abrdn ETFs
Semi-Annual Report
June 30, 2023
abrdn Bloomberg All Commodity Strategy K-1 Free ETF (BCI)
abrdn Bloomberg All Commodity Longer Dated Strategy K-1 Free ETF (BCD)
abrdn Bloomberg Industrial Metals Strategy K-1 Free ETF (BCIM)
Principal U.S. Listing Exchange: NYSE Arca

abrdn ETFs 

 

 

Table of Contents
 1
 1
 4
 7
 10
 11
 12
 14
 16
 35
 36
 42
 43

 

Table of Contents
Consolidated Schedule of Portfolio Investments
abrdn Bloomberg All Commodity Strategy K-1 Free ETF 

June 30, 2023 (Unaudited)
  Shares or
Principal
Amount
  Value
SHORT-TERM INVESTMENTS—97.1%    
MONEY MARKET FUNDS—4.3%    
Invesco Government & Agency Portfolio, 4.50% (a)   37,978,799   $ 37,978,799
Total Money Market Funds     37,978,799
U.S. TREASURIES—92.8%    
U.S. Treasury Bills        
5.025%, 07/05/2023 (b) $  37,000,000   36,989,910
4.17%, 07/06/2023 (b)   45,000,000   44,981,451
4.83%, 07/11/2023 (b)   40,000,000   39,955,756
4.86%, 07/13/2023 (b)(c)   45,000,000   44,937,104
5.085%, 07/18/2023 (b)   38,000,000   37,920,932
5.00%, 07/20/2023 (b)   30,000,000   29,929,096
5.00%, 07/20/2023 (b)(c)   15,000,000   14,964,548
5.015%, 07/25/2023 (b)   40,000,000   39,878,175
4.99%, 07/27/2023 (b)   37,000,000   36,876,358
5.15%, 08/01/2023 (b)   37,000,000   36,849,333
5.08%, 08/03/2023 (b)   40,000,000   39,824,678
5.05%, 08/08/2023 (b)   37,000,000   36,810,467
5.07%, 08/10/2023 (b)(c)   1,000,000   994,590
5.07%, 08/10/2023 (b)   39,000,000   38,789,021
5.07%, 08/15/2023 (b)   38,000,000   37,766,436
5.09%, 08/17/2023 (b)   35,000,000   34,774,228
5.12%, 08/22/2023 (b)   40,000,000   39,713,565
5.19%, 08/24/2023 (b)(c)   40,000,000   39,700,952
5.155%, 08/31/2023 (b)   38,000,000   37,678,771
5.15%, 09/07/2023 (b)   37,000,000   36,650,701
5.09%, 09/14/2023 (b)   38,000,000   37,602,766
5.14%, 09/21/2023 (b)(c)   38,000,000   37,564,196
5.17%, 09/28/2023 (b)   40,000,000   39,500,838
Total U.S. Treasuries     820,653,872
Total Short-Term Investments     858,632,671
Total Investments
(Cost $858,418,140)—97.1%
  858,632,671
Other Assets in Excess of Liabilities—2.9%   25,295,811
Net Assets—100.0%   $883,928,482
    

(a) The rate shown is the 7 day yield as of June 30, 2023.
(b) The rate shown is the discount yield at the time of purchase.
(c) All or a portion of the security pledged as collateral for Futures Contracts, with a total collateral value of $166,986,510.
As of June 30, 2023, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments for federal income tax purposes was as follows:
Federal Tax Cost $858,436,504
Unrealized Appreciation $3,005,355
Unrealized Depreciation (18,187,770)
Net Unrealized Appreciation (Depreciation) $(15,182,415)
See accompanying notes to the consolidated financial statements.

1 

 

Table of Contents
Consolidated Schedule of Portfolio Investments
abrdn Bloomberg All Commodity Strategy K-1 Free ETF  (continued)

June 30, 2023 (Unaudited)
At June 30, 2023, the Fund held the following futures contracts:
    
Futures Contracts Number of
Contracts
Long/(Short)
Expiration
Date
Notional
Amount
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Long Contract Positions          
Aluminum LME * 678 7/17/2023 $39,705,855 $35,950,950 $(3,754,905)
Aluminum LME * 675 9/18/2023 37,772,809 36,239,063 (1,533,746)
Brent Crude Oil 866 7/31/2023 65,421,964 65,305,060 (116,904)
Coffee 453 9/19/2023 31,050,208 27,010,125 (4,040,083)
Copper 503 9/27/2023 47,728,719 47,275,712 (453,007)
Corn 1,587 9/14/2023 42,481,799 38,762,475 (3,719,324)
Cotton 343 12/06/2023 13,918,943 13,783,455 (135,488)
Gasoline 219 8/31/2023 22,061,046 22,650,075 589,029
Gold 747 8/29/2023 152,466,841 144,126,180 (8,340,661)
KC Wheat 397 9/14/2023 15,812,170 15,880,000 67,830
Lead LME * 161 7/17/2023 8,551,095 8,458,538 (92,557)
Lead LME * 161 9/18/2023 8,298,956 8,462,563 163,607
Lean Hog 511 8/14/2023 17,426,905 18,927,440 1,500,535
Live Cattle 498 8/31/2023 32,230,098 35,293,260 3,063,162
Low Sulfur Gasoil 305 9/12/2023 21,032,191 21,372,875 340,684
Natural Gas 2,203 8/29/2023 53,294,233 61,111,220 7,816,987
New York Harbor ULSD 161 8/31/2023 15,980,415 16,512,804 532,389
Nickel LME * 157 7/17/2023 22,411,329 19,211,148 (3,200,181)
Nickel LME * 156 9/18/2023 19,912,996 19,196,424 (716,572)
Silver 360 9/27/2023 43,545,282 41,436,000 (2,109,282)
Soybean Meal 696 12/14/2023 25,771,944 27,652,080 1,880,136
Soybean Oil 730 11/14/2023 44,171,904 49,028,625 4,856,721
Soybean Oil 811 12/14/2023 25,157,073 28,694,802 3,537,729
Sugar 1,133 9/29/2023 31,426,218 28,919,598 (2,506,620)
Wheat 708 9/14/2023 22,817,523 23,045,400 227,877
WTI Crude Oil 988 8/22/2023 69,193,643 69,930,640 736,997
Zinc LME * 365 7/17/2023 25,538,372 21,774,531 (3,763,841)
Zinc LME * 362 9/18/2023 21,607,684 21,622,713 15,029
          $(9,154,459)
Short Contract Positions          
Aluminum LME * (678) 7/17/2023 (37,729,796) (35,950,950) 1,778,846
Aluminum LME * (2) 9/18/2023 (112,692) (107,375) 5,317
Lead LME * (161) 7/17/2023 (8,304,371) (8,458,538) (154,167)
Lead LME * (1) 9/18/2023 (52,927) (52,563) 364
Nickel LME * (157) 7/17/2023 (20,171,503) (19,211,148) 960,355
Zinc LME * (365) 7/17/2023 (21,972,226) (21,774,531) 197,695
Zinc LME * (1) 9/18/2023 (62,145) (59,731) 2,414
          $2,790,824
          $(6,363,635)
    

* London Metal Exchange (“LME”) futures contracts settle on their respective maturity date. See Note 2.
    
Commodity Allocation Summary*  
Agriculture 28.4%
Energy 27.8%
Precious Metals 22.1%
Base Metals 16.1%
Livestock 5.6%
  100.0%
    
See accompanying notes to the consolidated financial statements.

2 

 

Table of Contents
Consolidated Schedule of Portfolio Investments
abrdn Bloomberg All Commodity Strategy K-1 Free ETF  (concluded)

June 30, 2023 (Unaudited)

* Based on notional value of futures contracts. Short-term investments held as collateral for futures contracts have been excluded. Holdings and allocations are subject to change.
See accompanying notes to the consolidated financial statements.

3 

 

Table of Contents
Consolidated Schedule of Portfolio Investments
abrdn Bloomberg All Commodity Longer Dated Strategy K-1 Free ETF 

June 30, 2023 (Unaudited)
  Shares or
Principal
Amount
  Value
SHORT-TERM INVESTMENTS—99.5%    
MONEY MARKET FUNDS—1.8%    
Invesco Government & Agency Portfolio, 4.50% (a)   4,485,654   $ 4,485,654
Total Money Market Funds     4,485,654
U.S. TREASURIES—97.7%    
U.S. Treasury Bills        
4.98%, 07/05/2023 (b) $   13,000,000   12,996,455
4.71%, 07/06/2023 (b)   12,000,000   11,995,054
4.925%, 07/11/2023 (b)   12,000,000   11,986,727
4.86%, 07/13/2023 (b)(c)   13,000,000   12,981,830
5.145%, 07/18/2023 (b)   12,000,000   11,975,031
5.00%, 07/20/2023 (b)(c)   13,000,000   12,969,275
5.04%, 07/25/2023 (b)   12,000,000   11,963,452
4.99%, 07/27/2023 (b)   8,000,000   7,973,267
5.15%, 08/01/2023 (b)   12,000,000   11,951,135
5.095%, 08/03/2023 (b)   13,000,000   12,943,020
5.05%, 08/08/2023 (b)   12,000,000   11,938,530
5.07%, 08/10/2023 (b)(c)   13,000,000   12,929,674
5.06%, 08/15/2023 (b)   12,000,000   11,926,243
5.09%, 08/17/2023 (b)   13,000,000   12,916,142
5.12%, 08/22/2023 (b)   9,000,000   8,935,552
5.19%, 08/24/2023 (b)(c)   13,000,000   12,902,809
5.24%, 08/31/2023 (b)(c)   12,000,000   11,898,559
5.15%, 09/07/2023 (b)   12,000,000   11,886,714
5.10%, 09/14/2023 (b)   11,000,000   10,885,011
5.14%, 09/21/2023 (b)(c)   12,000,000   11,862,378
5.17%, 09/28/2023 (b)   9,000,000   8,887,688
Total U.S. Treasuries     246,704,546
Total Short-Term Investments     251,190,200
Total Investments
(Cost $251,125,277)—99.5%
  251,190,200
Other Assets in Excess of Liabilities—0.5%   1,373,989
Net Assets—100.0%   $252,564,189
    

(a) The rate shown is the 7 day yield as of June 30, 2023.
(b) The rate shown is the discount yield at the time of purchase.
(c) All or a portion of the security pledged as collateral for Futures Contracts, with a total collateral value of $53,336,314.
As of June 30, 2023, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments for federal income tax purposes was as follows:
Federal Tax Cost $251,126,661
Unrealized Appreciation $8,963,508
Unrealized Depreciation (17,844,535)
Net Unrealized Appreciation (Depreciation) $(8,881,027)
See accompanying notes to the consolidated financial statements.

4 

 

Table of Contents
Consolidated Schedule of Portfolio Investments
abrdn Bloomberg All Commodity Longer Dated Strategy K-1 Free ETF  (continued)

June 30, 2023 (Unaudited)
At June 30, 2023, the Fund held the following futures contracts:
    
Futures Contracts Number of
Contracts
Long/(Short)
Expiration
Date
Notional
Amount
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Long Contract Positions          
Aluminum LME * 218 7/17/2023 $13,809,214 $11,559,450 $(2,249,764)
Aluminum LME * 203 9/18/2023 12,110,364 10,898,563 (1,211,801)
Aluminum LME * 201 11/13/2023 11,712,490 10,901,738 (810,752)
Brent Crude Oil 245 11/30/2023 17,982,905 18,291,700 308,795
Coffee 128 12/18/2023 8,694,933 7,588,800 (1,106,133)
Copper 143 12/27/2023 13,855,996 13,484,900 (371,096)
Corn 449 12/14/2023 11,740,286 11,107,138 (633,148)
Cotton 97 12/06/2023 3,988,140 3,897,945 (90,195)
Gasoline 62 10/31/2023 5,509,444 5,614,745 105,301
Gold 211 12/27/2023 43,889,658 41,524,800 (2,364,858)
KC Wheat 112 12/14/2023 4,635,111 4,481,400 (153,711)
Lead LME * 52 7/17/2023 2,876,466 2,731,950 (144,516)
Lead LME * 48 9/18/2023 2,515,125 2,523,000 7,875
Lead LME * 48 11/13/2023 2,561,100 2,515,800 (45,300)
Lean Hog 145 12/14/2023 4,278,702 4,358,700 79,998
Live Cattle 141 12/29/2023 10,083,368 10,350,810 267,442
Low Sulfur Gasoil 86 11/10/2023 5,895,859 5,994,200 98,341
Natural Gas 624 10/27/2023 18,767,456 20,036,640 1,269,184
New York Harbor ULSD 46 10/31/2023 4,608,679 4,695,919 87,240
Nickel LME * 51 7/17/2023 8,350,213 6,240,564 (2,109,649)
Nickel LME * 47 9/18/2023 6,698,783 5,783,538 (915,245)
Nickel LME * 46 11/13/2023 6,459,803 5,697,192 (762,611)
Silver 102 12/27/2023 13,299,159 11,901,870 (1,397,289)
Soybean Meal 197 12/14/2023 8,510,933 7,826,810 (684,123)
Soybean Oil 207 11/14/2023 14,045,672 13,902,637 (143,035)
Soybean Oil 230 12/14/2023 7,693,786 8,137,860 444,074
Sugar 321 2/29/2024 8,880,458 8,229,413 (651,045)
Wheat 200 12/14/2023 6,727,621 6,692,500 (35,121)
WTI Crude Oil 280 10/20/2023 19,859,250 19,762,400 (96,850)
Zinc LME * 117 7/17/2023 9,327,855 6,979,781 (2,348,074)
Zinc LME * 109 9/18/2023 8,000,359 6,510,706 (1,489,653)
Zinc LME * 108 11/13/2023 7,151,782 6,454,350 (697,432)
          $(17,843,151)
Short Contract Positions          
Aluminum LME * (218) 7/17/2023 (12,959,085) (11,559,450) 1,399,635
Aluminum LME * (203) 9/18/2023 (11,699,675) (10,898,563) 801,112
Aluminum LME * (11) 11/13/2023 (621,061) (596,613) 24,448
Lead LME * (52) 7/17/2023 (2,718,464) (2,731,950) (13,486)
Lead LME * (48) 9/18/2023 (2,554,646) (2,523,000) 31,646
Lead LME * (3) 11/13/2023 (157,519) (157,238) 281
Nickel LME * (51) 7/17/2023 (7,365,469) (6,240,564) 1,124,905
Nickel LME * (47) 9/18/2023 (6,557,696) (5,783,538) 774,158
Nickel LME * (2) 11/13/2023 (266,728) (247,704) 19,024
Zinc LME * (117) 7/17/2023 (8,692,494) (6,979,781) 1,712,713
Zinc LME * (109) 9/18/2023 (7,202,656) (6,510,706) 691,950
Zinc LME * (6) 11/13/2023 (364,846) (358,575) 6,271
          $6,572,657
          $(11,270,494)
    

* London Metal Exchange (“LME”) futures contracts settle on their respective maturity date. See Note 2.
    
See accompanying notes to the consolidated financial statements.

5 

 

Consolidated Schedule of Portfolio Investments
abrdn Bloomberg All Commodity Longer Dated Strategy K-1 Free ETF  (concluded)

June 30, 2023 (Unaudited)
Commodity Allocation Summary*  
Agriculture 28.4%
Energy 27.6%
Precious Metals 21.7%
Base Metals 16.8%
Livestock 5.5%
  100.0%
    

* Based on notional value of futures contracts. Short-term investments held as collateral for futures contracts have been excluded. Holdings and allocations are subject to change.
See accompanying notes to the consolidated financial statements.

6 

 

Consolidated Schedule of Portfolio Investments
abrdn Bloomberg Industrial Metals Strategy K-1 Free ETF 

June 30, 2023 (Unaudited)
  Shares or
Principal
Amount
  Value
SHORT-TERM INVESTMENTS—105.1%    
MONEY MARKET FUNDS—3.3%    
Invesco Government & Agency Portfolio, 4.50% (a)   759,074   $ 759,074
Total Money Market Funds     759,074
U.S. TREASURIES—101.8%    
U.S. Treasury Bills        
4.98%, 07/05/2023 (b) $   1,200,000   1,199,673
4.83%, 07/11/2023 (b)   1,200,000   1,198,673
4.97%, 07/13/2023 (b)   1,200,000   1,198,323
5.17%, 07/18/2023 (b)   1,200,000   1,197,503
5.00%, 07/20/2023 (b)   1,200,000   1,197,164
5.08%, 07/25/2023 (b)   1,200,000   1,196,345
4.99%, 07/27/2023 (b)(c)   1,200,000   1,195,990
5.15%, 08/01/2023 (b)   1,200,000   1,195,113
5.10%, 08/03/2023 (b)(c)   1,200,000   1,194,740
5.05%, 08/08/2023 (b)   1,200,000   1,193,853
5.07%, 08/10/2023 (b)(c)   1,200,000   1,193,508
5.06%, 08/15/2023 (b)   1,200,000   1,192,624
5.09%, 08/17/2023 (b)   1,200,000   1,192,259
5.02%, 08/22/2023 (b)   1,200,000   1,191,407
5.19%, 08/24/2023 (b)(c)   1,200,000   1,191,029
5.24%, 08/31/2023 (b)   1,200,000   1,189,856
5.15%, 09/07/2023 (b)(c)   1,200,000   1,188,671
5.09%, 09/14/2023 (b)   1,200,000   1,187,456
5.14%, 09/21/2023 (b)(c)   1,200,000   1,186,238
5.17%, 09/28/2023 (b)   1,000,000   987,521
Total U.S. Treasuries     23,667,946
Total Short-Term Investments     24,427,020
Total Investments
(Cost $24,420,780)—105.1%
  24,427,020
Liabilities in Excess of Other Assets—(5.1%)   (1,174,944)
Net Assets—100.0%   $23,252,076
    

(a) The rate shown is the 7 day yield as of June 30, 2023.
(b) The rate shown is the discount yield at the time of purchase.
(c) All or a portion of the security pledged as collateral for Futures Contracts, with a total collateral value of $6,851,457.
As of June 30, 2023, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments for federal income tax purposes was as follows:
Federal Tax Cost $24,420,780
Unrealized Appreciation $499,091
Unrealized Depreciation (2,410,462)
Net Unrealized Appreciation (Depreciation) $(1,911,371)
See accompanying notes to the consolidated financial statements.

7 

 

Consolidated Schedule of Portfolio Investments
abrdn Bloomberg Industrial Metals Strategy K-1 Free ETF  (continued)

June 30, 2023 (Unaudited)
At June 30, 2023, the Fund held the following futures contracts:
    
Futures Contracts Number of
Contracts
Long/(Short)
Expiration
Date
Notional
Amount
Fair
Value
Unrealized
Appreciation/
(Depreciation)
Long Contract Positions          
Aluminum LME * 120 7/17/2023 $7,011,267 $6,363,000 $(648,267)
Aluminum LME * 119 9/18/2023 6,668,895 6,388,813 (280,082)
Copper 88 9/27/2023 8,350,750 8,270,900 (79,850)
Lead LME * 28 7/17/2023 1,487,135 1,471,050 (16,085)
Lead LME * 29 9/18/2023 1,493,109 1,524,313 31,204
Nickel LME * 28 7/17/2023 3,984,686 3,426,192 (558,494)
Nickel LME * 28 9/18/2023 3,583,502 3,445,512 (137,990)
Zinc LME * 65 7/17/2023 4,537,739 3,877,656 (660,083)
Zinc LME * 65 9/18/2023 3,881,128 3,882,531 1,403
          $(2,348,244)
Short Contract Positions          
Aluminum LME * (120) 7/17/2023 (6,658,050) (6,363,000) 295,050
Aluminum LME * (1) 9/18/2023 (56,815) (53,688) 3,127
Lead LME * (28) 7/17/2023 (1,441,440) (1,471,050) (29,610)
Lead LME * (1) 9/18/2023 (53,521) (52,563) 958
Nickel LME * (28) 7/17/2023 (3,561,328) (3,426,192) 135,136
Nickel LME * (1) 9/18/2023 (138,254) (123,054) 15,200
Zinc LME * (65) 7/17/2023 (3,883,999) (3,877,656) 6,343
Zinc LME * (2) 9/18/2023 (123,891) (119,462) 4,429
          $430,633
          $(1,917,611)
    

* London Metal Exchange (“LME”) futures contracts settle on their respective maturity date. See Note 2.
See accompanying notes to the consolidated financial statements.

8 

 

Consolidated Schedule of Portfolio Investments
abrdn Bloomberg Industrial Metals Strategy K-1 Free ETF  (concluded)

June 30, 2023 (Unaudited)
Commodity Allocation Summary*  
Copper 33.3%
Aluminum 27.8%
Zinc 17.6%
Nickel 15.4%
Lead 5.9%
  100.0%
    

* Based on notional value of futures contracts. Short-term investments held as collateral for futures contracts have been excluded. Holdings and allocations are subject to change.
See accompanying notes to the consolidated financial statements.

9 

 

Consolidated Statements of Assets and Liabilities 

June 30, 2023 (Unaudited)
  abrdn
Bloomberg All
Commodity
Strategy K-1
Free ETF
  abrdn
Bloomberg
All
Commodity
Longer Dated
Strategy K-1
Free ETF
  abrdn
Bloomberg
Industrial
Metals
Strategy K-1
Free ETF
ASSETS:          
Investments, at cost $858,418,140   $251,125,277   $24,420,780
Investments, at value 858,632,671   251,190,200   24,427,020
Cash 13   4  
Deposits at broker for futures contracts 32,090,997   16,017,144   764,176
Interest and dividends receivable 116,396   23,361   3,425
Unrealized appreciation on open futures contracts 28,273,703   9,254,393   492,850
Total assets 919,113,780   276,485,102   25,687,471
LIABILITIES:          
Payable for capital shares redeemed   3,197,010  
Unrealized depreciation on open futures contracts 34,637,338   20,524,887   2,410,461
Advisory fees payable 535,328   193,552   24,203
Legal fees 12,632   5,464   731
Total liabilities 35,185,298   23,920,913   2,435,395
NET ASSETS $883,928,482   $252,564,189   $23,252,076
NET ASSETS CONSIST OF:          
Paid in capital $961,481,738   $270,096,711   $24,332,949
Distributable earnings/(accumulated loss) (77,553,256)   (17,532,522)   (1,080,873)
NET ASSETS $883,928,482   $252,564,189   $23,252,076
Shares (unlimited number of shares authorized, no par value) 43,750,001   7,900,001   1,075,000
Net Asset Value $20.20   $31.97   $21.63

Amounts listed as “–” are $0 or round to $0.
See accompanying notes to the consolidated financial statements.

10 

 

Consolidated Statements of Operations 

For the Six-Month Period Ended June 30, 2023 (Unaudited)
  abrdn
Bloomberg All
Commodity
Strategy K-1
Free ETF
  abrdn
Bloomberg
All
Commodity
Longer Dated
Strategy K-1
Free ETF
  abrdn
Bloomberg
Industrial
Metals
Strategy K-1
Free ETF
INVESTMENT INCOME:          
Interest income $19,637,267   $6,222,573   $682,756
Total Income 19,637,267   6,222,573   682,756
EXPENSES:          
Advisory fee (See Note 4) 1,277,797   463,047   74,309
Legal fees and expenses 49,413   15,548   1,816
Total operating expenses before reimbursed/waived expenses 1,327,210   478,595   76,125
Expenses waived and/or reimbursed by Advisor (see Note 4) (227,444)   (77,120)   (19,246)
Total Net Expenses after Waivers 1,099,766   401,475   56,879
Net Investment Income 18,537,501   5,821,098   625,877
NET REALIZED AND UNREALIZED GAIN (LOSS):          
Realized loss on investment transactions (31,597)   (4,114)   (234)
Realized gain/(loss) on futures contracts (80,503,352)   (14,340,907)   233,424
Net realized gain/(loss) from investments and future transactions (80,534,949)   (14,345,021)   233,190
Net change in unrealized appreciation/(depreciation) on investment transactions 11,401   (580)   1,031
Net change in unrealized appreciation/(depreciation) on futures contracts (14,099,344)   (12,912,174)   (4,562,163)
Net change in unrealized appreciation/(depreciation) from investments and futures contracts (14,087,943)   (12,912,754)   (4,561,132)
Net realized/unrealized gain/(loss) from investments and future transactions (94,622,892)   (27,257,775)   (4,327,942)
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $(76,085,391)   $(21,436,677)   $(3,702,065)
See accompanying notes to the consolidated financial statements.

11 

 

Consolidated Statements of Changes in Net Assets 

For the Periods Indicated
  abrdn Bloomberg All
Commodity Strategy K-1 Free
ETF
  abrdn Bloomberg All
Commodity Longer Dated
Strategy K-1 Free ETF
  abrdn Bloomberg
Industrial Metals
Strategy K-1 Free ETF
  Six-Month
Period Ended
June 30, 2023
(unaudited)
  Year Ended
December 31, 2022
  Six-Month
Period Ended
June 30, 2023
(unaudited)
  Year Ended
December 31, 2022
  Six-Month
Period Ended
June 30, 2023
(unaudited)
  Year Ended
December 31, 2022
FROM INVESTMENT ACTIVITIES:                      
OPERATIONS:                      
Net investment income $18,537,501   $11,699,808   $5,821,098   $3,311,835   $625,877   $358,446
Net realized gain/(loss) from investments and future transactions (80,534,949)   65,346,360   (14,345,021)   5,736,653   233,190   (5,328,245)
Net change in unrealized appreciation/(depreciation) on investments and futures contracts (14,087,943)   2,657,524   (12,912,754)   847,610   (4,561,132)   2,118,353
Net Increase/(Decrease) in Net Assets Resulting from Operations (76,085,391)   79,703,692   (21,436,677)   9,896,098   (3,702,065)   (2,851,446)
DISTRIBUTIONS TO SHAREHOLDERS FROM:                      
Distributable earnings   (113,253,029)     (13,365,522)     (221,713)
Return of Capital   (55,111,943)     (412,358)    
Change in net assets from shareholder distributions   (168,364,972)     (13,777,880)     (221,713)
CAPITAL TRANSACTIONS: (a)                      
Proceeds from shares issued 247,554,415   555,573,344   48,531,789   260,093,618   3,112,625   13,231,416
Cost of shares redeemed (161,281,700)   (232,975,305)   (52,921,855)   (65,474,285)   (7,075,468)   (6,276,650)
Change in net assets from capital transactions 86,272,715   322,598,039   (4,390,066)   194,619,333   (3,962,843)   6,954,766
Change in net assets 10,187,324   233,936,759   (25,826,743)   190,737,551   (7,664,908)   3,881,607
NET ASSETS:                      
Beginning of period 873,741,158   639,804,399   278,390,932   87,653,381   30,916,984   27,035,377
End of period $883,928,482   $873,741,158   $252,564,189   $278,390,932   $23,252,076   $30,916,984
SHARE TRANSACTIONS:                      
Beginning of period 39,750,001   27,900,001   8,050,001   2,850,001   1,250,000   1,050,000
Issued 11,900,000   20,450,000   1,450,000   7,050,000   125,000   450,000
Redeemed (7,900,000)   (8,600,000)   (1,600,000)   (1,850,000)   (300,000)   (250,000)
Shares outstanding, end of period 43,750,001   39,750,001   7,900,001   8,050,001   1,075,000   1,250,000
    

(a) Capital transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 9 to the Financial Statements.
Amounts listed as “-” are $0 or round to $0.
See accompanying notes to the consolidated financial statements.

12 

 

[This Page Intentionally Left Blank]

13 

 

Consolidated Financial Highlights 

For the Periods Indicated
                           
  Selected Data For A Share Outstanding
Throughout The Periods Indicated
  Per Share Operating Performance
  Investment Operations   Distributions
  Net asset
value,
beginning
of period
  Net
investment
income
(loss)(b)
  Net realized
and
unrealized
gain
(loss) on
investments
  Total from
investment
operations
  Net
investment
income
  Tax
return
of Capital
  Total
distributions
abrdn Bloomberg All Commodity
Strategy K-1 Free ETF
                         
Six Months Ended June 30, 2023 $21.98   $0.45   $(2.23)   $(1.78)   $   $   $
Year Ended December 31, 2022 22.93   0.32   3.14   3.46   (2.89)   (1.52)   (4.41)
Year Ended December 31, 2021 21.77   (0.05)   5.68   5.63   (4.47)     (4.47)
Year Ended December 31, 2020 22.64   0.05   (0.77)(g)   (0.72)   (0.15)     (0.15)
Year Ended December 31, 2019 21.38   0.45   1.14   1.59   (0.33)     (0.33)
Year Ended December 31, 2018 24.48   0.40   (3.26)   (2.86)   (0.24)     (0.24)
abrdn Bloomberg All Commodity
Longer Dated Strategy K-1 Free ETF
                         
Six Months Ended June 30, 2023 34.58   0.72   (3.33)   (2.61)      
Year Ended December 31, 2022 30.76   0.47   5.15   5.62   (1.74)   (0.06)   (1.80)
Year Ended December 31, 2021 25.20   (0.07)   8.18   8.11   (2.55)     (2.55)
Year Ended December 31, 2020 24.48   0.03   1.02   1.05   (0.33)     (0.33)
Year Ended December 31, 2019 23.10   0.46   1.30   1.76   (0.38)     (0.38)
Year Ended December 31, 2018 26.04   0.40   (2.97)   (2.57)   (0.37)     (0.37)
abrdn Bloomberg Industrial Metals
Strategy K-1 Free ETF
                         
Six Months Ended June 30, 2023 24.73   0.52   (3.62)   (3.10)      
Year Ended December 31, 2022 25.75   0.29   (1.13)   (0.84)   (0.18)     (0.18)
Year Ended December 31, 2021 (h) 25.00   (0.02)   1.17   1.15   (0.40)     (0.40)
                           
    

(a) Annualized for periods less than one year.
(b) Per share net investment income (loss) has been calculated using the average daily shares method.
(c) Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, if any, and redemption on the last day of the period at net asset value. This percentage is not an indication of the performance of a shareholder’s investment in the Fund based on market value due to differences between the market price of the shares and the net asset value per share of the Fund.
(d) Market value total return is calculated assuming an initial investment made at the market value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, if any, and redemption on the last day of the period at market value. Market value is determined by the composite closing price. Composite closing price is defined as the last reported sale price from any primary listing market (e.g., NYSE and NASDAQ) or participating regional exchanges or markets. The composite closing price is the last reported sale price from any of the eligible sources, regardless of volume and not an average price and may have occurred on a date prior to the close of the reporting period. Market value may be greater or less than net asset value, depending on the Fund’s closing price on the listing market.
(e) Not annualized for periods less than one year.
(f) Derivative instruments and instruments with a maturity of one year or less at the time of acquisition are excluded from the calculation of the portfolio turnover rate. In-Kind transactions are not included in the portfolio turnover.
(g) The amount shown for a share outstanding throughout the period is not in accordance with the aggregate net realized and unrealized gain (loss) for that period because of the timing of sales and repurchases of the Fund shares in relation to fluctuating market value of the investments in the Fund.
(h) For the period from September 22, 2021 (commencement of operations) through December 31, 2021.
Amounts listed as “-” are $0 or round to $0.
See accompanying notes to the consolidated financial statements.

14 

 


                                 
Selected Data For A Share Outstanding
Throughout The Periods Indicated
                       
Per Share Operating Performance   Ratios/Supplemental Data
    Total Return   Ratios To Average Net Assets(a)   Supplemental Data
Net asset
value, end
of period
  Net asset
value(c)
  Market value
(Unaudited)(d)
  Expenses
before
expense
reductions
  Expenses
net of
waivers,
if any
  Net
investment
income
(loss) before
expense
reductions
  Net
investment
income
(loss) net
of waivers,
if any
  Net assets,
end of period
(000's)
  Portfolio
turnover
rate(e)(f)
                                 
$20.20   (8.08%)   (8.61%)   0.32%   0.26%   4.36%   4.42%   $883,928  
21.98   15.13%   15.24%   0.32%   0.26%   1.12%   1.18%   873,741  
22.93   26.27%   25.85%   0.30%   0.25%   (0.25%)   (0.20%)   639,804  
21.77   (3.17%)   (2.77%)   0.31%   0.25%   0.20%   0.26%   337,446  
22.64   7.47%   7.06%   0.30%   0.25%   1.94%   2.00%   176,591  
21.38   (11.70%)   (11.24%)   0.34%   0.29%   1.62%   1.67%   195,583  
                                 
31.97   (7.55%)   (7.78%)   0.36%   0.30%   4.32%   4.37%   252,564  
34.58   18.33%   18.43%   0.37%   0.30%   1.20%   1.27%   278,391  
30.76   32.40%   31.74%   0.35%   0.29%   (0.30%)   (0.24%)   87,653  
25.20   4.29%   4.79%   0.35%   0.29%   0.06%   0.12%   11,339  
24.48   7.64%   7.31%   0.34%   0.29%   1.85%   1.90%   3,671  
23.10   (9.89%)   (8.64%)   0.34%   0.29%   1.48%   1.53%   3,466  
                                 
21.63   (12.55%)   (12.70%)   0.54%   0.40%   4.28%   4.42%   23,252  
24.73   (3.25%)   (3.30%)   0.54%   0.40%   0.99%   1.13%   30,917  
25.75   4.66%   4.83%   0.47%   0.39%   (0.44%)   (0.35%)   27,035  
                                 
Amounts listed as “–” are $0 or round to $0.
See accompanying notes to the consolidated financial statements.

15 

 

Notes to Consolidated Financial Statements 

June 30, 2023 (Unaudited)
1.    Organization
abrdn ETFs (the “Trust”) was organized as a Delaware statutory trust on January 9, 2014 and is authorized to issue multiple series or portfolios. The Trust currently consists of three series: abrdn Bloomberg All Commodity Strategy K-1 Free ETF, abrdn Bloomberg All Commodity Longer Dated Strategy K-1 Free ETF and abrdn Bloomberg Industrial Metals Strategy K-1 Free ETF (each a “Fund” and collectively, the “Funds”). The Trust is an open-end management investment company, registered under the Investment Company Act of 1940, as amended (the “1940 Act”). The offering of the Trust’s shares is registered under the Securities Act of 1933, as amended (the “Securities Act”).
Each of the abrdn Bloomberg All Commodity Strategy K-1 Free ETF and abrdn Bloomberg All Commodity Longer Dated Strategy K-1 Free ETF commenced investment operations on March 30, 2017. The abrdn Bloomberg Industrial Metals Strategy K-1 Free ETF commenced investment operations on September 22, 2021.
Each Fund’s investment objective seeks to provide investment results that closely correspond, before fees and expenses, to the performance of an underlying index (respectively, an “Index” and collectively the “Indices”). Prior to August 3, 2021, each of the abrdn Bloomberg All Commodity Strategy K-1 Free ETF and abrdn Bloomberg All Commodity Longer Dated Strategy K-1 Free ETF operated under certain different investment policies in connection with a change from an actively-managed ETF to a passively-managed ETF. Prior to changing from an actively-managed ETF to a passively-managed ETF, however, each of the abrdn Bloomberg All Commodity Strategy K-1 Free ETF and abrdn Bloomberg All Commodity Longer Dated Strategy K-1 Free ETF generally sought to hold similar interests to those included in its respective Index and sought exposure to many of the commodities included in the Index under the same futures rolling schedule as the Index.
Basis of Consolidation:
The accompanying Consolidated Schedules of Portfolio Investments, Consolidated Statements of Assets and Liabilities, Consolidated Statements of Operations, Consolidated Statements of Changes in Net Assets and Consolidated Financial Highlights of the Funds include the accounts of abrdn All Commodity Fund Limited, a wholly-owned controlled foreign corporation of the abrdn Bloomberg All Commodity Strategy K-1 Free ETF, abrdn All Commodity Longer Dated Fund Limited, a wholly-owned controlled foreign corporation of the abrdn Bloomberg All Commodity Longer Dated Strategy K-1 Free ETF and abrdn Industrial Metals Fund Limited, a wholly-owned controlled foreign corporation of the abrdn Bloomberg Industrial Metals Strategy K-1 Free ETF. Each of these subsidiaries is organized under the laws of the Cayman Islands (together, the “Subsidiaries” and, each, a “Subsidiary”). All intercompany balances and transactions between a Fund and its Subsidiary have been eliminated in consolidation.
Under normal market conditions, each Fund intends to invest in exchange traded commodity futures contracts through its Subsidiary. As a means to provide investment returns that are designed to track those of its underlying Index, the Subsidiary may also invest directly in commodity-linked instruments, including pooled investment vehicles (such as exchange traded funds and other investment companies), swaps and exchange traded options on futures contracts, to the extent permitted under the 1940 Act and any applicable exemptive relief (collectively, “Commodities-Related Assets” and, together with exchange traded commodities futures contracts, “Commodities Instruments”). Each Fund may invest up to 25% of its total assets in its Subsidiary. As of June 30, 2023, the net assets of the abrdn All Commodity Fund Limited were $192,597,257, which was 21.8% of the net assets of abrdn Bloomberg All Commodity Strategy K-1 Free ETF. As of June 30, 2023, the net assets of the abrdn All Commodity Longer Dated Fund Limited were $58,043,181, which was 23.0% of the net assets of abrdn Bloomberg All Commodity Longer Dated Strategy K-1 Free ETF. As of June 30, 2023, the net assets of the abrdn Industrial Metals Fund Limited were $5,688,736, which was 24.5% of the net assets of abrdn Bloomberg Industrial Metals Strategy K-1 Free ETF.
As noted previously, each Fund will not invest directly in commodity futures contracts but, instead, expects to gain exposure to these investments exclusively by investing in its respective Subsidiary. Each Fund’s investment in its respective Subsidiary is intended to enable such Fund to gain exposure to relevant commodity markets within the limits of current federal income tax laws applicable to investment companies such as the Fund, which limit the ability of investment companies to invest directly in commodity futures contracts. Each Fund and its respective Subsidiary have the same investment objective. However, the Subsidiaries may invest without limitation in the Commodities Instruments.
The remainder of each Fund’s assets that are not invested in its Subsidiary will be principally invested in: (1) short-term investment grade fixed-income securities that include U.S. government securities and money market instruments; and (2) cash and other cash equivalents. Each Fund will use such instruments to generate a total return and to provide liquidity, serve as margin or otherwise collateralize investment in Commodities Instruments.

16 

 

Notes to Consolidated Financial Statements  (continued)

June 30, 2023 (Unaudited)
2.    Summary of Significant Accounting Policies
The Funds’ consolidated financial statements are prepared in conformity with accounting principles generally accepted in the United States of America which may require management to make estimates and assumptions that affect the reported amounts and disclosures and disclosure of contingent assets and liabilities in the financial statements. Actual results could differ from those estimates. The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standards Codification Topic 946 – "Financial Services Investment Companies".
Investment Valuation
The net asset value (“NAV”) of each Fund is calculated each day the national securities exchanges are open for trading as of the close of regular trading on the New York Stock Exchange Arca (“NYSE Arca” or the “Listing Exchange”), generally 4:00 p.m. Eastern Standard Time (the “NAV Calculation Time”).
NAV per share is calculated by dividing a Fund’s NAV by the number of Fund shares outstanding.
In calculating each Fund’s NAV, Fund investments generally are valued using market valuations. The Funds value their securities at current market value or fair value, consistent with regulatory requirements. "Fair Value" is defined in the Funds' Valuation and Liquidity Procedures as the price that could be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants without a compulsion to transact at the measurement date. Short-term debt securities with remaining maturities of sixty (60) days or less when originally acquired are valued on the basis of amortized cost, which approximates fair value. U.S. fixed income assets may be valued as of the announced closing time for such securities on any day that the Securities Industry and Financial Markets Association announces an early closing time. The values of any assets or liabilities of a Fund that are denominated in a currency other than the U.S. dollar are converted into U.S. dollars using an exchange rate deemed appropriate by the Fund.
Investments in futures are valued at market value, which is generally determined using the last reported official closing price or last trading price on the exchange or market on which the futures contract is primarily traded at the time of valuation.
Pursuant to Rule 2a-5 under the 1940 Act, the Board of Trustees (the "Board") designated abrdn ETFs Advisors LLC (the "Advisor") as the valuation designee ("Valuation Designee") for the Funds to perform the fair valuation determinations relating to Fund investments for which market quotations are not readily available. Securities that may be valued using fair value pricing may include, but are not limited to, securities for which there are no current market quotations or whose issuer is in default or bankruptcy, securities subject to corporate actions (such as mergers or reorganizations), securities subject to non-U.S. investment limits or currency controls, and securities affected by “significant events.” An example of a significant event is an event occurring after the close of the market in which a security trades but before the Funds’ NAV Calculation Time that may materially affect the value of the Funds’ investment (e.g., government action, natural disaster, or significant market fluctuation). Price movements in U.S. markets that are deemed to affect the value of foreign securities, or reflect changes to the value of such securities, also may cause securities to be “fair valued.”
When fair value pricing is employed, the prices of securities used by a Fund to calculate its NAV may differ from quoted or published prices for the same securities. Fair value pricing involves subjective judgments, and it is possible that a fair value determination for a security or other asset is materially different than the value that could be realized upon the sale of such security or asset. In addition, fair value pricing could result in a difference between the prices used to calculate a Fund’s NAV and the prices used by the Index. This may adversely affect a Fund’s ability to track the Index.
Various inputs are used in determining the fair value of each Fund’s investments. These inputs are summarized in three levels listed below:
Level 1— Unadjusted quoted prices in active markets for identical assets on the measurement date that the Funds have the ability to access.
Level 2— Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3— Significant unobservable inputs (including each Fund’s own assumptions in determining the fair value of investments).

17 

 

Notes to Consolidated Financial Statements  (continued)

June 30, 2023 (Unaudited)
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For example, short-term debt securities may be valued at amortized cost. Generally, amortized cost approximates the current fair value of a security, but since the valuation is not obtained from a quoted price in an active market, such securities are reflected as Level 2. For each of the Funds, there were no Level 3 investments held for the six-month period ended June 30, 2023.
The following is a summary of the valuations as of June 30, 2023, for each Fund based upon the three levels defined above.
Investments, at Value   Level 1 – Quoted
Prices
  Level 2 – Other Significant
Observable Inputs
  Level 3 – Significant
Unobservable Inputs
  Total
abrdn Bloomberg All Commodity Strategy K-1 Free ETF
Assets        
Investments in Securities            
Short-Term Investments   $37,978,799   $820,653,872   $–   $858,632,671
Total Investments   $37,978,799   $820,653,872   $–   $858,632,671
Other Financial Instruments            
Futures Contracts   $28,273,703   $   $–   $28,273,703
Total Assets   $66,252,502   $820,653,872   $–   $886,906,374
Liabilities        
Other Financial Instruments            
Futures Contracts   $(34,637,338)   $   $–   $(34,637,338)
Total Liabilities   $(34,637,338)   $   $–   $(34,637,338)
abrdn Bloomberg All Commodity Longer Dated Strategy K-1 Free ETF
Assets        
Investments in Securities            
Short-Term Investments   $4,485,654   $246,704,546   $–   $251,190,200
Total Investments   $4,485,654   $246,704,546   $–   $251,190,200
Other Financial Instruments            
Futures Contracts   $9,254,393   $   $–   $9,254,393
Total Assets   $13,740,047   $246,704,546   $–   $260,444,593
Liabilities        
Other Financial Instruments            
Futures Contracts   $(20,524,887)   $   $–   $(20,524,887)
Total Liabilities   $(20,524,887)   $   $–   $(20,524,887)
abrdn Bloomberg Industrial Metals Strategy K-1 Free ETF
Assets        
Investments in Securities            
Short-Term Investments   $759,074   $23,667,946   $–   $24,427,020
Total Investments   $759,074   $23,667,946   $–   $24,427,020
Other Financial Instruments            
Futures Contracts   $492,850   $   $–   $492,850
Total Assets   $1,251,924   $23,667,946   $–   $24,919,870
Liabilities        
Other Financial Instruments            

18 

 

Notes to Consolidated Financial Statements  (continued)

June 30, 2023 (Unaudited)
Investments, at Value   Level 1 – Quoted
Prices
  Level 2 – Other Significant
Observable Inputs
  Level 3 – Significant
Unobservable Inputs
  Total
Futures Contracts   $(2,410,461)   $   $–   $(2,410,461)
Total Liabilities   $(2,410,461)   $   $–   $(2,410,461)
Amounts listed as “–” are $0 or round to $0.
Money Market Instruments
Each Fund invests a portion of its assets in high-quality money market instruments on an ongoing basis to provide liquidity or for other reasons. The instruments in which a Fund may invest include: (i) short-term obligations issued by the U.S. Government; (ii) negotiable certificates of deposit (“CDs”), fixed time deposits and bankers’ acceptances of U.S. and foreign banks and similar institutions; (iii) commercial paper rated at the date of purchase “Prime-1” by Moody’s or “A-1+” or “A-1” by Standard & Poor’s (“S&P”) or, if unrated, of comparable quality as determined by the Fund; and (iv) repurchase agreements. U.S. government securities are obligations of, or guaranteed by, the U.S. government, its agencies or government-sponsored enterprises and such obligations may be short-, intermediate- or long-term. CDs are short-term negotiable obligations of commercial banks. Time deposits are non-negotiable deposits maintained in banking institutions for specified periods of time at stated interest rates. Banker’s acceptances are time drafts drawn on commercial banks by borrowers, usually in connection with international transactions.
Derivatives
Each Fund uses derivative instruments as part of its investment strategies. Generally, derivatives are financial contracts whose value depends upon, or is derived from, the value of an underlying asset, reference rate or index, and may relate to bonds, interest rates, currencies, commodities, and related indexes. Examples of derivative instruments include forward contracts, currency and interest rate swaps, currency options, futures contracts, options on futures contracts and swap agreements. The Funds’ use of derivative instruments will be underpinned by investments in short-term, high-quality instruments, such as U.S. money market securities.
Rule 18f-4 under the 1940 Act governs a registered investment company's use of derivatives and certain other instruments. Under Rule 18f-4, a fund must limit its derivatives exposure through a value-at-risk test, adopt and implement a derivatives risk management program, and comply with certain reporting requirements.
These requirements may limit the ability of a Fund to use derivatives and other relevant transactions as part of its investment strategies. These requirements may increase the cost of the Fund’s investments and cost of doing business, which could adversely affect investors.
Commodity Futures
Each Fund, through its Subsidiary, invests in exchange traded commodity futures contracts as part of its principal investment strategies. Commodity futures contracts are an agreement to buy or sell a certain amount of a commodity at a specific price on a specific date (their expiry) which are negotiated and traded on futures exchanges. Commodity futures contracts are generally based upon commodities within the following commodity groups: energy, industrial metals, agriculture, precious metals, foods and fibers, and livestock.
Commodity futures contracts are traded on futures exchanges which provide a central marketplace to negotiate and transact futures contracts, a clearing corporation to process trades and a secondary market. Commodity futures exchanges provide standardization with regards to certain key features such as expiry dates, contract sizes and terms and conditions of delivery. Commodity futures exchanges set a maximum permissible price movement either up or down during a single trading day and when this limit has been reached, no trades may be placed that day at a price beyond that limit. This limit could prevent a Fund from trading when it may otherwise be advantageous to do so. Even with daily price limits, commodity futures contracts have historically experienced greater price volatility than traditional assets such as stocks or bonds. Accordingly, the NAV of a Fund’s shares may be subject to greater volatility than if the Fund only invested in stocks or bonds. Exchanges may also impose position limit rules limiting the value or number of contracts in one commodity that may be held by one market participant to ensure that the amount of futures contracts that any one party may hold in a particular commodity at any point in time to ensure that no one participant can control a significant portion of the market in a particular commodity. In order to comply with the position limits established by the CFTC and the relevant exchanges, the Advisor and/or Vident Advisory, LLC (the "Sub-Advisor") could in the future reduce the size of positions that would otherwise be taken for a Fund or not trade in certain markets on behalf of a Fund in order to avoid exceeding such limits. A violation of position limits by the Advisor and/or Sub-Advisor could lead to regulatory action resulting in mandatory liquidation of certain positions held by the Advisor and/or

19 

 

Notes to Consolidated Financial Statements  (continued)

June 30, 2023 (Unaudited)
Sub-Advisor on behalf of a Fund. In addition, in October 2020, the CFTC adopted amendments to its position limits rules that established certain new and amended position limits for 25 specified physical commodity futures and related options contracts traded on exchanges, other futures contracts and related options directly or indirectly linked to such 25 specified contracts, and any OTC transactions that are economically equivalent to the 25 specified contracts. The limits may constrain the ability of the Funds to use such contracts. The amendments also modify the bona fide hedging exemption for which certain swap dealers were previously eligible, which could limit the amount of speculative OTC transaction capacity each such swap dealer would have available for the Funds going forward. There can be no assurance that the Advisor and/or Sub-Advisor will liquidate positions held on behalf of all the Advisor and/or Sub-Advisor's accounts in a proportionate manner or at favorable prices, which could result in substantial losses to a Fund. Such policies could affect the nature and extent of derivatives use by a Fund.
More commonly, as futures contracts near expiry, they are often replaced with a later dated contract in a process known as “rolling”. This involves selling the contracts before they expire and purchasing similar contacts that have a later expiry date. Any difference between the price for the nearer delivery month contract and the price for distant month contract is known as a ‘roll yield’ and this can be either a positive amount or a negative amount. Futures contracts may be satisfied at expiry by delivery of the relevant commodity from one party to the other.
Commodity futures contract prices are generally comprised of the price of the relevant commodity as well as the costs of storing the physical commodity. Storage costs include (i) the time value of money invested in the physical commodity, (ii) plus the costs of storing the commodity, (iii) less any benefits of owning the physical commodity not obtained by the holder of a futures contract (the “convenience yield”).
Due to the volatility of commodity futures and the risk of credit risk exposure to the counterparty to the contract, commodity futures exchanges each have clearing corporations which act as counterparty to all contracts by either buying or selling directly to the market participants. This means that when each Subsidiary purchases or sells commodity futures contracts, their obligations will be to the clearing house and it will be the clearing house that is obliged to satisfy the Subsidiaries’ rights under a commodity futures contract.
To ensure a party to a futures contract fulfills its obligations to the clearing house, all participants are required to post and maintain a level of collateral (the collateral is known as “margin”). An exchange will set the margin requirements for the contracts which trade there and these can be modified by the terms of the futures contract. Margin requirements range upward from less than 5% of the value of the futures contract being traded. Margin requirements can be offset by other opposing futures transactions, in which situation margin payments will continue to be required.
When the price of a particular futures contract increases (in the case of a sale) or decreases (in the case of a purchase) and any loss on the futures contract means that the margin already held does not satisfy margin requirements, further margin must be posted. Conversely, if there is a favorable price change in the futures contract any excess margin may be removed from the relevant deposit account. Any gain or loss on London Metal Exchange (“LME”) futures contracts is not realized until their respective maturity dates. At a reporting period end, the net unrealized appreciation and depreciation on LME futures contracts is included in unrealized appreciation and unrealized depreciation on open futures contracts on the Consolidated Statements of Assets and Liabilities. Any margin deposited by a Subsidiary should earn interest income.
For the six-month period ended June 30, 2023, the average notional value of the Futures Contracts held by the Funds was as follows:
Derivative   abrdn
Bloomberg All
Commodity
Strategy K-1
Free ETF
  abrdn
Bloomberg
All
Commodity
Longer Dated
Strategy K-1
Free ETF
  abrdn
Bloomberg
Industrial
Metals
Strategy K-1
Free ETF
Long Futures Contracts   $939,059,460   $331,707,265   $40,508,441
Short Futures Contracts   $(56,129,305)   $(59,087,034)   $(13,055,879)

20 

 

Notes to Consolidated Financial Statements  (continued)

June 30, 2023 (Unaudited)
The following tables indicate the location of derivative instruments on the Consolidated Statements of Assets and Liabilities as well as the effect of derivative instruments on the Consolidated Statements of Operations during the reporting period.
abrdn Bloomberg All Commodity Strategy K-1 Free ETF
  Risk Exposure Category
  Interest
Rate
Contracts
  Foreign
Currency
Contracts
  Credit
Contracts
  Equity
Contracts
  Commodity
Contracts
  Other   Total
abrdn Bloomberg All Commodity Strategy K-1 Free ETF
Assets:
Unrealized appreciation on:
Futures Contracts $–   $–   $–   $–   $28,273,703   $–   $28,273,703
Total $–   $–   $–   $–   $28,273,703   $–   $28,273,703
Liabilities:
Unrealized depreciation on:
Futures Contracts $–   $–   $–