Invesco DB Oil Fund Liquidation Value

Invesco DB Oil Fund (DBO) is a Delaware statutory trust operating as a commodity pool that tracks the DBIQ Optimum Yield Crude Oil Index Excess Return. The Fund holds WTI crude oil futures contracts as its primary economic exposure, with collateral posted in the form of affiliated money market fund shares (Invesco Government & Agency Portfolio) and a T-Bill ETF (Invesco Short Term Treasury ETF). There is no PP&E, no goodwill, no operating leases, and no funded debt. The entity is a grantor trust structure where all assets are liquid or near-liquid, and the liability stack consists almost entirely of accrued management fees and broker payables.

As of March 31, 2026, total assets were $388.5M against total liabilities of $23.0M, yielding net assets (shareholders equity) of $365.5M. Under a liquidation lens, the asset base is composed of: (1) futures positions with unrealized gains of $32.3M on commodity contracts and $32.2M on investments in aggregate, (2) affiliated money market fund holdings of $87.4M at 03/31/2026 (down from $101.0M at 12/31/2025, reflecting net redemptions of $82.3M offset by $68.7M in purchases during Q1 2026), (3) Invesco Short Term Treasury ETF holdings of $54.0M (essentially flat), and (4) margin deposits with commodity broker of $23.2M. All investment assets are marked to fair value and are exchange-listed or government/agency fund instruments — recovery haircut under liquidation is minimal to zero. Cash was zero. Liabilities consist of management fee payable of $211K, commodity broker payables implied in the $23.0M total liability figure, and margin-related obligations. No long-term debt, no pension, no operating leases, no off-balance-sheet financing.

Liquidation recovery to equity is essentially at or near par to NAV ($19.54/share at period end). The primary risk to recovery is the mark-to-market value of futures positions, which represent off-balance-sheet notional commitments whose full replacement cost could differ materially in a forced liquidation. The filing discloses 1-day VaR of $15.7M (1.84% of NAV, 99th percentile) for Q1 2026 versus $7.0M (1.47%) as of 12/31/2025 — reflecting substantially higher absolute VaR driven by the 79% increase in fund NAV (from $204M to $365M). VaR was exceeded 2 times in Q1 2026 versus 13 times in full-year 2025, indicating realized volatility during Q1 2026 was more orderly relative to the elevated VaR estimate.

Compared to the prior filing (10-K for year ended 12/31/2025, with fund NAV of $204.2M), the current period shows a 79% increase in net assets, driven by a 60.29% total return at NAV in Q1 2026, with crude oil futures contributing $100.1M in realized gains and $32.3M in unrealized gains. Share count increased from approximately 16.8M implied shares to 18.7M, reflecting net creation activity ($106.8M issued vs. $80.0M redeemed). The affiliated money market position increased from $100.9M to $310.7M in the nine-month rollforward disclosed for the three-month period ending 03/31/2025 comparison period, but for the current Q1 2026 period the money market balance declined from $141.2M to $87.4M as redemptions ($48.7M net) exceeded purchases. The filing does not separately tag the notional value of outstanding futures contracts in XBRL.