| Derivative Instruments |
Note 7 – Derivative Instruments
The Fair Value of Derivative Instruments is as follows:
|
|
|
December 31, 2019 |
|
|
December 31, 2018 |
|
|
Risk Exposure/Derivative Type (a) |
|
Assets |
|
|
Liabilities |
|
|
Assets |
|
|
Liabilities |
|
|
Commodity risk |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commodity Futures Contracts |
|
$ |
67,605,844 |
|
|
$ |
(19,911,449 |
) |
|
$ |
9,428,661 |
|
|
$ |
(253,228,835 |
) |
|
(a) |
Includes cumulative appreciation (depreciation) of commodity futures contracts. Only the current day’s variation margin receivable (payable) is reported in the December 31, 2019 and December 31, 2018 Statements of Financial Condition for non-LME Commodity Futures Contracts. |
The following table presents derivative instruments that are either subject to an enforceable netting agreement or offset by collateral arrangements as of December 31, 2019, net by contract:
|
|
|
Financial Derivative Assets |
|
|
Financial Derivative Liabilities |
|
|
|
|
|
|
Collateral (Received)/Pledged(a) |
|
|
|
|
|
|
Counterparty |
|
Futures Contracts |
|
|
Futures Contracts |
|
|
Net value of derivatives |
|
|
Non-Cash |
|
|
Cash |
|
|
Net amount |
|
|
Morgan Stanley & Co. LLC |
|
$ |
67,605,844 |
|
|
$ |
(68,587,229 |
) |
|
$ |
(981,385 |
) |
|
$ |
981,385 |
|
|
$ |
— |
|
|
$ |
— |
|
The following table presents derivative instruments that are either subject to an enforceable netting agreement or offset by collateral arrangements as of December 31, 2018, net by contract:
|
|
|
Financial Derivative Assets |
|
|
Financial Derivative Liabilities |
|
|
|
|
|
|
Collateral (Received)/Pledged(a) |
|
|
|
|
|
|
Counterparty |
|
Futures Contracts |
|
|
Futures Contracts |
|
|
Net value of derivatives |
|
|
Non-Cash |
|
|
Cash |
|
|
Net amount |
|
|
Morgan Stanley & Co. LLC |
|
$ |
222,631,350 |
|
|
$ |
(253,228,835 |
) |
|
$ |
(30,597,485 |
) |
|
$ |
30,597,485 |
|
|
$ |
— |
|
|
$ |
— |
|
|
(a) |
As of December 31, 2019 and December 31, 2018, a portion of the Fund’s U.S. Treasury Obligations were required to be deposited as maintenance margin in support of the Fund’s futures positions. |
The Effect of Derivative Instruments on the Statements of Income and Expenses is as follows:
|
|
|
|
For the Years Ended |
|
|
|
Location of Gain or (Loss) on Derivatives |
|
December 31, |
|
|
Risk Exposure/Derivative Type |
Recognized in Income |
|
2019 |
|
|
2018 |
|
|
2017 |
|
|
Commodity risk |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commodity Futures Contracts |
Net Realized Gain (Loss) |
|
$ |
(108,439,638 |
) |
|
$ |
43,624,801 |
|
|
$ |
58,338,714 |
|
|
|
Net Change in Unrealized Gain (Loss) |
|
|
291,494,569 |
|
|
|
(359,469,489 |
) |
|
|
14,636,898 |
|
|
Total |
|
|
$ |
183,054,931 |
|
|
$ |
(315,844,688 |
) |
|
$ |
72,975,612 |
|
The table below summarizes the average monthly notional value of futures contracts outstanding during the period:
|
|
|
For the Years Ended |
|
|
|
|
December 31, |
|
|
|
|
2019 |
|
|
2018 |
|
|
2017 |
|
|
Average Notional Value |
|
$ |
1,617,668,395 |
|
|
$ |
2,587,543,389 |
|
|
$ |
2,145,863,842 |
|
|