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Investments
 12 Months Ended
Dec. 31, 2019
Investments, All Other Investments [Abstract]  
INVESTMENTS

NOTE 3 – INVESTMENTS

 

The Dividend Fund seeks investment results that, before fees and expenses, correspond to the performance of the Solactive® U.S. Cumulative Dividends Index—Series 2027 (the "Solactive Dividend Index") over each calendar year so as to provide Shareholders with returns designed to replicate the dividends on constituent companies of the S&P 500, without exposure to the underlying securities. The Dividend Fund intends primarily to invest its assets in the component instruments of the Solactive Dividend Index, as well as in cash and/or cash equivalents. The component instruments of the Solactive Dividend Index consist of U.S. Treasury Securities ("Treasury Securities") and long positions in annual futures contracts listed on the Chicago Mercantile Exchange ("CME") that provide exposure to dividends paid on the S&P 500 constituent companies ("S&P 500 Dividend Futures Contracts") pro rata for each year of the life of the Dividend Fund.

 

The Ex-Dividend Fund seeks investment results that, before fees and expenses, correspond to the performance of the Solactive® U.S. Equity Ex-Dividends Index—Series 2027 (the "Solactive Ex-Dividend Index"). The Ex-Dividend Fund seeks to track the Solactive Ex-Dividend Index so as to provide Shareholders with returns that are equivalent to the performance of 0.25 shares of SPDR S&P 500 exchange-traded fund ("SPY") less the value of current and future expected ordinary cash dividends to be paid on the S&P 500 constituent companies over the term of the Ex-Dividend Fund. SPY is an exchange-traded fund that seeks to track the S&P 500. The Ex-Dividend Fund seeks to replicate the performance of SPY through owning long positions in quarterly S&P 500 Index futures contracts traded on the CME ("S&P 500 Index Futures Contracts") rather than shares of SPY. Additionally, the Ex-Dividend Fund intends to track the performance of the Solactive Ex-Dividend Index by selling S&P 500 Dividend Futures Contracts. The Ex-Dividend Fund will also hold Treasury Securities, cash and/or cash equivalents. 

  

Cash and Cash Equivalents

 

Cash and cash equivalents consist of highly liquid investments with original maturities of three months or less at the date of purchase. The Funds maintain deposits with financial institutions in amounts that may, at times, exceed the insured limits under applicable law.

  

Short-Term Investments

 

The Funds may purchase U.S. Treasury Bills, cash and or cash equivalents. Additionally, the Funds may enter into short-term loans and reverse repurchase agreements for liquidity purposes. There were no short-term loans or reverse repurchase agreements held in the Funds as of and during the year ended December 31, 2019 and the period ended December 31, 2018.

 

Accounting for Derivative Instruments

 

All open derivative positions at period end are reflected on each respective ETF's Schedule of Investments. The ETFs utilized a varying level of derivative instruments in conjunction with investment securities in seeking to meet their investment objective during the period. While the volume of open positions may vary on a daily basis as each ETF transacts derivatives contracts in order to achieve the appropriate exposure to meet its investment objective, the volume of these open positions relative to the net assets of each respective ETF at the date of this report is generally representative of open positions throughout the reporting period. Following is a description of the derivative instruments used by the ETFs during the reporting period, including the primary underlying risk exposures related to each instrument type.

 

Futures Contracts

 

The ETFs enter into futures contracts to gain exposure to changes in the value of, or as a substitute for investing directly in (or shorting), an underlying index, currency or commodity, as set forth above. A futures contract obligates the seller to deliver (and the purchaser to accept) the future delivery of a specified quantity and type of asset at a specified time and place. The contractual obligations of a buyer or seller may generally be satisfied by taking or making physical delivery of the underlying commodity, if applicable, or by making an offsetting sale or purchase of an identical futures contract on the same or linked exchange before the designated date of delivery, or by cash settlement at expiration of contract. The particular futures contracts utilized by the ETFs permit settlement only in cash. Upon entering into a futures contract, each ETF is required to deposit and maintain as collateral at least such initial margin as required by the exchange on which the transaction is affected.

 

The initial margin is segregated as cash and/or securities balances with brokers for futures contracts, as disclosed in the Statements of Financial Condition and Schedules of Investments, and is restricted as to its use. The ETFs that enter into futures contracts maintain collateral at the broker in the form of cash and/or securities.  Pursuant to the futures contract, each Fund generally agrees to receive from or pay to the broker(s) an amount of cash equal to the daily fluctuation in value of the futures contract. Such receipts or payments are known as variation margin and are recorded by each Fund as unrealized gains or losses. Each Fund will realize a gain or loss upon closing of a futures transaction. Futures contracts involve, to varying degrees, elements of market risk (specifically commodity price risk or equity market volatility risk) and exposure to loss in excess of the amount of variation margin. The face or contract amounts reflect the extent of the total exposure each Fund has in the particular classes of instruments. Additional risks associated with the use of futures contracts are imperfect correlation between movements in the price of the futures contracts and the market value of the underlying index or commodity and the possibility of an illiquid market for a futures contract. With futures contracts, there is minimal but some counterparty risk to the ETFs since futures contracts are exchange-traded and the exchange's clearinghouse, as counterparty to all exchange-traded futures contracts, guarantees the futures contracts against default. Many futures exchanges and boards of trade limit the amount of fluctuation permitted in futures contract prices during a single trading day. Once the daily limit has been reached in a particular contract, no trades may be made that day at a price beyond that limit or trading may be suspended for specified times during the trading day. Futures contracts prices could move to the limit for several consecutive trading days with little or no trading, thereby preventing prompt liquidation of futures positions and potentially subjecting a Fund to substantial losses. If trading is not possible, or if a Fund determines not to close a futures position in anticipation of adverse price movements, the Fund will be required to make daily cash payments of variation margin. The risk that the Fund will be unable to close out a futures position will be minimized by entering into such transactions on a national exchange with an active and liquid secondary market.

  

The Funds held futures equity contracts as of and for the year ended December 31, 2019 and the period ended December 31, 2018. The value and detail of these contracts are disclosed on each fund's respective Schedule of Investments. The corresponding gains and losses associated with these contracts are disclosed on each Fund's respective Statement of Operations.

 

The average volume of futures contracts for the year ended December 31, 2019 are as follows:

 

U.S. Equity Cumulative Dividends Fund─Series 2027

 

Derivative   Notional Amount  
Long futures contracts   $ 18,625,830  
         
U.S. Equity Ex-Dividend Fund─Series 2027        

 

Derivative  Notional Amount 
Long futures contracts  $24,515,948 
Short futures contracts  $(4,836,952)

 

The average volume of futures contracts during the period February 5, 2018 (commencement of investment operations) to December 31, 2018 are as follows:

 

U.S. Equity Cumulative Dividends Fund─Series 2027

 

Derivative  Notional Amount 
Long futures contracts  $5,394,216 

 

U.S. Equity Ex-Dividend Fund─Series 2027

 

Derivative  Notional Amount 
Long futures contracts  $17,024,158 
Short futures contracts  $(3,872,892)

 

Offsetting Assets and Liabilities

 

The Futures Account Agreement includes provisions permitting the Clearing FCM to net and set off its obligations to the Fund against the obligations of the Fund to the Clearing FCM upon the termination of the agreement or occurrence of an Event of Default, as defined in the agreement. As described above, the Funds utilize derivative instruments to pursue their investment objective during the year. The amounts shown in the Statements of Financial Condition do not take into consideration the effects of legally enforceable master netting agreements or similar arrangements.

 

For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Financial Condition. The following table presents each Fund's derivatives by investment type net of amounts available for offset under a master netting agreement and the related collateral received or pledged by the Funds as of December 31, 2019 and December 31, 2018.

 

U.S. Equity Cumulative Dividends Fund─Series 2027

December 31, 2019

 

Offsetting of Derivative Assets

 

               Gross Amounts Not Offset in the
Statements of Financial Condition		 
   Gross Amounts of
Recognized
Assets		   Gross Amounts Offset in
the Statements of
Financial Condition		   Net Amounts
Presented in the
Statements of
Financial
Condition		   Financial
Instruments(a)		   Cash
Collateral
Pledged(a)		   Net Amount 
Derivative Assets                              
Futures Contracts  $35,875   $-   $35,875   $-   $-   $35,875 
Total  $35,875   $-   $35,875   $-   $-   $35,875 

 

Offsetting of Derivative Liabilities

  

               Gross Amounts Not Offset in the
Statements of Financial Condition		 
   Gross Amounts of
Recognized
Liabilities		   Gross Amounts Offset in
the Statements of
Financial Condition		   Net Amounts
Presented in the
Statements of
Financial
Condition		   Financial
Instruments(a)		   Cash
Collateral
Pledged (a)		   Net Amount 
Derivative Liabilities                        
Futures Contracts  $(20,500)  $-   $(20,500)  $-   $20,500   $-
Total  $(20,500)  $-   $(20,500)  $-   $20,500   $-

 

U.S. Equity Cumulative Dividends Fund─Series 2027

December 31, 2018

 

Offsetting of Derivative Assets

 

               Gross Amounts Not Offset in the 
               Statements of Financial Condition 
   Gross Amounts
of
Recognized
Assets		   Gross Amounts Offset in
the Statements of
Financial Condition		   Net Amounts
Presented in the
Statements of
Financial
Condition		   Financial
Instruments(a)		   Cash
Collateral
Pledged(a)		   Net Amount 
Derivative Assets                              
Futures Contracts  $    -   $      -   $      -   $      -   $      -   $      - 
Total  $-   $-   $-   $-   $-   $- 

 

Offsetting of Derivative Liabilities

 

               Gross Amounts Not Offset in the 
               Statements of Financial Condition 
   Gross Amounts of
Recognized
Liabilities		   Gross Amounts Offset in
the Statements of
Financial Condition		   Net Amounts
Presented in the
Statements of
Financial
Condition		   Financial
Instruments(a)		   Cash
Collateral
Pledged(a)		   Net Amount 
Derivative Liabilities                              
Futures Contracts  $(28,500)            $(28,500)  $      -   $28,500   $      - 
Total  $(28,500)       $(28,500)  $-   $28,500   $- 

 

(a) These amounts are limited to the derivatives asset/liability balance and, accordingly, do not include excess collateral received/pledged.

  

U.S. Equity Ex-Dividends Fund─Series 2027

December 31, 2019

 

Offsetting of Derivative Assets

  

               Gross Amounts Not Offset in the
Statements of Financial Condition		 
   Gross Amounts
of
Recognized Assets		   Gross Amounts Offset in
the Statements of
Financial Condition		   Net Amounts
Presented in the
Statements of
Financial
Condition		   Financial
Instruments(a)		   Cash
Collateral
Pledged(a)		   Net Amount 
Derivative Assets                        
Futures Contracts  $81,000   $     -   $81,000   $     -   $     -   $81,000 
Total  $81,000   $-   $81,000   $-   $-   $81,000 

 

Offsetting of Derivative Liabilities

  

               Gross Amounts Not Offset in the
Statements of Financial Condition		 
   Gross Amounts
of
Recognized Liabilities		   Gross Amounts Offset in
the Statements of
Financial Condition		   Net Amounts
Presented in the
Statements of
Financial
Condition		   Financial
Instruments(a)		   Cash
Collateral
Pledged(a)		   Net Amount 
Derivative Liabilities
Futures Contracts  $(7,000)  $    -   $(7,000)  $     -   $7,000   $-
Total  $(7,000)  $-   $(7,000)  $-   $7,000   $-

 

U.S. Equity Ex-Dividends Fund─Series 2027

December 31, 2018

 

Offsetting of Derivative Assets

 

               Gross Amounts Not Offset in the 
               Statements of Financial Condition 
   Gross Amounts of
Recognized Assets		   Gross Amounts Offset in
the Statements of
Financial Condition		   Net Amounts
Presented in the
Statements of
Financial
Condition		   Financial
Instruments(a)		   Cash
Collateral
Pledged(a)		   Net Amount 
Derivative Assets                              
Futures Contracts  $137,813   $-   $137,813   $     -   $     -   $137,813 
Total  $137,813   $    -   $137,813   $    -   $    -   $137,813 

 

Offsetting of Derivative Liabilities

 

               Gross Amounts Not Offset in the 
               Statements of Financial Condition 
   Gross Amounts of
Recognized Liabilities		   Gross Amounts Offset in
the Statements of
Financial Condition		   Net Amounts
Presented in the
Statements of
Financial
Condition		   Financial
Instruments(a)		   Cash
Collateral
Pledged(a)		   Net Amount 
Derivative Liabilities                              
Futures Contracts  $   -   $    -   $    -   $    -   $    -   $    - 
Total  $-   $-   $-   $-   $-   $- 

 

(a) These amounts are limited to the derivatives asset/liability balance and, accordingly, do not include excess collateral received/pledged.