Document and Entity Information
Document and Entity Information - USD ($) | 12 Months Ended | ||
Dec. 31, 2015 | Jan. 31, 2016 | Jun. 30, 2015 | |
Document And Entity Information [Abstract] | |||
Document Type | 10-K | ||
Amendment Flag | false | ||
Document Period End Date | Dec. 31, 2015 | ||
Document Fiscal Year Focus | 2,015 | ||
Document Fiscal Period Focus | FY | ||
Trading Symbol | UUP | ||
Entity Registrant Name | PowerShares DB US Dollar Index Bullish Fund | ||
Entity Central Index Key | 1,383,151 | ||
Current Fiscal Year End Date | --12-31 | ||
Entity Well-known Seasoned Issuer | Yes | ||
Entity Current Reporting Status | Yes | ||
Entity Voluntary Filers | No | ||
Entity Filer Category | Large Accelerated Filer | ||
Entity Common Stock, Shares Outstanding | 37,400,000 | ||
Entity Public Float | $ 1,215,972,000 |
Statements of Financial Conditi
Statements of Financial Condition - USD ($) | Dec. 31, 2015 | Dec. 31, 2014 |
Assets | ||
United States Treasury Obligations, at fair value (cost $1,077,885,299 and $1,006,941,675, respectively) | $ 1,077,913,905 | $ 1,006,974,568 |
Cash held by commodity broker | 18,108,522 | |
Cash held by custodian | 51,943,740 | |
Net unrealized appreciation (depreciation) on Currency Futures Contracts | 19,570,252 | |
Variation margin receivable | 4,489,462 | |
Total assets (of which $34,998,099 and $16,632,000, respectively is restricted for maintenance margin purposes) | 1,134,347,107 | 1,044,653,342 |
Liabilities | ||
Payable for securities purchased | 0 | 36,996,763 |
Management fee payable | 728,477 | 645,665 |
Brokerage fee payable | 3,814 | 5,060 |
Total liabilities | $ 732,291 | $ 37,647,488 |
Commitments and Contingencies (Note 9) | ||
Equity | ||
Shareholders' equity-General Shares | $ 1,026 | $ 959 |
Shareholders' equity-Shares | 1,133,613,790 | 1,007,004,895 |
Total shareholders' equity | 1,133,614,816 | 1,007,005,854 |
Total liabilities and equity | $ 1,134,347,107 | $ 1,044,653,342 |
General Shares outstanding | 40 | 40 |
Shares outstanding | 44,200,000 | 42,000,000 |
Net asset value per share | ||
General Shares | $ 25.65 | $ 23.98 |
Shares | $ 25.65 | $ 23.98 |
Statements of Financial Condit3
Statements of Financial Condition (Parenthetical) - USD ($) | Dec. 31, 2015 | Dec. 31, 2014 | |
Restricted for maintenance margin | $ 34,998,099 | $ 16,632,000 | |
US Treasury Bill Securities [Member] | |||
United States Treasury Obligations, cost | [1],[2] | $ 1,077,885,299 | $ 1,006,941,675 |
[1] | A portion of United States Treasury Obligations are on deposit with the Commodity Broker and held as margin for open futures contracts. See Note 3 for additional information. | ||
[2] | Security may be traded on a discount basis. The interest rate shown represents the discount rate at the most recent auction date of the security prior to year end. |
Schedule of Investments - Treas
Schedule of Investments - Treasury Bills - USD ($) | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | ||
Investment Holdings [Line Items] | |||
Fair Value | $ 1,077,913,905 | $ 1,006,974,568 | |
US Treasury Bill Securities [Member] | |||
Investment Holdings [Line Items] | |||
Percentage of Shareholders' Equity | [1],[2] | 95.09% | 100.00% |
Fair Value | [1],[2] | $ 1,077,913,905 | $ 1,006,974,568 |
United States Treasury Obligations, cost | [1],[2] | $ 1,077,885,299 | $ 1,006,941,675 |
US Treasury Bill Securities [Member] | 0.235 Percent [Member] | Due January 7, 2016 [Member] | |||
Investment Holdings [Line Items] | |||
Investment Interest Rate | 0.235% | ||
Investment Maturity Date | Jan. 7, 2016 | ||
Percentage of Shareholders' Equity | 12.35% | ||
Fair Value | $ 139,999,440 | ||
Face Value | $ 140,000,000 | ||
US Treasury Bill Securities [Member] | 0.205 Percent [Member] | Due January 14, 2016 [Member] | |||
Investment Holdings [Line Items] | |||
Investment Interest Rate | 0.205% | ||
Investment Maturity Date | Jan. 14, 2016 | ||
Percentage of Shareholders' Equity | 17.64% | ||
Fair Value | $ 199,994,400 | ||
Face Value | $ 200,000,000 | ||
US Treasury Bill Securities [Member] | 0.195 Percent [Member] | Due January 21, 2016 [Member] | |||
Investment Holdings [Line Items] | |||
Investment Interest Rate | 0.195% | ||
Investment Maturity Date | Jan. 21, 2016 | ||
Percentage of Shareholders' Equity | 13.67% | ||
Fair Value | $ 154,993,645 | ||
Face Value | $ 155,000,000 | ||
US Treasury Bill Securities [Member] | 0.170 Percent [Member] | Due January 28, 2016 [Member] | |||
Investment Holdings [Line Items] | |||
Investment Interest Rate | 0.17% | ||
Investment Maturity Date | Jan. 28, 2016 | ||
Percentage of Shareholders' Equity | 17.64% | ||
Fair Value | $ 199,983,600 | ||
Face Value | $ 200,000,000 | ||
US Treasury Bill Securities [Member] | 0.200 Percent [Member] | Due February 4, 2016 [Member] | |||
Investment Holdings [Line Items] | |||
Investment Interest Rate | 0.20% | ||
Investment Maturity Date | Feb. 4, 2016 | ||
Percentage of Shareholders' Equity | 2.03% | ||
Fair Value | $ 22,998,206 | ||
Face Value | $ 23,000,000 | ||
US Treasury Bill Securities [Member] | 0.135 Percent [Member] | Due February 11, 2016 [Member] | |||
Investment Holdings [Line Items] | |||
Investment Interest Rate | 0.135% | ||
Investment Maturity Date | Feb. 11, 2016 | ||
Percentage of Shareholders' Equity | 8.82% | ||
Fair Value | $ 99,986,800 | ||
Face Value | $ 100,000,000 | ||
US Treasury Bill Securities [Member] | 0.145 Percent [Member] | Due February 18, 2016 [Member] | |||
Investment Holdings [Line Items] | |||
Investment Interest Rate | 0.145% | ||
Investment Maturity Date | Feb. 18, 2016 | ||
Percentage of Shareholders' Equity | 9.35% | ||
Fair Value | $ 105,986,008 | ||
Face Value | $ 106,000,000 | ||
US Treasury Bill Securities [Member] | 0.140 Percent [Member] | Due February 25, 2016 [Member] | |||
Investment Holdings [Line Items] | |||
Investment Interest Rate | 0.14% | ||
Investment Maturity Date | Feb. 25, 2016 | ||
Percentage of Shareholders' Equity | 0.27% | ||
Fair Value | $ 2,999,706 | ||
Face Value | $ 3,000,000 | ||
US Treasury Bill Securities [Member] | 0.215 Percent [Member] | Due March 3, 2016 [Member] | |||
Investment Holdings [Line Items] | |||
Investment Interest Rate | 0.215% | ||
Investment Maturity Date | Mar. 3, 2016 | ||
Percentage of Shareholders' Equity | 5.73% | ||
Fair Value | $ 64,989,730 | ||
Face Value | $ 65,000,000 | ||
US Treasury Bill Securities [Member] | 0.280 Percent [Member] | Due March 10, 2016 [Member] | |||
Investment Holdings [Line Items] | |||
Investment Interest Rate | 0.28% | ||
Investment Maturity Date | Mar. 10, 2016 | ||
Percentage of Shareholders' Equity | 7.59% | ||
Fair Value | $ 85,982,370 | ||
Face Value | $ 86,000,000 | ||
US Treasury Bill Securities [Member] | 0.030 Percent [Member] | Due January 2, 2015 [Member] | |||
Investment Holdings [Line Items] | |||
Investment Interest Rate | 0.03% | ||
Investment Maturity Date | Jan. 2, 2015 | ||
Percentage of Shareholders' Equity | 3.67% | ||
Fair Value | $ 37,000,000 | ||
Face Value | $ 37,000,000 | ||
US Treasury Bill Securities [Member] | 0.040 Percent [Member] | Due January 8, 2015 [Member] | |||
Investment Holdings [Line Items] | |||
Investment Interest Rate | 0.04% | ||
Investment Maturity Date | Jan. 8, 2015 | ||
Percentage of Shareholders' Equity | 11.82% | ||
Fair Value | $ 118,999,881 | ||
Face Value | $ 119,000,000 | ||
US Treasury Bill Securities [Member] | 0.040 Percent [Member] | Due April 2, 2015 [Member] | |||
Investment Holdings [Line Items] | |||
Investment Interest Rate | 0.04% | ||
Investment Maturity Date | Apr. 2, 2015 | ||
Percentage of Shareholders' Equity | 3.67% | ||
Fair Value | $ 36,996,744 | ||
Face Value | $ 37,000,000 | ||
US Treasury Bill Securities [Member] | 0.020 Percent [Member] | Due January 15, 2015 [Member] | |||
Investment Holdings [Line Items] | |||
Investment Interest Rate | 0.02% | ||
Investment Maturity Date | Jan. 15, 2015 | ||
Percentage of Shareholders' Equity | 5.66% | ||
Fair Value | $ 56,999,601 | ||
Face Value | $ 57,000,000 | ||
US Treasury Bill Securities [Member] | 0.020 Percent [Member] | Due February 26, 2015 [Member] | |||
Investment Holdings [Line Items] | |||
Investment Interest Rate | 0.02% | ||
Investment Maturity Date | Feb. 26, 2015 | ||
Percentage of Shareholders' Equity | 0.89% | ||
Fair Value | $ 8,999,793 | ||
Face Value | $ 9,000,000 | ||
US Treasury Bill Securities [Member] | 0.010 Percent [Member] | Due January 22, 2015 [Member] | |||
Investment Holdings [Line Items] | |||
Investment Interest Rate | 0.01% | ||
Investment Maturity Date | Jan. 22, 2015 | ||
Percentage of Shareholders' Equity | 4.47% | ||
Fair Value | $ 44,999,370 | ||
Face Value | $ 45,000,000 | ||
US Treasury Bill Securities [Member] | 0.010 Percent [Member] | Due February 5, 2015 [Member] | |||
Investment Holdings [Line Items] | |||
Investment Interest Rate | 0.01% | ||
Investment Maturity Date | Feb. 5, 2015 | ||
Percentage of Shareholders' Equity | 3.87% | ||
Fair Value | $ 38,999,259 | ||
Face Value | $ 39,000,000 | ||
US Treasury Bill Securities [Member] | 0.015 Percent [Member] | Due January 29, 2015 [Member] | |||
Investment Holdings [Line Items] | |||
Investment Interest Rate | 0.015% | ||
Investment Maturity Date | Jan. 29, 2015 | ||
Percentage of Shareholders' Equity | 1.99% | ||
Fair Value | $ 19,999,700 | ||
Face Value | $ 20,000,000 | ||
US Treasury Bill Securities [Member] | 0.025 Percent [Member] | Due February 12, 2015 [Member] | |||
Investment Holdings [Line Items] | |||
Investment Interest Rate | 0.025% | ||
Investment Maturity Date | Feb. 12, 2015 | ||
Percentage of Shareholders' Equity | 0.40% | ||
Fair Value | $ 3,999,944 | ||
Face Value | $ 4,000,000 | ||
US Treasury Bill Securities [Member] | 0.025 Percent [Member] | Due February 19, 2015 [Member] | |||
Investment Holdings [Line Items] | |||
Investment Interest Rate | 0.025% | ||
Investment Maturity Date | Feb. 19, 2015 | ||
Percentage of Shareholders' Equity | 0.30% | ||
Fair Value | $ 2,999,949 | ||
Face Value | $ 3,000,000 | ||
US Treasury Bill Securities [Member] | 0.025 Percent [Member] | Due March 5, 2015 [Member] | |||
Investment Holdings [Line Items] | |||
Investment Interest Rate | 0.025% | ||
Investment Maturity Date | Mar. 5, 2015 | ||
Percentage of Shareholders' Equity | 1.19% | ||
Fair Value | $ 11,999,736 | ||
Face Value | $ 12,000,000 | ||
US Treasury Bill Securities [Member] | 0.025 Percent [Member] | Due March 12, 2015 [Member] | |||
Investment Holdings [Line Items] | |||
Investment Interest Rate | 0.025% | ||
Investment Maturity Date | Mar. 12, 2015 | ||
Percentage of Shareholders' Equity | 4.07% | ||
Fair Value | $ 40,998,442 | ||
Face Value | $ 41,000,000 | ||
US Treasury Bill Securities [Member] | 0.035 Percent [Member] | Due March 19, 2015 [Member] | |||
Investment Holdings [Line Items] | |||
Investment Interest Rate | 0.035% | ||
Investment Maturity Date | Mar. 19, 2015 | ||
Percentage of Shareholders' Equity | 30.29% | ||
Fair Value | $ 304,990,240 | ||
Face Value | $ 305,000,000 | ||
US Treasury Bill Securities [Member] | 0.055 Percent [Member] | Due March 26, 2015 [Member] | |||
Investment Holdings [Line Items] | |||
Investment Interest Rate | 0.055% | ||
Investment Maturity Date | Mar. 26, 2015 | ||
Percentage of Shareholders' Equity | 27.71% | ||
Fair Value | $ 278,991,909 | ||
Face Value | $ 279,000,000 | ||
[1] | A portion of United States Treasury Obligations are on deposit with the Commodity Broker and held as margin for open futures contracts. See Note 3 for additional information. | ||
[2] | Security may be traded on a discount basis. The interest rate shown represents the discount rate at the most recent auction date of the security prior to year end. |
Schedule of Investments - Futur
Schedule of Investments - Futures Contracts | 12 Months Ended | ||
Dec. 31, 2015USD ($)Contracts | Dec. 31, 2014USD ($) | ||
Investment Holdings [Line Items] | |||
Unrealized Appreciation/ (Depreciation) | $ 9,076,613 | $ 19,570,252 | |
Futures [Member] | |||
Investment Holdings [Line Items] | |||
Percentage of Shareholders' Equity | 0.80% | (1.94%) | |
Unrealized Appreciation/ (Depreciation) | [1] | $ 9,076,613 | $ 19,570,252 |
Notional Market Value | $ 1,133,790,090 | $ 1,015,246,400 | |
Futures [Member] | United States of America, Dollars | ICE FUTURES U.S. [Member] | |||
Investment Holdings [Line Items] | |||
Number of Contracts | Contracts | 11,482 | ||
Maturity Date | Mar. 14, 2016 | Mar. 16, 2015 | |
Percentage of Shareholders' Equity | 0.80% | (1.94%) | |
Unrealized Appreciation/ (Depreciation) | $ 9,076,613 | $ 19,570,252 | |
Notional Market Value | $ 1,133,790,090 | $ 1,015,246,400 | |
[1] | Unrealized appreciation/(depreciation) is presented above, net by contract. |
Statements of Income and Expens
Statements of Income and Expenses - USD ($) | 12 Months Ended | |||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | ||
Income | ||||
Interest Income | $ 336,658 | $ 272,069 | $ 320,338 | |
Expenses | ||||
Management Fee | 8,897,003 | 5,742,352 | 5,580,075 | |
Brokerage Commissions and Fees | 367,529 | 498,823 | 530,505 | |
Interest Expense | [1] | 25,211 | ||
Total Expenses | 9,289,743 | 6,241,175 | 6,110,580 | |
Net investment income (loss) | (8,953,085) | (5,969,106) | (5,790,242) | |
Net Realized Gain (Loss) on | ||||
United States Treasury Obligations | 2,884 | 7,437 | 16,813 | |
Currency Futures Contracts | 79,589,339 | 79,130,173 | (16,120,106) | |
Net realized gain (loss) | 79,592,223 | 79,137,610 | (16,103,293) | |
Net Change in Unrealized Gain (Loss) on | ||||
United States Treasury Obligations | (4,287) | 19,016 | (12,260) | |
Currency Futures Contracts | (10,493,639) | 20,149,887 | 351,919 | |
Net change in unrealized gain (loss) | (10,497,926) | 20,168,903 | 339,659 | |
Net realized and net change in unrealized gain (loss) | 69,094,297 | 99,306,513 | (15,763,634) | |
Net Income (Loss) | $ 60,141,212 | $ 93,337,407 | $ (21,553,876) | |
[1] | Interest Expense for the year ended December 31, 2015 represents expense on overdraft balances. These amounts are included in Interest Income for the years ended December 31, 2014 and 2013. |
Statement of Changes in Shareho
Statement of Changes in Shareholders' Equity - USD ($) | Total | General Shares [Member] | Shares [Member] |
Balance - Value at Dec. 31, 2012 | $ 689,120,056 | $ 872 | $ 689,119,184 |
Balance - Shares at Dec. 31, 2012 | 40 | 31,600,000 | |
Sale of Shares - Value | 816,695,594 | $ 816,695,594 | |
Sale of Shares - Shares | 36,600,000 | ||
Redemption of Shares - Value | (817,273,655) | $ (817,273,655) | |
Redemption of Shares - Shares | (37,200,000) | ||
Net Increase (Decrease) due to Share Transactions, value | (578,061) | $ (578,061) | |
Net Increase (Decrease) due to Share Transactions, shares | (600,000) | ||
Net Income (Loss) | |||
Net investment income (loss) | (5,790,242) | $ (3) | $ (5,790,239) |
Net realized gain (loss) on United States Treasury Obligations and Currency Futures Contracts | (16,103,293) | (8) | (16,103,285) |
Net change in unrealized gain (loss) on United States Treasury Obligations and Currency Futures Contracts | 339,659 | 339,659 | |
Net Income (Loss) | (21,553,876) | (11) | (21,553,865) |
Net Change in Shareholders' Equity, value | (22,131,937) | (11) | $ (22,131,926) |
Net Change in Shareholders' Equity, shares | (600,000) | ||
Balance - Value at Dec. 31, 2013 | 666,988,119 | $ 861 | $ 666,987,258 |
Balance - Shares at Dec. 31, 2013 | 40 | 31,000,000 | |
Sale of Shares - Value | 667,690,541 | $ 667,690,541 | |
Sale of Shares - Shares | 29,800,000 | ||
Redemption of Shares - Value | (421,010,213) | $ (421,010,213) | |
Redemption of Shares - Shares | (18,800,000) | ||
Net Increase (Decrease) due to Share Transactions, value | 246,680,328 | $ 246,680,328 | |
Net Increase (Decrease) due to Share Transactions, shares | 11,000,000 | ||
Net Income (Loss) | |||
Net investment income (loss) | (5,969,106) | $ (6) | $ (5,969,100) |
Net realized gain (loss) on United States Treasury Obligations and Currency Futures Contracts | 79,137,610 | 83 | 79,137,527 |
Net change in unrealized gain (loss) on United States Treasury Obligations and Currency Futures Contracts | 20,168,903 | 21 | 20,168,882 |
Net Income (Loss) | 93,337,407 | 98 | 93,337,309 |
Net Change in Shareholders' Equity, value | 340,017,735 | 98 | $ 340,017,637 |
Net Change in Shareholders' Equity, shares | 11,000,000 | ||
Balance - Value at Dec. 31, 2014 | 1,007,005,854 | $ 959 | $ 1,007,004,895 |
Balance - Shares at Dec. 31, 2014 | 40 | 42,000,000 | |
Sale of Shares - Value | 1,924,757,103 | $ 1,924,757,103 | |
Sale of Shares - Shares | 76,000,000 | ||
Redemption of Shares - Value | (1,858,289,353) | $ (1,858,289,353) | |
Redemption of Shares - Shares | (73,800,000) | ||
Net Increase (Decrease) due to Share Transactions, value | 66,467,750 | $ 66,467,750 | |
Net Increase (Decrease) due to Share Transactions, shares | 2,200,000 | ||
Net Income (Loss) | |||
Net investment income (loss) | (8,953,085) | $ (10) | $ (8,953,075) |
Net realized gain (loss) on United States Treasury Obligations and Currency Futures Contracts | 79,592,223 | 89 | 79,592,134 |
Net change in unrealized gain (loss) on United States Treasury Obligations and Currency Futures Contracts | (10,497,926) | (12) | (10,497,914) |
Net Income (Loss) | 60,141,212 | 67 | 60,141,145 |
Net Change in Shareholders' Equity, value | 126,608,962 | 67 | $ 126,608,895 |
Net Change in Shareholders' Equity, shares | 2,200,000 | ||
Balance - Value at Dec. 31, 2015 | $ 1,133,614,816 | $ 1,026 | $ 1,133,613,790 |
Balance - Shares at Dec. 31, 2015 | 40 | 44,200,000 |
Statements of Cash Flows
Statements of Cash Flows - USD ($) | 12 Months Ended | |||||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | ||||
Cash flows from operating activities | ||||||
Net Income (loss) | $ 60,141,212 | $ 93,337,407 | $ (21,553,876) | |||
Adjustments to reconcile net income (loss) to net cash provided by (used for) operating activities: | ||||||
Cost of securities purchased | (4,621,990,413) | (3,152,761,429) | (3,221,585,886) | |||
Proceeds from securities sold and matured | 4,514,389,568 | 2,838,996,146 | 3,190,966,946 | |||
Net accretion of discount on United States Treasury Obligations | (336,658) | (272,157) | (333,405) | |||
Net realized (gain) loss on United States Treasury Obligations | (2,884) | (7,437) | (16,813) | |||
Net change in unrealized (gain) loss on United States Treasury Obligations and Currency Futures Contracts | 10,497,926 | (20,168,903) | (339,659) | |||
Cash transfer to Commodity Broker to satisfy variation margin requirements (Note 4) | 55,249,567 | |||||
Cash received (paid) to Commodity Broker to satisfy open variation margin, net (Note 4) | (46,172,954) | |||||
Change in operating receivables and payables: | ||||||
Variation margin receivable | (4,489,462) | |||||
Management fee payable | 82,812 | 200,026 | (32,413) | |||
Brokerage fee payable | (1,246) | 3,604 | 530 | |||
Net cash provided by (used for) operating activities | (32,632,532) | (240,672,743) | (52,894,576) | |||
Cash flows from financing activities | ||||||
Proceeds from sale of Shares | 1,924,757,103 | 667,690,541 | 816,695,594 | |||
Redemption of Shares | (1,858,289,353) | (421,010,213) | (817,273,655) | |||
Net cash provided by (used for) financing activities | 66,467,750 | 246,680,328 | (578,061) | |||
Net change in cash held | 33,835,218 | 6,007,585 | (53,472,637) | |||
Cash at beginning of year | [1] | 18,108,522 | [2] | 12,100,937 | [2] | 65,573,574 |
Cash at end of year | [1],[2] | 51,943,740 | 18,108,522 | 12,100,937 | ||
Supplemental disclosure of cash flow information: | ||||||
Cash paid for interest | $ 25,211 | $ 88 | $ 13,067 | |||
[1] | December 31, 2014 and prior reflects cash held by the Commodity | |||||
[2] | December 31, 2015 reflects cash held by the Custodian. |
Background
Background | 12 Months Ended |
Dec. 31, 2015 | |
Text Block [Abstract] | |
Background | (1) Background On October 24, 2014, DB Commodity Services LLC, a Delaware limited liability company (“DBCS”), DB U.S. Financial Markets Holding Corporation (“DBUSH”) and Invesco PowerShares Capital Management LLC (“Invesco”) entered into an Asset Purchase Agreement (the “Agreement”). DBCS is a wholly-owned subsidiary of DBUSH. DBCS agreed to transfer and sell to Invesco all of DBCS’ interests in PowerShares DB US Dollar Index Trust (the “Trust”), a Delaware statutory trust, and the Trust’s two separate series, one of which is PowerShares DB US Dollar Index Bullish Fund (the “Fund”), including the sole and exclusive power to direct the business and affairs of the Trust and the Fund, as well as certain other assets pertaining to the management of the Trust and the Fund, pursuant to the terms and conditions of the Agreement (the “Transaction”). The Transaction was consummated on February 23, 2015 (the “Closing Date”). Invesco now serves as the managing owner (the “Managing Owner”), commodity pool operator and commodity trading advisor of the Trust and the Fund, in replacement of DBCS (the “Predecessor Managing Owner”). |
Organization
Organization | 12 Months Ended |
Dec. 31, 2015 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization | (2) Organization The Fund, a separate series of the Trust, a Delaware statutory trust organized in two separate series, was formed on August 3, 2006. The Predecessor Managing Owner seeded the Fund with a capital contribution of $1,000 in exchange for 40 General Shares of the Fund. The General Shares were sold to the Managing Owner by the Predecessor Managing Owner pursuant to the terms of the Agreement. The fiscal year end of the Fund is December 31st. The term of the Fund is perpetual (unless terminated earlier in certain circumstances) as provided for in the Fifth Amended and Restated Declaration of Trust and Trust Agreement of the Trust (the “Trust Agreement”). The Fund has an unlimited number of shares authorized for issuance. The Fund offers common units of beneficial interest (the “Shares”) only to certain eligible financial institutions (the “Authorized Participants”) in one or more blocks of 200,000 Shares, called a Basket. The proceeds from the offering of Shares are invested in the Fund. The Fund commenced investment operations on February 15, 2007. The Fund commenced trading on the American Stock Exchange (which became the NYSE Alternext US LLC (the “NYSE Alternext”)) on February 20, 2007 and, as of November 25, 2008, is listed on the NYSE Arca, Inc. (the “NYSE Arca”). This Annual Report (the “Report”) covers the years ended December 31, 2015, 2014 and 2013 (herein referred to, as the “Year Ended December 31, 2015”, the “Year Ended December 31, 2014” and the “Year Ended December 31, 2013”, respectively). The Fund’s performance information from inception up to and excluding the Closing Date is a reflection of the performance associated with the Predecessor Managing Owner. The Managing Owner has served as managing owner of the Fund since the Closing Date, and the Fund’s performance information since the Closing Date is a reflection of the performance associated with the Managing Owner. Past performance of the Fund is not necessarily indicative of future performance. |
Fund Investment Overview
Fund Investment Overview | 12 Months Ended |
Dec. 31, 2015 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Fund Investment Overview | (3) Fund Investment Overview The Fund establishes long positions in certain futures contracts (the “DX Contracts”), with a view to tracking the changes, whether positive or negative, in the level of the Deutsche Bank Long US Dollar Index (USDX ® ® ® ® ® The Fund holds United States Treasury Obligations for deposit with the Commodity Broker (as defined below) as margin. The Fund does not borrow money to increase leverage. As of December 31, 2015 and 2014, the Fund had $39,487,561 (or 3.48% of its total assets) and $1,044,653,342 (or 100.00% of its total assets), respectively, of its holdings of cash, United States Treasury Obligations and unrealized appreciation/depreciation on futures contracts on deposit with its Commodity Broker. Of this, $34,998,099 (or 3.09% of its total assets) and $16,632,000 (or 1.59% of its total assets) was required to be deposited to satisfy maintenance margin required by the Commodity Broker for the Fund’s open futures positions as of December 31, 2015 and 2014, respectively. All remaining cash and United States Treasury Obligations are on deposit with the Custodian (see Note 4). For additional information, please see the Schedules of Investments as of December 31, 2015 and 2014 for details of the Fund’s portfolio holdings. |
Service Providers and Related P
Service Providers and Related Party Agreements | 12 Months Ended |
Dec. 31, 2015 | |
Related Party Transactions [Abstract] | |
Service Providers and Related Party Agreements | (4) Service Providers and Related Party Agreements The Trustee Under the Trust Agreement, Wilmington Trust Company, the trustee of the Trust (the “Trustee”), has delegated to the Managing Owner the exclusive management and control of all aspects of the business of the Trust and the Fund. The Trustee will have no duty or liability to supervise or monitor the performance of the Managing Owner, nor will the Trustee have any liability for the acts or omissions of the Managing Owner. The Managing Owner The Managing Owner serves as the Fund’s commodity pool operator, commodity trading advisor and managing owner. The Fund pays the Managing Owner a management fee, monthly in arrears, in an amount equal to 0.75% per annum of the daily net asset value of the Fund (the “Management Fee”). From inception up to and excluding the Closing Date, all Management Fees were payable to the Predecessor Managing Owner. The Managing Owner has served as managing owner of the Fund since the Closing Date and all Management Fee accruals since the Closing Date have been paid to the Managing Owner. During the Years Ended December 31, 2015, 2014 and 2013, the Fund incurred Management Fees of $8,897,003, $5,742,352 and $5,580,075, respectively. As of December 31, 2015 and 2014, Management Fees payable were $728,477 and $645,665, respectively. The Commodity Broker Deutsche Bank Securities Inc., a Delaware corporation, serves as the Fund’s clearing broker (the “Commodity Broker”). The Commodity Broker is an indirect wholly-owned subsidiary of Deutsche Bank AG and is an affiliate of the Predecessor Managing Owner. A variety of executing brokers execute futures transactions on behalf of the Fund. Such executing brokers give-up all such transactions to the Commodity Broker. In its capacity as clearing broker, the Commodity Broker may execute or receive transactions executed by others and clears all of the Fund’s futures transactions and performs certain administrative and custodial services for the Fund. The Commodity Broker is responsible, among other things, for providing periodic accountings of all dealings and actions taken by the Trust on behalf of the Fund during the reporting period, together with an accounting of all securities, cash or other indebtedness or obligations held by it or its nominees for or on behalf of the Fund. During the Years Ended December 31, 2015, 2014 and 2013, the Fund incurred brokerage fees of $367,529, $498,823 and $530,505, respectively. As of December 31, 2015 and 2014, brokerage fees payable were $3,814 and $5,060, respectively. The Administrator, Custodian and Transfer Agent The Bank of New York Mellon (the “Administrator” and “Custodian”) is the administrator, custodian and transfer agent of the Fund, and has entered into separate administrative, custodian, transfer agency and service agreements (collectively referred to as the “Administration Agreement”). Pursuant to the Administration Agreement, the Administrator performs or supervises the performance of services necessary for the operation and administration of the Fund (other than making investment decisions), including receiving and processing orders from Authorized Participants to create and redeem Baskets, net asset value calculations, accounting and other fund administrative services. The Administrator maintains certain financial books and records, including: Basket creation and redemption books and records, fund accounting records, ledgers with respect to assets, liabilities, capital, income and expenses, the registrar, transfer journals and related details, and trading and related documents received from the Commodity Broker and other unaffiliated futures commission merchants. The Managing Owner pays the Administrator administrative services fees out of the Management Fee. As of December 31, 2014, the Fund held $18,108,522 of cash and $1,006,974,568 of United States Treasury Obligations at the Commodity Broker. In conjunction with the Transaction, during the three-day period from February 24, 2015 to February 26, 2015, the Fund transferred $55,000,000 of cash and $1,074,986,895 of United States Treasury Obligations from the Commodity Broker to the Custodian. The Fund’s open positions of currency futures contracts remained with the Commodity Broker and accordingly, $55,249,567 of futures variation margin was credited to the Commodity Broker. $32,000,000 of United States Treasury Obligations also remained with the Commodity Broker to satisfy maintenance margin requirements. Effective February 26, 2015, the Managing Owner began transferring cash daily from the Custodian to the Commodity Broker to satisfy the previous day’s variation margin on open futures contracts. The cumulative amount of cash transferred to the Commodity Broker as of December 31, 2015 approximates the net unrealized appreciation (depreciation) on currency futures contracts. As a result, only the current day’s variation margin receivable or payable is disclosed on the Statement of Financial Condition. As of December 31, 2015, the Fund had $1,094,859,546 (or 96.52% of total assets) of its holdings of cash and United States Treasury Obligations held with its Custodian. No assets were held at the Custodian on December 31, 2014. The Distributor ALPS Distributors, Inc. (the “Distributor”) provides certain distribution services to the Fund. Pursuant to the Distribution Services Agreement, the Distributor assists the Managing Owner and the Administrator with certain functions and duties relating to distribution and marketing services to the Fund including reviewing and approving marketing materials. The Managing Owner pays the Distributor a distribution fee out of the Management Fee. Index Sponsor Effective as of the Closing Date, the Managing Owner, on behalf of the Fund, has appointed Deutsche Bank Securities Inc. to serve as the index sponsor (the “Index Sponsor”). Prior to the Closing Date, the index sponsor was Deutsche Bank AG London. The Index Sponsor calculates and publishes the daily index levels and the indicative intraday index levels. Additionally, the Index Sponsor also calculates the indicative value per Share of the Fund throughout each business day. The Managing Owner pays the Index Sponsor a licensing fee and an index services fee out of the Management Fee for performing its duties. Marketing Agent Effective as of the Closing Date, the Managing Owner, on behalf of the Fund, has appointed Deutsche Bank Securities Inc. as the marketing agent (the “Marketing Agent”) to assist the Managing Owner by providing support to educate institutional investors about the DBIQ indices and to complete governmental or institutional due diligence questionnaires or requests for proposals related to the DBIQ indices. The Managing Owner pays the Marketing Agent a marketing services fee out of the Management Fee. The Marketing Agent will not open or maintain customer accounts or handle orders for the Fund. The Marketing Agent has no responsibility for the performance of the Fund or the decisions made or actions taken by the Managing Owner. |
Summary of Significant Accounti
Summary of Significant Accounting Policies | 12 Months Ended |
Dec. 31, 2015 | |
Accounting Policies [Abstract] | |
Summary of Significant Accounting Policies | (5) Summary of Significant Accounting Policies (a) Basis of Presentation The financial statements of the Fund have been prepared using U.S. generally accepted accounting principles (“U.S. GAAP”). The Fund has determined that it meets the definition of an investment company and has prepared the financial statements in conformity with U.S. GAAP for investment companies in conformity with accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946— Investment Companies 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 (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. (c) Financial Instruments and Fair Value United States Treasury Obligations and currency 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. U.S. GAAP defines fair value as the price 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, under current market conditions. U.S. GAAP establishes a hierarchy that prioritizes the inputs to valuation methods, giving the highest priority to readily available unadjusted quoted prices in an active market for identical assets (Level 1) and the lowest priority to significant unobservable inputs (Level 3), generally when market prices are not readily available or are unreliable. Based on the valuation inputs, the securities or other investments are tiered into one of three levels. Changes in valuation methods or market conditions may result in transfers in or out of an investment’s assigned level: Level 1: Prices are determined using quoted prices in an active market for identical assets. Level 2: Prices are determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, loss severities, default rates, discount rates, volatilities and others. Level 3: Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in determining fair value of the securities or instruments and would be based on the best available information. United States Treasury Obligations are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as developments related to specific securities, yield, quality, type of issue, coupon rate, maturity, individual trading characteristics and other market data. All debt obligations involve some risk of default with respect to interest and/or principal payments. The levels assigned to the securities valuations may not be an indication of the risk or liquidity associated with investing in those securities. Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon actual sale of those investments. The following is a summary of the tiered valuation input levels as of December 31, 2015: Level 1 Level 2 Level 3 Total United States Treasury Obligations $ — $ 1,077,913,905 $ — $ 1,077,913,905 Currency Futures Contracts(a) $ 9,076,613 $ — $ — $ 9,076,613 (a) Unrealized appreciation (depreciation). The Fund’s policy is to recognize transfers in and out of the valuation levels as of the end of the reporting period. Effective on the Closing Date, the Managing Owner evaluated the classification of the Fund’s investments, and elected to reflect United States Treasury Obligations as Level 2. As a result, United States Treasury Obligations were transferred from Level 1 to Level 2. The following is a summary of the tiered valuation input levels as of December 31, 2014: Level 1 Level 2 Level 3 Total United States Treasury Obligations $ 1,006,974,568 $ — $ — $ 1,006,974,568 Currency Futures Contracts(a) $ 19,570,252 $ — $ — $ 19,570,252 (a) Unrealized appreciation (depreciation). (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 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 broker trading account. To meet the Fund’s initial margin requirements, the Fund holds United States Treasury Obligations. The Fund transfers cash to the Commodity Broker to satisfy variation margin requirements. The Fund earns interest on any excess cash deposited with the Commodity Broker and incurs interest expense on any deficit balance with the Commodity Broker. (e) United States Treasury Obligations The Fund records purchases and sales of United States Treasury Obligations on trade date. These holdings are marked to market based on evaluated mean prices provided by an independent pricing service. A portion of the Fund’s United States Treasury Obligations are held for deposit with the Commodity Broker to meet margin requirements. Interest income is recognized on an accrual basis when earned. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Premiums and discounts are amortized or accreted over the life of the United States Treasury Obligations. As of December 31, 2015, there were no payables or receivables outstanding for securities purchased or sold. The Fund purchased $37,000,000 face amount of United States Treasury Obligations valued at $36,996,763 which was recorded as payable for securities purchased as of December 31, 2014. (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 on futures contracts held by the Fund by keeping cash on deposit with the Commodity Broker. The Fund assesses its variation margin requirements on a daily basis by recalculating the change in value of the futures contracts based on price movements. Subsequent cash payments are made or received by the Fund each business day depending upon whether unrealized gains or losses are incurred on the futures contracts. Effective February 24, 2015, only the current day’s variation margin receivable or payable is disclosed as an asset or liability on the Statement of Financial Condition. The Fund defines cash and cash equivalents to be highly liquid investments, with original maturities of three months or less when purchased. There were no cash equivalents held by the Fund as of December 31, 2015 and 2014. (g) Income Taxes The Fund is classified as a partnership for U.S. federal income tax purposes. Accordingly, the Fund will generally 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. The Managing Owner has reviewed all of the Fund’s open tax years and major jurisdictions and concluded that there is no tax liability resulting from unrecognized tax benefits relating to uncertain tax positions taken or expected to be taken in future tax returns. The Fund is 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, the Managing Owner will monitor the Fund’s 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, 2012. (h) Currency Futures Contracts All currency futures contracts are held and used for trading purposes. Currency futures contracts are recorded on trade date. Open contracts are recorded in the Statements of Financial Condition at fair value on trade date and on each successive date as well as on the last business day of each of the periods presented. Currency futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Realized gains (losses) and changes in unrealized appreciation (depreciation) on open positions are determined on a specific identification basis and recognized in the Statements of Income and Expenses in the period in which the contract is closed or the changes occur, respectively. The Fair Value of Derivative Instruments is as follows: December 31, 2015 (a) 2014 (b) Risk Exposure/Derivative Type Assets Liabilities Assets Liabilities Currency risk Currency Futures Contracts $ 9,076,613 $ — $ 19,570,252 $ — (a) Includes cumulative appreciation of currency futures contracts. Only current day’s variation margin receivable is reported in the December 31, 2015 Statement of Financial Condition. (b) Values are disclosed on the December 31, 2014 Statement of Financial Condition under Net unrealized appreciation (depreciation) on Currency Futures Contracts The Effect of Derivative Instruments on the Statements of Income and Expenses is as follows: Year Ended December 31, Risk Exposure/Derivative Type Location of Gain or (Loss) on Derivatives Income 2015 2014 2013 Currency risk Currency Futures Contracts Net Realized Gain (Loss) $ 79,589,339 $ 79,130,173 $ (16,120,106 ) Net Change in Unrealized Gain (Loss) (10,493,639 ) 20,149,887 351,919 Total $ 69,095,700 $ 99,280,060 $ (15,768,187 ) The table below summarizes the average monthly notional value of futures contracts outstanding for the year ended December 31, 2015 and the average quarterly notional value of futures contracts outstanding for the years ended December 31, 2014 and 2013, respectively. Years Ended December 31, 2015 2014 2013 Average Notional Value $ 1,169,610,341 $ 757,285,000 $ 754,406,000 The Fund utilizes derivative instruments to achieve its investment objective. 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. The Managing Owner will utilize any excess cash held at the Commodity Broker to offset any realized losses incurred in the currency futures contracts, if available. To the extent that any excess cash held at the Commodity Broker is not adequate to cover any realized losses, a portion of the United States Treasury Obligations on deposit with the Commodity Broker will be sold to make additional cash available. For financial reporting purposes, the Fund offsets financial assets and financial liabilities that are subject to netting arrangements. In order for an arrangement to be eligible for netting, the Fund must have a basis to conclude that such netting arrangements are legally enforceable. The following table presents derivative instruments that are either subject to an enforceable netting agreement or offset by collateral arrangements as of December 31, 2015, net by contract: Gross Amounts Gross Amounts Net Amounts Gross Amounts Not Offset in the Financial Cash Collateral Net Assets Currency Futures Contracts $ 9,076,613 $ (4,587,151 ) $ 4,489,462 $ — $ — $ 4,489,462 Liabilities Currency Futures Contracts $ (4,587,151 ) $ 4,587,151 $ — $ — $ — $ — The following table presents derivative instruments that are either subject to an enforceable netting agreement or offset by collateral arrangements as of December 31, 2014, net by contract: Gross Amounts Gross Amounts Net Amounts Gross Amounts Not Offset in the Financial Cash Collateral Net Amount Assets Currency Futures Contracts $ 19,570,252 $ — $ 19,570,252 $ — $ — $ 19,570,252 (a) As of December 31, 2015 and 2014, a portion of the Fund’s cash and U.S. Treasury Obligations were required to be deposited as margin in support of the Fund’s futures positions as described in Note 3. (b) Includes cumulative appreciation of Currency Futures Contracts. (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. 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 $6.00, $12.00 and $12.00 per round-turn trade during the Years Ended December 31, 2015, 2014 and 2013, respectively. (j) Routine Operational, Administrative and Other Ordinary Expenses After the Closing Date, the Managing Owner assumed 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. Prior to the Closing Date, the Predecessor Managing Owner assumed all routine operational, administrative and other ordinary expenses of the Fund. Accordingly, such expenses are not reflected in the Statements of Income and Expenses of the Fund. (k) Organizational and Offering Costs All organizational and offering expenses (including continuous offering expenses for the offering of Shares) incurred by the Fund were assumed by either the Predecessor Managing Owner or the Managing Owner. The Fund is not responsible to either the Predecessor Managing Owner or the Managing Owner for the reimbursement of organizational and offering costs (including continuous offering expenses for the offering of Shares). (l) Non-Recurring Fees and Expenses The Fund pays all non-recurring and unusual fees and expenses (referred to as extraordinary fees and expenses in the Trust Agreement), 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, litigation costs or indemnification or other unanticipated expenses. Such non-recurring and unusual fees and expenses, by their nature, are unpredictable in terms of timing and amount. For the Years Ended December 31, 2015, 2014 and 2013, the Fund did not incur such expenses. |
Financial Instrument Risk
Financial Instrument Risk | 12 Months Ended |
Dec. 31, 2015 | |
Investments, Debt and Equity Securities [Abstract] | |
Financial Instrument Risk | (6) Financial Instrument Risk In the normal course of its business, the Fund is a party to financial instruments with off-balance sheet risk. The term “off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in a future obligation or loss in excess of the amounts shown on the Statements of Financial Condition. The financial instruments used by the Fund are currency futures, whose values are based upon an underlying asset and generally represent future commitments that have a reasonable possibility of being settled in cash or through physical delivery. The financial instruments are traded on an exchange and are standardized contracts. Market risk is the potential for changes in the value of the financial instruments traded by the Fund due to market changes, including fluctuations in currency prices. In entering into these futures contracts, there exists a market risk that such futures contracts may be significantly influenced by adverse market conditions, resulting in such futures contracts being less valuable. If the markets should move against all of the futures contracts at the same time, the Fund could experience substantial losses. Credit risk is the possibility that a loss may occur due to the failure of the Commodity Broker and/or clearinghouse to perform according to the terms of a futures contract. Credit risk with respect to exchange-traded instruments is reduced to the extent that an exchange or clearing organization acts as a counterparty to the transactions. The Commodity Broker, when acting as the Fund’s futures commission merchant in accepting orders for the purchase or sale of domestic futures contracts, is required by CFTC regulations to separately account for and segregate as belonging to the Fund all assets of the Fund relating to domestic futures trading and the Commodity Broker is not allowed to commingle such assets with other assets of the Commodity Broker. In addition, CFTC regulations also require the Commodity Broker to hold in a secure account assets of the Fund related to foreign futures trading. The Fund’s risk of loss in the event of counterparty default is typically limited to the amounts recognized in the Statements of Financial Condition and not represented by the futures contract or notional amounts of the instruments. The Fund has not utilized, nor does it expect to utilize in the future, special purpose entities to facilitate off-balance sheet financing arrangements and has no loan guarantee arrangements or off-balance sheet arrangements of any kind, other than agreements entered into in the normal course of business noted above. |
Share Purchases and Redemptions
Share Purchases and Redemptions | 12 Months Ended |
Dec. 31, 2015 | |
Text Block [Abstract] | |
Share Purchases and Redemptions | (7) Share Purchases and Redemptions (a) Purchases On any business day, an Authorized Participant may place an order with the Administrator who serves as the Fund’s transfer agent (“Transfer Agent”) to create one or more Baskets. For purposes of processing both creation and redemption orders, a “business day” means any day other than a day when banks in New York City are required or permitted to be closed. Creation orders must be placed by 1:00 p.m., Eastern Time. The day on which the Transfer Agent receives a valid creation order is the creation order date. The day on which a creation order is settled is the creation order settlement date. As provided below, the creation order settlement date may occur up to three business days after the creation order date. By placing a creation order, and prior to delivery of such Baskets, an Authorized Participant’s DTC account is charged the non-refundable transaction fee due for the creation order. Unless otherwise agreed to by the Managing Owner and the Authorized Participant as provided in the next sentence, Baskets are issued on the creation order settlement date as of 2:45 p.m., Eastern Time, on the business day immediately following the creation order date at the applicable net asset value per Share as of the closing time of the NYSE Arca or the last to close of the exchanges on which its futures contracts are traded, whichever is later, on the creation order date, but only if the required payment has been timely received. Upon submission of a creation order, the Authorized Participant may request the Managing Owner to agree to a creation order settlement date up to three business days after the creation order date. Creation orders may be placed either (i) through the Continuous Net Settlement (“CNS”) clearing processes of the National Securities Clearing Corporation (the “NSCC”) (the “CNS Clearing Process”) or (ii) if outside the CNS Clearing Process, only through the facilities of The Depository Trust Company (“DTC” or the “Depository”) (the “DTC Process”), or a successor depository. (b) Redemptions On any business day, an Authorized Participant may place an order with the Transfer Agent to redeem one or more Baskets. Redemption orders must be placed by 1:00 p.m., Eastern Time. The day on which the Managing Owner receives a valid redemption order is the redemption order date. The day on which a redemption order is settled is the redemption order settlement date. As provided below, the redemption order settlement date may occur up to three business days after the redemption order date. The redemption procedures allow Authorized Participants to redeem Baskets. Individual Shareholders may not redeem directly from the Fund. Instead, individual Shareholders may only redeem Shares in integral multiples of 200,000 and only through an Authorized Participant. Unless otherwise agreed to by the Managing Owner and the Authorized Participant as provided in the next sentence, by placing a redemption order, an Authorized Participant agrees to deliver the Baskets to be redeemed through DTC’s book-entry system to the Fund not later than the redemption order settlement date as of 2:45 p.m., Eastern Time, on the business day immediately following the redemption order date. Upon submission of a redemption order, the Authorized Participant may request the Managing Owner to agree to a redemption order settlement date up to three business days after the redemption order date. By placing a redemption order, and prior to receipt of the redemption proceeds, an Authorized Participant’s DTC account is charged the non-refundable transaction fee due for the redemption order. Redemption orders may be placed either (i) through the CNS Clearing Process or (ii) if outside the CNS Clearing Process, only through the DTC Process, or a successor depository, and only in exchange for cash. The redemption proceeds from the Fund consist of the cash redemption amount. The cash redemption amount is equal to the net asset value of the number of Basket(s) of the Fund requested in the Authorized Participant’s redemption order as of the closing time of the NYSE Arca or the last to close of the exchanges on which the Fund’s futures contracts are traded, whichever is later, on the redemption order date. The Managing Owner will distribute the cash redemption amount at the redemption order settlement date as of 2:45 p.m., Eastern Time, on the redemption order settlement date through DTC to the account of the Authorized Participant as recorded on DTC’s book-entry system. The redemption proceeds due from the Fund are delivered to the Authorized Participant at 2:45 p.m., Eastern Time, on the redemption order settlement date if, by such time, the Fund’s DTC account has been credited with the Baskets to be redeemed. If the Fund’s DTC account has not been credited with all of the Baskets to be redeemed by such time, the redemption distribution is delivered to the extent of whole Baskets received. Any remainder of the redemption distribution is delivered on the next business day to the extent of remaining whole Baskets received if the Transfer Agent receives the fee applicable to the extension of the redemption distribution date which the Managing Owner may, from time-to-time, determine and the remaining Baskets to be redeemed are credited to the Fund’s DTC account by 2:45 p.m., Eastern Time, on such next business day. Any further outstanding amount of the redemption order will be cancelled. The Managing Owner is also authorized to deliver the redemption distribution notwithstanding that the Baskets to be redeemed are not credited to the Fund’s DTC account by 2:45 p.m., Eastern Time, on the redemption order settlement date if the Authorized Participant has collateralized its obligation to deliver the Baskets through DTC’s book-entry system on such terms as the Managing Owner may determine from time-to-time. |
Profit and Loss Allocations and
Profit and Loss Allocations and Distributions | 12 Months Ended |
Dec. 31, 2015 | |
Equity [Abstract] | |
Profit and Loss Allocations and Distributions | (8) Profit and Loss Allocations and Distributions Pursuant to the Trust Agreement, income and expenses are allocated pro rata to the Managing Owner as holder of the General Shares and to the Shareholders monthly based on their respective percentage interests as of the close of the last trading day of the preceding month. Distributions (other than redemption of units) may be made at the sole discretion of the Managing Owner on a pro rata basis in accordance with the respective capital balances of the shareholders. No distributions were paid for the Years Ended December 31, 2015, 2014 and 2013. |
Commitments and Contingencies
Commitments and Contingencies | 12 Months Ended |
Dec. 31, 2015 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | (9) Commitments and Contingencies The Managing Owner, either in its own capacity or in its capacity as the Managing Owner and on behalf of the Fund, has entered into various service agreements that contain a variety of representations, or provide indemnification provisions related to certain risks service providers undertake in performing services which are in the best interests of the Fund. As of December 31, 2015 and 2014, no claims had been received by the Fund. Further, the Fund has not had prior claims or losses pursuant to these contracts. Accordingly, the Managing Owner expects the risk of loss to be remote. |
Net Asset Value and Financial H
Net Asset Value and Financial Highlights | 12 Months Ended |
Dec. 31, 2015 | |
Earnings Per Share [Abstract] | |
Net Asset Value and Financial Highlights | (10) Net Asset Value and Financial Highlights The Fund is presenting the following net asset value and financial highlights related to investment performance for a Share outstanding for the Years Ended December 31, 2015, 2014 and 2013. The net investment income (loss) and total expense ratios are calculated using average net asset value. The net asset value per Share presentation is calculated using average daily Shares outstanding. The total return is based on the change in net asset value of the Shares during the period. An individual investor’s return and ratios may vary based on the timing of capital transactions. Net asset value per Share is the net asset value of the Fund divided by the number of outstanding Shares at the date of each respective period presented. Years Ended December 31, 2015 2014 2013 Net Asset Value Net asset value per Share, beginning of period $ 23.98 $ 21.52 $ 21.81 Net realized and change in unrealized gain (loss) on United States Treasury Obligations and Currency Futures Contracts 1.86 2.63 (0.12 ) Net investment income (loss)(a) (0.19 ) (0.17 ) (0.17 ) Net income (loss) 1.67 2.46 (0.29 ) Net asset value per Share, end of period $ 25.65 $ 23.98 $ 21.52 Market value per Share, beginning of period $ 23.98 (b)(c) $ 21.52 $ 21.81 Market value per Share, end of period $ 25.64 (c) $ 23.97 $ 21.52 Ratio to average Net Assets Net investment income (loss) (0.75 )% (0.78 )% (0.78 )% Total expenses 0.78 % 0.81 % 0.82 % Total Return, at net asset value 6.96 % 11.43 % (1.33 )% Total Return, at market value 6.92 % 11.38 % (1.33 )% (a) Based on average shares outstanding. (b) Effective as of the Closing Date, the Fund changed the source of market value per share prices, resulting in a difference in the ending market value per share presented for the year ended December 31, 2014 and the beginning market value per share for the year ended December 31, 2015. (c) The mean between the last bid and ask prices |
Selected Quarterly Financial Da
Selected Quarterly Financial Data (Unaudited) | 12 Months Ended |
Dec. 31, 2015 | |
Quarterly Financial Information Disclosure [Abstract] | |
Selected Quarterly Financial Data (Unaudited) | (11) Selected Quarterly Financial Data (Unaudited) The following summarized (unaudited) quarterly financial information presents the results of operations and other data for three month periods ended March 31, June 30, September 30 and December 31, 2015 and 2014. For the Three Months Ended March 31, 2015 For the Three Months Ended June 30, 2015 For the Three Months Ended September 30, 2015 For the Three Months Ended December 31, 2015 Interest Income(a) $ 77,421 $ 66,110 $ 65,690 $ 127,437 Net investment income (loss) $ (2,131,631 ) $ (2,532,729 ) $ (2,291,328 ) $ (1,997,397 ) Net realized and net change in unrealized gains (losses) on United States Treasury Obligations and Currency Futures Contracts $ 88,094,660 $ (44,877,435 ) $ 5,703,877 $ 20,173,195 Net Income (loss) $ 85,963,029 $ (47,410,164 ) $ 3,412,549 $ 18,175,798 Increase (decrease) in Net Asset Value $ 331,305,891 $ (122,717,685 ) $ (175,328,957 ) $ 93,349,713 Net Income (loss) per Share $ 1.96 $ (0.93 ) $ 0.12 $ 0.52 For the Three Months Ended March 31, 2014 For the Three Months Ended June 30, 2014 For the Three Months Ended September 30, 2014 For the Three Months Ended December 31, 2014 Interest Income(a) $ 109,812 $ 74,189 $ 54,576 $ 33,492 Net investment income (loss) $ (1,288,085 ) $ (1,289,509 ) $ (1,555,111 ) $ (1,836,401 ) Net realized and net change in unrealized gains (losses) on United States Treasury Obligations and Futures $ (1,309,982 ) $ (5,244,631 ) $ 57,541,687 $ 48,319,439 Net Income (loss) $ (2,598,067 ) $ (6,534,140 ) $ 55,986,576 $ 46,483,038 Increase (decrease) in Net Asset Value $ 2,585,333 $ 41,026,381 $ 2,653,270 $ 293,752,751 Net Income (loss) per Share $ (0.06 ) $ (0.18 ) $ 1.58 $ 1.12 (a) Interest Income for the year ended December 31, 2014 include interest expense on overdraft balances. These amounts are included in Interest Expense for the year ended December 31, 2015. |
Summary of Significant Accoun20
Summary of Significant Accounting Policies (Policies) | 12 Months Ended |
Dec. 31, 2015 | |
Accounting Policies [Abstract] | |
Basis of Presentation | (a) Basis of Presentation The financial statements of the Fund have been prepared using U.S. generally accepted accounting principles (“U.S. GAAP”). The Fund has determined that it meets the definition of an investment company and has prepared the financial statements in conformity with U.S. GAAP for investment companies in conformity with accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946— Investment Companies 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 |
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 currency 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. U.S. GAAP defines fair value as the price 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, under current market conditions. U.S. GAAP establishes a hierarchy that prioritizes the inputs to valuation methods, giving the highest priority to readily available unadjusted quoted prices in an active market for identical assets (Level 1) and the lowest priority to significant unobservable inputs (Level 3), generally when market prices are not readily available or are unreliable. Based on the valuation inputs, the securities or other investments are tiered into one of three levels. Changes in valuation methods or market conditions may result in transfers in or out of an investment’s assigned level: Level 1: Prices are determined using quoted prices in an active market for identical assets. Level 2: Prices are determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, loss severities, default rates, discount rates, volatilities and others. Level 3: Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in determining fair value of the securities or instruments and would be based on the best available information. United States Treasury Obligations are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as developments related to specific securities, yield, quality, type of issue, coupon rate, maturity, individual trading characteristics and other market data. All debt obligations involve some risk of default with respect to interest and/or principal payments. The levels assigned to the securities valuations may not be an indication of the risk or liquidity associated with investing in those securities. Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon actual sale of those investments. The following is a summary of the tiered valuation input levels as of December 31, 2015: Level 1 Level 2 Level 3 Total United States Treasury Obligations $ — $ 1,077,913,905 $ — $ 1,077,913,905 Currency Futures Contracts(a) $ 9,076,613 $ — $ — $ 9,076,613 (a) Unrealized appreciation (depreciation). The Fund’s policy is to recognize transfers in and out of the valuation levels as of the end of the reporting period. Effective on the Closing Date, the Managing Owner evaluated the classification of the Fund’s investments, and elected to reflect United States Treasury Obligations as Level 2. As a result, United States Treasury Obligations were transferred from Level 1 to Level 2. The following is a summary of the tiered valuation input levels as of December 31, 2014: Level 1 Level 2 Level 3 Total United States Treasury Obligations $ 1,006,974,568 $ — $ — $ 1,006,974,568 Currency Futures Contracts(a) $ 19,570,252 $ — $ — $ 19,570,252 (a) Unrealized appreciation (depreciation). |
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 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 broker trading account. To meet the Fund’s initial margin requirements, the Fund holds United States Treasury Obligations. The Fund transfers cash to the Commodity Broker to satisfy variation margin requirements. The Fund earns interest on any excess cash deposited with the Commodity Broker and incurs interest expense on any deficit balance 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 trade date. These holdings are marked to market based on evaluated mean prices provided by an independent pricing service. A portion of the Fund’s United States Treasury Obligations are held for deposit with the Commodity Broker to meet margin requirements. Interest income is recognized on an accrual basis when earned. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Premiums and discounts are amortized or accreted over the life of the United States Treasury Obligations. As of December 31, 2015, there were no payables or receivables outstanding for securities purchased or sold. The Fund purchased $37,000,000 face amount of United States Treasury Obligations valued at $36,996,763 which was recorded as payable for securities purchased as of December 31, 2014. |
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 on futures contracts held by the Fund by keeping cash on deposit with the Commodity Broker. The Fund assesses its variation margin requirements on a daily basis by recalculating the change in value of the futures contracts based on price movements. Subsequent cash payments are made or received by the Fund each business day depending upon whether unrealized gains or losses are incurred on the futures contracts. Effective February 24, 2015, only the current day’s variation margin receivable or payable is disclosed as an asset or liability on the Statement of Financial Condition. The Fund defines cash and cash equivalents to be highly liquid investments, with original maturities of three months or less when purchased. There were no cash equivalents held by the Fund as of December 31, 2015 and 2014. |
Income Taxes | (g) Income Taxes The Fund is classified as a partnership for U.S. federal income tax purposes. Accordingly, the Fund will generally 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. The Managing Owner has reviewed all of the Fund’s open tax years and major jurisdictions and concluded that there is no tax liability resulting from unrecognized tax benefits relating to uncertain tax positions taken or expected to be taken in future tax returns. The Fund is 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, the Managing Owner will monitor the Fund’s 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, 2012. |
Currency Futures Contracts | (h) Currency Futures Contracts All currency futures contracts are held and used for trading purposes. Currency futures contracts are recorded on trade date. Open contracts are recorded in the Statements of Financial Condition at fair value on trade date and on each successive date as well as on the last business day of each of the periods presented. Currency futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Realized gains (losses) and changes in unrealized appreciation (depreciation) on open positions are determined on a specific identification basis and recognized in the Statements of Income and Expenses in the period in which the contract is closed or the changes occur, respectively. The Fair Value of Derivative Instruments is as follows: December 31, 2015 (a) 2014 (b) Risk Exposure/Derivative Type Assets Liabilities Assets Liabilities Currency risk Currency Futures Contracts $ 9,076,613 $ — $ 19,570,252 $ — (a) Includes cumulative appreciation of currency futures contracts. Only current day’s variation margin receivable is reported in the December 31, 2015 Statement of Financial Condition. (b) Values are disclosed on the December 31, 2014 Statement of Financial Condition under Net unrealized appreciation (depreciation) on Currency Futures Contracts The Effect of Derivative Instruments on the Statements of Income and Expenses is as follows: Year Ended December 31, Risk Exposure/Derivative Type Location of Gain or (Loss) on Derivatives Income 2015 2014 2013 Currency risk Currency Futures Contracts Net Realized Gain (Loss) $ 79,589,339 $ 79,130,173 $ (16,120,106 ) Net Change in Unrealized Gain (Loss) (10,493,639 ) 20,149,887 351,919 Total $ 69,095,700 $ 99,280,060 $ (15,768,187 ) The table below summarizes the average monthly notional value of futures contracts outstanding for the year ended December 31, 2015 and the average quarterly notional value of futures contracts outstanding for the years ended December 31, 2014 and 2013, respectively. Years Ended December 31, 2015 2014 2013 Average Notional Value $ 1,169,610,341 $ 757,285,000 $ 754,406,000 The Fund utilizes derivative instruments to achieve its investment objective. 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. The Managing Owner will utilize any excess cash held at the Commodity Broker to offset any realized losses incurred in the currency futures contracts, if available. To the extent that any excess cash held at the Commodity Broker is not adequate to cover any realized losses, a portion of the United States Treasury Obligations on deposit with the Commodity Broker will be sold to make additional cash available. For financial reporting purposes, the Fund offsets financial assets and financial liabilities that are subject to netting arrangements. In order for an arrangement to be eligible for netting, the Fund must have a basis to conclude that such netting arrangements are legally enforceable. The following table presents derivative instruments that are either subject to an enforceable netting agreement or offset by collateral arrangements as of December 31, 2015, net by contract: Gross Amounts Gross Amounts Net Amounts Gross Amounts Not Offset in the Financial Cash Collateral Net Assets Currency Futures Contracts $ 9,076,613 $ (4,587,151 ) $ 4,489,462 $ — $ — $ 4,489,462 Liabilities Currency Future Contracts $ (4,587,151 ) $ 4,587,151 $ — $ — $ — $ — The following table presents derivative instruments that are either subject to an enforceable netting agreement or offset by collateral arrangements as of December 31, 2014, net by contract: Gross Amounts Gross Amounts Net Amounts Gross Amounts Not Offset in the Financial Cash Collateral Net Amount Assets Currency Futures Contracts $ 19,570,252 $ — $ 19,570,252 $ — $ — $ 19,570,252 (a) As of December 31, 2015 and 2014, a portion of the Fund’s cash and U.S. Treasury Obligations were required to be deposited as margin in support of the Fund’s futures positions as described in Note 3. (b) Includes cumulative appreciation of Currency Futures Contracts. |
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. 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 $6.00, $12.00 and $12.00 per round-turn trade during the Years Ended December 31, 2015, 2014 and 2013, respectively. |
Routine Operational, Administrative and Other Ordinary Expenses | (j) Routine Operational, Administrative and Other Ordinary Expenses After the Closing Date, the Managing Owner assumed 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. Prior to the Closing Date, the Predecessor Managing Owner assumed all routine operational, administrative and other ordinary expenses of the Fund. Accordingly, such expenses are not reflected in the Statements of Income and Expenses of the Fund. |
Organizational and Offering Costs | (k) Organizational and Offering Costs All organizational and offering expenses (including continuous offering expenses for the offering of Shares) incurred by the Fund were assumed by either the Predecessor Managing Owner or the Managing Owner. The Fund is not responsible to either the Predecessor Managing Owner or the Managing Owner for the reimbursement of organizational and offering costs (including continuous offering expenses for the offering of Shares). |
Non-Recurring Fees and Expenses | (l) Non-Recurring Fees and Expenses The Fund pays all non-recurring and unusual fees and expenses (referred to as extraordinary fees and expenses in the Trust Agreement), 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, litigation costs or indemnification or other unanticipated expenses. Such non-recurring and unusual fees and expenses, by their nature, are unpredictable in terms of timing and amount. For the Years Ended December 31, 2015, 2014 and 2013, the Fund did not incur such expenses. |
Summary of Significant Accoun21
Summary of Significant Accounting Policies (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Accounting Policies [Abstract] | |
Summary of the Tiered Valuation Input Levels | The following is a summary of the tiered valuation input levels as of December 31, 2015: Level 1 Level 2 Level 3 Total United States Treasury Obligations $ — $ 1,077,913,905 $ — $ 1,077,913,905 Currency Futures Contracts(a) $ 9,076,613 $ — $ — $ 9,076,613 (a) Unrealized appreciation (depreciation). The following is a summary of the tiered valuation input levels as of December 31, 2014: Level 1 Level 2 Level 3 Total United States Treasury Obligations $ 1,006,974,568 $ — $ — $ 1,006,974,568 Currency Futures Contracts(a) $ 19,570,252 $ — $ — $ 19,570,252 (a) Unrealized appreciation (depreciation). |
Fair Value of Derivative Instruments and Effect of Derivative Instruments on Statements of Income and Expenses | The Fair Value of Derivative Instruments is as follows: December 31, 2015 (a) 2014 (b) Risk Exposure/Derivative Type Assets Liabilities Assets Liabilities Currency risk Currency Futures Contracts $ 9,076,613 $ — $ 19,570,252 $ — (a) Includes cumulative appreciation of currency futures contracts. Only current day’s variation margin receivable is reported in the December 31, 2015 Statement of Financial Condition. (b) Values are disclosed on the December 31, 2014 Statement of Financial Condition under Net unrealized appreciation (depreciation) on Currency Futures Contracts The Effect of Derivative Instruments on the Statements of Income and Expenses is as follows: Year Ended December 31, Risk Exposure/Derivative Type Location of Gain or (Loss) on Derivatives Income 2015 2014 2013 Currency risk Currency Futures Contracts Net Realized Gain (Loss) $ 79,589,339 $ 79,130,173 $ (16,120,106 ) Net Change in Unrealized Gain (Loss) (10,493,639 ) 20,149,887 351,919 Total $ 69,095,700 $ 99,280,060 $ (15,768,187 ) |
Summary of Average Monthly and Quarterly Notional Value of Future Contracts Outstanding | The table below summarizes the average monthly notional value of futures contracts outstanding for the year ended December 31, 2015 and the average quarterly notional value of futures contracts outstanding for the years ended December 31, 2014 and 2013, respectively. Years Ended December 31, 2015 2014 2013 Average Notional Value $ 1,169,610,341 $ 757,285,000 $ 754,406,000 |
Summary of Gross and Net Amounts of Offsetting Assets and Liabilities | The following table presents derivative instruments that are either subject to an enforceable netting agreement or offset by collateral arrangements as of December 31, 2015, net by contract: Gross Amounts Gross Amounts Net Amounts Gross Amounts Not Offset in the Financial Cash Collateral Net Assets Currency Futures Contracts $ 9,076,613 $ (4,587,151 ) $ 4,489,462 $ — $ — $ 4,489,462 Liabilities Currency Future Contracts $ (4,587,151 ) $ 4,587,151 $ — $ — $ — $ — The following table presents derivative instruments that are either subject to an enforceable netting agreement or offset by collateral arrangements as of December 31, 2014, net by contract: Gross Amounts Gross Amounts Net Amounts Gross Amounts Not Offset in the Financial Cash Collateral Net Amount Assets Currency Futures Contracts $ 19,570,252 $ — $ 19,570,252 $ — $ — $ 19,570,252 (a) As of December 31, 2015 and 2014, a portion of the Fund’s cash and U.S. Treasury Obligations were required to be deposited as margin in support of the Fund’s futures positions as described in Note 3. (b) Includes cumulative appreciation of Currency Futures Contracts. |
Net Asset Value and Financial22
Net Asset Value and Financial Highlights (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Earnings Per Share [Abstract] | |
Schedule of Net Asset Value Per Share | Net asset value per Share is the net asset value of the Fund divided by the number of outstanding Shares at the date of each respective period presented. Years Ended December 31, 2015 2014 2013 Net Asset Value Net asset value per Share, beginning of period $ 23.98 $ 21.52 $ 21.81 Net realized and change in unrealized gain (loss) on United States Treasury Obligations and Currency Futures Contracts 1.86 2.63 (0.12 ) Net investment income (loss)(a) (0.19 ) (0.17 ) (0.17 ) Net income (loss) 1.67 2.46 (0.29 ) Net asset value per Share, end of period $ 25.65 $ 23.98 $ 21.52 Market value per Share, beginning of period $ 23.98 (b)(c) $ 21.52 $ 21.81 Market value per Share, end of period $ 25.64 (c) $ 23.97 $ 21.52 Ratio to average Net Assets Net investment income (loss) (0.75 )% (0.78 )% (0.78 )% Total expenses 0.78 % 0.81 % 0.82 % Total Return, at net asset value 6.96 % 11.43 % (1.33 )% Total Return, at market value 6.92 % 11.38 % (1.33 )% (a) Based on average shares outstanding. (b) Effective as of the Closing Date, the Fund changed the source of market value per share prices, resulting in a difference in the ending market value per share presented for the year ended December 31, 2014 and the beginning market value per share for the year ended December 31, 2015. (c) The mean between the last bid and ask prices. |
Selected Quarterly Financial 23
Selected Quarterly Financial Data (Unaudited) (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Quarterly Financial Information Disclosure [Abstract] | |
Schedule of Summarized (Unaudited) Quarterly Financial Information | The following summarized (unaudited) quarterly financial information presents the results of operations and other data for three month periods ended March 31, June 30, September 30 and December 31, 2015 and 2014. For the Three Months Ended March 31, 2015 For the Three Months Ended June 30, 2015 For the Three Months Ended September 30, 2015 For the Three Months Ended December 31, 2015 Interest Income(a) $ 77,421 $ 66,110 $ 65,690 $ 127,437 Net investment income (loss) $ (2,131,631 ) $ (2,532,729 ) $ (2,291,328 ) $ (1,997,397 ) Net realized and net change in unrealized gains (losses) on United States Treasury Obligations and Currency Futures Contracts $ 88,094,660 $ (44,877,435 ) $ 5,703,877 $ 20,173,195 Net Income (loss) $ 85,963,029 $ (47,410,164 ) $ 3,412,549 $ 18,175,798 Increase (decrease) in Net Asset Value $ 331,305,891 $ (122,717,685 ) $ (175,328,957 ) $ 93,349,713 Net Income (loss) per Share $ 1.96 $ (0.93 ) $ 0.12 $ 0.52 For the Three Months Ended March 31, 2014 For the Three Months Ended June 30, 2014 For the Three Months Ended September 30, 2014 For the Three Months Ended December 31, 2014 Interest Income(a) $ 109,812 $ 74,189 $ 54,576 $ 33,492 Net investment income (loss) $ (1,288,085 ) $ (1,289,509 ) $ (1,555,111 ) $ (1,836,401 ) Net realized and net change in unrealized gains (losses) on United States Treasury Obligations and Futures $ (1,309,982 ) $ (5,244,631 ) $ 57,541,687 $ 48,319,439 Net Income (loss) $ (2,598,067 ) $ (6,534,140 ) $ 55,986,576 $ 46,483,038 Increase (decrease) in Net Asset Value $ 2,585,333 $ 41,026,381 $ 2,653,270 $ 293,752,751 Net Income (loss) per Share $ (0.06 ) $ (0.18 ) $ 1.58 $ 1.12 (a) Interest Income for the year ended December 31, 2014 include interest expense on overdraft balances. These amounts are included in Interest Expense for the year ended December 31, 2015. |
Background - Additional Informa
Background - Additional Information (Detail) - Trust | 12 Months Ended | ||
Dec. 31, 2015 | Oct. 24, 2014 | Aug. 03, 2006 | |
Related Party Transactions [Abstract] | |||
Number of series of trusts | 2 | 2 | |
Purchase agreement transaction date | Feb. 23, 2015 |
Organization - Additional Infor
Organization - Additional Information (Detail) | Aug. 03, 2006USD ($)Trustshares | Dec. 31, 2015Basketshares | Dec. 31, 2014shares | Oct. 24, 2014Trust |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | ||||
Number of series of trusts | Trust | 2 | 2 | ||
General shares, shares issued | 40 | 40 | 40 | |
Partners' capital contribution | $ | $ 1,000 | |||
Number of shares issued per basket | 200,000 | |||
Minimum number of Baskets that can be purchased | Basket | 1 |
Fund Investment Overview - Addi
Fund Investment Overview - Additional Information (Detail) - USD ($) | 12 Months Ended | |
Dec. 31, 2015 | Dec. 31, 2014 | |
Schedule of Investments [Abstract] | ||
Equity with commodity broker | $ 39,487,561 | $ 1,044,653,342 |
Percentage of assets held by broker | 3.48% | 100.00% |
Restricted for maintenance margin | $ 34,998,099 | $ 16,632,000 |
Percentage of holdings considered restricted | 3.09% | 1.59% |
Service Providers and Related27
Service Providers and Related Party Agreements - Additional Information (Detail) - USD ($) | Feb. 26, 2015 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 |
Related Party Transaction [Line Items] | ||||
Management fee percentage per annum of daily net asset | 0.75% | |||
Management Fee | $ 8,897,003 | $ 5,742,352 | $ 5,580,075 | |
Management fee payable | 728,477 | 645,665 | ||
Brokerage Commissions and Fees | 367,529 | 498,823 | $ 530,505 | |
Brokerage fee payable | 3,814 | 5,060 | ||
United States Treasury Obligations | 1,077,913,905 | 1,006,974,568 | ||
Cash held by commodity broker | 18,108,522 | |||
Cash transfer to Commodity Broker to satisfy variation margin requirements | 55,249,567 | |||
Cash and cash equivalent deposited with Custodian | $ 1,094,859,546 | |||
Percentage of cash and cash equivalent deposited with custodian | 96.52% | |||
Fund asset held by Custodian | $ 0 | |||
Bank of New York Mellon [Member] | ||||
Related Party Transaction [Line Items] | ||||
Cash transferred to custodian | $ 55,000,000 | |||
United States Treasury Obligations transferred to custodian | 1,074,986,895 | |||
Commodity Broker [Member] | ||||
Related Party Transaction [Line Items] | ||||
Cash transfer to Commodity Broker to satisfy variation margin requirements | 55,249,567 | |||
United States Treasury Obligations transferred to Commodity Broker | $ 32,000,000 |
Summary of Significant Accoun28
Summary of Significant Accounting Policies - Summary of the Tiered Valuation Input Levels (Detail) - USD ($) | Dec. 31, 2015 | Dec. 31, 2014 |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
United States Treasury Obligations | $ 1,077,913,905 | $ 1,006,974,568 |
Currency Futures Contracts | 9,076,613 | 19,570,252 |
Level 1 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
United States Treasury Obligations | 1,006,974,568 | |
Currency Futures Contracts | 9,076,613 | $ 19,570,252 |
Level 2 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
United States Treasury Obligations | $ 1,077,913,905 |
Summary of Significant Accoun29
Summary of Significant Accounting Policies - Additional Information (Detail) - USD ($) | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |||
Cost of securities purchased | $ 4,621,990,413 | $ 3,152,761,429 | $ 3,221,585,886 |
Payable for securities purchased | 0 | 36,996,763 | |
Receivable for securities sold | 0 | ||
Cash equivalents held | 0 | 0 | |
Average charges paid to broker per round-turn trade, maximum | $ 6 | 12 | $ 12 |
US Treasury Bill Securities [Member] | |||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |||
Cost of securities purchased | $ 37,000,000 |
Summary of Significant Accoun30
Summary of Significant Accounting Policies - Fair Value of Derivative Instruments (Detail) - Currency Futures Contracts [Member] - USD ($) | Dec. 31, 2015 | Dec. 31, 2014 |
Derivatives, Fair Value [Line Items] | ||
Assets | $ 9,076,613 | $ 19,570,252 |
Liabilities | (4,587,151) | |
Not Designated as Hedging Instrument [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Assets | 9,076,613 | 19,570,252 |
Liabilities | $ 0 | $ 0 |
Summary of Significant Accoun31
Summary of Significant Accounting Policies - Effect of Derivative Instruments on Statements of Income and Expenses (Detail) - USD ($) | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Derivative Instruments, Gain (Loss) [Line Items] | |||||||||||
Futures contracts, realized gain (loss) | $ 79,589,339 | $ 79,130,173 | $ (16,120,106) | ||||||||
Futures contracts, unrealized gain (loss) | (10,493,639) | 20,149,887 | 351,919 | ||||||||
Net realized and net change in unrealized gain (loss) | $ 20,173,195 | $ 5,703,877 | $ (44,877,435) | $ 88,094,660 | $ 48,319,439 | $ 57,541,687 | $ (5,244,631) | $ (1,309,982) | 69,094,297 | 99,306,513 | (15,763,634) |
Currency Futures Contracts [Member] | Not Designated as Hedging Instrument [Member] | |||||||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||||||
Futures contracts, realized gain (loss) | 79,589,339 | 79,130,173 | (16,120,106) | ||||||||
Futures contracts, unrealized gain (loss) | (10,493,639) | 20,149,887 | 351,919 | ||||||||
Net realized and net change in unrealized gain (loss) | $ 69,095,700 | $ 99,280,060 | $ (15,768,187) |
Summary of Significant Accoun32
Summary of Significant Accounting Policies - Summary of Average Monthly and Quarterly Notional Value of Future Contracts Outstanding (Detail) - USD ($) | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 |
Weighted Average [Member] | Currency Futures Contracts [Member] | |||
Derivative [Line Items] | |||
Average notional market value | $ 1,169,610,341 | $ 757,285,000 | $ 754,406,000 |
Summary of Significant Accoun33
Summary of Significant Accounting Policies - Summary of Gross and Net Amounts of Offsetting Assets and Liabilities (Detail) - Currency Futures Contracts [Member] - USD ($) | Dec. 31, 2015 | Dec. 31, 2014 |
Offsetting Assets And Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | $ 9,076,613 | $ 19,570,252 |
Gross Amounts Offset Assets in the Statement of Financial Condition | (4,587,151) | |
Net Amounts of Assets Presented in the Statement of Financial Condition | 4,489,462 | 19,570,252 |
Gross Amounts Not Offset in the Statement of Financial Condition - Financial Instruments Assets | 0 | 0 |
Gross Amounts Not Offset in the Statement of Financial Condition - Cash Collateral Pledged Assets | 0 | 0 |
Assets Net Amount | 4,489,462 | $ 19,570,252 |
Gross Amounts of Recognized Liabilities | (4,587,151) | |
Gross Amounts Offset Liabilities in the Statement of Financial Condition | 4,587,151 | |
Net Amounts of Liabilities Presented in the Statement of Financial Condition | 0 | |
Gross Amounts Not Offset in the Statement of Financial Condition - Financial Instruments Liabilities | 0 | |
Gross Amounts Not Offset in the Statement of Financial Condition - Cash Collateral Pledged Liabilities | 0 | |
Liabilities Net Amount | $ 0 |
Share Purchases and Redemptio34
Share Purchases and Redemptions - Additional Information (Detail) | 12 Months Ended |
Dec. 31, 2015Basketshares | |
Equity [Abstract] | |
Minimum number of Baskets that can be purchased | 1 |
Minimum number of Baskets that can be redeemed | 1 |
Number of shares issued per basket | shares | 200,000 |
Profit and Loss Allocations a35
Profit and Loss Allocations and Distributions - Additional Information (Detail) - USD ($) | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Earnings Per Share [Abstract] | |||
Distributed earnings | $ 0 | $ 0 | $ 0 |
Commitments and Contingencies -
Commitments and Contingencies - Additional Information (Detail) - Claim | 12 Months Ended | |
Dec. 31, 2015 | Dec. 31, 2014 | |
Indemnification Agreement [Member] | ||
Loss Contingencies [Line Items] | ||
Claims received by fund | 0 | 0 |
Net Asset Value and Financial37
Net Asset Value and Financial Highlights - Schedule of Net Asset Value Per Share (Detail) - $ / shares | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Net Asset Value | |||||||||||
Net asset value per Share, beginning of period | $ 23.98 | $ 21.52 | $ 23.98 | $ 21.52 | $ 21.81 | ||||||
Net realized and change in unrealized gain (loss) on United States Treasury Obligations and Currency Futures Contracts | 1.86 | 2.63 | (0.12) | ||||||||
Net investment income (loss) | (0.19) | (0.17) | (0.17) | ||||||||
Net income (loss) | $ 0.52 | $ 0.12 | $ (0.93) | 1.96 | $ 1.12 | $ 1.58 | $ (0.18) | (0.06) | 1.67 | 2.46 | (0.29) |
Net asset value per Share, end of period | 25.65 | 23.98 | 25.65 | 23.98 | 21.52 | ||||||
Market value per Share, beginning of period | 23.98 | $ 21.52 | 23.98 | 21.52 | 21.81 | ||||||
Market value per Share, end of period | $ 25.64 | 23.98 | $ 25.64 | $ 23.98 | $ 21.52 | ||||||
Ratio to average Net Assets | |||||||||||
Net investment income (loss) | (0.75%) | (0.78%) | (0.78%) | ||||||||
Total expenses | 0.78% | 0.81% | 0.82% | ||||||||
Total Return, at net asset value | 6.96% | 11.43% | (1.33%) | ||||||||
Total Return, at market value | 6.92% | 11.38% | (1.33%) | ||||||||
Scenario, Previously Reported [Member] | |||||||||||
Net Asset Value | |||||||||||
Market value per Share, beginning of period | $ 23.97 | $ 23.97 | |||||||||
Market value per Share, end of period | $ 23.97 | $ 23.97 |
Selected Quarterly Financial 38
Selected Quarterly Financial Data (Unaudited) - Schedule of Summarized (Unaudited) Quarterly Financial Information (Detail) - USD ($) | 3 Months Ended | 12 Months Ended | |||||||||||||||||
Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |||||||||
Quarterly Financial Information Disclosure [Abstract] | |||||||||||||||||||
Interest Income | $ 127,437 | [1] | $ 65,690 | [1] | $ 66,110 | [1] | $ 77,421 | [1] | $ 33,492 | [1] | $ 54,576 | [1] | $ 74,189 | [1] | $ 109,812 | [1] | $ 336,658 | $ 272,069 | $ 320,338 |
Net investment income (loss) | (1,997,397) | (2,291,328) | (2,532,729) | (2,131,631) | (1,836,401) | (1,555,111) | (1,289,509) | (1,288,085) | (8,953,085) | (5,969,106) | (5,790,242) | ||||||||
Net realized and net change in unrealized gains (losses) on United States Treasury Obligations and Currency Futures Contracts | 20,173,195 | 5,703,877 | (44,877,435) | 88,094,660 | 48,319,439 | 57,541,687 | (5,244,631) | (1,309,982) | 69,094,297 | 99,306,513 | (15,763,634) | ||||||||
Net Income (loss) | 18,175,798 | 3,412,549 | (47,410,164) | 85,963,029 | 46,483,038 | 55,986,576 | (6,534,140) | (2,598,067) | $ 60,141,212 | $ 93,337,407 | $ (21,553,876) | ||||||||
Increase (decrease) in Net Asset Value | $ 93,349,713 | $ (175,328,957) | $ (122,717,685) | $ 331,305,891 | $ 293,752,751 | $ 2,653,270 | $ 41,026,381 | $ 2,585,333 | |||||||||||
Net Income (loss) per Share | $ 0.52 | $ 0.12 | $ (0.93) | $ 1.96 | $ 1.12 | $ 1.58 | $ (0.18) | $ (0.06) | $ 1.67 | $ 2.46 | $ (0.29) | ||||||||
[1] | Interest Income for the year ended December 31, 2014 include interest expense on overdraft balances. These amounts are included in Interest Expense for the year ended December 31, 2015. |