XML 23 R14.htm IDEA: XBRL DOCUMENT

Additional Valuation Information

12 Months Ended

Dec. 31, 2019

Note 6 - Additional Valuation Information

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.

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, 2019:

	Level 1			Level 2		Level 3		Total
Investments in Securities
United States Treasury Obligations	$	—		$	123,646,647	$	—	$	123,646,647
Exchange-Traded Fund		79,893,780			—		—		79,893,780
Money Market Mutual Fund		25,736,227			—				25,736,227
Total Investments in Securities		105,630,007			123,646,647		—		229,276,654
Other Investments - Liabilities ^(a)
Currency Futures Contracts		(1,815,323	)		—		—		(1,815,323	)
Total Investments	$	103,814,684		$	123,646,647	$	—	$	227,461,331

^(a)	Unrealized appreciation (depreciation).

The following is a summary of the tiered valuation input levels as of December 31, 2018:

	Level 1			Level 2		Level 3		Total
Investments in Securities
United States Treasury Obligations	$	—		$	409,384,745	$	—	$	409,384,745
Exchange-Traded Fund		79,818,080			—		—		79,818,080
Money Market Mutual Fund		22,398,721			—		—		22,398,721
Total Investments in Securities		102,216,801			409,384,745		—		511,601,546
Other Investments - Liabilities ^(a)
Currency Futures Contracts		(4,534,517	)		—		—		(4,534,517	)
Total Investments	$	97,682,284		$	409,384,745	$	—	$	507,067,029

^(a)	Unrealized appreciation (depreciation).

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

+ References + Details