Fair Value Measurements

9 Months Ended

Sep. 30, 2011

Fair Value Disclosures [Abstract]

Fair Value Measurements

(4) Fair Value Measurements

The existing guidance for fair value measurements establishes the authoritative definition for fair value, sets out a framework for measuring fair value and outlines the required disclosures regarding fair value measurements. Fair value is the price that would be received to sell an asset or paid to transfer a liability (an exit price) in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants at the measurement date. The Company uses a three-tier fair value hierarchy based upon observable and non-observable inputs as follows:

Level 1 — quoted prices in active markets for identical securities

Level 2 —other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The assets of the Fund are either exchange-traded securities or government securities that are valued using dealer and broker quotations or other inputs that are observable or can be corroborated by observable market data. A summary of the Fund’s assets and liabilities at fair value as of September 30, 2011, classified according to the levels used to value them, are as follows:

	Quoted Prices in			Other Significant		Significant
	Active Market			Observable Inputs		Unobservable Inputs
Assets	(Level 1)			(Level 2)		(Level 3)		Totals
U.S. Treasuries	$	—		$	589,979,710	$	—	$	589,979,710
Futures Contracts		(68,616,654	)		—		—		(68,616,654	)
Total	$	(68,616,654	)	$	589,979,710	$	—	$	521,363,056

There were no transfers between Level 1 and Level 2 for the Fund during the nine months ended September 30, 2011. The Fund did not hold any Level 3 securities during the nine months ended September 30, 2011.

A summary of the Fund’s assets and liabilities at fair value as of December 31, 2010, classified according to the levels used to value them, are as follows:

	Quoted Prices in		Other Significant		Significant
	Active Market		Observable Inputs		Unobservable Inputs
Assets	(Level 1)		(Level 2)		(Level 3)		Totals
U.S. Treasuries	$	—	$	469,939,860	$	—	$	469,939,860
Futures Contracts		58,639,682		—		—		58,639,682
Total	$	58,639,682	$	469,939,860	$	—	$	528,579,542

There were no transfers between Level 1 and Level 2 for the Fund during the year ended December 31, 2010. The Fund did not hold any Level 3 securities during the year ended December 31, 2010.

As discussed in Note 3(g) effective in the first quarter of fiscal 2012, revised disclosures will be required to follow recent disclosure guidance which includes common requirements for measurement of and disclosure about fair value.