Summary of Significant Accounting Policies (Policies) | 9 Months Ended |
Sep. 30, 2014 |
Accounting Policies [Abstract] | ' |
Basis of Presentation | ' |
(a) Basis of Presentation |
The financial statements of the Fund have been prepared using U.S. GAAP. |
In June 2013, the Financial Accounting Standards Board (“FASB”) issued updated guidance clarifying the characteristics of an investment company and requiring new disclosures. Under the guidance, all entities regulated under the Investment Company Act of 1940 automatically qualify as investment companies, while all other entities need to consider both the fundamental and typical characteristics of an investment company in determining whether they qualify as investment companies. This new guidance is effective for interim or annual reporting periods that begin after December 15, 2013, and should be applied prospectively. The Fund adopted this guidance effective January 1, 2014. The Fund has determined that it meets the definition of an investment company and has prepared the unaudited financial statements in conformity with accounting and reporting guidance of the FASB Accounting Standards Codification Topic 946 – Investment Companies, which is part of U.S. GAAP. The adoption of this guidance had no effect on the Fund’s unaudited statements of financial condition, including the schedule of investments, and the related unaudited statements of income and expenses, changes in shareholders’ equity and of cash flows. |
In August 2014, the FASB issued a new standard, Accounting Standards Update No. 2014-15 Disclosure of Uncertainties about an Entity’s Ability to Continue as a Going Concern, which will explicitly require management to assess an entity’s ability to continue as a going concern and to provide related footnote disclosure in certain circumstances. This new guidance is effective for all entities in the first annual reporting period ending after December 15, 2016. The Fund is currently evaluating this guidance and its impact on the Fund’s financial statement disclosures. |
Use of Estimates | ' |
(b) Use of Estimates |
The preparation of the financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, revenues and expenses and related disclosure of contingent assets and liabilities during the reporting period of the financial statements and accompanying notes. Actual results could differ from those estimates. There were no significant estimates used in the preparation of these financial statements. |
Financial Instruments and Fair Value | ' |
(c) Financial Instruments and Fair Value |
United States Treasury Obligations and commodity futures contracts are recorded in the statements of financial condition on a trade date basis at fair value with changes in fair value recognized in earnings in each period. The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (the exit price). The brokerage agreement with the Commodity Broker provides for the net settlement of all financial instruments covered by the agreement in the event of default or termination of any one contract. |
FASB Accounting Standards Codification fair value measurement and disclosure guidance requires a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets and liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The three levels of the fair value hierarchy are described below: |
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Basis of Fair Value Measurement |
Level 1: Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities; |
Level 2: Quoted prices in markets that are not active or financial instruments for which all significant inputs are observable, either directly or indirectly; |
Level 3: Prices or valuations that require inputs that are both significant to the fair value measurement and unobservable. |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input that is significant to the fair value measurement. |
In determining fair value of United States Treasury Obligations and commodity futures contracts, the Fund uses unadjusted quoted market prices in active markets. United States Treasury Obligations and commodity futures contracts are classified within Level 1 of the fair value hierarchy. The Fund does not adjust the quoted prices for United States Treasury Obligations and commodity futures contracts. |
Assets and Liabilities Measured at Fair Value were as follows: |
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| | September 30, | | | December 31, | | | | | | | | | | | | | | | | | |
2014 | 2013 | | | | | | | | | | | | | | | | |
United States Treasury Obligations (Level 1) | | $ | 163,998,150 | | | $ | 205,986,455 | | | | | | | | | | | | | | | | | |
Commodity Futures Contracts (Level 1) | | | (6,177,760 | ) | | $ | (5,289,640 | ) | | | | | | | | | | | | | | | | |
There were no Level 2 or Level 3 holdings as of September 30, 2014 and December 31, 2013. The Fund’s policy is to recognize transfers in and out of the valuation levels as of the end of the reporting period. There were no transfers between levels during the periods presented. |
Deposits with Commodity Broker | ' |
(d) Deposits with Commodity Broker |
The Fund deposits cash and United States Treasury Obligations with its Commodity Broker subject to CFTC regulations and various exchange and Commodity Broker requirements. The combination of the Fund’s deposits with its Commodity Broker of cash and United States Treasury Obligations and the unrealized profit or loss on open futures contracts (variation margin) represents the Fund’s overall equity in its Commodity Broker trading account. To meet the Fund’s initial margin requirements, the Fund holds United States Treasury Obligations. The Fund uses its cash held by the Commodity Broker to satisfy variation margin requirements. The Fund earns interest on its cash deposited with the Commodity Broker. |
United States Treasury Obligations | ' |
(e) United States Treasury Obligations |
The Fund records purchases and sales of United States Treasury Obligations on a trade date basis. These holdings are marked to market based on quoted market closing prices. The Fund holds United States Treasury Obligations for deposit with the Fund’s Commodity Broker to meet margin requirements and for trading purposes. Interest income is recognized on an accrual basis when earned. Premiums and discounts are amortized or accreted in interest income over the life of the United States Treasury Obligations. The Fund purchased $19,000,000 face amount of United States Treasury Obligations valued at $18,999,514, which was recorded as a payable for securities purchased as of September 30, 2014. The Fund purchased $63,000,000 face amount of United States Treasury Obligations valued at $62,989,649, which was recorded as a payable for securities purchased as of December 31, 2013. |
Cash Held by Commodity Broker | ' |
(f) Cash Held by Commodity Broker |
The Fund’s arrangement with the Commodity Broker requires the Fund to meet its variation margin requirement related to the price movements, both positive and negative, on futures contracts held by the Fund by keeping cash on deposit with the Commodity Broker. The Fund defines cash and cash equivalents to be highly liquid investments, with original maturities of three months or less when purchased. As of September 30, 2014, the Fund had cash held by the Commodity Broker of $6,036,578, all of which was on deposit to satisfy the Fund’s negative variation margin on open futures contracts. As of December 31, 2013, the Fund had cash held by the Commodity Broker of $7,553,303, of which $5,289,640 was on deposit to satisfy the Fund’s negative variation margin on open futures contracts. There were no cash equivalents held by the Fund as of September 30, 2014 or December 31, 2013. |
Income Taxes | ' |
(g) Income Taxes |
The Fund is classified as a partnership for U.S. federal income tax purposes. Accordingly, the Fund will not incur U.S. federal income taxes. No provision for federal, state, and local income taxes has been made in the accompanying financial statements, as investors are individually liable for income taxes, if any, on their allocable share of the Fund’s income, gain, loss, deductions and other items. |
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Management of the Fund has reviewed all open tax years and major jurisdictions and concluded that there is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns. The Funds are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. On an ongoing basis, management will monitor its tax positions taken under the interpretation (and consult with its tax counsel from time to time when appropriate) to determine if adjustments to conclusions are necessary based on factors including, but not limited to, on-going analysis of tax law, regulation, and interpretations thereof. The major tax jurisdiction for the Fund and the earliest tax year subject to examination: United States, 2010. |
Futures Contracts | ' |
(h) Futures Contracts |
All commodity futures contracts are held and used for trading purposes. Commodity futures contracts are recorded on a trade date basis and open contracts are recorded in the statement of financial condition at fair value on the last business day of the period, which represents market value for those commodity futures contracts for which market quotes are readily available. However, when market closing prices are not available, the Managing Owner may value an asset of the Fund pursuant to policies the Managing Owner has adopted, which are consistent with normal industry standards. Realized gains (losses) and changes in unrealized appreciation (depreciation) on open positions are determined on a specific identification basis and recognized in the statement of income and expenses in the period in which the contract is closed or the changes occur, respectively. For the three months ended September 30, 2014 and 2013, the average monthly notional market value of futures contracts held was $158.2 million and $170.4 million, respectively. For the nine months ended September 30, 2014 and 2013, the average monthly notional market value of futures contracts held was $155.1 million and $280.8 million, respectively. |
The fair value of derivative instruments is as follows: |
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Derivatives not Accounted for as Hedging Instruments | | Statements of Financial Condition Location | | Net Unrealized | | | Net Unrealized | | | | | | | | | | | | | | | |
Appreciation / | Appreciation / | | | | | | | | | | | | | | |
(Depreciation) at | (Depreciation) at | | | | | | | | | | | | | | |
September 30, 2014 | December 31, 2013 | | | | | | | | | | | | | | |
Commodity Futures Contracts | | Net Unrealized Appreciation (Depreciation) on Futures Contracts | | $ | (6,177,760 | ) | | $ | (5,289,640 | ) | | | | | | | | | | | | | | |
The effect of derivative instruments on the Statements of Income and Expenses is as follows: |
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| | | | For the Three Months Ended | | | For the Three Months Ended | | | | | | | |
September 30, 2014 | September 30, 2013 | | | | | | |
Derivatives not Accounted for as | | Location of Gain or (Loss) on Derivatives | | Realized Gain | | | Change in | | | Realized Gain | | | Change in | | | | | | | |
Hedging Instruments | Recognized in Income | or (Loss) on | Unrealized Gain | or (Loss) on | Unrealized Gain | | | | | | |
| | Derivatives | or (Loss) on | Derivatives | or (Loss) on | | | | | | |
| | Recognized in | Derivatives | Recognized in | Derivatives | | | | | | |
| | Income | Recognized in | Income | Recognized in | | | | | | |
| | | Income | | Income | | | | | | |
Commodity Futures Contracts | | Net Realized Gain (Loss) on Futures | | $ | (6,070,430 | ) | | | — | | | $ | (63,825,800 | ) | | | — | | | | | | | |
| | Net Change in Unrealized Gain (Loss) on Futures | | | — | | | $ | (8,827,840 | ) | | | — | | | $ | 77,153,850 | | | | | | | |
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| | | | For the Nine Months Ended | | | For the Nine Months Ended | | | | | | | |
30-Sep-14 | 30-Sep-13 | | | | | | |
Derivatives not Accounted for as | | Location of Gain or (Loss) on Derivatives | | Realized Gain | | | Change in | | | Realized Gain | | | Change in | | | | | | | |
Hedging Instruments | Recognized in Income | or (Loss) on | Unrealized Gain | or (Loss) on | Unrealized Gain | | | | | | |
| | Derivatives | or (Loss) on | Derivatives | or (Loss) on | | | | | | |
| | Recognized in | Derivatives | Recognized in | Derivatives | | | | | | |
| | Income | Recognized in | Income | Recognized in | | | | | | |
| | | Income | | Income | | | | | | |
Commodity Futures Contracts | | Net Realized Gain (Loss) on Futures | | $ | (58,360 | ) | | | — | | | $ | (87,392,590 | ) | | | — | | | | | | | |
| | Net Change in Unrealized Gain (Loss) on Futures | | | — | | | $ | (888,120 | ) | | | — | | | $ | 19,370,650 | | | | | | | |
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The Fund utilizes derivative instruments to achieve the Fund’s investment objective. For financial reporting purposes, the Fund offsets financial assets and financial liabilities that are subject to master netting arrangements or similar agreements in the statement of financial condition. The following table presents the gross and net amounts of these assets and liabilities with any offsets to reflect the Fund’s ability to enforce the master netting agreements at September 30, 2014: |
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| | | | | | | | | | | Gross Amounts Not Offset in the | | | | |
Statement of Financial Condition |
| | Gross | | | Gross Amounts | | | Net Amounts | | | Financial | | | Cash Collateral | | | Net Amount | |
Amounts | Offset in the | Presented in | Instruments* | Pledged* |
Recognized | Statement of | the Statement of | | |
| Financial Condition | Financial Condition | | |
Assets | | | | | | | | | | | | | | | | | | | | | | | | |
Commodity Futures Contracts | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Liabilities | | | | | | | | | | | | | | | | | | | | | | | | |
Commodity Futures Contracts | | $ | (6,177,760 | ) | | $ | — | | | $ | (6,177,760 | ) | | $ | 141,182 | | | $ | 6,036,578 | | | $ | — | |
The following table presents the gross and net amounts of these assets and liabilities with any offsets to reflect the Fund’s ability to enforce the master netting agreements at December 31, 2013: |
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| | | | | | | | | | | Gross Amounts Not Offset in the | | | | |
Statement of Financial Condition |
| | Gross | | | Gross Amounts | | | Net Amounts | | | Financial | | | Cash Collateral | | | Net Amount | |
Amounts | Offset in the | Presented in | Instruments* | Pledged* |
Recognized | Statement of | the Statement of | | |
| Financial Condition | Financial Condition | | |
Assets | | | | | | | | | | | | | | | | | | | | | | | | |
Commodity Futures Contracts | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Liabilities | | | | | | | | | | | | | | | | | | | | | | | | |
Commodity Futures Contracts | | $ | (5,289,640 | ) | | $ | — | | | $ | (5,289,640 | ) | | $ | — | | | $ | 5,289,640 | | | $ | — | |
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* | As of September 30, 2014 and December 31, 2013, a portion of the Fund’s cash and US Treasury Obligations were required to be deposited as margin in support of the Fund’s futures positions as described in Note 2. | | | | | | | | | | | | | | | | | | | | | | | |
The Managing Owner will utilize the cash held at the commodity broker to offset any realized losses incurred in the commodity futures contracts, if available. To the extent that cash held at the commodity broker is not adequate to cover any realized losses, a portion of the United States Treasury Bills will be sold to make additional cash available. |
Brokerage Commissions and Fees | ' |
(i) Brokerage Commissions and Fees |
The Fund incurs all brokerage commissions, including applicable exchange fees, National Futures Association (“NFA”) fees, give-up fees, pit brokerage fees and other transaction related fees and expenses charged in connection with trading activities by the Commodity Broker. These costs are recorded as brokerage commissions and fees in the statement of income and expenses as incurred. The Commodity Broker’s brokerage commissions and trading fees are determined on a contract-by-contract basis. On average, total charges paid to the Commodity Broker were less than $10.00 per round-turn trade for the Three Months Ended September 30, 2014 and 2013 and the Nine Months Ended September 30, 2014 and 2013. |
Routine Operational, Administrative and Other Ordinary Expenses | ' |
(j) Routine Operational, Administrative and Other Ordinary Expenses |
Pursuant to the Trust Agreement, the Managing Owner assumes all routine operational, administrative and other ordinary expenses of the Fund, including, but not limited to, computer services, the fees and expenses of the Trustee, legal and accounting fees and expenses, tax preparation expenses, filing fees and printing, mailing and duplication costs as part of its management fee. Accordingly, such expenses are not reflected in the statement of income and expenses of the Fund. |
Organizational and Offering Costs | ' |
(k) Organizational and Offering Costs |
Pursuant to the Trust Agreement, all organizational and offering expenses of the Fund are incurred and assumed by the Managing Owner. The Fund is not responsible to the Managing Owner for the reimbursement of organizational and offering costs. Expenses incurred in connection with the continuous offering of Shares are also paid by the Managing Owner. |
Non-Recurring and Unusual Fees and Expenses | ' |
(l) Non-Recurring and Unusual Fees and Expenses |
The Fund pays all non-recurring and unusual fees and expenses (referred to as extraordinary fees and expenses in the Trust Declaration), if any, of itself, as determined by the Managing Owner. Non-recurring and unusual fees and expenses are fees and expenses which are non-recurring and unusual in nature, such as legal claims and liabilities and litigation costs or indemnification or other unanticipated expenses. Non-recurring and unusual fees and expenses will also include material expenses which are not currently anticipated obligations of the Fund or of managed futures funds in general. Such fees and expenses, by their nature, are unpredictable in terms of timing and amount. For the Three Months Ended September 30, 2014 and 2013 and the Nine Months Ended September 30, 2014 and 2013, the Fund did not incur such expenses. |