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TRADING ACTIVITIES AND RELATED RISKS
 12 Months Ended
Dec. 31, 2023
TRADING ACTIVITIES AND RELATED RISKS [Abstract]  
TRADING ACTIVITIES AND RELATED RISKS
Note 12. TRADING ACTIVITIES AND RELATED RISKS

The Trust engages in the speculative trading of U.S. and foreign futures contracts, forward currency contracts and centrally cleared swap contracts (collectively, “derivatives”). Specifically, the Trust trades a portfolio focused on futures, forward, credit default index swap and interest rate swap contracts, which are instruments designed to hedge changes in interest rates, currency exchange rates, stock index values, metals, energy, agriculture values, and credit risks. The Trust is exposed to both market risk, the risk arising from changes in the fair value of the contracts, and credit risk, the risk of failure by another party to perform according to the terms of a contract.

Market Risk
 
For derivatives, risks arise from changes in the fair value of the contracts. Market movements result in frequent changes in the fair value of the Trust’s open positions and, consequently, in its earnings and cash flow. The Trust’s market risk is influenced by a wide variety of factors, including the level and volatility of exchange rates, interest rates, equity price levels, the fair value of financial instruments and contracts, the diversification effects among the Trust’s open positions and the liquidity of the markets  in which it trades. Theoretically, the Trust is exposed to a market risk equal to the notional contract value of futures and forward currency contracts purchased and unlimited liability on such contracts sold short. The value of an interest rate swap will change as market interest rates rise and fall in conjunction with whether the contract is to receive or pay a fixed interest rate. As a purchaser of credit default index swaps, the Trust’s risk of loss is limited to any cash payments required under the swap contracts. Written credit default contracts (i.e., sell protection) expose the Trust to a market risk equal to the notional value of such swap contracts and any cash payments required under the swap contracts. See Note 1.C. for an explanation of how the Trust determines its valuation for derivatives as well as the netting of derivatives.

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 December 31, 2023 and December 31, 2022 are as follows:

Type of Instrument *
  
Statements of Financial Condition Location
  
Asset
Derivatives at
December 31, 2023
Fair Value
    
Liability
Derivatives at
December 31, 2023
Fair Value
    
Net
  
Agriculture Contracts
  
Net unrealized gain (loss) on open futures contracts
  
$
2,891,417
    
$
(4,979,129
)
  
$
(2,087,712
)
Energy Contracts
  
Net unrealized gain (loss) on open futures contracts
    
713,181
      
(3,495,730
)
    
(2,782,549
)
Metal Contracts
  
Net unrealized gain (loss) on open futures contracts
    
6,898,129
      
(10,044,952
)
    
(3,146,823
)
Stock Indices Contracts
  
Net unrealized gain (loss) on open futures contracts
    
3,118,236
      
(1,639,469
)
    
1,478,767
  
Short-Term Interest Rate Contracts
  
Net unrealized gain (loss) on open futures contracts
    
774,634
      
(1,914,820
)
    
(1,140,186
)
Long-Term Interest Rate Contracts
  
Net unrealized gain (loss) on open futures contracts
    
653,960
      
(3,047,252
)
    
(2,393,292
)
Forward Currency Contracts
  
Net unrealized gain (loss) on open forward currency contracts
    
41,529,719
      
(44,014,850
)
    
(2,485,131
)
Credit Default Index Swap Contracts**
  
Credit default index swaps
    
13,971,793
      
(2,893,335
)
    
11,078,458
  
Interest Rate Swap Contracts**   Interest rate swaps     1,493,055       (1,506,037 )     (12,982 )
Totals
  
 
  
$
72,044,124
    
$
(73,535,574
)
  
$
(1,491,450
)

*
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, 2022
Fair Value
    
Liability
Derivatives at
December 31, 2022
Fair Value
    
Net
  
Agriculture Contracts
  
Net unrealized gain (loss) on open futures contracts
  
$
2,362,910
    
$
(4,530,228
)
  
$
(2,167,318)
  
Energy Contracts
  
Net unrealized gain (loss) on open futures contracts
    
2,696,056
      
(291,953
)
    
2,404,103
  
Metal Contracts
  
Net unrealized gain (loss) on open futures contracts
    
6,724,134
      
(4,773,071
)
    
1,951,063
Stock Indices Contracts
  
Net unrealized gain (loss) on open futures contracts
    
1,794,093
      
(3,944,508
)
    
(2,150,415)
  
Short-Term Interest Rate Contracts
  
Net unrealized gain (loss) on open futures contracts
    
2,220,136
      
(374,153
)
    
1,845,983
Long-Term Interest Rate Contracts
  
Net unrealized gain (loss) on open futures contracts
    
6,290,661
      
(5,547,673
)
    
742,988
Forward Currency Contracts
  
Net unrealized gain (loss) on open forward currency contracts
    
23,501,515
      
(21,533,765
)
    
1,967,750
Credit Default Index Swap Contracts**   Credit default index swaps     508,868       (127,621 )     381,247  
Interest Rate Swap Contracts**   Interest rate swaps     4,972,588       (1,685,351 )     3,287,237  
Totals
  
 
  
$
51,070,961
    
$
(42,808,323
)
  
$
8,262,638
  
 
*
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.

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 years ended December 31, 2023, 2022 and 2021 are as follows:
 
Type of Instrument
  
Trading Gains (Losses)
for the Year Ended
December 31, 2023
    
Trading Gains (Losses)
for the Year Ended
December 31, 2022
    
Trading Gains (Losses)
for the Year Ended
December 31, 2021
  
Agriculture Contracts
  
$
253,436
    
$
3,256,094
    
$
11,225,479
  
Energy Contracts
    
5,297,617
      
11,981,812
      
18,460,897
  
Metal Contracts
    
(5,364,577
)
    
5,747,066
      
912,723
  
Stock Indices Contracts
    
3,877,206
      
4,512,070
      
24,373,954
  
Short-Term Interest Rate Contracts
    
(3,905,407
)
    
20,066,141
      
(8,846,023
)
Long-Term Interest Rate Contracts
    
(16,786,822
)
    
37,316,495
      
(19,674,575
)
Forward Currency Contracts
    
(12,903,908
)
    
54,314,414
      
22,723,556
  
Credit default index swap contracts
    
11,336,500
      
(2,673,590
)
    
1,122,174
  
Interest rate swap contracts
    
(6,825,132
)
    
9,535,253
      
(1,237,587
)
Total
  
$
(25,021,087
)
  
$
144,055,755
    
$
49,060,598
  
 
 
 
Line Item in the Statements of Operations
  
Trading Gains (Losses)
for the Year Ended
December 31, 2023
    
Trading Gains (Losses)
for the Year Ended
December 31, 2022
    
Trading Gains (Losses)
for the Year Ended
December 31, 2021
  
Futures trading gains (losses):
                  
Realized***
  
$
(3,930,348
)
  
$
80,846,427
    
$
35,560,622
  
Change in unrealized
    
(12,698,199
)
    
2,033,251
      
(9,108,166
)
Forward currency trading gains (losses):
                        
Realized***
    
(8,451,027
)
    
50,568,689
      
26,828,250
  
Change in unrealized
    
(4,452,881
)
    
3,745,725
      
(4,104,694
)
Swap trading gains (losses):
                        
Realized***
    
3,260,123
      
3,353,466
      
1,344,538
  
Change in unrealized    
1,251,245
      
3,508,197
      
(1,459,952
)
Total
  
$
(25,021,087
)
  
$
144,055,755
    
$
49,060,598
  
 
***
For the years ended December 31, 2023, 2022 and 2021, the amounts above include gains (losses) on foreign currency cash balances at the futures brokers of $43,766, $(83,317) and $225,042, respectively, and gains (losses) on spot trades in connection with forward currency trading at the interbank market maker of $(2,238,901), $(1,251,414) and $2,727,387, respectively.

For the years ended December 31, 2023, 2022 and 2021, the monthly average of futures contracts bought and sold was approximately 62,400, 34,200 and 53,100, respectively; the monthly average of notional value of centrally cleared swap contracts was approximately $5,335,200,000, $2,620,600,000 and $5,576,000,000, respectively; and the monthly average of notional value of forward currency contracts was $5,168,800,000, $3,091,400,000 and $3,155,800,000, respectively.
 
Open contracts generally mature within three months; as of December 31, 2023, the latest maturity date for open futures contracts is March 2025 and the latest maturity date for open forward currency contracts is March 2024. However, the Trust intends to close all futures and offset all forward currency contracts prior to maturity. The latest termination date for centrally cleared swap contracts is March 2029.

Credit Risk
 
The Trust trades futures contracts on exchanges that require margin deposits with the futures brokers and centrally cleared swap contracts that require margin deposits with the swaps broker. Additional deposits may be necessary for any loss on contract  value. The Commodity Exchange Act requires a futures broker or swaps broker to segregate all customer transactions and assets from such futures broker’s or swaps broker’s proprietary activities. A customer’s cash and other property (for example, U.S. Treasury Bills) deposited with a futures broker or swaps broker are considered commingled with all other customer funds subject to the futures broker’s or swaps broker’s segregation requirements. In the event of a futures broker’s or swaps broker’s insolvency, recovery may be limited to a pro rata share of segregated funds available. It is possible that the recovered amount could be less than total cash and other property deposited.

The Trust trades forward currency contracts in unregulated markets between principals and assumes the risk of loss from counterparty nonperformance. Accordingly, the risks associated with forward currency contracts are generally greater than those associated with exchange traded contracts because of the greater risk of counterparty default. Additionally, the trading of forward currency contracts typically involves delayed cash settlement.
 
The Trust has a portion of its assets on deposit with PNC Bank. In the event of a financial institution’s insolvency, recovery of the Trust’s assets on deposit may be limited to account insurance or other protection afforded such deposits.
 
The Trust has entered into ISDA Agreements with NatWest. Under the terms of the ISDA Agreement, upon the designation of an Event of Default, as defined in the ISDA Agreement, the non-defaulting party may set-off any sum or obligation owed by the defaulting party to the non-defaulting party against any sum or obligation owed by the non-defaulting party to the defaulting party. If any sum or obligation is unascertained, the non-defaulting party may in good faith estimate that sum or obligation and set-off in respect to that estimate, accounting to the other party when such sum or obligation is ascertained.
 
Under the terms of each master netting agreement with UBS Securities LLC and Goldman, Sachs & Co., upon occurrence of a default by the Trust, as defined in respective account documents, UBS Securities LLC and Goldman, Sachs & Co. have the right to close out any or all open contracts held in the Trust’s account; sell any or all of the securities held; and borrow or buy any securities, contracts or other property for the Trust’s account. The Trust would be liable for any deficiency in its account resulting from such transactions.
 
The amount of required margin and good faith deposits with the futures brokers, swaps broker, and interbank market maker usually range from 10% to 30% of Net Asset Value. The fair value of securities held to satisfy such requirements at December 31, 2023 and December 31, 2022 was $55,103,441 and $55,308,662, respectively, which equals approximately 11% and 12% of Net Asset Value, respectively. Included in cash deposits with the futures brokers, swaps broker and interbank market maker at December 31, 2023 and December 31, 2022 was restricted cash for margin requirements of $92,277,574 and $64,050,963, respectively, which equals approximately 19% and 13% of Net Asset Value, respectively.
 
Set forth below are tables which disclose both gross information and net information about instruments and transactions eligible for offset in the Statements of Financial Condition and instruments and transactions that are subject to a master netting agreement as well as amounts related to financial collateral (including U.S. Treasury Bills and cash collateral) held at clearing brokers and counterparties. Margin reflected in the collateral tables is limited to the net amount of unrealized loss at each counterparty. Actual margin amounts required at each counterparty are based on the notional amounts or the number of contracts outstanding and may exceed the margin presented in the collateral tables.
 
Offsetting of Derivative Assets by Counterparty
As of December 31, 2023
 
 
 
 
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
  
$
7,705,322
    
$
(7,705,322
)
  
$
0
  
Futures contracts
  
Goldman, Sachs & Co.
    
7,344,235
      
(7,344,235
)
    
0
  
Forward currency contracts
  
NatWest Markets Plc
    
41,529,719
      
(41,529,719
)
    
0
  
Centrally cleared swap contracts*
  
Centrally Cleared
    
15,464,848
      
(4,399,372
)
    
11,065,476
  
Total derivatives
  
 
  
$
72,044,124
    
$
(60,978,648
)
  
$
11,065,476
  

*
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
 
As of December 31, 2023
 

 
Net Amounts of
Unrealized Gain
Presented in the
    
Gross Amounts Not Offset in the
Statements of Financial Condition
    
 

 
Statements of
    
Financial
    
Cash Collateral
    
 
Counterparty
  
Financial Condition
    
Instruments
    
Received
    
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
    
11,065,476
      
0
      
0
      
11,065,476
  
Total
  
$
11,065,476
    
$
0
    
$
0
    
$
11,065,476
  
 
Offsetting of Derivative Liabilities by Counterparty
As of December 31, 2023
 
 
 
 
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
  
$
12,209,145
    
$
(7,705,322
)
  
$
4,503,823
  
Futures contracts
  
Goldman, Sachs & Co.
    
12,912,207
      
(7,344,235
)
    
5,567,972
  
Forward currency contracts
  
NatWest Markets Plc
    
44,014,850
      
(41,529,719
)
    
2,485,131
  
Centrally cleared swap contracts
  
Centrally Cleared
    
4,399,372
      
(4,399,372
)
    
0
  
Total derivatives
  
 
  
$
73,535,574
    
$
(60,978,648
)
  
$
12,556,926
  
 
Derivative Liabilities and Collateral Pledged by Counterparty
As of December 31, 2023

 
Net Amounts of
Unrealized Loss
Presented in the
  
Gross Amounts Not Offset in the
Statements of Financial Condition
  
 
 
  
Statements of
  
Financial
  
Cash Collateral
      
Counterparty
  
Financial Condition
  
Instruments
  
Pledged
  
Net Amount
  
UBS Securities LLC
  
$
4,503,823
    
$
0
    
$
(4,503,823
)
  
$
0
  
Goldman, Sachs & Co.
    
5,567,972
      
0
      
(5,567,972
)
    
0
  
NatWest Markets Plc
    
2,485,131
      
0
      
(2,485,131
)
    
0
  
Centrally Cleared
    
0
      
0
      
0
      
0
  
Total
  
$
12,556,926
    
$
0
    
$
(12,556,926
)
  
$
0
  
 
 
Offsetting of Derivative Assets by Counterparty
As of December 31, 2022
 
  
       
 
 
 
  
Gross
Amounts of
    
Gross
Amounts
Offset in the
Statements of
    
Net Amounts of
Unrealized Gain
Presented in the
Statements of
  
Type of Instrument
  
Counterparty
  
Recognized Assets
    
Financial Condition
    
Financial Condition
  
Futures contracts
  
UBS Securities LLC
  
$
11,125,617
    
$
(9,805,944
)
  
$
1,319,673
  
Futures contracts
  
Goldman, Sachs & Co.
    
10,962,373
      
(9,655,642
)
    
1,306,731
  
Forward currency contracts
  
NatWest Markets Plc
    
23,501,515
      
(21,533,765
)
    
1,967,750
  
Centrally cleared swap contracts*   Centrally Cleared     5,481,456       (1,812,972 )     3,668,484  
Total derivatives
  
 
  
$
51,070,961
    
$
(42,808,323
)
  
$
8,262,638
  
 
*
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
As of December 31, 2022

 
Net Amounts of
Unrealized Gain
    
Gross Amounts Not Offset in the
    
 

 
Presented in the
    
Statements of Financial Condition
    
 

 
Statements of
    
Financial
    
Cash Collateral
    
 
Counterparty
  
Financial Condition
    
Instruments
    
Received
    
Net Amount
  
UBS Securities LLC
  
$
1,319,673
    
$
0
    
$
0
    
$
1,319,673
  
Goldman, Sachs & Co.
    
1,306,731
      
0
      
0
      
1,306,731
  
NatWest Markets Plc
    
1,967,750
      
0
      
0
      
1,967,750
  
Centrally Cleared     3,668,484       0       0       3,668,484  
Total
  
$
8,262,638
    
$
0
    
$
0
    
$
8,262,638
  

 
Offsetting of Derivative Liabilities by Counterparty
As of December 31, 2022
 
  
       
 
 
 
  
Gross Amounts
of Recognized
    
Gross
Amounts
Offset in the
Statements of
    
Net Amounts of
Unrealized Loss
Presented in the
Statements of
  
Type of Instrument
  
Counterparty
  
Liabilities
    
Financial Condition
    
Financial Condition
  
Futures contracts
  
UBS Securities LLC
  
$
9,805,944
    
$
(9,805,944
)
  
$
0
  
Futures contracts
  
Goldman, Sachs & Co.
    
9,655,642
      
(9,655,642
)
    
0
  
Forward currency contracts
  
NatWest Markets Plc
    
21,533,765
      
(21,533,765
)
    
0
  
Centrally cleared swap contracts   Centrally Cleared     1,812,972       (1,812,972 )     0  
Total derivatives
  
 
  
$
42,808,323
    
$
(42,808,323
)
  
$
0
  
 
Derivative Liabilities and Collateral Pledged by Counterparty
As of December 31, 2022

 
Net Amounts of
Unrealized Loss
    
Gross Amounts Not Offset in the
    
 

 
Presented in the
    
Statements of Financial Condition
    
 

 
Statements of
    
Financial
    
Cash Collateral
    
 
Counterparty
  
Financial Condition
    
Instruments
    
Pledged
    
Net Amount
  
UBS Securities LLC
  
$
0
    
$
0
    
$
0
 
$
0
  
Goldman, Sachs & Co. LLC
    
0
      
0
      
0
   
0
  
NatWest Markets Plc
    
0
      
0
      
0
   
0
  
Centrally Cleared     0       0       0       0  
 Total
  
$
0
    
$
0
    
$
0
 
$
0
  
 
Campbell & Company has established procedures to actively monitor market risk and minimize credit risk, although there can be no assurance that it will, in fact, succeed in doing so. Campbell & Company’s basic market risk control procedures consist of continuously monitoring open positions, diversification of the portfolio and maintenance of a margin-to-equity ratio that rarely exceeds 30%. Campbell & Company’s attempt to manage the risk of the Trust’s open positions is essentially the same in all market categories traded. Campbell & Company applies risk management policies to its trading which generally limit the total exposure that may be taken per “risk unit” of assets under management. In addition, Campbell & Company follows diversification guidelines (often formulated in terms of the balanced volatility between markets and correlated groups), as well as reducing position sizes dynamically in response to trading losses. Campbell & Company controls the risk of the Trust’s non- trading fixed income instruments by limiting the duration of such instruments and requiring a minimum credit quality of the issuers of those instruments.
 
Campbell & Company seeks to minimize credit risk primarily by depositing and maintaining the Trust’s assets at financial institutions and brokers which Campbell & Company believes to be credit worthy. The unitholder bears the risk of loss only to the extent of the market value of their respective investments and, in certain specific circumstances, distributions and redemptions received.