TRADING ACTIVITIES AND RELATED RISKS (Tables)
|
3 Months Ended |
Mar. 31, 2026 |
|---|
| TRADING ACTIVITIES AND RELATED RISKS [Abstract] |
|
| Fair Value of the Trust's Derivatives by Instrument Type and Location of Instruments on the Statements of Financial Condition |
The following tables summarize quantitative information required by ASC 815,
Derivatives and Hedging, (“ASC 815”). ASC 815 provides enhanced disclosures about how and why an entity uses derivative instruments, how derivative instruments are accounted for, and how derivative instruments affect an entity’s
financial position, financial performance and cash flows. The fair value of the Trust’s derivatives by instrument type, as well as the location of those instruments on the Statements of Financial Condition, as of March 31, 2026 and December 31, 2025
are as follows:
|
Type of Instrument *
|
Statements of Financial Condition Location
|
|
Asset
Derivatives at
March 31, 2026
Fair Value
|
|
|
Liability
Derivatives at
March 31, 2026
Fair Value
|
|
|
Net
|
|
|
Agriculture Contracts
|
Net unrealized gain (loss) on open futures contracts
|
|
$
|
4,150,300
|
|
|
$
|
(1,272,718
|
)
|
|
$
|
2,877,582
|
|
|
Energy Contracts
|
Net unrealized gain (loss) on open futures contracts
|
|
|
4,921,990
|
|
|
|
(78,979
|
)
|
|
|
4,843,011
|
|
|
Metal Contracts
|
Net unrealized gain (loss) on open futures contracts
|
|
|
17,119,695
|
|
|
|
(11,321,161
|
)
|
|
|
5,798,534
|
|
|
Stock Indices Contracts
|
Net unrealized gain (loss) on open futures contracts
|
|
|
1,880,555
|
|
|
|
(2,531,957
|
)
|
|
|
(651,402
|
)
|
|
Short-Term Interest Rate Contracts
|
Net unrealized gain (loss) on open futures contracts
|
|
|
1,960,353
|
|
|
|
(1,338,152
|
)
|
|
|
622,201
|
|
|
Long-Term Interest Rate Contracts
|
Net unrealized gain (loss) on open futures contracts
|
|
|
3,793,648
|
|
|
|
(3,565,524
|
)
|
|
|
228,124
|
|
|
Forward Currency Contracts
|
Net unrealized gain (loss) on open forward currency contracts
|
|
|
35,397,976
|
|
|
|
(20,867,374
|
)
|
|
|
14,530,602
|
|
|
Credit Default Index Swap Contracts**
|
Credit default index swaps
|
|
|
2,460,767
|
|
|
|
(7,847,180
|
)
|
|
|
(5,386,413
|
)
|
|
Interest Rate Swap Contracts**
|
Interest rate swaps
|
|
|
5,011,482
|
|
|
|
(5,824,125
|
)
|
|
|
(812,643
|
)
|
|
Totals
|
|
|
$
|
76,696,766
|
|
|
$
|
(54,647,170
|
)
|
|
$
|
22,049,596
|
|
|
*
|
Derivatives not designated as hedging instruments under ASC 815
|
|
**
|
Amount of centrally cleared swap contracts is not reconciled with the
Statements of Financial Condition due to variation margin amount included within cash at swaps broker in the Statements of Financial Condition.
|
|
Type of Instrument *
|
Statements of Financial Condition Location
|
|
Asset
Derivatives at
December 31, 2025
Fair Value
|
|
|
Liability
Derivatives at
December 31, 2025
Fair Value
|
|
|
Net
|
|
|
Agriculture Contracts
|
Net unrealized gain (loss) on open futures contracts
|
|
$
|
4,497,556
|
|
|
$
|
(424,970
|
)
|
|
$
|
4,072,586
|
|
|
Energy Contracts
|
Net unrealized gain (loss) on open futures contracts
|
|
|
376,411
|
|
|
|
(1,509,152
|
)
|
|
|
(1,132,741
|
)
|
|
Metal Contracts
|
Net unrealized gain (loss) on open futures contracts
|
|
|
22,980,259
|
|
|
|
(17,216,699
|
)
|
|
|
5,763,560
|
|
|
Stock Indices Contracts
|
Net unrealized gain (loss) on open futures contracts
|
|
|
3,474,883
|
|
|
|
(1,082,596
|
)
|
|
|
2,392,287
|
|
|
Short-Term Interest Rate Contracts
|
Net unrealized gain (loss) on open futures contracts
|
|
|
729,099
|
|
|
|
(195,326
|
)
|
|
|
533,773
|
|
|
Long-Term Interest Rate Contracts
|
Net unrealized gain (loss) on open futures contracts
|
|
|
1,143,731
|
|
|
|
(3,212,175
|
)
|
|
|
(2,068,444
|
)
|
|
Forward Currency Contracts
|
Net unrealized gain (loss) on open forward currency contracts
|
|
|
14,897,310
|
|
|
|
(11,339,061
|
)
|
|
|
3,558,249
|
|
|
Credit Default Index Swap Contracts**
|
Credit default index swaps
|
|
|
29,431,516
|
|
|
|
(2,485,918
|
)
|
|
|
26,945,598
|
|
| Interest Rate Swap Contracts** |
Interest rate swaps |
|
|
5,409,925 |
|
|
|
(1,961,095 |
) |
|
|
3,448,830 |
|
|
Totals
|
|
|
$
|
82,940,690
|
|
|
$
|
(39,426,992
|
)
|
|
$
|
43,513,698
|
|
|
*
|
Derivatives not designated as hedging instruments under ASC 815
|
|
**
|
Amount of centrally cleared swap contracts is not reconciled with the Statements of Financial Condition due to variation margin amount included within cash at swaps broker in the
Statements of Financial Condition.
|
|
| Trading Gains and Losses of the Trust's Derivatives by Instrument Type and Location of Gains and Losses on the Statements of Operations |
The trading gains and losses of the Trust’s derivatives by instrument type, as well as the location of those gains and losses on the Statements
of Operations, for the three months ended March 31, 2026 and 2025 are as follows:
|
Type of Instrument
|
|
Trading Gains (Losses)
for the Three Months Ended
March 31, 2026
|
|
|
Trading Gains (Losses)
for the Three Months Ended
March 31, 2025
|
|
|
Agriculture Contracts
|
|
$
|
(10,282,914
|
)
|
|
$
|
3,516,516
|
|
|
Energy Contracts
|
|
|
45,997,992
|
|
|
|
3,314,440
|
|
|
Metal Contracts
|
|
|
8,907,229
|
|
|
|
10,545,073
|
|
|
Stock Indices Contracts
|
|
|
(7,989,205
|
)
|
|
|
3,009,074
|
|
|
Short-Term Interest Rate Contracts
|
|
|
(4,333,096
|
)
|
|
|
(2,710,702
|
)
|
|
Long-Term Interest Rate Contracts
|
|
|
(109,814
|
)
|
|
|
3,371,601
|
|
|
Forward Currency Contracts
|
|
|
32,752,337
|
|
|
|
17,675,035
|
|
|
Credit default index swap contracts
|
|
|
(4,744,482
|
)
|
|
|
(2,562,137
|
)
|
|
Interest rate swap contracts
|
|
|
(6,627,363
|
)
|
|
|
1,684,488
|
|
|
Total
|
|
$
|
53,570,684
|
|
|
$
|
37,843,388
|
|
|
Line Item in the Statements of Operations
|
|
Trading Gains (Losses)
for the Three Months Ended
|
|
|
Trading Gains (Losses)
for the Three Months Ended
March 31, 2025
|
|
|
Futures trading gains (losses):
|
|
|
|
|
|
|
|
Realized***
|
|
$
|
28,033,163
|
|
|
$
|
18,952,696
|
|
|
Change in unrealized
|
|
|
4,157,029
|
|
|
|
2,093,306
|
|
|
Forward currency trading gains (losses):
|
|
|
|
|
|
|
|
|
|
Realized***
|
|
|
21,779,984
|
|
|
|
24,903,166
|
|
|
Change in unrealized
|
|
|
10,972,353
|
|
|
|
(7,228,131
|
)
|
|
Swap trading gains (losses):
|
|
|
|
|
|
|
|
|
|
Realized***
|
|
|
525,100
|
|
|
|
(7,088,099
|
)
|
|
Change in unrealized
|
|
|
(11,896,945
|
)
|
|
|
6,210,450
|
|
|
Total
|
|
$
|
53,570,684
|
|
|
$
|
37,843,388
|
|
|
***
|
For the three months ended March 31, 2026 and 2025,
the amounts above include gains/(losses) on foreign currency cash balances at the futures brokers of $(193,557) and $22,096, respectively, and gains/(losses) on spot trades in connection with forward currency trading at the interbank market maker of $1,063,622 and $(1,735,129), respectively.
|
|
| Offsetting of Derivative Assets and Collateral Received by Counterparty |
| Offsetting of Derivative Assets by
Counterparty |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Type of Instrument
|
Counterparty
|
|
Gross
Amounts of
Recognized Assets
|
|
|
Gross
Amounts
Offset in the
Statements of
Financial Condition
|
|
|
Net Amounts of
Unrealized Gain
Presented in the
Statements of
Financial Condition
|
|
|
Futures contracts
|
UBS Securities LLC
|
|
$
|
16,874,339
|
|
|
$
|
(10,269,680
|
)
|
|
$
|
6,604,659
|
|
|
Futures contracts
|
Goldman, Sachs & Co.
|
|
|
16,952,202
|
|
|
|
(9,838,811
|
)
|
|
|
7,113,391
|
|
|
Forward currency contracts
|
NatWest Markets Plc
|
|
|
35,397,976
|
|
|
|
(20,867,374
|
)
|
|
|
14,530,602
|
|
|
Centrally cleared swap contracts
|
Centrally Cleared
|
|
|
7,472,249
|
|
|
|
(7,472,249
|
)
|
|
|
0
|
|
|
Total derivatives
|
|
|
$
|
76,696,766
|
|
|
$
|
(48,448,114
|
)
|
|
$
|
28,248,652
|
|
Derivative Assets and Collateral Received by Counterparty
|
|
|
As of March 31, 2026
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Amounts of
Unrealized Gain
Presented in the
|
|
|
Gross Amounts Not Offset in the
Statements of Financial Condition
|
|
|
|
|
|
Counterparty
|
|
Statements of
Financial Condition
|
|
|
Financial
Instruments
|
|
|
Cash Collateral
Received
|
|
|
Net Amount
|
|
|
UBS Securities LLC
|
|
$
|
6,604,659
|
|
|
$
|
0
|
|
|
$
|
0
|
|
|
$
|
6,604,659
|
|
|
Goldman Sachs & Co.
|
|
|
7,113,391
|
|
|
|
0
|
|
|
|
0
|
|
|
|
7,113,391
|
|
| NatWest Markets plc |
|
|
14,530,602 |
|
|
|
0 |
|
|
|
0 |
|
|
|
14,530,602 |
|
|
Centrally Cleared
|
|
|
0
|
|
|
|
0
|
|
|
|
0
|
|
|
|
0
|
|
|
Total
|
|
$
|
28,248,652
|
|
|
$
|
0
|
|
|
$
|
0
|
|
|
$
|
28,248,652
|
|
|
Offsetting of Derivative Assets by Counterparty
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Type of Instrument
|
Counterparty
|
|
Gross
Amounts of
Recognized Assets
|
|
|
Gross
Amounts
Offset in the
Statements of
Financial Condition
|
|
|
Net Amounts of
Unrealized Gain
Presented in the
Statements of
Financial Condition
|
|
|
Futures contracts
|
UBS Securities LLC
|
|
$
|
16,974,737
|
|
|
$
|
(12,161,001
|
)
|
|
$
|
4,813,736
|
|
|
Futures contracts
|
Goldman, Sachs & Co.
|
|
|
16,227,202
|
|
|
|
(11,479,917
|
)
|
|
|
4,747,285
|
|
|
Forward currency contracts
|
NatWest Markets Plc
|
|
|
14,897,310
|
|
|
|
(11,339,061
|
)
|
|
|
3,558,249
|
|
|
Centrally cleared swap contracts*
|
Centrally Cleared
|
|
|
34,841,441
|
|
|
|
(4,447,013
|
)
|
|
|
30,394,428
|
|
|
Total derivatives
|
|
|
$
|
82,940,690
|
|
|
$
|
(39,426,992
|
)
|
|
$
|
43,513,698
|
|
| * |
Amount of centrally cleared swap contracts is not reconciled with the statements of financial condition due to variation margin amount included within cash at swaps
broker in the statements of financial condition.
|
|
Derivative Assets and Collateral Received by Counterparty
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Amounts of
Unrealized Gain
Presented in the
|
|
|
Gross Amounts Not Offset in the
Statements of Financial Condition
|
|
|
|
|
|
Counterparty
|
|
Statements of
Financial Condition
|
|
|
Financial
Instruments
|
|
|
Cash Collateral
Received
|
|
|
Net Amount
|
|
|
UBS Securities LLC
|
|
$
|
4,813,736
|
|
|
$
|
0
|
|
|
$
|
0
|
|
|
$
|
4,813,736
|
|
|
Goldman, Sachs & Co.
|
|
|
4,747,285
|
|
|
|
0
|
|
|
|
0
|
|
|
|
4,747,285
|
|
|
NatWest Markets Plc
|
|
|
3,558,249
|
|
|
|
0
|
|
|
|
0
|
|
|
|
3,558,249
|
|
|
Centrally Cleared
|
|
|
30,394,428
|
|
|
|
0
|
|
|
|
0
|
|
|
|
30,394,428
|
|
|
Total
|
|
$
|
43,513,698
|
|
|
$
|
0
|
|
|
$
|
0
|
|
|
$
|
43,513,698
|
|
|
| Offsetting of Derivative Liabilities and Collateral Pledged by Counterparty |
| Offsetting of Derivative Liabilities by Counterparty |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Type of Instrument
|
Counterparty
|
|
Gross Amounts
of Recognized
Liabilities
|
|
|
Gross
Amounts
Offset in the
Statements of
Financial Condition
|
|
|
Net Amounts of
Unrealized Loss
Presented in the
Statements of
Financial Condition
|
|
|
Futures contracts
|
UBS Securities LLC
|
|
$
|
10,269,680
|
|
|
$
|
(10,269,680
|
)
|
|
$
|
0
|
|
|
Futures contracts
|
Goldman, Sachs & Co.
|
|
|
9,838,811
|
|
|
|
(9,838,811
|
)
|
|
|
0
|
|
|
Forward currency contracts
|
NatWest Markets Plc
|
|
|
20,867,374
|
|
|
|
(20,867,374
|
)
|
|
|
0
|
|
|
Centrally cleared swap contracts*
|
Centrally Cleared
|
|
|
13,671,305
|
|
|
|
(7,472,249
|
)
|
|
|
6,199,056
|
|
|
Total derivatives
|
|
|
$
|
54,647,170
|
|
|
$
|
(48,448,114
|
)
|
|
$
|
6,199,056
|
|
|
*
|
Amount of centrally cleared swap contracts is not reconciled with the statements of financial condition due to variation margin amount included
within cash at swaps broker in the statements of financial condition.
|
Derivative Liabilities and Collateral Pledged by Counterparty
|
|
|
As of March 31, 2026
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Amounts of
Unrealized Loss
Presented in the
|
|
|
Gross Amounts Not Offset in the
Statements of Financial Condition
|
|
|
|
|
|
Counterparty
|
|
Statements of
Financial Condition
|
|
|
Financial
Instruments
|
|
|
Cash Collateral
Pledged
|
|
|
Net Amount
|
|
|
UBS Securities LLC
|
|
$
|
0
|
|
|
$
|
0
|
|
|
$
|
0
|
|
|
$
|
0
|
|
|
Goldman, Sachs & Co.
|
|
|
0
|
|
|
|
0
|
|
|
|
0
|
|
|
|
0
|
|
|
NatWest Markets Plc
|
|
|
0
|
|
|
|
0
|
|
|
|
0
|
|
|
|
0
|
|
|
Centrally Cleared
|
|
|
6,199,056
|
|
|
|
0
|
|
|
|
(6,199,056)
|
|
|
|
0
|
|
|
Total
|
|
$
|
6,199,056
|
|
|
$
|
0
|
|
|
$
|
(6,199,056
|
)
|
|
$
|
0
|
|
|
Offsetting of Derivative Liabilities by Counterparty
|
|
|
As of December 31, 2025
|
|
|
|
|
|
|
|
|
|
|
Type of Instrument
|
Counterparty
|
|
Gross Amounts
of Recognized
Liabilities
|
|
|
Gross
Amounts
Offset in the
Statements of
Financial Condition
|
|
|
Net Amounts of
Unrealized Loss
Presented in the
Statements of
Financial Condition
|
|
|
Futures contracts
|
UBS Securities LLC
|
|
$
|
12,161,001
|
|
|
$
|
(12,161,001
|
)
|
|
$
|
0
|
|
|
Futures contracts
|
Goldman, Sachs & Co.
|
|
|
11,479,917
|
|
|
|
(11,479,917
|
)
|
|
|
0
|
|
|
Forward currency contracts
|
NatWest Markets Plc
|
|
|
11,339,061
|
|
|
|
(11,339,061
|
)
|
|
|
0
|
|
|
Centrally cleared swap contracts
|
Centrally Cleared
|
|
|
4,447,013
|
|
|
|
(4,447,013
|
)
|
|
|
0
|
|
|
Total derivatives
|
|
|
$
|
39,426,992
|
|
|
$
|
(39,426,992
|
)
|
|
$
|
0
|
|
|
Derivative Liabilities and Collateral Pledged by Counterparty
|
|
|
|
|
|
|
|
|
|
|
Net Amounts of
Unrealized Loss
Presented in the
|
|
Gross Amounts Not Offset in the
Statements of Financial Condition
|
|
|
|
| Counterparty |
Statements of
Financial Condition
|
|
Financial
Instruments
|
|
Cash Collateral
Pledged
|
|
Net Amount
|
|
|
UBS Securities LLC
|
|
$
|
0
|
|
|
$
|
0
|
|
|
$
|
0
|
|
|
$
|
0
|
|
|
Goldman, Sachs & Co.
|
|
|
0
|
|
|
|
0
|
|
|
|
0
|
|
|
|
0
|
|
|
NatWest Markets Plc
|
|
|
0
|
|
|
|
0
|
|
|
|
0
|
|
|
|
0
|
|
|
Centrally Cleared
|
|
|
0
|
|
|
|
0
|
|
|
|
0
|
|
|
|
0
|
|
|
Total
|
|
$
|
0
|
|
|
$
|
0
|
|
|
$
|
0
|
|
|
$
|
0
|
|
|