10-Q: iShares S&P GSCI Trust Q2 Net Assets Decline

iShares S&P GSCI Commodity-Indexed Trust reported a decrease in net assets for Q2 2025, driven by share redemptions and net realized and unrealized losses on futures contracts.

Summary

• Net assets decreased from $1,053,139,808 at March 31, 2025, to $959,404,265 at June 30, 2025.
• Shares outstanding decreased by 1,000,000, from 44,500,000 at December 31, 2024, to 43,500,000 at June 30, 2025, due to 9,600,000 shares redeemed versus 8,600,000 shares issued during the six-month period.
• Net asset value (NAV) per Share decreased by 3.03% from $22.75 at March 31, 2025, to $22.06 at June 30, 2025, directly related to a 3.85% decrease in the settlement price for the Index Futures.
• The net decrease in net assets resulting from operations for the quarter ended June 30, 2025, was $36,143,954.
• Net realized and unrealized loss from futures contracts for the quarter ended June 30, 2025, totaled $44,114,761.
• Net investment income for the quarter ended June 30, 2025, was $7,934,274.
• For the six months ended June 30, 2025, NAV per Share increased by 1.47% from $21.74 at December 31, 2024, to $22.06, despite a 0.21% decrease in the Index Futures settlement price, due to interest income from U.S. Treasury bills.
• The net increase in net assets resulting from operations for the six months ended June 30, 2025, was $9,414,990.
• Total expenses for the six months ended June 30, 2025, were $4,020,530, including Sponsors fees of $3,657,847 and brokerage commissions and fees of $362,683.

Sentiment

Score: 4

Explanation: While the Trust experienced a net decrease in assets and a decline in NAV for the most recent quarter, primarily due to losses on futures contracts and significant share redemptions, the six-month performance shows a positive NAV increase, supported by interest income from U.S. Treasury bills. The underlying commodity market volatility and limited liquidity in Index Futures present ongoing challenges.

Positives

• Net investment income of $7,934,274 for the three months ended June 30, 2025, and $16,957,908 for the six months ended June 30, 2025.
• NAV per Share increased by 1.47% for the six months ended June 30, 2025, from $21.74 to $22.06, despite a 0.21% decrease in the underlying Index Futures settlement price, attributed to interest income from U.S. Treasury bills.
• Disclosure controls and procedures were evaluated as effective as of the end of the period covered by the report.

Negatives

• Net assets decreased by $93,735,543 during the quarter ended June 30, 2025.
• Net decrease in net assets resulting from operations for the quarter ended June 30, 2025, was $36,143,954.
• Net realized and unrealized loss from futures contracts was $(8,019,045) for the three months ended June 30, 2025, and net change in unrealized appreciation/depreciation on futures contracts was $(36,095,716) for the same period.
• A net decrease of 1,000,000 Shares outstanding occurred during the six months ended June 30, 2025, due to more shares redeemed (9,600,000) than issued (8,600,000).
• The 3.03% decrease in NAV per Share for the quarter ended June 30, 2025, was directly related to a 3.85% decrease in the settlement price for Index Futures.

Risks

• The Trust may be negatively impacted by geopolitical events (e.g., Russian war in Ukraine, Middle East conflict, trade conflicts) on the global economy and markets for certain commodities, leading to disruptions and increased volatility.
• Interest rate risk exists as the market values of the Trust's U.S. Treasury bills and other cash equivalents may decline due to changes in interest rates, which can be sudden and unpredictable.
• Credit risk is present due to potential default by the CME's clearing house or the futures commission merchant (Clearing FCM), or the inability to recover assets if the Clearing FCM fails to segregate assets or defaults.
• The limited liquidity of the Index Futures market, where the Trust represents substantially all of the long-side open interest and Goldman Sachs & Co. LLC or its accountholders represent a substantial portion of the short-side interest, could exacerbate losses if the Trust were required to liquidate its positions.
• The Trust is exposed to commodity price risk through its holdings of Index Futures, meaning fluctuations in the value of these futures are expected to directly affect the value of the Shares.
• Fair value pricing could result in a difference between the prices used to calculate the Trust's net asset value and the prices used by the Trust's underlying index, potentially leading to performance discrepancies.

Future Outlook

The Sponsor does not make forward-looking statements unless it believes it has a reasonable basis for doing so and cannot guarantee their accuracy. The Trust does not anticipate any further need for liquidity, as creations and redemptions of Shares generally occur in-kind and ordinary expenses are met by cash on hand. The Sponsor is unaware of any other trends, demands, conditions or events that are reasonably likely to result in material changes to the Trust's liquidity needs.

Management Comments

• The Trust's net asset value decreased from $1,053,139,808 at March 31, 2025, to $959,404,265 at June 30, 2025. The decrease in the Trust's net asset value resulted primarily from a net decrease in the number of outstanding Shares, which fell from 46,300,000 Shares at March 31, 2025, to 43,500,000 Shares at June 30, 2025, a consequence of 5,200,000 Shares (104 Baskets) being created and 8,000,000 Shares (160 Baskets) being redeemed during the quarter.
• The 3.03% decrease in the NAV from $22.75 at March 31, 2025, to $22.06 at June 30, 2025, is directly related to the 3.85% decrease in the settlement price for the Index Futures. The NAV decreased less than the settlement price for the Index Futures on a percentage basis due to the interest income from U.S. Treasury bills.
• The Trust's NAV increased by 1.47% from $21.74 at December 31, 2024, to $22.06 at June 30, 2025, despite a 0.21% decrease in the settlement price for the Index Futures due to the interest income from U.S. Treasury bills.
• The Sponsor is unaware of any other trends, demands, conditions or events that are reasonably likely to result in material changes to the Trust's liquidity needs.

Industry Context

The Trust's performance is directly tied to the S&P GSCI Excess Return Index (S&P GSCI-ER) and the S&P GSCI Total Return Index, which reflect the value of a diversified group of physical commodities including energy, precious and industrial metals, agriculture, and livestock. The commodities markets have historically been extremely volatile. Geopolitical events, such as the Russian war in Ukraine, have led to disruptions and increased volatility in commodity markets, contributing to backwardation in energy futures. The market for Index Futures has limited liquidity, with the Trust representing substantially all long-side open interest and Goldman Sachs & Co. LLC or its accountholders representing a substantial portion of the short-side interest.

Comparison to Industry Standards

• The Trust seeks to track the investment returns of the S&P GSCI Total Return Index before payment of its expenses and liabilities.
• For the quarter ended June 30, 2025, the NAV decreased by 3.03%, which was less than the 3.85% decrease in the settlement price for the Index Futures, indicating a positive impact from interest income on U.S. Treasury bills.
• For the six months ended June 30, 2025, the NAV increased by 1.47%, despite a 0.21% decrease in the settlement price for the Index Futures, demonstrating the benefit of interest income from U.S. Treasury bills in offsetting commodity price declines.

Corporate Governance

Related Party Transactions

• The Sponsor (iShares Delaware Trust Sponsor LLC), the Trustee (BlackRock Institutional Trust Company, N.A.), and the Advisor (BlackRock Fund Advisors) are considered related parties to the Trust.
• The Trustee's and Advisor's fees are paid by the Sponsor and are not a separate expense of the Trust.
• BlackRock and/or funds or other accounts managed by the Trustee or an affiliate (Affiliates) may purchase and hold Shares of the Trust.

Stakeholder Impact

• Shareholders are directly impacted by fluctuations in the Net Asset Value (NAV) per Share, and individual investors must sell their Shares in the secondary market, potentially at a price less than NAV.
• The Sponsor benefits from a fee based on the Trust's net asset value and assumes most ordinary operating expenses.
• The Trust's reliance on a single Clearing FCM (Goldman Sachs & Co. LLC) exposes it to credit risk, potentially impacting the recovery of assets in case of default.
• The Chicago Mercantile Exchange (CME) and its clearing house are critical counterparties for the Trust's futures positions, and their stability directly affects the Trust's operations.
• The Trust's significant investment in U.S. Treasury bills means its performance is influenced by U.S. government debt market conditions and interest rates.

Next Steps

• The Trust is expected to roll out of existing positions in Index Futures and establish new positions on an ongoing basis.
• Orders for creation and redemption of Baskets are expected to settle by 11:00 a.m. (New York time) on the Business Day following the Business Day on which such orders are deemed to be received.

Key Dates

Recommendation

The Trust's performance is directly tied to volatile commodity markets and the S&P GSCI-ER. While the six-month period showed a positive NAV increase due to interest income, the recent quarter experienced a significant decline in net assets and NAV, driven by losses on futures contracts and substantial share redemptions. The limited liquidity in the Index Futures market and concentration of long/short interest present specific risks. Given the inherent volatility of commodity-indexed investments and the mixed recent performance, a 'Hold' recommendation is appropriate for investors already exposed, while new investors should carefully consider the specific risks and market conditions.

Keywords

Commodity-Indexed Trust, S&P GSCI, Futures Contracts, Commodity Pool, Investment Trust, SEC Filing, 10-Q, Financial Report, BlackRock, GSG, Commodity Futures, U.S. Treasury Bills, Net Asset Value, Investment Performance, Market Risk, Credit Risk, Geopolitical Risk