| Derivative Instruments |
Note 7 – Derivative Instruments
The Fair Value of Derivative Instruments is as follows:
|
|
|
June 30, 2019 |
|
|
December 31, 2018 |
|
|
Risk Exposure/Derivative Type (a) |
|
Assets |
|
|
Liabilities |
|
|
Assets |
|
|
Liabilities |
|
|
Currency risk |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Currency Futures Contracts |
|
$ |
241,036 |
|
|
$ |
— |
|
|
$ |
301,786 |
|
|
$ |
— |
|
|
(a) |
Includes cumulative appreciation (depreciation) of currency futures contracts. Only the current day’s variation margin receivable (payable) is reported in the June 30, 2019 and December 31, 2018 Statements of Financial Condition. |
The following table presents derivative instruments that are either subject to an enforceable netting agreement or offset by collateral arrangements as of June 30, 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 |
|
$ |
241,036 |
|
|
$ |
(211,929 |
) |
|
$ |
29,107 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
29,107 |
|
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 |
|
$ |
301,786 |
|
|
$ |
(233,016 |
) |
|
$ |
68,770 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
68,770 |
|
|
(a) |
As of June 30, 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 Three Months Ended |
|
|
|
|
Location of Gain (Loss) on Derivatives |
|
June 30, |
|
|
Risk Exposure/Derivative Type |
|
Recognized in Income |
|
2019 |
|
|
2018 |
|
|
Currency risk |
|
|
|
|
|
|
|
|
|
|
|
Currency Futures Contracts |
|
Net Realized Gain (Loss) |
|
$ |
(243,363 |
) |
|
$ |
(2,352,922 |
) |
|
|
|
Net Change in Unrealized Gain (Loss) |
|
|
470,684 |
|
|
|
(9,041 |
) |
|
Total |
|
|
|
$ |
227,321 |
|
|
$ |
(2,361,963 |
) |
|
|
|
|
|
For the Six Months Ended |
|
|
|
|
Location of Gain (Loss) on Derivatives |
|
June 30, |
|
|
Risk Exposure/Derivative Type |
|
Recognized in Income |
|
2019 |
|
|
2018 |
|
|
Currency risk |
|
|
|
|
|
|
|
|
|
|
|
Currency Futures Contracts |
|
Net Realized Gain (Loss) |
|
$ |
(361,761 |
) |
|
$ |
(999,248 |
) |
|
|
|
Net Change in Unrealized Gain (Loss) |
|
|
(60,750 |
) |
|
|
(704,456 |
) |
|
Total |
|
|
|
$ |
(422,511 |
) |
|
$ |
(1,703,704 |
) |
The table below summarizes the average monthly notional value of futures contracts outstanding during the period:
|
|
|
For the Three Months Ended |
|
|
For the Six Months Ended |
|
|
|
|
June 30, |
|
|
June 30, |
|
|
|
|
2019 |
|
|
2018 |
|
|
2019 |
|
|
2018 |
|
|
Average Notional Value - Short |
|
$ |
(34,538,964 |
) |
|
$ |
(40,114,200 |
) |
|
$ |
(33,778,169 |
) |
|
$ |
(39,357,306 |
) |
|