable on open futures contracts |
105,797,631 | 99,544,338 | ||||||
Interest receivable |
76,049 | 2,868 | ||||||
|
|
|
|
|||||
Total assets |
405,721,954 | 430,373,909 | ||||||
|
|
|
|
|||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable for capital shares redeemed |
— | 6,125,130 | ||||||
Payable on open futures contracts |
1,735,890 | — | ||||||
Brokerage commissions and futures account fees payable |
12,121 | 104,312 | ||||||
Payable to Sponsor |
328,987 | 331,873 | ||||||
|
|
|
|
|||||
Total liabilities |
2,076,998 | 6,561,315 | ||||||
|
|
|
|
|||||
Commitments and Contingencies (Note 2) |
||||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
403,644,956 | 423,812,594 | ||||||
|
|
|
|
|||||
Total liabilities and shareholders’ equity |
$ | 405,721,954 | $ | 430,373,909 | ||||
|
|
|
|
|||||
Shares outstanding |
8,384,307 | 6,884,307 | ||||||
|
|
|
|
|||||
Net asset value per share |
$ | 48.14 | $ | 61.56 | ||||
|
|
|
|
|||||
Market value per share (Note 2) |
$ | 48.21 | $ | 61.55 | ||||
|
|
|
|
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
(38% of shareholders’ equity) |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
0.967% due 07/14/22 |
$ | 25,000,000 | $ | 24,989,618 | ||||
1.014% due 07/21/22 |
50,000,000 | 49,970,140 | ||||||
0.223% due 11/03/22 |
77,000,000 | 76,458,597 | ||||||
|
|
|||||||
Total short-term U.S. government and agency obligations (cost $151,906,089) |
$ | 151,418,355 | ||||||
|
|
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
VIX Futures - Cboe, expires July 2022 |
3,652 | $ | 104,309,520 | $ | 809,209 | |||||||
VIX Futures - Cboe, expires August 2022 |
3,346 | 97,627,580 | 708,405 | |||||||||
|
|
|||||||||||
$ | 1,517,614 | |||||||||||
|
|
^^ | Rates shown represent discount rate at the time of purchase. |
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2022 |
2021 |
2022 |
2021 |
|||||||||||||
Investment Income |
||||||||||||||||
Interest |
$ | 225,134 | $ | 33,687 | $ | 319,477 | $ | 67,577 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Expenses |
||||||||||||||||
Management fee |
1,034,361 | 1,317,153 | 2,020,898 | 2,359,722 | ||||||||||||
Brokerage commissions |
177,552 | 253,949 | 365,250 | 429,859 | ||||||||||||
Futures account fees |
107,221 | 328,342 | 324,251 | 586,119 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total expenses |
1,319,134 | 1,899,444 | 2,710,399 | 3,375,700 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment income (loss) |
(1,094,000 | ) | (1,865,757 | ) | (2,390,922 | ) | (3,308,123 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||||||
Net realized gain (loss) on |
||||||||||||||||
Futures contracts |
(13,029,194 | ) | 109,337,017 | (54,129,808 | ) | 133,546,434 | ||||||||||
Short-term U.S. government and agency obligations |
(76,018 | ) | — | (86,512 | ) | — | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net realized gain (loss) |
(13,105,212 | ) | 109,337,017 | (54,216,320 | ) | 133,546,434 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||||||
Futures contracts |
(34,466,848 | ) | (13,290,409 | ) | (29,757,664 | ) | 28,831,483 | |||||||||
Short-term U.S. government and agency obligations |
(40,932 | ) | (17,721 | ) | (452,209 | ) | (14,495 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Change in net unrealized appreciation (depreciation) |
(34,507,780 | ) | (13,308,130 | ) | (30,209,873 | ) | 28,816,988 | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Net realized and unrealized gain (loss) |
(47,612,992 | ) | 96,028,887 | (84,426,193 | ) | 162,363,422 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net income (loss) |
$ | (48,706,992 | ) | $ | 94,163,130 | $ | (86,817,115 | ) | $ | 159,055,299 | ||||||
|
|
|
|
|
|
|
|
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2022 |
2021 |
2022 |
2021 |
|||||||||||||
Shareholders’ equity, beginning of period |
$ | 495,588,849 | $ | 527,130,851 | $ | 423,812,594 | $ | 409,371,468 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Addition of 1,600,000, 450,000, 4,600,000 and 2,850,000 shares, respectively |
75,921,860 | 21,503,474 | 232,437,331 | 119,612,942 | ||||||||||||
Redemption of 2,300,000, 1,050,000, 3,100,000 and 2,150,000 shares, respectively |
(119,158,761 | ) | (54,181,509 | ) | (165,787,854 | ) | (99,423,763 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net addition (redemption) of (700,000), (600,000), 1,500,000 and 700,000 shares, respectively |
(43,236,901 | ) | (32,678,035 | ) | 66,649,477 | 20,189,179 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment income (loss) |
(1,094,000 | ) | (1,865,757 | ) | (2,390,922 | ) | (3,308,123 | ) | ||||||||
Net realized gain (loss) |
(13,105,212 | ) | 109,337,017 | (54,216,320 | ) | 133,546,434 | ||||||||||
Change in net unrealized appreciation (depreciation) |
(34,507,780 | ) | (13,308,130 | ) | (30,209,873 | ) | 28,816,988 | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Net income (loss) |
(48,706,992 | ) | 94,163,130 | (86,817,115 | ) | 159,055,299 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Shareholders’ equity, end of period |
$ | 403,644,956 | $ | 588,615,946 | $ | 403,644,956 | $ | 588,615,946 | ||||||||
|
|
|
|
|
|
|
|
Six Months Ended June 30, |
||||||||
2022 |
2021 |
|||||||
Cash flow from operating activities |
||||||||
Net income (loss) |
$ | (86,817,115 | ) | $ | 159,055,299 | |||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||
Purchases of short-term U.S. government and agency obligations |
(569,767,938 | ) | (371,956,927 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
565,832,801 | 237,000,000 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
(206,220 | ) | (32,691 | ) | ||||
Net realized (gain) loss on investments |
86,512 | — | ||||||
Change in unrealized (appreciation) depreciation on investments |
452,209 | 14,495 | ||||||
Decrease (Increase) in receivable on open futures contracts |
(6,253,293 | ) | (11,016,780 | ) | ||||
Decrease (Increase) in interest receivable |
(73,181 | ) | 1,167 | |||||
Increase (Decrease) in payable to Sponsor |
(2,886 | ) | 124,617 | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable |
(92,191 | ) | 20,038 | |||||
Increase (Decrease) in payable on open futures contracts |
1,735,890 | 4,589,992 | ||||||
|
|
|
|
|||||
Net cash provided by (used in) operating activities |
(95,105,412 | ) | 17,799,210 | |||||
|
|
|
|
|||||
Cash flow from financing activities |
||||||||
Proceeds from addition of shares |
232,437,331 | 119,612,942 | ||||||
Payment on shares redeemed |
(171,912,984 | ) | (99,423,763 | ) | ||||
|
|
|
|
|||||
Net cash provided by (used in) financing activities |
60,524,347 | 20,189,179 | ||||||
|
|
|
|
|||||
Net increase (decrease) in cash |
(34,581,065 | ) | 37,988,389 | |||||
Cash, beginning of period |
183,010,984 | 266,579,220 | ||||||
|
|
|
|
|||||
Cash, end of period |
$ | 148,429,919 | $ | 304,567,609 | ||||
|
|
|
|
June 30, 2022 (unaudited) |
December 31, 2021 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $527,457,948 and $848,800,309, respectively) |
$ | 526,423,284 | $ | 848,757,567 | ||||
Cash |
395,184,001 | 86,582,912 | ||||||
Segregated cash balances with brokers for futures contracts |
99,271,727 | 130,704,477 | ||||||
Segregated cash balances with brokers for swap agreements |
234,394,000 | — | ||||||
Unrealized appreciation on swap agreements |
— | 63,928,293 | ||||||
Interest receivable |
213,841 | 3,523 | ||||||
|
|
|
|
|||||
Total assets |
1,255,486,853 | 1,129,976,772 | ||||||
|
|
|
|
|||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable for capital shares redeemed |
20,080,952 | — | ||||||
Payable on open futures contracts |
21,213,241 | 25,317,560 | ||||||
Brokerage commissions and futures account fees payable |
12,600 | 24,677 | ||||||
Payable to Sponsor |
1,025,667 | 850,965 | ||||||
Unrealized depreciation on swap agreements |
152,287,155 | — | ||||||
|
|
|
|
|||||
Total liabilities |
194,619,615 | 26,193,202 | ||||||
|
|
|
|
|||||
Commitments and Contingencies (Note 2) |
||||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
1,060,867,238 | 1,103,783,570 | ||||||
|
|
|
|
|||||
Total liabilities and shareholders’ equity |
$ | 1,255,486,853 | $ | 1,129,976,772 | ||||
|
|
|
|
|||||
Shares outstanding (Note 1 ) |
25,493,096 | 51,243,096 | ||||||
|
|
|
|
|||||
Net asset value per share (Note 1 ) |
$ | 41.61 | $ | 21.54 | ||||
|
|
|
|
|||||
Market value per share (Note 1) (Note 2 ) |
$ | 41.86 | $ | 21.70 | ||||
|
|
|
|
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
(50% of shareholders’ equity) |
||||||||
Federal Home Loan Discount Notes ^^ : |
||||||||
1.000% due 07/01/22 |
$ | 150,000,000 | $ | 150,000,000 | ||||
U.S. Treasury Bills ^^ : |
||||||||
0.393% due 07/21/22 † |
47,000,000 | 46,971,932 | ||||||
0.706% due 08/18/22 † |
150,000,000 | 149,724,000 | ||||||
0.637% due 11/03/22 † |
181,000,000 | 179,727,352 | ||||||
|
|
|||||||
Total short-term U.S. government and agency obligations (cost $527,457,948) |
$ | 526,423,284 | ||||||
|
|
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
WTI Crude Oil - NYMEX, expires September 2022 |
2,204 | $ | 227,232,400 | $ | (17,930,940 | ) | ||||||
WTI Crude Oil - NYMEX, expires December 2022 |
2,535 | 242,244,600 | 64,744,247 | |||||||||
WTI Crude Oil - NYMEX, expires June 2023 |
2,688 | 235,522,560 | 11,641,492 | |||||||||
|
|
|||||||||||
$ | 58,454,799 | |||||||||||
|
|
Rate Paid (Received) * |
Termination Date |
Notional Amount at Value ** |
Unrealized Appreciation (Depreciation)/Value |
|||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Commodity Balanced WTI Crude Oil Index |
0.35 | % | 07/06/22 | $ | 215,921,141 | $ | (21,668,621 | ) | ||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Commodity Balanced WTI Crude Oil Index |
0.35 | 07/06/22 | 321,089,755 | (42,218,820 | ) | |||||||||||
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Commodity Balanced WTI Crude Oil Index |
0.35 | 07/06/22 | 373,984,332 | (37,530,948 | ) | |||||||||||
Swap agreement with Societe Generale based on Bloomberg Commodity Balanced WTI Crude Oil Index |
0.25 | 07/06/22 | 203,778,726 | (20,435,337 | ) | |||||||||||
Swap agreement with UBS AG based on Bloomberg Commodity Balanced WTI Crude Oil Index |
0.30 | 07/06/22 | 303,369,078 | (30,433,429 | ) | |||||||||||
|
|
|||||||||||||||
Total Unrealized Depreciation |
|
$ | (152,287,155 | ) | ||||||||||||
|
|
† | All or partial amount pledged as collateral for swap agreements. |
^ | The positions and counterparties herein are as of June 30, 2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
^^ | Rates shown represent discount rate at the time of purchase. |
* | Reflects the floating financing rate, as of June 30, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. |
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2022 |
2021 |
2022 |
2021 |
|||||||||||||
Investment Income |
||||||||||||||||
Interest |
$ | 1,264,011 | $ | 111,333 | $ | 1,572,891 | $ | 279,408 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Expenses |
||||||||||||||||
Management fee |
3,098,904 | 2,794,292 | 6,183,716 | 5,329,377 | ||||||||||||
Brokerage commissions |
140,210 | 210,012 | 335,751 | 503,212 | ||||||||||||
Futures account fees |
109,601 | 317,748 | 362,288 | 416,685 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total expenses |
3,348,715 | 3,322,052 | 6,881,755 | 6,249,274 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment income (loss) |
(2,084,704 | ) | (3,210,719 | ) | (5,308,864 | ) | (5,969,866 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||||||
Net realized gain (loss) on |
||||||||||||||||
Futures contracts |
244,497,710 | 255,445,062 | 510,907,542 | 447,121,563 | ||||||||||||
Swap agreements |
118,798,382 | 65,060,597 | 651,811,620 | 207,735,324 | ||||||||||||
Short-term U.S. government and agency obligations |
(4,653 | ) | — | (7,789 | ) | — | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net realized gain (loss) |
363,291,439 | 320,505,659 | 1,162,711,373 | 654,856,887 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||||||
Futures contracts |
(187,136,364 | ) | 77,503,699 | (89,000,726 | ) | 171,488,571 | ||||||||||
Swap agreements |
(24,001,881 | ) | 80,496,098 | (216,215,448 | ) | 21,505,309 | ||||||||||
Short-term U.S. government and agency obligations |
(405,864 | ) | (80,658 | ) | (991,922 | ) | (39,085 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Change in net unrealized appreciation (depreciation) |
(211,544,109 | ) | 157,919,139 | (306,208,096 | ) | 192,954,795 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net realized and unrealized gain (loss) |
151,747,330 | 478,424,798 | 856,503,277 | 847,811,682 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net income (loss) |
$ | 149,662,626 | $ | 475,214,079 | $ | 851,194,413 | $ | 841,841,816 | ||||||||
|
|
|
|
|
|
|
|
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2022 |
2021 |
2022 |
2021 |
|||||||||||||
Shareholders’ equity, beginning of period |
$ | 1,336,980,685 | $ | 1,088,579,093 | $ | 1,103,783,570 | $ | 902,739,250 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Addition of 1,700,000, 4,200,000, 10,300,000 and 13,600,000 shares, respectively (Note 1) |
72,419,653 | 60,208,663 | 402,736,686 | 177,252,853 | ||||||||||||
Redemption of 11,450,000, 20,400,000, 36,050,000 and 46,200,000 shares, respectively (Note 1) |
(498,195,726 | ) | (320,470,933 | ) | (1,296,847,431 | ) | (618,303,017 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net addition (redemption) of (9,750,000), (16,200,000), (25,750,000) and (32,600,000) shares, respectively (Note 1) |
(425,776,073 | ) | (260,262,270 | ) | (894,110,745 | ) | (441,050,164 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment income (loss) |
(2,084,704 | ) | (3,210,719 | ) | (5,308,864 | ) | (5,969,866 | ) | ||||||||
Net realized gain (loss) |
363,291,439 | 320,505,659 | 1,162,711,373 | 654,856,887 | ||||||||||||
Change in net unrealized appreciation (depreciation) |
(211,544,109 | ) | 157,919,139 | (306,208,096 | ) | 192,954,795 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net income (loss) |
149,662,626 | 475,214,079 | 851,194,413 | 841,841,816 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Shareholders’ equity, end of period |
$ | 1,060,867,238 | $ | 1,303,530,902 | $ | 1,060,867,238 | $ | 1,303,530,902 | ||||||||
|
|
|
|
|
|
|
|
Six Months Ended June 30, |
||||||||
2022 |
2021 |
|||||||
Cash flow from operating activities |
||||||||
Net income (loss) |
$ | 851,194,413 | $ | 841,841,816 | ||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||
Purchases of short-term U.S. government and agency obligations |
(4,782,347,856 | ) | (1,692,766,532 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
5,104,987,142 | 980,000,000 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
(1,304,714 | ) | (158,785 | ) | ||||
Net realized (gain) loss on investments |
7,789 | — | ||||||
Change in unrealized (appreciation) depreciation on investments |
217,207,370 | (21,466,224 | ) | |||||
Decrease (Increase) in receivable on open futures contracts |
— | (4,050,185 | ) | |||||
Decrease (Increase) in interest receivable |
(210,318 | ) | (38,568 | ) | ||||
Increase (Decrease) in payable to Sponsor |
174,702 | 246,994 | ||||||
Increase (Decrease) in brokerage commissions and futures account fees payable |
(12,077 | ) | 22,929 | |||||
Increase (Decrease) in payable on open futures contracts |
(4,104,319 | ) | — | |||||
Increase (Decrease) in securities purchased payable |
— | 149,968,500 | ||||||
|
|
|
|
|||||
Net cash provided by (used in) operating activities |
1,385,592,132 | 253,599,945 | ||||||
|
|
|
|
|||||
Cash flow from financing activities |
||||||||
Proceeds from addition of shares |
402,736,686 | 177,252,853 | ||||||
Payment on shares redeemed |
(1,276,766,479 | ) | (621,930,951 | ) | ||||
|
|
|
|
|||||
Net cash provided by (used in) financing activities |
(874,029,793 | ) | (444,678,098 | ) | ||||
|
|
|
|
|||||
Net increase (decrease) in cash |
511,562,339 | (191,078,153 | ) | |||||
Cash, beginning of period |
217,287,389 | 667,259,596 | ||||||
|
|
|
|
|||||
Cash, end of period |
$ | 728,849,728 | $ | 476,181,443 | ||||
|
|
|
|
June 30, 2022 (unaudited) |
December 31, 2021 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $105,954,114 and $90,936,719, respectively) |
$ | 105,739,904 | $ | 90,922,438 | ||||
Cash |
33,945,129 | 6,846,634 | ||||||
Segregated cash balances with brokers for futures contracts |
52,657,500 | 47,289,091 | ||||||
Receivable from capital shares sold |
19,786,612 | 20,448,741 | ||||||
Receivable on open futures contracts |
13,543,290 | 33,998,620 | ||||||
Interest receivable |
39,868 | 1,130 | ||||||
|
|
|
|
|||||
Total assets |
225,712,303 | 199,506,654 | ||||||
|
|
|
|
|||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable for capital shares redeemed |
5,988,252 | — | ||||||
Payable on open futures contracts |
32,204,426 | 5,403,658 | ||||||
Brokerage commissions and futures account fees payable |
6,507 | 63,628 | ||||||
Payable to Sponsor |
215,276 | 147,190 | ||||||
|
|
|
|
|||||
Total liabilities |
38,414,461 | 5,614,476 | ||||||
|
|
|
|
|||||
Commitments and Contingencies (Note 2) |
||||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
187,297,842 | 193,892,178 | ||||||
|
|
|
|
|||||
Total liabilities and shareholders’ equity |
$ | 225,712,303 | $ | 199,506,654 | ||||
|
|
|
|
|||||
Shares outstanding |
4,737,527 | 7,587,527 | ||||||
|
|
|
|
|||||
Net asset value per share |
$ | 39.53 | $ | 25.55 | ||||
|
|
|
|
|||||
Market value per share (Note 2) |
$ | 42.10 | $ | 26.09 | ||||
|
|
|
|
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
(56% of shareholders’ equity) |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
0.967% due 07/14/22 |
$ | 50,000,000 | $ | 49,979,235 | ||||
0.393% due 07/21/22 |
24,000,000 | 23,985,667 | ||||||
0.223% due 11/03/22 |
32,000,000 | 31,775,002 | ||||||
|
|
|||||||
Total short-term U.S. government and agency obligations (cost $105,954,114) |
$ | 105,739,904 | ||||||
|
|
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
Natural Gas - NYMEX, expires September 2022 |
6,954 | $ | 374,959,680 | $ | (194,426,957 | ) |
^^ | Rates shown represent discount rate at the time of purchase. |
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2022 |
2021 |
2022 |
2021 |
|||||||||||||
Investment Income |
||||||||||||||||
Interest |
$ | 146,470 | $ | 11,544 | $ | 186,051 | $ | 25,359 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Expenses |
||||||||||||||||
Management fee |
534,624 | 152,958 | 931,234 | 407,773 | ||||||||||||
Brokerage commissions |
114,706 | 63,062 | 203,158 | 155,359 | ||||||||||||
Futures account fees |
63,213 | 12,887 | 134,330 | 94,735 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total expenses |
712,543 | 228,907 | 1,268,722 | 657,867 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment income (loss) |
(566,073 | ) | (217,363 | ) | (1,082,671 | ) | (632,508 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||||||
Net realized gain (loss) on |
||||||||||||||||
Futures contracts |
164,990,694 | 4,901,288 | 241,211,382 | 46,483,673 | ||||||||||||
Short-term U.S. government and agency obligations |
— | — | (3,452 | ) | 551 | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net realized gain (loss) |
164,990,694 | 4,901,288 | 241,207,930 | 46,484,224 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||||||
Futures contracts |
(271,251,560 | ) | 28,350,804 | (186,220,796 | ) | 10,550,021 | ||||||||||
Short-term U.S. government and agency obligations |
(36,909 | ) | (2,887 | ) | (199,929 | ) | (972 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Change in net unrealized appreciation (depreciation) |
(271,288,469 | ) | 28,347,917 | (186,420,725 | ) | 10,549,049 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net realized and unrealized gain (loss) |
(106,297,775 | ) | 33,249,205 | 54,787,205 | 57,033,273 | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net income (loss) |
$ | (106,863,848 | ) | $ | 33,031,842 | $ | 53,704,534 | $ | 56,400,765 | |||||||
|
|
|
|
|
|
|
|
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2022 |
2021 |
2022 |
2021 |
|||||||||||||
Shareholders’ equity, beginning of period |
$ | 145,069,486 | $ | 74,307,070 | $ | 193,892,178 | $ | 169,800,371 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Addition of 6,500,000, 650,000, 9,100,000 and 4,050,000 shares, respectively |
549,486,344 | 13,706,591 | 637,366,699 | 90,187,414 | ||||||||||||
Redemption of 4,350,000, 2,150,000, 11,950,000 and 10,150,000 shares, respectively |
(400,394,140 | ) | (50,832,276 | ) | (697,665,569 | ) | (246,175,323 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net addition (redemption) of 2,150,000, (1,500,000), (2,850,000) and (6,100,000) shares, respectively |
149,092,204 | (37,125,685 | ) | (60,298,870 | ) | (155,987,909 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment income (loss) |
(566,073 | ) | (217,363 | ) | (1,082,671 | ) | (632,508 | ) | ||||||||
Net realized gain (loss) |
164,990,694 | 4,901,288 | 241,207,930 | 46,484,224 | ||||||||||||
Change in net unrealized appreciation (depreciation) |
(271,288,469 | ) | 28,347,917 | (186,420,725 | ) | 10,549,049 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net income (loss) |
(106,863,848 | ) | 33,031,842 | 53,704,534 | 56,400,765 | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Shareholders’ equity, end of period |
$ | 187,297,842 | $ | 70,213,227 | $ | 187,297,842 | $ | 70,213,227 | ||||||||
|
|
|
|
|
|
|
|
Six Months Ended June 30, |
||||||||
2022 |
2021 |
|||||||
Cash flow from operating activities |
||||||||
Net income (loss) |
$ | 53,704,534 | $ | 56,400,765 | ||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||
Purchases of short-term U.S. government and agency obligations |
(520,892,453 | ) | (118,983,722 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
505,991,302 | 118,999,676 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
(119,696 | ) | (13,040 | ) | ||||
Net realized (gain) loss on investments |
3,452 | (551 | ) | |||||
Change in unrealized (appreciation) depreciation on investments |
199,929 | 972 | ||||||
Decrease (Increase) in receivable on open futures contracts |
20,455,330 | 13,775,851 | ||||||
Decrease (Increase) in interest receivable |
(38,738 | ) | 2,763 | |||||
Increase (Decrease) in payable to Sponsor |
68,086 | (91,354 | ) | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable |
(57,121 | ) | 296 | |||||
Increase (Decrease) in payable on open futures contracts |
26,800,768 | 210,440 | ||||||
|
|
|
|
|||||
Net cash provided by (used in) operating activities |
86,115,393 | 70,302,096 | ||||||
|
|
|
|
|||||
Cash flow from financing activities |
||||||||
Proceeds from addition of shares |
638,028,828 | 90,187,414 | ||||||
Payment on shares redeemed |
(691,677,317 | ) | (257,307,869 | ) | ||||
|
|
|
|
|||||
Net cash provided by (used in) financing activities |
(53,648,489 | ) | (167,120,455 | ) | ||||
|
|
|
|
|||||
Net increase (decrease) in cash |
32,466,904 | (96,818,359 | ) | |||||
Cash, beginning of period |
54,135,725 | 137,292,722 | ||||||
|
|
|
|
|||||
Cash, end of period |
$ | 86,602,629 | $ | 40,474,363 | ||||
|
|
|
|
June 30, 2022 (unaudited) |
December 31, 2021 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $4,695,823 and $998,130, respectively) |
$ | 4,690,703 | $ | 997,678 | ||||
Cash |
5,061,750 | 6,891,458 | ||||||
Segregated cash balances with brokers for foreign currency forward contracts |
— | 691,000 | ||||||
Unrealized appreciation on foreign currency forward contracts |
17,639 | 84,150 | ||||||
Interest receivable |
1,535 | 153 | ||||||
|
|
|
|
|||||
Total assets |
9,771,627 | 8,664,439 | ||||||
|
|
|
|
|||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable to Sponsor |
5,967 | 3,846 | ||||||
Unrealized depreciation on foreign currency forward contracts |
350,034 | 1,498 | ||||||
|
|
|
|
|||||
Total liabilities |
356,001 | 5,344 | ||||||
|
|
|
|
|||||
Commitments and Contingencies (Note 2) |
||||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
9,415,626 | 8,659,095 | ||||||
|
|
|
|
|||||
Total liabilities and shareholders’ equity |
$ | 9,771,627 | $ | 8,664,439 | ||||
|
|
|
|
|||||
Shares outstanding |
850,000 | 650,000 | ||||||
|
|
|
|
|||||
Net asset value per share |
$ | 11.08 | $ | 13.32 | ||||
|
|
|
|
|||||
Market value per share (Note 2) |
$ | 11.11 | $ | 13.33 | ||||
|
|
|
|
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations (50% of shareholders’ equity) |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
0.393% due 07/21/22 † |
$ | 4,000,000 | $ | 3,997,611 | ||||
0.554% due 11/03/22 † |
698,000 | 693,092 | ||||||
Total short-term U.S. government and agency obligations (cost $4,695,823) |
$ | 4,690,703 | ||||||
Settlement Date |
Contract Amount in Local Currency |
Contract Amount in U.S. Dollars |
Unrealized Appreciation (Depreciation)/ Value |
|||||||||||||
Contracts to Purchase |
||||||||||||||||
Euro with Goldman Sachs International |
07/08/22 | 4,532,921 | $ | 4,750,259 | $ | (123,538 | ) | |||||||||
Euro with UBS AG |
07/08/22 | 14,836,502 | 15,547,860 | (226,496 | ) | |||||||||||
Total Unrealized Depreciation |
|
$ | (350,034 | ) | ||||||||||||
Contracts to Sell |
||||||||||||||||
Euro with UBS AG |
07/08/22 | (1,446,000 | ) | $ | (1,515,331 | ) | $ | 17,639 | ||||||||
Total Unrealized Appreciation |
|
$ | 17,639 | |||||||||||||
† |
All or partial amount pledged as collateral for foreign currency forward contracts. |
^ | The positions and counterparties herein are as of June 30, 2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
^^ | Rates shown represent discount rate at the time of purchase. |
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2022 |
2021 |
2022 |
2021 |
|||||||||||||
Investment Income |
||||||||||||||||
Interest |
$ | 6,522 | $ | 438 | $ | 11,109 | $ | 1,022 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Expenses |
||||||||||||||||
Management fee |
15,037 | 9,416 | 35,315 | 19,494 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total expenses |
15,037 | 9,416 | 35,315 | 19,494 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment income (loss) |
(8,515 | ) | (8,978 | ) | (24,206 | ) | (18,472 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||||||
Net realized gain (loss) on |
||||||||||||||||
Foreign currency forward contracts |
(446,365 | ) | 95,412 | (887,395 | ) | 68,070 | ||||||||||
Short-term U.S. government and agency obligations |
— | — | (5,949 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net realized gain (loss) |
(446,365 | ) | 95,412 | (893,344 | ) | 68,070 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||||||
Foreign currency forward contracts |
(282,077 | ) | (13,092 | ) | (415,047 | ) | (324,232 | ) | ||||||||
Short-term U.S. government and agency obligations |
787 | (127 | ) | (4,668 | ) | (39 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Change in net unrealized appreciation (depreciation) |
(281,290 | ) | (13,219 | ) | (419,715 | ) | (324,271 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net realized and unrealized gain (loss) |
(727,655 | ) | 82,193 | (1,313,059 | ) | (256,201 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Net income (loss) |
$ | (736,170 | ) | $ | 73,215 | $ | (1,337,265 | ) | $ | (274,673 | ) | |||||
|
|
|
|
|
|
|
|
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2022 |
2021 |
2022 |
2021 |
|||||||||||||
Shareholders’ equity, beginning of period |
$ | 6,236,982 | $ | 3,611,724 | $ | 8,659,095 | $ | 4,737,350 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Addition of 450,000, 100,000, 550,000 and 100,000 shares, respectively |
5,052,555 | 1,488,793 | 6,368,822 | 1,488,793 | ||||||||||||
Redemption of 100,000, 100,000, 350,000 and 150,000 shares, respectively |
(1,137,741 | ) | (1,504,991 | ) | (4,275,026 | ) | (2,282,729 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net addition (redemption) of 350,000, –, 200,000 and (50,000) shares, respectively |
3,914,814 | (16,198 | ) | 2,093,796 | (793,936 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment income (loss) |
(8,515 | ) | (8,978 | ) | (24,206 | ) | (18,472 | ) | ||||||||
Net realized gain (loss) |
(446,365 | ) | 95,412 | (893,344 | ) | 68,070 | ||||||||||
Change in net unrealized appreciation (depreciation) |
(281,290 | ) | (13,219 | ) | (419,715 | ) | (324,271 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net income (loss) |
(736,170 | ) | 73,215 | (1,337,265 | ) | (274,673 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Shareholders’ equity, end of period |
$ | 9,415,626 | $ | 3,668,741 | $ | 9,415,626 | $ | 3,668,741 | ||||||||
|
|
|
|
|
|
|
|
Six Months Ended June 30, |
||||||||
2022 |
2021 |
|||||||
Cash flow from operating activities |
||||||||
Net income (loss) |
$ | (1,337,265 | ) | $ | (274,673 | ) | ||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||
Purchases of short-term U.S. government and agency obligations |
(5,984,289 | ) | (2,999,505 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
2,290,249 | 2,000,000 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
(9,602 | ) | (473 | ) | ||||
Net realized (gain) loss on investments |
5,949 | — | ||||||
Change in unrealized (appreciation) depreciation on investments |
419,715 | 324,271 | ||||||
Decrease (Increase) in interest receivable |
(1,382 | ) | 40 | |||||
Increase (Decrease) in payable to Sponsor |
2,121 | (586 | ) | |||||
|
|
|
|
|||||
Net cash provided by (used in) operating activities |
(4,614,504 | ) | (950,926 | ) | ||||
|
|
|
|
|||||
Cash flow from financing activities |
||||||||
Proceeds from addition of shares |
6,368,822 | 1,488,793 | ||||||
Payment on shares redeemed |
(4,275,026 | ) | (1,548,903 | ) | ||||
|
|
|
|
|||||
Net cash provided by (used in) financing activities |
2,093,796 | (60,110 | ) | |||||
|
|
|
|
|||||
Net increase (decrease) in cash |
(2,520,708 | ) | (1,011,036 | ) | ||||
Cash, beginning of period |
7,582,458 | 4,652,092 | ||||||
|
|
|
|
|||||
Cash, end of period |
$ | 5,061,750 | $ | 3,641,056 | ||||
|
|
|
|
June 30, 2022 (unaudited) |
December 31, 2021 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $208,875,314 and $207,964,168, respectively) |
$ | 208,696,447 | $ | 207,956,320 | ||||
Cash |
32,582,080 | 9,328,332 | ||||||
Segregated cash balances with brokers for futures contracts |
6,922,800 | 6,093,750 | ||||||
Segregated cash balances with brokers for swap agreements |
2,207,000 | — | ||||||
Unrealized appreciation on swap agreements |
— | 8,639,188 | ||||||
Receivable on open futures contracts |
— | 944,644 | ||||||
Interest receivable |
32,405 | 690 | ||||||
Total assets |
250,440,732 | 232,962,924 | ||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable for capital shares redeemed |
2,824,550 | — | ||||||
Payable on open futures contracts |
1,022,544 | — | ||||||
Brokerage commissions and futures account fees payable |
— | 4,034 | ||||||
Payable to Sponsor |
202,927 | 178,356 | ||||||
Unrealized depreciation on swap agreements |
6,451,858 | — | ||||||
Total liabilities |
10,501,879 | 182,390 | ||||||
Commitments and Contingencies (Note 2) |
||||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
239,938,853 | 232,780,534 | ||||||
Total liabilities and shareholders’ equity |
$ | 250,440,732 | $ | 232,962,924 | ||||
Shares outstanding |
4,250,000 | 3,900,000 | ||||||
Net asset value per share |
$ | 56.46 | $ | 59.69 | ||||
Market value per share (Note 2) |
$ | 56.50 | $ | 59.81 | ||||
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
(87% of shareholders’ equity) |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
0.967% due 07/14/22 |
$ | 25,000,000 | $ | 24,989,618 | ||||
0.393% due 07/21/22 † |
95,000,000 | 94,943,266 | ||||||
0.706% due 08/18/22 † |
75,000,000 | 74,862,000 | ||||||
0.223% due 11/03/22 † |
14,000,000 | 13,901,563 | ||||||
Total short-term U.S. government and agency obligations (cost $208,875,314) |
$ | 208,696,447 | ||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
Gold Futures - COMEX, expires August 2022 |
954 | $ | 172,416,420 | $ | (3,932,509 | ) |
Rate Paid (Received) * |
Termination Date |
Notional Amount at Value ** |
Unrealized Appreciation (Depreciation)/Value |
|||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex |
0.25 | % | 07/06/22 | $ | 109,384,670 | $ | (2,221,389 | ) | ||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex |
0.25 | 07/06/22 | 84,543,271 | (1,919,639 | ) | |||||||||||
Swap agreement with UBS AG based on Bloomberg Gold Subindex |
0.25 | 07/06/22 | 113,788,925 | (2,310,830 | ) | |||||||||||
Total Unrealized Depreciation |
|
$ | (6,451,858 | ) | ||||||||||||
† |
All or partial amount pledged as collateral for swap agreements. |
^ | The positions and counterparties herein are as of June 30, 2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
^^ | Rates shown represent discount rate at the time of purchase. |
* | Reflects the floating financing rate, as of June 30, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. |
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2022 |
2021 |
2022 |
2021 |
|||||||||||||
Investment Income |
||||||||||||||||
Interest |
$ | 319,154 | $ | 20,094 | $ | 414,267 | $ | 55,921 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Expenses |
||||||||||||||||
Management fee |
716,148 | 568,040 | 1,387,563 | 1,136,247 | ||||||||||||
Brokerage commissions |
14,064 | 8,665 | 35,723 | 23,553 | ||||||||||||
Futures account fees |
8,664 | 13,354 | 28,169 | 45,756 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total expenses |
738,876 | 590,059 | 1,451,455 | 1,205,556 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment income (loss) |
(419,722 | ) | (569,965 | ) | (1,037,188 | ) | (1,149,635 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||||||
Net realized gain (loss) on |
||||||||||||||||
Futures contracts |
(28,896,339 | ) | 7,294,570 | (8,706,319 | ) | (9,511,327 | ) | |||||||||
Swap agreements |
(29,004,744 | ) | 38,211,797 | 8,623,832 | 3,769,562 | |||||||||||
Short-term U.S. government and agency obligations |
— | — | — | 245 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net realized gain (loss) |
(57,901,083 | ) | 45,506,367 | (82,487 | ) | (5,741,520 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||||||
Futures contracts |
3,312,504 | (4,648,838 | ) | (4,587,403 | ) | (6,902,587 | ) | |||||||||
Swap agreements |
1,658,698 | (28,812,307 | ) | (15,091,046 | ) | (27,792,857 | ) | |||||||||
Short-term U.S. government and agency obligations |
(159 | ) | (17,158 | ) | (171,019 | ) | (15,362 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Change in net unrealized appreciation (depreciation) |
4,971,043 | (33,478,303 | ) | (19,849,468 | ) | (34,710,806 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Net realized and unrealized gain (loss) |
(52,930,040 | ) | 12,028,064 | (19,931,955 | ) | (40,452,326 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Net income (loss) |
$ | (53,349,762 | ) | $ | 11,458,099 | $ | (20,969,143 | ) | $ | (41,601,961 | ) | |||||
|
|
|
|
|
|
|
|
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2022 |
2021 |
2022 |
2021 |
|||||||||||||
Shareholders’ equity, beginning of period |
$ | 355,029,822 | $ | 214,548,056 | $ | 232,780,534 | $ | 263,540,473 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Addition of 100,000, 400,000, 1,600,000 and 1,000,000 shares, respectively |
6,573,039 | 23,214,269 | 102,257,715 | 60,276,530 | ||||||||||||
Redemption of 1,150,000, 100,000, 1,250,000 and 650,000 shares, respectively |
(68,314,246 | ) | (5,763,721 | ) | (74,130,253 | ) | (38,758,339 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net addition (redemption) of (1,050,000), 300,000, 350,000 and 350,000 shares, respectively |
(61,741,207 | ) | 17,450,548 | 28,127,462 | 21,518,191 | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment income (loss) |
(419,722 | ) | (569,965 | ) | (1,037,188 | ) | (1,149,635 | ) | ||||||||
Net realized gain (loss) |
(57,901,083 | ) | 45,506,367 | (82,487 | ) | (5,741,520 | ) | |||||||||
Change in net unrealized appreciation (depreciation) |
4,971,043 | (33,478,303 | ) | (19,849,468 | ) | (34,710,806 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Net income (loss) |
(53,349,762 | ) | 11,458,099 | (20,969,143 | ) | (41,601,961 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Shareholders’ equity, end of period |
$ | 239,938,853 | $ | 243,456,703 | $ | 239,938,853 | $ | 243,456,703 | ||||||||
|
|
|
|
|
|
|
|
Six Months Ended June 30, |
||||||||
2022 |
2021 |
|||||||
Cash flow from operating activities |
||||||||
Net income (loss) |
$ | (20,969,143 | ) | $ | (41,601,961 | ) | ||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||
Purchases of short-term U.S. government and agency obligations |
(704,533,509 | ) | (422,955,514 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
704,000,000 | 281,999,771 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
(377,637 | ) | (35,590 | ) | ||||
Net realized (gain) loss on investments |
— | (245 | ) | |||||
Change in unrealized (appreciation) depreciation on investments |
15,262,065 | 27,808,219 | ||||||
Decrease (Increase) in receivable on open futures contracts |
944,644 | (520,982 | ) | |||||
Decrease (Increase) in interest receivable |
(31,715 | ) | 4,321 | |||||
Increase (Decrease) in payable to Sponsor |
24,571 | (13,610 | ) | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable |
(4,034 | ) | 4,167 | |||||
Increase (Decrease) in payable on open futures contracts |
1,022,544 | — | ||||||
|
|
|
|
|||||
Net cash provided by (used in) operating activities |
(4,662,214 | ) | (155,311,424 | ) | ||||
|
|
|
|
|||||
Cash flow from financing activities |
||||||||
Proceeds from addition of shares |
102,257,715 | 40,405,473 | ||||||
Payment on shares redeemed |
(71,305,703 | ) | (38,758,339 | ) | ||||
|
|
|
|
|||||
Net cash provided by (used in) financing activities |
30,952,012 | 1,647,134 | ||||||
|
|
|
|
|||||
Net increase (decrease) in cash |
26,289,798 | (153,664,290 | ) | |||||
Cash, beginning of period |
15,422,082 | 183,452,109 | ||||||
|
|
|
|
|||||
Cash, end of period |
$ | 41,711,880 | $ | 29,787,819 | ||||
|
|
|
|
June 30, 2022 (unaudited) |
December 31, 2021 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $290,825,356 and $451,896,236, respectively) |
$ | 290,458,173 | $ | 451,872,982 | ||||
Cash |
38,062,175 | 10,985,565 | ||||||
Segregated cash balances with brokers for futures contracts |
6,634,250 | 14,502,938 | ||||||
Segregated cash balances with brokers for swap agreements |
82,100,000 | — | ||||||
Unrealized appreciation on swap agreements |
— | 40,591,699 | ||||||
Receivable from capital shares sold |
1,240,339 | — | ||||||
Receivable on open futures contracts |
— | 1,384,919 | ||||||
Interest receivable |
57,161 | 1,582 | ||||||
|
|
|
|
|||||
Total assets |
418,552,098 | 519,339,685 | ||||||
|
|
|
|
|||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable for capital shares redeemed |
— | 3,483,770 | ||||||
Payable on open futures contracts |
2,248,743 | — | ||||||
Brokerage commissions and futures account fees payable |
— | 9,833 | ||||||
Payable to Sponsor |
313,910 | 392,488 | ||||||
Unrealized depreciation on swap agreements |
60,411,930 | — | ||||||
|
|
|
|
|||||
Total liabilities |
62,974,583 | 3,886,091 | ||||||
|
|
|
|
|||||
Commitments and Contingencies (Note 2) |
||||||||
Shareholders’ equity |