Derivative Instruments (Tables)

3 Months Ended

Mar. 31, 2020

Derivative Instruments And Hedging Activities Disclosure [Abstract]

Fair Value of Derivative Instruments and Effect of Derivative Instruments on Statements of Income and Expenses

The Fair Value of Derivative Instruments is as follows:

	March 31, 2020					December 31, 2019
Risk Exposure/Derivative Type (a)	Assets		Liabilities			Assets		Liabilities
Currency risk
Currency Futures Contracts	$	—	$	(7,570,162	)	$	—	$	(1,815,323	)

^(a) Includes cumulative appreciation (depreciation) of currency futures contracts. Only the current day’s variation margin receivable (payable) is reported in the March 31, 2020 and December 31, 2019 Statements of Financial Condition.

The Effect of Derivative Instruments on the Statements of Income and Expenses is as follows:

		For the Three Months Ended
	Location of Gain (Loss) on Derivatives	March 31,
Risk Exposure/Derivative Type	Recognized in Income	2020			2019
Currency risk
Currency Futures Contracts	Net Realized Gain (Loss)	$	3,647,504		$	(933,778	)
	Net Change in Unrealized Gain (Loss)		(5,754,839	)		7,045,633
Total		$	(2,107,335	)	$	6,111,855

Summary of Gross and Net Amounts of Offsetting Assets and Liabilities

The following table presents derivative instruments that are either subject to an enforceable netting agreement or offset by collateral arrangements as of March 31, 2020, net by contract:

	Financial Derivative Assets (a)		Financial Derivative Liabilities (a)						Collateral (Received)/Pledged (b)
Counterparty	Futures Contracts		Futures Contracts			Net value of derivatives			Non-Cash		Cash		Net amount
Morgan Stanley & Co. LLC	$	5,630,360	$	(7,570,162	)	$	(1,939,802	)	$	1,939,802	$	—	$	—

The following table presents derivative instruments that are either subject to an enforceable netting agreement or offset by collateral arrangements as of December 31, 2019, net by contract:

	Financial Derivative Assets (a)		Financial Derivative Liabilities (a)						Collateral (Received)/Pledged (b)
Counterparty	Futures Contracts		Futures Contracts			Net value of derivatives			Non-Cash		Cash		Net amount
Morgan Stanley & Co. LLC	$	985,750	$	(1,815,323	)	$	(829,573	)	$	829,573	$	—	$	—

^{(a) Includes cumulative margin movements. The daily variation margin receivable (payable) for currency futures contracts at period-end is recorded in the Statements of Financial Condition.}

^{(b) As of March 31, 2020 and December 31, 2019, a portion of the Fund’s U.S. Treasury Obligations were required to be deposited as maintenance margin in support of the Fund’s futures positions.}

Summary of Average Monthly Notional Value of Future Contracts Outstanding

The table below summarizes the average monthly notional value of futures contracts outstanding during the period:

	For the Three Months Ended
	March 31,
	2020		2019
Average Notional Value	$	439,907,766	$	404,710,789