Derivative Instruments and Hedging Activities

In the normal course of business, the Funds utilize derivative contracts in connection with its proprietary trading activities. Investments in derivative contracts are subject to additional risks that can result in a loss of all or part of an investment. The Funds’ derivative activities and exposure to derivative contracts are classified by the following primary underlying risks: interest rate, credit, commodity price, and equity price risks. In addition to its primary underlying risks, the Funds are also subject to additional counterparty risk due to inability of its counterparties to meet the terms of their contracts. For the years ended December 31, 2019 and 2018, the Funds invested only in commodity futures contracts specifically related to each Fund.

Futures Contracts

The Funds are subject to commodity price risk in the normal course of pursuing their investment objectives. A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date.

The purchase and sale of futures contracts requires margin deposits with a FCM. Subsequent payments (variation margin) are made or received by each Fund each day, depending on the daily fluctuations in the value of the contract, and are recorded as unrealized gains or losses by each Fund. Futures contracts may reduce the Funds’ exposure to counterparty risk since futures contracts are exchange-traded; and the exchange’s clearinghouse, as the counterparty to all exchange-traded futures, guarantees the futures against default.

The Commodity Exchange Act requires an FCM to segregate all customer transactions and assets from the FCM’s proprietary activities. A customer’s cash and other equity deposited with an FCM are considered commingled with all other customer funds subject to the FCM’s segregation requirements. In the event of an FCM’s insolvency, recovery may be limited to each Fund’s pro rata share of segregated customer funds available. It is possible that the recovery amount could be less than the total of cash and other equity deposited.

The following table discloses information about offsetting assets and liabilities presented in the statements of assets and liabilities to enable users of these financial statements to evaluate the effect or potential effect of netting arrangements for recognized assets and liabilities. These recognized assets and liabilities are presented as defined in FASB ASU No. 2011-11 “Balance Sheet (Topic 210): Disclosures about Offsetting Assets and Liabilities” and subsequently clarified in FASB ASU 2013-01 “Balance Sheet (Topic 210): Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities.”

The following table also identifies the fair value amounts of derivative instruments included in the statements of assets and liabilities as derivative contracts, categorized by primary underlying risk and held by the FCM, ED&F Man as of December 31, 2019 and 2018.

Offsetting of Financial Assets and Derivative Assets as of December 31, 2019

	(i)		(ii)		(iii) = (i-ii)		(iv)				(v) = (iii)-(iv)
							Gross Amount Not Offset in the Statement of Assets and Liabilities
Description	Gross Amount of Recognized Assets		Gross Amount Offset in the Statement of Assets and Liabilities		Net Amount Presented in the Statement of Assets and Liabilities		Futures Contracts Available for Offset		Collateral, Due to Broker		Net Amount
Commodity Price
Corn futures contracts	$	1,365,055	$	-	$	1,365,055	$	581,574	$	-	$	783,481
Soybeans futures contracts	$	931,896	$	-	$	931,896	$	-	$	643,808	$	288,088
Sugar futures contracts	$	347,429	$	-	$	347,429	$	-	$	237,908	$	109,521
Wheat futures contracts	$	5,068,476	$	-	$	5,068,476	$	-	$	4,258,410	$	810,066

Offsetting of Financial Liabilities and Derivative Liabilities as of December 31, 2019

	(i)		(ii)		(iii) = (i-ii)		(iv)				(v) = (iii)-(iv)
							Gross Amount Not Offset in the Statement of Assets and Liabilities
Description	Gross Amount of Recognized Liabilities		Gross Amount Offset in the Statement of Assets and Liabilities		Net Amount Presented in the Statement of Assets and Liabilities		Futures Contracts Available for Offset		Collateral, Due from Broker		Net Amount
Commodity Price
Corn futures contracts	$	581,574	$	-	$	581,574	$	581,574	$	-	$	-

Offsetting of Financial Assets and Derivative Assets as of December 31, 2018

	(i)		(ii)		(iii) - (i-ii)		(iv)				(v) = (iii)-(iv)
							Gross Amount Not Offset in the Statement of Assets and Liabilities
Description	Gross Amount of Recognized Assets		Gross Amount Offset in the Statement of Assets and Liabilities		Net Amount Presented in the Statement of Assets and Liabilities		Futures Contracts Available for Offset		Collateral, Due to Broker		Net Amount
Commodity Price
Corn futures contracts	$	107,363	$	-	$	107,363	$	107,363	$	-	$	-
Soybeans futures contracts	$	228,400	$	-	$	228,400	$	39,250	$	-	$	189,150
Sugar futures contracts	$	233,979	$	-	$	233,979	$	47,656	$	-	$	186,323

Offsetting of Financial Liabilities and Derivative Liabilities as of December 31, 2018

	(i)		(ii)		(iii) = (i-ii)		(iv)				(v) = (iii)-(iv)
							Gross Amount Not Offset in the Statement of Assets and Liabilities
Description	Gross Amount of Recognized Liabilities		Gross Amount Offset in the Statement of Assets and Liabilities		Net Amount Presented in the Statement of Assets and Liabilities		Futures Contracts Available for Offset		Collateral, Due from Broker		Net Amount
Commodity Price
Corn futures contracts	$	1,297,288	$	-	$	1,297,288	$	107,363	$	1,189,925	$	-
Soybeans futures contracts	$	39,250	$	-	$	39,250	$	39,250	$	-	$	-
Sugar futures contracts	$	47,656	$	-	$	47,656	$	47,656	$	-	$	-
Wheat futures contracts	$	3,985,400	$	-	$	3,985,400	$	-	$	3,985,400	$	-

The following is a summary of realized and net change in unrealized gains (losses) of the derivative instruments utilized by the Trust:

Year ended December 31, 2019

Primary Underlying Risk	Realized (Loss) Gain on Commodity Futures Contracts			Net Change in Unrealized Appreciation on Commodity Futures Contracts
Commodity Price
Corn futures contracts	$	(9,512,148	)	$	1,973,406
Soybeans futures contracts		(438,468	)		742,746
Sugar futures contracts		113,747			161,106
Wheat futures contracts		(9,623,635	)		9,053,876
Total commodity futures contracts	$	(19,460,504	)	$	11,931,134

Year ended December 31, 2018

Primary Underlying Risk	Realized (Loss) Gain on Commodity Futures Contracts			Net Change in Unrealized Appreciation or (Depreciation) on Commodity Futures Contracts
Commodity Price
Corn futures contracts	$	(3,025,313	)	$	651,638
Soybeans futures contracts		(2,085,438	)		637,213
Sugar futures contracts		(2,314,984	)		69,137
Wheat futures contracts		2,502,112			(1,389,350	)
Total commodity futures contracts	$	(4,923,623	)	$	(31,362	)

Year ended December 31, 2017

Primary Underlying Risk	Realized (Loss) Gain on Commodity Futures Contracts			Net Change in Unrealized (Depreciation) or Appreciation on Commodity Futures Contracts
Commodity Price
Corn futures contracts	$	(5,603,513	)	$	(380,763	)
Soybeans futures contracts		8,425			(793,538	)
Sugar futures contracts		(2,435,305	)		263,581
Wheat futures contracts		(5,305,113	)		1,325,538
Total commodity futures contracts	$	(13,335,506	)	$	414,818

Volume of Derivative Activities

The average notional market value categorized by primary underlying risk for all futures contracts held was $167.2 million in 2019, $169.0 million in 2018, and $153.9 million in 2017.

Derivative Instruments and Hedging Activities

In the normal course of business, the Fund utilizes derivative contracts in connection with its proprietary trading activities. Investments in derivative contracts are subject to additional risks that can result in a loss of all or part of an investment. The Fund’s derivative activities and exposure to derivative contracts are classified by the following primary underlying risks: interest rate, credit, commodity price, and equity price risks. In addition to its primary underlying risks, the Fund is also subject to additional counterparty risk due to inability of its counterparties to meet the terms of their contracts. For the years ended December 31, 2019 and 2018, the Fund invested only in commodity futures contracts.

Futures Contracts

The Fund is subject to commodity price risk in the normal course of pursuing its investment objectives. A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date.

The purchase and sale of futures contracts requires margin deposits with a FCM. Subsequent payments (variation margin) are made or received by the Fund each day, depending on the daily fluctuations in the value of the contract, and are recorded as unrealized gains or losses by the Fund. Futures contracts may reduce the Fund’s exposure to counterparty risk since futures contracts are exchange-traded; and the exchange’s clearinghouse, as the counterparty to all exchange-traded futures, guarantees the futures against default.

The Commodity Exchange Act requires an FCM to segregate all customer transactions and assets from the FCM’s proprietary activities. A customer’s cash and other equity deposited with an FCM are considered commingled with all other customer funds subject to the FCM’s segregation requirements. In the event of an FCM’s insolvency, recovery may be limited to the Fund’s pro rata share of segregated customer funds available. It is possible that the recovery amount could be less than the total of cash and other equity deposited.

The following table discloses information about offsetting assets and liabilities presented in the statements of assets and liabilities to enable users of these financial statements to evaluate the effect or potential effect of netting arrangements for recognized assets and liabilities. These recognized assets and liabilities are presented as defined in FASB ASU No. 2011-11 “Balance Sheet (Topic 210): Disclosures about Offsetting Assets and Liabilities” and subsequently clarified in FASB ASU 2013-01 “Balance Sheet (Topic 210): Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities.”

The following table also identifies the fair value amounts of derivative instruments included in the statements of assets and liabilities as derivative contracts, categorized by primary underlying risk and held by the FCM, ED&F Man as of December 31, 2019 and 2018.

Offsetting of Financial Assets and Derivative Assets as of December 31, 2019

	(i)		(ii)		(iii) = (i-ii)		(iv)				(v) = (iii)-(iv)
							Gross Amount Not Offset in the Statement of Assets and Liabilities
Description	Gross Amount of Recognized Assets		Gross Amount Offset in the Statement of Assets and Liabilities		Net Amount Presented in the Statement of Assets and Liabilities		Futures Contracts Available for Offset		Collateral, Due to Broker		Net Amount
Commodity Price
Corn futures contracts	$	1,365,055	$	-	$	1,365,055	$	581,574	$	-	$	783,481

Offsetting of Financial Liabilities and Derivative Liabilities as of December 31, 2019

	(i)		(ii)		(iii) = (i-ii)		(iv)				(v) = (iii)-(iv)
							Gross Amount Not Offset in the Statement of Assets and Liabilities
Description	Gross Amount of Recognized Liabilities		Gross Amount Offset in the Statement of Assets and Liabilities		Net Amount Presented in the Statement of Assets and Liabilities		Futures Contracts Available for Offset		Collateral, Due from Broker		Net Amount
Commodity Price
Corn futures contracts	$	581,574	$	-	$	581,574	$	581,574	$	-	$	-

Offsetting of Financial Assets and Derivative Assets as of December 31, 2018

	(i)		(ii)		(iii) = (i-ii)		(iv)				(v) = (iii)-(iv)
							Gross Amount Not Offset in the Statement of Assets and Liabilities
Description	Gross Amount of Recognized Assets		Gross Amount Offset in the Statement of Assets and Liabilities		Net Amount Presented in the Statement of Assets and Liabilities		Futures Contracts Available for Offset		Collateral, Due to Broker		Net Amount
Commodity Price
Corn futures contracts	$	107,363	$	-	$	107,363	$	107,363		-	$	-

Offsetting of Financial Liabilities and Derivative Liabilities as of December 31, 2018

	(i)		(ii)		(iii) = (i-ii)		(iv)				(v) = (iii)-(iv)
							Gross Amount Not Offset in the Statement of Assets and Liabilities
Description	Gross Amount of Recognized Liabilities		Gross Amount Offset in the Statement of Assets and Liabilities		Net Amount Presented in the Statement of Assets and Liabilities		Futures Contracts Available for Offset		Collateral, Due from Broker		Net Amount
Commodity Price
Corn futures contracts	$	1,297,288	$	-	$	1,297,288	$	107,363		1,189,925	$	-

The following is a summary of realized and net change in unrealized gains (losses) of the derivative instruments utilized by the Fund:

Year ended December 31, 2019

	Realized Loss on Commodity Futures Contracts			Net Change in Unrealized Appreciation on Commodity Futures Contracts
Commodity Price
Corn futures contracts	$	(9,512,148	)	$	1,973,406

Year ended December 31, 2018

	Realized Loss on Commodity Futures Contracts			Net Change in Unrealized Appreciation on Commodity Futures Contracts
Commodity Price
Corn futures contracts	$	(3,025,313	)	$	651,638

Year ended December 31, 2017

	Realized Loss on Commodity Futures Contracts			Net Change in Unrealized Depreciation on Commodity Futures Contracts
Commodity Price
Corn futures contracts	$	(5,603,513	)	$	(380,763	)

Volume of Derivative Activities

The average notional market value categorized by primary underlying risk for all futures contracts held was $76.3 million in 2019, $69.7 million in 2018, and $67.5 million in 2017.

Derivative Instruments and Hedging Activities

In the normal course of business, the Fund utilizes derivative contracts in connection with its proprietary trading activities. Investments in derivative contracts are subject to additional risks that can result in a loss of all or part of an investment. The Fund’s derivative activities and exposure to derivative contracts are classified by the following primary underlying risks: interest rate, credit, commodity price, and equity price risks. In addition to its primary underlying risks, the Fund is also subject to additional counterparty risk due to inability of its counterparties to meet the terms of their contracts. For years ended December 31, 2019 and 2018, the Fund invested only in commodity futures contracts.

Futures Contracts

The Fund is subject to commodity price risk in the normal course of pursuing its investment objectives. A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date.

The purchase and sale of futures contracts requires margin deposits with a FCM. Subsequent payments (variation margin) are made or received by the Fund each day, depending on the daily fluctuations in the value of the contract, and are recorded as unrealized gains or losses by the Fund. Futures contracts may reduce the Fund’s exposure to counterparty risk since futures contracts are exchange-traded; and the exchange’s clearinghouse, as the counterparty to all exchange-traded futures, guarantees the futures against default.

The Commodity Exchange Act requires an FCM to segregate all customer transactions and assets from the FCM’s proprietary activities. A customer’s cash and other equity deposited with an FCM are considered commingled with all other customer funds subject to the FCM’s segregation requirements. In the event of an FCM’s insolvency, recovery may be limited to the Fund’s pro rata share of segregated customer funds available. It is possible that the recovery amount could be less than the total of cash and other equity deposited.

The following table discloses information about offsetting assets and liabilities presented in the statements of assets and liabilities to enable users of these financial statements to evaluate the effect or potential effect of netting arrangements for recognized assets and liabilities. These recognized assets and liabilities are presented as defined in FASB ASU No. 2011-11 “Balance Sheet (Topic 210): Disclosures about Offsetting Assets and Liabilities” and subsequently clarified in FASB ASU 2013-01 “Balance Sheet (Topic 210): Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities.”

The following table also identifies the fair value amounts of derivative instruments included in the statements of assets and liabilities as derivative contracts, categorized by primary underlying risk and held by the FCM, ED&F Man as of December 31, 2019 and 2018.

Offsetting of Financial Assets and Derivative Assets as of December 31, 2019

	(i)		(ii)		(iii) = (i-ii)		(iv)				(v) = (iii)-(iv)
							Gross Amount Not Offset in the Statement of Assets and Liabilities
Description	Gross Amount of Recognized Assets		Gross Amount Offset in the Statement of Assets and Liabilities		Net Amount Presented in the Statement of Assets and Liabilities		Futures Contracts Available for Offset		Collateral, Due to Broker		Net Amount
Commodity Price
Soybeans futures contracts	$	931,896	$	-	$	931,896	$	-	$	643,808	$	288,088

Offsetting of Financial Assets and Derivative Assets as of December 31, 2018

	(i)		(ii)		(iii) = (i-ii)		(iv)				(v) = (iii)-(iv)
							Gross Amount Not Offset in the Statement of Assets and Liabilities
Description	Gross Amount of Recognized Assets		Gross Amount Offset in the Statement of Assets and Liabilities		Net Amount Presented in the Statement of Assets and Liabilities		Futures Contracts Available for Offset		Collateral, Due to Broker		Net Amount
Commodity Price
Soybeans futures contracts	$	228,400	$	-	$	228,400	$	39,250	$	-	$	189,150

Offsetting of Financial Liabilities and Derivative Liabilities as of December 31, 2018

	(i)		(ii)		(iii) = (i)-(ii)		(iv)				(v) = (iii)-(iv)
							Gross Amount Not Offset in the Statement of Assets and Liabilities
Description	Gross Amount of Recognized Liabilities		Gross Amount Offset in the Statement of Assets and Liabilities		Net Amount Presented in the Statement of Assets and Liabilities		Futures Contracts Available for Offset		Collateral, Due from Broker		Net Amount
Commodity Price
Soybeans futures contracts	$	39,250	$	-	$	39,250	$	39,250	$	-	$	-

The following is a summary of realized and net change in unrealized gains (losses) of the derivative instruments utilized by the Fund:

Year ended December 31, 2019

	Realized Loss on Commodity Futures Contracts			Net Change in Unrealized Appreciation on Commodity Futures Contracts
Commodity Price
Soybeans futures contracts	$	(438,468	)	$	742,746

Year ended December 31, 2018

Primary Underlying Risk

Realized Loss on

Commodity Futures Contracts

Net Change in Unrealized Appreciation

on Commodity Futures Contracts

Commodity Price

Soybeans futures contracts

$

(2,085,438

)

$

637,213

Year ended December 31, 2017

	Realized Gain on Commodity Futures Contracts		Net Change in Unrealized Depreciation on Commodity Futures Contracts
Commodity Price
Soybeans futures contracts	$	8,425	$	(793,538	)

Volume of Derivative Activities

The average notional market value categorized by primary underlying risk for all futures contracts held was $27.5 million in 2019, $21.9 million in 2018, and $13.2 million in 2017.

Derivative Instruments and Hedging Activities

In the normal course of business, the Fund utilizes derivative contracts in connection with its proprietary trading activities. Investments in derivative contracts are subject to additional risks that can result in a loss of all or part of an investment. The Fund’s derivative activities and exposure to derivative contracts are classified by the following primary underlying risks: interest rate, credit, commodity price, and equity price risks. In addition to its primary underlying risks, the Fund is also subject to additional counterparty risk due to inability of its counterparties to meet the terms of their contracts. For the years ended December 31, 2019 and 2018, the Fund invested only in commodity futures contracts.

Futures Contracts

The Fund is subject to commodity price risk in the normal course of pursuing its investment objectives. A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date.

The purchase and sale of futures contracts requires margin deposits with a FCM. Subsequent payments (variation margin) are made or received by the Fund each day, depending on the daily fluctuations in the value of the contract, and are recorded as unrealized gains or losses by the Fund. Futures contracts may reduce the Fund’s exposure to counterparty risk since futures contracts are exchange-traded; and the exchange’s clearinghouse, as the counterparty to all exchange-traded futures, guarantees the futures against default.

The Commodity Exchange Act requires an FCM to segregate all customer transactions and assets from the FCM’s proprietary activities. A customer’s cash and other equity deposited with an FCM are considered commingled with all other customer funds subject to the FCM’s segregation requirements. In the event of an FCM’s insolvency, recovery may be limited to the Fund’s pro rata share of segregated customer funds available. It is possible that the recovery amount could be less than the total of cash and other equity deposited.

The following table discloses information about offsetting assets and liabilities presented in the statements of assets and liabilities to enable users of these financial statements to evaluate the effect or potential effect of netting arrangements for recognized assets and liabilities. These recognized assets and liabilities are presented as defined in FASB ASU No. 2011-11 “Balance Sheet (Topic 210): Disclosures about Offsetting Assets and Liabilities” and subsequently clarified in FASB ASU 2013-01 “Balance Sheet (Topic 210): Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities.”

The following table also identifies the fair value amounts of derivative instruments included in the statements of assets and liabilities as derivative contracts, categorized by primary underlying risk and held by the FCM, ED&F Man as of December 31, 2019 and 2018.

Offsetting of Financial Assets and Derivative Assets as of December 31, 2019

	(i)		(ii)		(iii) = (i-ii)		(iv)				(v) = (iii)-(iv)
							Gross Amount Not Offset in the Statement of Assets and Liabilities
Description	Gross Amount of Recognized Assets		Gross Amount Offset in the Statement of Assets and Liabilities		Net Amount Presented in the Statement of Assets and Liabilities		Futures Contracts Available for Offset		Collateral, Due to Broker		Net Amount
Commodity Price
Sugar futures contracts	$	347,429	$	-	$	347,429	$	-	$	237,908	$	109,521

Offsetting of Financial Assets and Derivative Assets as of December 31, 2018

		(i)	(ii)		(iii) = (i)-(ii)		(iv)				(v) = (iii)-(iv)
							Gross Amount Not Offset in the Statement of Assets and Liabilities
Description		Gross Amount of Recognized Assets	Gross Amount Offset in the Statement of Assets and Liabilities		Net Amount Presented in the Statement of Assets and Liabilities		Futures Contracts Available for Offset		Collateral, Due to Broker		Net Amount
Commodity Price
Sugar Futures Contracts	$	233,979	$	-	$	233,979	$	47,656	$	-	$	186,323

Offsetting of Financial Liabilities and Derivative Liabilities as of December 31, 2018

	(i)		(ii)		(iii) = (i-ii)		(iv)				(v) = (iii)-(iv)
							Gross Amount Not Offset in the Statement of Assets and Liabilities
Description	Gross Amount of Recognized Liabilities		Gross Amount Offset in the Statement of Assets and Liabilities		Net Amount Presented in the Statement of Assets and Liabilities		Futures Contracts Available for Offset		Collateral, Due from Broker		Net Amount
Commodity Price
Sugar futures contracts	$	47,656	$	-	$	47,656	$	47,656	$	-	$	-

The following is a summary of realized and net change in unrealized gains (losses) of the derivative instruments utilized by the Fund:

Year ended December 31, 2019

Realized Gain on

Commodity Futures Contracts

Net Change in Unrealized Appreciation on

Commodity Futures Contracts

Commodity Price

Sugar futures contracts

$

113,747

$

161,106

Year ended December 31, 2018

Realized Loss on

Commodity Futures Contracts

Net Change in Unrealized Appreciation on

Commodity Futures Contracts

Commodity Price

Sugar futures contracts

$

(2,314,984

)

$

69,137

Year ended December 31, 2017

Realized Loss on

Commodity Futures Contracts

Net Change in Unrealized Appreciation on

Commodity Futures Contracts

Commodity Price

Sugar futures contracts

$

(2,435,305

)

$

263,581

Volume of Derivative Activities

The average notional market value categorized by primary underlying risk for all futures contracts held was $10.4 million in 2019, $12.3 million in 2018, and $7.1 million in 2017.

Derivative Instruments and Hedging Activities

In the normal course of business, the Fund utilizes derivative contracts in connection with its proprietary trading activities. Investments in derivative contracts are subject to additional risks that can result in a loss of all or part of an investment. The Fund’s derivative activities and exposure to derivative contracts are classified by the following primary underlying risks: interest rate, credit, commodity price, and equity price risks. In addition to its primary underlying risks, the Fund is also subject to additional counterparty risk due to inability of its counterparties to meet the terms of their contracts. For the years ended December 31, 2019 and 2018, the Fund invested only in commodity futures contracts.

Futures Contracts

The Fund is subject to commodity price risk in the normal course of pursuing its investment objectives. A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date.

The purchase and sale of futures contracts requires margin deposits with a FCM. Subsequent payments (variation margin) are made or received by the Fund each day, depending on the daily fluctuations in the value of the contract, and are recorded as unrealized gains or losses by the Fund. Futures contracts may reduce the Fund’s exposure to counterparty risk since futures contracts are exchange-traded; and the exchange’s clearinghouse, as the counterparty to all exchange-traded futures, guarantees the futures against default.

The Commodity Exchange Act requires an FCM to segregate all customer transactions and assets from the FCM’s proprietary activities. A customer’s cash and other equity deposited with an FCM are considered commingled with all other customer funds subject to the FCM’s segregation requirements. In the event of an FCM’s insolvency, recovery may be limited to the Fund’s pro rata share of segregated customer funds available. It is possible that the recovery amount could be less than the total of cash and other equity deposited.

The following table discloses information about offsetting assets and liabilities presented in the statements of assets and liabilities to enable users of these financial statements to evaluate the effect or potential effect of netting arrangements for recognized assets and liabilities. These recognized assets and liabilities are presented as defined in FASB ASU No. 2011-11 “Balance Sheet (Topic 210): Disclosures about Offsetting Assets and Liabilities” and subsequently clarified in FASB ASU 2013-01 “Balance Sheet (Topic 210): Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities.”

The following table also identifies the fair value amounts of derivative instruments included in the statements of assets and liabilities as derivative contracts, categorized by primary underlying risk and held by the FCM, ED&F Man as of December 31, 2019 and 2018.

Offsetting of Financial Assets and Derivative Assets as of December 31, 2019

	(i)		(ii)		(iii) = (i-ii)		(iv)				(v) = (iii)-(iv)
							Gross Amount Not Offset in the Statement of Assets and Liabilities
Description	Gross Amount of Recognized Assets		Gross Amount Offset in the Statement of Assets and Liabilities		Net Amount Presented in the Statement of Assets and Liabilities a		Futures Contracts Available for Offset		Collateral, Due to Broker		Net Amount
Commodity Price
Wheat futures contracts	$	5,068,476	$	-	$	5,068,476	$	-	$	4,258,410	$	810,066

Offsetting of Financial Liabilities and Derivative Liabilities as of December 31, 2018

	(i)		(ii)		(iii) = (i-ii)		(iv)				(v) = (iii)-(iv)
							Gross Amount Not Offset in the Statement of Assets and Liabilities
Description	Gross Amount of Recognized Liabilities		Gross Amount Offset in the Statement of Assets and Liabilities		Net Amount Presented in the Statement of Assets and Liabilities		Futures Contracts Available for Offset		Collateral, Due from Broker		Net Amount
Commodity Price
Wheat futures contracts	$	3,985,400	$	-	$	3,985,400	$	-	$	3,985,400	$	-

The following is a summary of realized and net change in unrealized gains (losses) of the derivative instruments utilized by the Fund:

Year ended December 31, 2019

	Realized Loss on Commodity Futures Contracts			Net Change in Unrealized Appreciation on Commodity Futures Contracts
Commodity Price
Wheat futures contracts	$	(9,623,635	)	$	9,053,876

Year ended December 31, 2018

Realized Gain on

Commodity Futures Contracts

Net Change in Unrealized Depreciation

on Commodity Futures Contracts

Commodity Price

Wheat futures contracts

$

2,502,112

$

(1,389,350

)

Year ended December 31, 2017

	Realized Loss on Commodity Futures Contracts			Net Change in Unrealized Appreciation on Commodity Futures Contracts
Commodity Price
Wheat futures contracts	$	(5,305,113	)	$	1,325,538

Volume of Derivative Activities

The average notional market value categorized by primary underlying risk for all futures contracts held was $53.1 million in 2019, $65.0 million in 2018, and $66.0 million in 2017.