diff --git a/src/data/iterative_device_dmatrix.h b/src/data/iterative_device_dmatrix.h
index 232b50102b56..1097abb9c5cc 100644
--- a/src/data/iterative_device_dmatrix.h
+++ b/src/data/iterative_device_dmatrix.h
@@ -83,8 +83,8 @@ inline void IterativeDeviceDMatrix::Initialize(DataIterHandle iter, float missin
 }
 inline BatchSet<EllpackPage> IterativeDeviceDMatrix::GetEllpackBatches(const BatchParam& param) {
   common::AssertGPUSupport();
-  auto begin_iter =
-      BatchIterator<EllpackPage>(new SimpleBatchIteratorImpl<EllpackPage>(page_));
+  auto begin_iter = BatchIterator<EllpackPage>(
+      std::make_shared<SimpleBatchIteratorImpl<EllpackPage>>(page_));
   return BatchSet<EllpackPage>(BatchIterator<EllpackPage>(begin_iter));
 }
 #endif  // !defined(XGBOOST_USE_CUDA)