v3.26.3
Note 10 - Investment Valuation
 9 Months Ended
Sep. 30, 2026
Notes to Financial Statements  
Fair Value Disclosures [Text Block]

10 -

Investment Valuation

 

FASB Accounting Standards Codification Topic 820, Fair Value Measurements and Disclosures, defines fair value as the price the Trust would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Trust’s policy is to value its investments at fair value.

 

Investments in Index Futures are measured at fair value on the basis of that day’s settlement price for Index Futures as announced by the applicable Exchange. If there is no announced settlement price for a particular Index Futures contract on a business day, the Trustee uses the most recently announced settlement price unless the Trustee, in consultation with the Sponsor, determines that such price is inappropriate as a basis for valuation.

 

U.S. Treasury bills are valued at the last available bid price received from independent pricing services. In determining the value of a fixed income investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments, various relationships observed in the market between investments and calculated yield measures.

 

Various inputs are used in determining the fair value of financial instruments. Inputs may be based on independent market data (“observable inputs”) or they may be internally developed (“unobservable inputs”). These inputs are categorized into a disclosure hierarchy consisting of three broad levels for financial reporting purposes. The level of a value determined for a financial instrument within the fair value hierarchy is based on the lowest level of any input that is significant to the fair value measurement in its entirety. The three levels of the fair value hierarchy are as follows:

 

 

Level 1 –

Unadjusted quoted prices in active markets for identical assets or liabilities;

 

 

Level 2 –

Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability, and inputs that are derived principally from or corroborated by observable market data by correlation or other means; and

 

 

Level 3 –

Unobservable inputs for the asset or liability, including the Trust’s assumptions used in determining the fair value of investments.

 

Fair value pricing could result in a difference between the prices used to calculate the Trust’s net asset value and the prices used by the Trust’s underlying index, which in turn could result in a difference between the Trust’s performance and the performance of the Trust’s underlying index.

 

The following table summarizes the value of each of the Trust’s investments by the fair value hierarchy levels as of September 30, 2026 and December 31, 2025:

 

  

Level 1

  

Level 2

  

Level 3

  

Total

 

September 30, 2026

                

Futures contracts(a)

 $(10,205,049) $—  $—  $(10,205,049)

U.S. Treasury bills

  —   1,017,450,044   —   1,017,450,044 

December 31, 2025

                

Futures contracts(a)

  (14,025,327)  —   —   (14,025,327)

U.S. Treasury bills

  —   1,093,235,756   —   1,093,235,756 

 

(a)

Shown at the unrealized appreciation (depreciation) on the contracts.