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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

(Mark One)

x

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

For the quarterly period ended March 31, 2016

OR

o

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: 001-32726

POWERSHARES DB COMMODITY INDEX TRACKING FUND

(Exact name of Registrant as specified in its charter)

Delaware

32-6042243

(State or Other Jurisdiction of

Incorporation or Organization)

(I.R.S. Employer

Identification No.)

c/o Invesco PowerShares 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: (800) 983-0903

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 þ No o

Indicate by check mark whether the Registrant has submitted electronically and posted on its corporate Web site, if any, an Interactive Data File required to be submitted and posted 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 and post such files).    Yes þ No o

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See definition of “accelerated filer,” “large accelerated filer,” and “smaller reporting company” in Rule 12b-2 of the Exchange Act. (Check one):

Large Accelerated Filer

x

Accelerated Filer

o

Non-Accelerated Filer

o

(Do not check if a smaller reporting company)

Smaller reporting company

o

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

Indicate the number of outstanding Shares as of March 31, 2016: 150,200,000 Shares.


POWERSHARES DB COMMODITY INDEX TRACKING FUND

QUARTER ENDED MARCH 31, 2016

TABLE OF CONTENTS

Page

PART I.

FINANCIAL INFORMATION

1

ITEM 1.

FINANCIAL STATEMENTS

1

Notes to Unaudited Financial Statements

8

ITEM 2.

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS

18

ITEM 3.

QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

30

ITEM 4.

CONTROLS AND PROCEDURES

34

PART II.

OTHER INFORMATION

35

Item 1.

Legal Proceedings

35

Item 1A.

Risk Factors

35

Item 2.

Unregistered Sales of Equity Securities and Use of Proceeds

35

Item 3.

Defaults Upon Senior Securities

36

Item 4.

Mine Safety Disclosures

36

Item 5.

Other Information

36

Item 6.

Exhibits

36

SIGNATURES

37


PART I. FINANCIAL INFORMATION

ITEM 1. FINANCIAL STATEMENTS.

PowerShares DB Commodity Index Tracking Fund

Statements of Financial Condition

March 31, 2016 and December 31, 2015

(Unaudited)

March 31, 2016

December 31, 2015

Assets

United States Treasury Obligations, at fair value (cost $1,892,585,420  and

$1,936,918,775, respectively) (a)

$

1,892,753,160

$

1,936,908,405

Cash held by custodian

76,723,292

92,092,936

Net unrealized appreciation (depreciation) on Commodity Futures Contracts

14,147,994

(34,446,056

)

Variation margin receivable

16,665,912

Receivable for securities sold

20,999,947

Total assets

$

2,004,624,393

$

2,011,221,197

Liabilities

Variation margin payable

5,095,776

Payable for LME contracts

801,994

22,459,170

Management fee payable

1,404,055

1,534,015

Brokerage fee payable

5,182

5,000

Total liabilities

7,307,007

23,998,185

Commitments and Contingencies (Note 9)

Equity

Shareholder's equity—General Shares

532

534

Shareholders' equity—Shares

1,997,316,854

1,987,222,478

Total shareholders' equity

1,997,317,386

1,987,223,012

Total liabilities and equity

$

2,004,624,393

$

2,011,221,197

General Shares outstanding

40

40

Shares outstanding

150,200,000

148,800,000

Net asset value per share

$

13.30

$

13.35

Market value per share

$

13.30

$

13.37

(a)

$369,016,218 and $365,513,944, respectively is restricted for maintenance margin purposes.

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

1


PowerShares DB Commodity Index Tracking Fund

Schedule of Investments

March 31, 2016

(Unaudited)

Description

Percentage of

Shareholders'

Equity

Fair Value

Face Value

United States Treasury Obligations (a)

U.S. Treasury Bills, 0.275% due April 7, 2016 (b)

32.49

%

$

648,988,318

$

649,000,000

U.S. Treasury Bills, 0.270% due April 21, 2016

21.53

429,976,350

430,000,000

U.S. Treasury Bills, 0.200% due April 28, 2016

20.52

409,949,160

410,000,000

U.S. Treasury Bills, 0.325% due June 2, 2016

12.41

247,935,272

248,000,000

U.S. Treasury Bills, 0.235% due July 7, 2016

7.81

155,904,060

156,000,000

Total United States Treasury Obligations (cost $1,892,585,420)

94.76

%

$

1,892,753,160

(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)

All or a portion of United States Treasury Obligations are on deposit with the Commodity Broker and held as maintenance margin for open futures contracts.

Description

Unrealized

Appreciation/

(Depreciation)

as a

Percentage of

Shareholders'

Equity

Unrealized

Appreciation/

(Depreciation) (c)

Notional

Market

Value

Commodity Futures Contracts

CBOT Corn (6,394 contracts, settlement date September 14, 2016)

(0.58

)%

$

(11,594,696

)

$

115,251,850

CBOT Soybean (2,849 contracts, settlement date November 14, 2016)

0.20

4,080,749

131,730,637

CBOT Wheat (4,875 contracts, settlement date July 14, 2016)

(0.60

)

(11,997,190

)

117,182,812

COMEX Gold (1,623 contracts, settlement date August 29, 2016)

1.03

20,474,102

200,765,100

COMEX Silver (606 contracts, settlement date January 27, 2017)

0.09

1,882,573

47,274,060

ICE-UK Brent Crude (5,010 contracts, settlement date October 31, 2016)

(2.81

)

(56,029,742

)

216,432,000

LME Aluminum (2,394 contracts, settlement date November 14, 2016)

(0.22

)

(4,348,100

)

92,109,150

LME Copper (743 contracts, settlement date May 16, 2016)

0.21

4,151,294

90,246,637

LME Zinc (2,186 contracts, settlement date December 19, 2016)

0.72

14,344,800

99,845,550

NYB-ICE Sugar (8,188 contracts, settlement date September 30, 2016)

1.32

26,406,787

143,152,442

NYMEX Natural Gas (4,695 contracts, settlement date August 29, 2016)

(1.41

)

(28,241,141

)

105,027,150

NYMEX NY Harbor ULSD (4,204 contracts, settlement date May 31, 2016)

(5.66

)

(113,035,450

)

212,181,766

NYMEX RBOB Gasoline (4,594 contracts, settlement date November 30, 2016)

(0.91

)

(18,176,119

)

234,373,936

NYMEX WTI Crude (4,374 contracts, settlement date February 21, 2017)

0.52

10,337,863

191,712,420

Total Commodity Futures Contracts

(8.10

)%

$

(161,744,270

)

$

1,997,285,510

(c)

Unrealized appreciation/(depreciation) is presented above, net by contract.

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

2


PowerShares DB Commodity Index T racking Fund

Schedule of Investments

December 31, 2015

(Unaudited)

Description

Percentage of

Shareholders'

Equity

Fair Value

Face Value

United States Treasury Obligations (a)(b)

U.S. Treasury Bills, 0.235% due January 7, 2016

15.60

%

$

309,998,760

$

310,000,000

U.S. Treasury Bills, 0.205% due January 14, 2016

23.37

464,486,994

464,500,000

U.S. Treasury Bills, 0.195% due January 21, 2016

25.16

499,979,500

500,000,000

U.S. Treasury Bills, 0.170% due January 28, 2016

19.60

389,468,061

389,500,000

U.S. Treasury Bills, 0.200% due February 4, 2016

5.44

107,991,576

108,000,000

U.S. Treasury Bills, 0.135% due February 11, 2016

0.15

2,999,604

3,000,000

U.S. Treasury Bills, 0.140% due February 25, 2016

8.05

159,984,320

160,000,000

U.S. Treasury Bills, 0.280% due March 10, 2016

0.10

1,999,590

2,000,000

Total United States Treasury Obligations (cost $1,936,918,775)

97.47

%

$

1,936,908,405

(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 year end.

(b)

A portion of United States Treasury Obligations are on deposit with the Commodity Broker and held as maintenance margin for open futures contracts.

Description

Unrealized

Appreciation/

(Depreciation)

as a

Percentage of

Shareholders'

Equity

Unrealized

Appreciation/

(Depreciation) (c)

Notional

Market

Value

Commodity Futures Contracts

CBOT Corn (6,348 contracts, settlement date September 14, 2016)

(0.36

)%

$

(7,213,436

)

$

119,104,350

CBOT Soybean (2,828 contracts, settlement date November 14, 2016)

(0.09

)

(1,789,744

)

124,820,850

CBOT Wheat (4,833 contracts, settlement date July 14, 2016)

(0.60

)

(11,964,777

)

116,777,362

COMEX Gold (1,609 contracts, settlement date August 29, 2016)

(0.35

)

(6,963,235

)

170,940,160

COMEX Silver (607 contracts, settlement date March 29, 2016)

(0.06

)

(1,273,926

)

41,892,105

ICE-UK Brent Crude (4,973 contracts, settlement date October 31, 2016)

(2.72

)

(54,007,216

)

220,801,200

LME Aluminum (2,372 contracts, settlement date November 14, 2016)

(0.23

)

(4,605,087

)

91,292,350

LME Copper (738 contracts, settlement date February 15, 2016)

0.12

2,462,856

86,922,563

LME Zinc (2,225 contracts, settlement date February 15, 2016)

(1.63

)

(32,303,825

)

89,236,406

NYB-ICE Sugar (8,126 contracts, settlement date September 30, 2016)

0.97

19,297,530

133,604,442

NYMEX Natural Gas (4,663 contracts, settlement date August 29, 2016)

(0.83

)

(16,429,233

)

117,554,230

NYMEX NY Harbor ULSD (4,169 contracts, settlement date May 31, 2016)

(5.93

)

(117,899,929

)

212,814,109

NYMEX RBOB Gasoline (4,557 contracts, settlement date November 30, 2016)

(0.63

)

(12,489,060

)

239,893,240

NYMEX WTI Crude (5,803 contracts, settlement date February 22, 2016)

(5.34

)

(106,100,911

)

221,500,510

Total Commodity Futures Contracts

(17.68

)%

$

(351,279,993

)

$

1,987,153,877

(c)

Unrealized appreciation/(depreciation) is presented above, net by contract.

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

3


PowerShares DB Commodity Index T racking Fund

Statements of Income and Expenses

For the Three Months Ended March 31, 2016 and 2015

(Unaudited)

Three Months Ended

March 31,

2016

2015

Income

Interest Income

$

892,403

$

225,960

Expenses

Management Fee

3,973,287

7,488,566

Brokerage Commissions and Fees

120,135

376,006

Interest Expense (a)

96,887

Total Expenses

4,190,309

7,864,572

Net Investment Income (Loss)

(3,297,906

)

(7,638,612

)

Net Realized and Net Change in Unrealized Gain (Loss) on United States Treasury

Obligations and Commodity Futures Contracts

Net Realized Gain (Loss) on

United States Treasury Obligations

631

6,622

Commodity Futures Contracts

(199,193,372

)

(425,435,007

)

Net Realized Gain (Loss)

(199,192,741

)

(425,428,385

)

Net Change in Unrealized Gain (Loss) on

United States Treasury Obligations

178,110

(34,409

)

Commodity Futures Contracts

189,535,723

179,498,296

Net Change in Unrealized Gain (Loss)

189,713,833

179,463,887

Net Realized and Net Change in Unrealized Gain (Loss) on United States Treasury

Obligations and Commodity Futures Contracts

(9,478,908

)

(245,964,498

)

Net Income (Loss)

$

(12,776,814

)

$

(253,603,110

)

(a)

Interest Expense for the period ended March 31, 2016 represents interest expense on overdraft balances. These amounts are included in Interest Income for the period ended March 31, 2015.

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

4


PowerShares DB Commodity Index Tracking Fund

Statement of Changes in Shareholders’ Equity

For the Three Months Ended March 31, 2016

(Unaudited)

General Shares

Shares

Total

Shares

Total

Equity

Shares

Total

Equity

Shareholders'

Equity

Balance at January 1, 2016

40

$

534

148,800,000

$

1,987,222,478

$

1,987,223,012

Sale of Shares

8,800,000

115,298,394

115,298,394

Redemption of Shares

(7,400,000

)

(92,427,206

)

(92,427,206

)

Net Increase (Decrease) due to Share Transactions

1,400,000

22,871,188

22,871,188

Net Income (Loss)

Net Investment Income (Loss)

(1

)

(3,297,905

)

(3,297,906

)

Net Realized Gain (Loss) on United States Treasury

Obligations and Commodity Futures Contracts

(31

)

(199,192,710

)

(199,192,741

)

Net Change in Unrealized Gain (Loss) on United States

Treasury Obligations and Commodity Futures

Contracts

30

189,713,803

189,713,833

Net Income (Loss)

(2

)

(12,776,812

)

(12,776,814

)

Net Change in Shareholders' Equity

(2

)

1,400,000

10,094,376

10,094,374

Balance at March 31, 2016

40

$

532

150,200,000

$

1,997,316,854

$

1,997,317,386

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

5


PowerShares DB Commodity Index Tracking Fund

Statement of Changes in Shareholders’ Equity

For the Three Months Ended March 31, 2015

(Unaudited)

General Shares

Shares

Total

Shares

Total

Equity

Shares

Total

Equity

Shareholders'

Equity

Balance at January 1, 2015

40

$

736

219,400,000

$

4,036,423,709

$

4,036,424,445

Sale of Shares

5,200,000

91,806,099

91,806,099

Redemption of Shares

(49,400,000

)

(882,895,723

)

(882,895,723

)

Net Increase (Decrease) due to Share Transactions

(44,200,000

)

(791,089,624

)

(791,089,624

)

Net Income (Loss)

Net Investment Income (Loss)

(2

)

(7,638,610

)

(7,638,612

)

Net Realized Gain (Loss) on United States Treasury

Obligations and Commodity futures contracts

(89

)

(425,428,296

)

(425,428,385

)

Net Change in Unrealized Gain (Loss) on United States

Treasury Obligations and Commodity futures

contracts

38

179,463,849

179,463,887

Net Income (Loss)

(53

)

(253,603,057

)

(253,603,110

)

Net Change in Shareholders' Equity

(53

)

(44,200,000

)

(1,044,692,681

)

(1,044,692,734

)

Balance at March 31, 2015

40

$

683

175,200,000

$

2,991,731,028

$

2,991,731,711

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

6


PowerShares DB Commodity Index Tracking Fund

Statements of Cash Flows

For the Three Months Ended March 31, 2016 and 2015

(Unaudited)

Three Months Ended

March 31,

2016

2015

Cash flow from operating activities:

Net Income (Loss)

$

(12,776,814

)

$

(253,603,110

)

Adjustments to reconcile net income (loss) to net cash provided by (used for) operating

activities:

Cost of securities purchased

(1,912,773,559

)

(2,495,827,966

)

Proceeds from securities sold and matured

1,937,000,001

4,078,996,755

Net accretion of discount on United States Treasury Obligations

(892,403

)

(240,509

)

Net realized (gain) loss on United States Treasury Obligations

(631

)

(6,622

)

Net change in unrealized (gain) loss on United States Treasury Obligations and

Commodity futures contracts

(48,772,160

)

(179,463,887

)

Cash transfer to Commodity Broker to satisfy variation margin requirements (Note 4)

(584,258,422

)

Cash received (paid) to Commodity Broker to satisfy open variation margin, net

(Note 4)

12,126,541

Change in operating receivables and liabilities:

Variation margin

21,761,688

35,607,507

Payable for LME contracts

(21,657,176

)

426,958

Management fee payable

(129,960

)

(733,593

)

Brokerage fee payable

182

308

Net cash provided by (used for) operating activities

(38,240,832

)

613,023,960

Cash flows from financing activities:

Proceeds from sale of Shares

115,298,394

91,806,099

Redemption of Shares

(92,427,206

)

(882,895,723

)

Net cash provided by (used for) financing activities

22,871,188

(791,089,624

)

Net change in cash

(15,369,644

)

(178,065,664

)

Cash at beginning of period

92,092,936

745,587,142

Cash at end of period

$

76,723,292

$

567,521,478

Supplemental disclosure of cash flow information

Cash paid for interest

$

96,887

$

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

7


PowerShares DB Commodity Index Tracking Fund

Notes to Unaudited Financial Statements

March 31, 2016

(1) Background

On October 24, 2014, DB Commodity Services LLC, a Delaware limited liability company (“DBCS”), DB U.S. Financial Markets Holding Corporation (“DBUSH”) and Invesco PowerShares Capital Management LLC (“Invesco”) entered into an Asset Purchase Agreement (the “Agreement”). DBCS is a wholly-owned subsidiary of DBUSH. DBCS agreed to transfer and sell to Invesco all of DBCS’ interest in the PowerShares DB Commodity Index Tracking Fund (the “Fund”), including the sole and exclusive power to direct the business and affairs of the Fund, as well as certain other assets pertaining to the management of the Fund, pursuant to the terms and conditions of the Agreement (the “Transaction”).

The Transaction was consummated on February 23, 2015 (the “Closing Date”). Invesco now serves as the managing owner (the “Managing Owner”), commodity pool operator and commodity trading advisor of the Fund, in replacement of DBCS (the “Predecessor Managing Owner”).

(2) Organization

The Fund was formed as a Delaware statutory trust on May 23, 2005. The Predecessor Managing Owner seeded the Fund with a capital contribution of $1,000 in exchange for 40 General Shares of the Fund. The General Shares were sold to the Managing Owner by the Predecessor Managing Owner pursuant to the terms of the Agreement. The Fund was originally named “DB Commodity Index Tracking Fund”. The Fund changed its name to “PowerShares DB Commodity Index Tracking Fund” effective August 10, 2006. The fiscal year end of the Fund is December 31st. The term of the Fund is perpetual (unless terminated earlier in certain circumstances) as provided for in the Fifth Amended and Restated Declaration of Trust and Trust Agreement of the Fund (the “Trust Agreement”). The Fund has an unlimited number of shares authorized for issuance.

The Fund offers common units of beneficial interest (the “Shares”) only to certain eligible financial institutions (the “Authorized Participants”) in one or more blocks of 200,000 Shares, called a Basket. The Fund commenced investment operations on January 31, 2006. The Fund commenced trading on the American Stock Exchange (which became the NYSE Alternext US LLC (the “NYSE Alternext”)) on February 3, 2006 and, as of November 25, 2008, is listed on the NYSE Arca, Inc. (the “NYSE Arca”).

This Quarterly Report (the “Report”) covers the three months ended March 31, 2016 and 2015 (hereinafter referred to as the “Three Months Ended March 31, 2016” and the “Three Months Ended March 31, 2015”, respectively).  The Fund’s performance information from inception up to and excluding the Closing Date is a reflection of the performance associated with the Predecessor Managing Owner. The Managing Owner has served as managing owner of the Fund since the Closing Date, and the Fund’s performance information since the Closing Date is a reflection of the performance associated with the Managing Owner. Past performance of the Fund is not necessarily indicative of future performance.

The accompanying unaudited financial statements were prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) for interim financial information and with the instructions for Form 10-Q and the rules and regulations of the U.S. Securities and Exchange Commission (the “SEC”). In the opinion of management, all material adjustments, consisting only of normal recurring adjustments, considered necessary for a fair statement of the interim period financial statements have been made. Interim period results are not necessarily indicative of results for a full-year period. These financial statements and the notes thereto should be read in conjunction with the Fund’s financial statements included in its Annual Report on Form 10-K for the year ended December 31, 2015 as filed with the SEC on February 29, 2016.

(3) Fund Investment Overview

The Fund invests with a view to tracking the changes, whether positive or negative, in the level of the DBIQ Optimum Yield Diversified Commodity Index Excess Return™ (the “Index”) over time, plus the excess, if any, of the Fund’s interest income from its holdings of United States Treasury Obligations over the expenses of the Fund.

The Index is intended to reflect the change in market value of the commodity sector. The commodities comprising the Index are Light Sweet Crude Oil, Ultra Low Sulphur Diesel (also commonly known as Heating Oil), Aluminum, Gold, Corn, Wheat, Brent Crude, Copper Grade A, Natural Gas, RBOB Gasoline (reformulated gasoline blendstock for oxygen blending, or “RBOB”), Silver, Soybeans, Sugar and Zinc (the “Index Commodities”).

8


The Commodity Futures Trading Commission (the “CFTC”) and/or commodity exchanges, as applicable, impose position limits on market participants trading in certain commodity futures contracts included in the Index. The Index i s comprised of futures contracts on each of the Index Commodities that expire in a specific month and trade on a specific exchange (the “Index Contracts”). As disclosed in the Fund’s Prospectus, if the Managing Owner determines in its commercially reasonab le judgment that it has become impracticable or inefficient for any reason for the Fund to gain full or partial exposure to any Index Commodity by investing in a specific Index Contract, the Fund may invest in a futures contract referencing the particular Index Commodity other than the Index Contract or, in the alternative, invest in other futures contracts not based on the particular Index Commodity if, in the commercially reasonable judgment of the Managing Owner, such futures contracts tend to exhibit tr ading prices that correlate with such Index Commodity. Should the Fund approach or reach position limits with respect to certain futures contracts comprising the Index, the Fund will commence investing in other futures contracts based on commodities that c omprise the Fund’s Index and in futures contracts based on commodities other than commodities that comprise the Fund’s Index.

(4) Service Providers and Related Party Agreements

The Trustee

Under the Trust Agreement, Wilmington Trust Company, the trustee of the Fund (the “Trustee”), has delegated to the Managing Owner the exclusive management and control of all aspects of the business of the Fund. The Trustee will have no duty or liability to supervise or monitor the performance of the Managing Owner, nor will the Trustee have any liability for the acts or omissions of the Managing Owner.

The Managing Owner

The Managing Owner serves as the Fund’s commodity pool operator, commodity trading advisor and managing owner. The Fund pays the Managing Owner a management fee, monthly in arrears, in an amount equal to 0.85% per annum of the daily net asset value of the Fund (the “Management Fee”). From inception up to and excluding the Closing Date, all Management Fees were payable to the Predecessor Managing Owner. The Managing Owner has served as managing owner of the Fund since the Closing Date and all Management Fee accruals since the Closing Date have been paid to the Managing Owner.

The Commodity Broker

Effective as of the Closing Date, Morgan Stanley & Co. LLC, a Delaware limited liability company, serves as the Fund’s futures clearing broker (the “Commodity Broker”). Deutsche Bank Securities Inc. (“DBSI”), a Delaware corporation, served as the Fund’s futures clearing broker up to and excluding the Closing Date (the “Predecessor Commodity Broker”).

DBSI is an indirect wholly-owned subsidiary of Deutsche Bank AG and is an affiliate of the Predecessor Managing Owner. A variety of executing brokers execute futures transactions on behalf of the Fund. Such executing brokers give-up all such transactions to the Commodity Broker. In its capacity as clearing broker, the Commodity Broker may execute or receive transactions executed by others and clears all of the Fund’s futures transactions and performs certain administrative and custodial services for the Fund. The Commodity Broker is responsible, among other things, for providing periodic accountings of all dealings and actions taken by the Fund during the reporting period, together with an accounting of all securities, cash or other indebtedness or obligations held by it or its nominees for or on behalf of the Fund.

For the avoidance of doubt, from inception up to and excluding the Closing Date, commission payments were paid to the Predecessor Commodity Broker. The Commodity Broker has served as the Fund’s futures clearing broker since the Closing Date and all commission accruals since the Closing Date have been paid to the Commodity Broker.

The Administrator, Custodian and Transfer Agent

The Bank of New York Mellon (the “Administrator” and “Custodian”) is the administrator, custodian and transfer agent of the Fund. The Fund and the Administrator have entered into separate administrative, custodian, transfer agency and service agreements (collectively referred to as the “Administration Agreement”).

Pursuant to the Administration Agreement, the Administrator performs or supervises the performance of services necessary for the operation and administration of the Fund (other than making investment decisions), including receiving and processing orders from Authorized Participants to create and redeem Baskets, net asset value calculations, accounting and other fund administrative services. The Administrator maintains certain financial books and records, including: Basket creation and redemption books and records, fund accounting records, ledgers with respect to assets, liabilities, capital, income and expenses, the registrar, transfer journals

9


and related details, and trading and related documents received from the Commodity Broker. The Managing Owner pays the Administrator fees for its services out of the Management Fee.

As of December 31, 2014, the Fund held $745,587,142 of cash and $4,977,853,691 of United States Treasury Obligations at the Predecessor Commodity Broker. In conjunction with the Transaction, during the three-day period from February 24, 2015 to February 26, 2015, the Fund transferred $784,986,543 of cash and $3,488,957,734 of United States Treasury Obligations from the Predecessor Commodity Broker to the Custodian. Additionally, during that same three-day period, the Fund transferred all of its open positions of commodity futures contracts from the Predecessor Commodity Broker to the Commodity Broker, $1,078,892,100 of United States Treasury Obligations from the Custodian to the Commodity Broker to satisfy maintenance margin requirements and $584,258,422 of cash from the Custodian to the Commodity Broker to satisfy variation margin requirements for open commodity futures contracts. Effective February 26, 2015, the Managing Owner began transferring cash daily from the Custodian to the Commodity Broker to satisfy the previous day’s variation margin on open futures contracts, except for LME contracts which do not settle cash daily.

The Distributor

ALPS Distributors, Inc. (the “Distributor”) provides certain distribution services to the Fund. Pursuant to the Distribution Services Agreement among the Managing Owner, the Fund and the Distributor, the Distributor assists the Managing Owner and the Administrator with certain functions and duties relating to distribution and marketing services to the Fund including reviewing and approving marketing materials.

The Managing Owner pays the Distributor a distribution fee out of the Management Fee.

Index Sponsor

Effective as of the Closing Date, the Managing Owner, on behalf of the Fund, has appointed Deutsche Bank Securities Inc. to serve as the index sponsor (the “Index Sponsor”). Prior to the Closing Date, the index sponsor was Deutsche Bank AG London. The Index Sponsor calculates and publishes the daily index levels and the indicative intraday index levels. Additionally, the Index Sponsor also calculates the indicative value per Share of the Fund throughout each business day.

The Managing Owner pays the Index Sponsor a licensing fee and an index services fee out of the Management Fee for performing its duties.

Marketing Agent

Effective as of the Closing Date, the Managing Owner, on behalf of the Fund, has appointed Deutsche Bank Securities Inc. as the marketing agent (the “Marketing Agent”) to assist the Managing Owner by providing support to educate institutional investors about the DBIQ indices and to complete governmental or institutional due diligence questionnaires or requests for proposals related to the DBIQ indices.

The Managing Owner pays the Marketing Agent a marketing services fee out of the Management Fee.

The Marketing Agent will not open or maintain customer accounts or handle orders for the Fund. The Marketing Agent has no responsibility for the performance of the Fund or the decisions made or actions taken by the Managing Owner.

(5) Summary of Significant Accounting Policies

(a) Basis of Presentation

The financial statements of the Fund have been prepared using U.S. generally accepted accounting principles (“U.S. GAAP”).

The Fund has determined that it meets the definition of an investment company and has prepared the financial statements in conformity with U.S. GAAP for investment companies in conformity with accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 — Investment Companies .

(b) Use of Estimates

The preparation of the financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, revenues and expenses and related disclosure of contingent assets

10


and liabilities during the reporting period of the financial statements and accompanying notes. Actual results could differ from those estimates.

(c) Financial Instruments and Fair Value

United States Treasury Obligations and commodity futures contracts are recorded in the Statements of Financial Condition on a trade date basis at fair value with changes in fair value recognized in earnings in each period. U.S. GAAP defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date, under current market conditions.

U.S. GAAP establishes a hierarchy that prioritizes the inputs to valuation methods, giving the highest priority to readily available unadjusted quoted prices in an active market for identical assets (Level 1) and the lowest priority to significant unobservable inputs (Level 3), generally when market prices are not readily available or are unreliable. Based on the valuation inputs, the securities or other investments are tiered into one of three levels. Changes in valuation methods or market conditions may result in transfers in or out of an investment’s assigned level:

Level 1: Prices are determined using quoted prices in an active market for identical assets.

Level 2: Prices are determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, loss severities, default rates, discount rates, volatilities and others.

Level 3: Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in determining fair value of the securities or instruments and would be based on the best available information.

United States Treasury Obligations are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as developments related to specific securities, yield, quality, type of issue, coupon rate, maturity, individual trading characteristics and other market data. All debt obligations involve some risk of default with respect to interest and/or principal payments.

Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded.

When market closing prices are not available, the Managing Owner may value an asset of the Fund pursuant to policies the Managing Owner has adopted, which are consistent with normal industry standards.

The levels assigned to the securities valuations may not be an indication of the risk or liquidity associated with investing in those securities. Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon actual sale of those investments.

11


The following is a summary of the tiered valuation input levels as of March 31, 2016:

Level 1

Level 2

Level 3

Total

United States Treasury Obligations

$

$

1,892,753,160

$

$

1,892,753,160

Commodity Futures Contracts (a)

$

(161,744,270

)

$

$

$

(161,744,270

)

(a)

Unrealized appreciation (depreciation).

The following is a summary of the tiered valuation input levels as of December 31, 2015:

Level 1

Level 2

Level 3

Total

United States Treasury Obligations

$

$

1,936,908,405

$

$

1,936,908,405

Commodity Futures Contracts (a)

$

(351,279,993

)

$

$

$

(351,279,993

)

(a)

Unrealized appreciation (depreciation).

(d) Deposits with Commodity Broker

The Fund deposits cash and United States Treasury Obligations with its Commodity Broker subject to CFTC regulations and various exchange and broker requirements. The combination of the Fund’s deposits with its Commodity Broker of cash and United States Treasury Obligations and the unrealized profit or loss on open futures contracts represents the Fund’s overall equity in its broker trading account. To meet the Fund’s maintenance margin requirements, the Fund holds United States Treasury Obligations. The Fund transfers cash to the Commodity Broker to satisfy variation margin requirements. The Fund earns interest on any excess cash deposited with the Commodity Broker and incurs interest expense on any deficit balance with the Commodity Broker.

(e) Investment Transactions and Investment Income

Investment transactions are accounted for on a trade date basis. Realized gains (losses) from the sale or disposition of securities or derivatives are determined on a specific identification basis and recognized in the Statements of Income and Expenses in the period in which the contract is closed or the sale or disposition occurs, respectively.

Interest income on United States Treasury Obligations is recognized on an accrual basis when earned. Premiums and discounts are amortized or accreted over the life of the United States Treasury Obligations.

(f) Receivable/(Payable) for Shares Issued and Redeemed

On any business day, an Authorized Participant may place an order to create or redeem Shares of the Fund. Cash settlement occurs at the creation order settlement date or the redemption order settlement date as discussed in Note 7.

(g) Cash Held by Commodity Broker

The Fund’s arrangement with the Commodity Broker requires the Fund to meet its variation margin requirement related to the price movements on futures contracts held by the Fund by maintaining cash on deposit with the Commodity Broker. The Fund assesses its variation margin requirements on a daily basis by recalculating the change in value of the futures contracts based on price movements. Subsequent cash payments are made or received by the Fund each business day depending upon whether unrealized gains or losses are incurred on the futures contracts. Effective February 24, 2015, only the current day’s variation margin receivable or payable is disclosed as an asset or liability on the Statement of Financial Condition for non-LME commodity futures contracts.

The Fund defines cash and cash equivalents to be highly liquid investments, with original maturities of three months or less when purchased. There were no cash equivalents held by the Fund as of March 31, 2016 and December 31, 2015.

(h) Receivable/ (Payable) for LME Contracts

The Fund trades aluminum, copper and zinc commodity futures contracts on the London Metal Exchange (“LME”). For settlement of futures contracts traded on the LME, cash is not transferred until the settled futures contracts expire. As of
March 31, 2016 and December 31, 2015, the Fund had a payable to the Commodity Broker of $801,994 and $22,459,170, respectively, related to net realized losses on LME contracts which have been closed out but for which the contract has not yet expired.

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(i) Income Taxes

The Fund is classified as a partnership for U.S. federal income tax purposes. Accordingly, the Fund will generally not incur U.S. federal income taxes. No provision for federal, state, and local income taxes has been made in the accompanying financial statements, as investors are individually liable for income taxes, if any, on their allocable share of the Fund’s income, gain, loss, deductions and other items.

The Managing Owner has reviewed all of the Fund’s open tax years and major jurisdictions and concluded that there is no tax liability resulting from unrecognized tax benefits relating to uncertain tax positions taken or expected to be taken in future tax returns. The Fund is also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. On an ongoing basis, the Managing Owner will monitor the Fund’s tax positions taken under the interpretation (and consult with its tax counsel from time to time when appropriate) to determine if adjustments to conclusions are necessary based on factors including, but not limited to, on-going analysis of tax law, regulation, and interpretations thereof. The major tax jurisdiction for the Fund and the earliest tax year subject to examination: United States, 2012.

(j) Commodity Futures Contracts

The Fund utilizes derivative instruments to achieve its investment objective. A futures contract is an agreement between counterparties to purchase or sell a specified underlying security or index for a specified price at a future date. All of the Fund’s commodity futures contracts are held and used for trading purposes. During the period the futures contracts are open, changes in the value of the contracts are recognized as unrealized gains or losses by recalculating the value of the contracts on a daily basis. Subsequent or variation margin payments are received or made on non-LME commodity futures contracts depending upon whether unrealized gains or losses are incurred. These amounts are reflected as a receivable or payable on the Statements of Financial Condition. When the contracts are closed or expire, the Fund recognizes a realized gain or loss equal to the difference between the proceeds from, or cost of, the closing transaction and the Fund’s basis in the contract. Realized gains (losses) and changes in unrealized appreciation (depreciation) on open positions are determined on a specific identification basis and recognized in the Statements of Income and Expenses in the period in which the contract is closed or the changes occur, respectively.

The Fair Value of Derivative Instruments is as follows:

March 31, 2016

December 31, 2015

Risk Exposure/Derivative Type (a)

Assets

Liabilities

Assets

Liabilities

Commodity risk:

Commodity Futures Contracts

$

81,678,168

$

(243,422,438

)

$

21,760,386

$

(373,040,379

)

(a)

Includes cumulative appreciation (depreciation) of commodity futures contracts. Only current day’s variation margin receivable (payable) is reported in the March 31, 2016 and December 31, 2015 Statements of Financial Condition for non-LME commodity futures contracts.

The Effect of Derivative Instruments on the Statements of Income and Expenses is as follows:

Location of Gain or (Loss) on Derivatives

Recognized in

For the Three Months Ended March 31,

Risk Exposure/Derivative Type

Income

2016

2015

Commodity risk

Commodity Futures Contracts

Net Realized Gain (Loss)

$

(199,193,372

)

$

(425,435,007

)

Net Change in Unrealized Gain (Loss)

189,535,723

179,498,296

Total

$

(9,657,649

)

$

(245,936,711)

The table below summarizes the average monthly notional value of futures contracts outstanding during the period:

For the Three Months Ended March 31,

2016

2015

Average Notional Value

$

1,932,449,862

$

3,738,062,636

The brokerage agreement with the Commodity Broker provides for the net settlement of all financial instruments covered by the agreement in the event of default or termination of any one contract. The Managing Owner will utilize any excess cash held at the Commodity Broker to offset any realized losses incurred in the commodity futures contracts, if available. To the extent that any excess cash held at the Commodity Broker is not adequate to cover any realized losses, a portion of the United States Treasury Obligations on

13


deposit with the Commodity Broker will be sold to make additional cash available. For financial reporting purposes, the Fund offsets financial assets and financial liabilities that are subject to netting arrangements. In order for an arrange ment to be eligible for netting, the Fund must have a basis to conclude that such netting arrangements are legally enforceable. The following table presents derivative instruments that are either subject to an enforceable netting agreement or offset by col lateral arrangements as of March 31, 2016, net by contract:

Gross Amounts

Offset in the

Net Amounts

Presented in

Gross Amounts Not Offset in the

Statement of Financial Condition

Gross Amounts

Recognized

Statement of

Financial Condition

the Statement of

Financial Condition

Financial

Instruments (a)

Cash Collateral

Pledged (a)

Net

Amount

Assets