Exhibit 13.01

 

 

 

 

 

 

 

 

 

Global Macro Trust   (A Delaware Statutory Trust)   Financial Statements for the Years Ended December 31, 2020, 2019 and 2018, and Report of Independent Registered Public Accounting Firm

 

 

 

 

 

 

 

 

GLOBAL MACRO TRUST

 

	Page(s)
AFFIRMATION OF MILLBURN RIDGEFIELD CORPORATION	F-3
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM	F-4
FINANCIAL STATEMENTS AS OF DECEMBER 31, 2020 AND 2019 AND FOR THE YEARS ENDED DECEMBER 31, 2020, 2019 and 2018:
Statements of Financial Condition	F-5
Condensed Schedules of Investments	F-6-F-9
Statements of Operations	F-10
Statements of Changes in Trust Capital	F-11
Statements of Financial Highlights	F-12
Notes to Financial Statements	F-13-F-31

 

 

AFFIRMATION OF MILLBURN RIDGEFIELD CORPORATION

 

In compliance with the Commodity Futures Trading Commission’s regulations, I hereby affirm that to the best of my knowledge and belief, the information contained in the Statements of Financial Condition of Global Macro Trust, including the Condensed Schedules of Investments, as of December 31, 2020 and 2019, and the related Statements of Operations, Changes in Trust Capital and Financial Highlights for each of the three years in the period ended December 31, 2020 are complete and accurate.

 

 

Gregg Buckbinder, President
Millburn Ridgefield Corporation
Managing Owner of Global Macro Trust

 

  

Deloitte & Touche LLP 30 Rockefeller Plaza New York, NY 10112-0015 USA   Tel: +1 212 492 4000 Fax: +1 212 489 1687 www.deloitte.com

 

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

 

To the Unitholders of Global Macro Trust:

 

Opinion on the Financial Statements and Financial Highlights

 

We have audited the accompanying statements of financial condition of Global Macro Trust (the “Trust”), including the condensed schedules of investments, as of December 31, 2020 and 2019, the related statements of operations, changes in trust capital and the financial highlights for each of the three years in the period ended December 31, 2020, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Trust as of December 31, 2020 and 2019, the results of its operations, the changes in trust capital, and the financial highlights for each of the three years in the period ended December 31, 2020, in conformity with accounting principles generally accepted in the United States of America.

 

Basis for Opinion

 

These financial statements and financial highlights are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Trust’s financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

 

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.

 

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of December 31, 2020, by correspondence with the custodian and brokers. We believe that our audits provide a reasonable basis for our opinion.

 

Critical Audit Matters

 

Critical audit matters are matters arising from the current-period audit of the financial statements that were communicated or required to be communicated to the audit committee and that (1) relate to accounts or disclosures that are material to the financial statements and (2) involved our especially challenging, subjective, or complex judgments. We determined that there are no critical audit matters.

 

/s/ Deloitte & Touche LLP
March 18, 2021

 

We have served as the auditor of one or more Millburn Ridgefield Corporation investment companies since 2004.

 

 

GLOBAL MACRO TRUST
STATEMENTS OF FINANCIAL CONDITION
AS OF DECEMBER 31, 2020 AND 2019

 

		2020				2019
ASSETS
EQUITY IN TRADING ACCOUNTS:
Investments in U.S. Treasury notes — at fair value (amortized cost $16,247,126 and $20,608,824)		$	16,247,017			$	20,644,779
Net unrealized appreciation on open futures and forward currency contracts			3,225,128				1,144,023
Due from brokers			3,489,150				4,019,983
Cash denominated in foreign currencies (cost $2,563,244 and $8,462,150)			2,695,800				8,600,683
Total equity in trading accounts			25,657,095				34,409,468
INVESTMENTS IN U.S. TREASURY NOTES — at fair value (amortized cost $81,311,242 and $117,144,589)			81,300,987				117,233,707
CASH AND CASH EQUIVALENTS			8,896,731				13,142,361
ACCRUED INTEREST RECEIVABLE			718,302				606,396
TOTAL		$	116,573,115			$	165,391,932
LIABILITIES AND TRUST CAPITAL
LIABILITIES:
Subscriptions by Unitholders received in advance		$	-			$	742,000
Net unrealized depreciation on open futures and forward currency contracts			21,514				1,231,994
Due to brokers			62				1,192,838
Accrued brokerage fees			404,092				569,268
Accrued management fees			43,291				60,464
Redemptions payable to Unitholders			1,830,466				1,317,430
Redemptions payable to Managing Owner			-				349,083
Accrued expenses			102,997				118,317
Total liabilities			2,402,422				5,581,394
TRUST CAPITAL:
Managing Owner interest (2,645.415 and 3,477.855 units outstanding)			2,775,067				4,230,810
Series 1 Unitholders (72,959.433 and 88,422.039 units outstanding)			76,534,812				107,565,649
Series 3 Unitholders (13,756.807 and 19,430.353 units outstanding)			21,721,634				34,128,621
Series 4 Unitholders (3,983.338 and 4,104.713 units outstanding)			8,221,792				9,261,037
Series 5 Unitholders (3,289.070 and 2,759.746 units outstanding)			4,917,388				4,624,421
Total trust capital			114,170,693				159,810,538
TOTAL		$	116,573,115			$	165,391,932
NET ASSET VALUE PER UNIT OUTSTANDING:
Series 1 Unitholders		$	1,049.01			$	1,216.50
Series 3 Unitholders		$	1,578.97			$	1,756.46
Series 4 Unitholders		$	2,064.05			$	2,256.20
Series 5 Unitholders		$	1,495.07			$	1,675.67

 

See notes to financial statements

 

 

GLOBAL MACRO TRUST
CONDENSED SCHEDULE OF INVESTMENTS
AS OF DECEMBER 31, 2020

 

		Net Unrealized
		Appreciation
		(Depreciation)				Net Unrealized
		as a % of				Appreciation
		Trust Capital				(Depreciation)
FUTURES AND FORWARD CURRENCY CONTRACTS
FUTURES CONTRACTS
Long futures contracts:
Energies			0.12	%		$	138,030
Grains			0.51				581,390
Interest rates:
2 Year U.S. Treasury Note (69 contracts, settlement date March 2021)			0.00				2,242
5 Year U.S. Treasury Note (410 contracts, settlement date March 2021)			0.04				40,109
10 Year U.S. Treasury Note (338 contracts, settlement date March 2021)			0.03				33,031
30 Year U.S. Treasury Bond (95 contracts, settlement date March 2021)			0.02				17,500
Other			0.23				264,392
Total interest rates			0.32				357,274
Metals			0.93				1,059,925
Softs			0.05				56,726
Stock indices			0.69				787,606
Total long futures contracts			2.62				2,980,951
Short futures contracts:
Energies			0.08				95,700
Grains			(0.05	)			(55,413	)
Interest rates			(0.00	)			(4,183	)
Livestock			(0.00	)			(1,230	)
Metals			(0.19	)			(216,397	)
Softs			(0.02	)			(19,818	)
Stock indices			0.11				123,731
Total short futures contracts			(0.07	)			(77,610	)
TOTAL INVESTMENTS IN FUTURES CONTRACTS-Net			2.55				2,903,341
FORWARD CURRENCY CONTRACTS
Total long forward currency contracts			1.43				1,637,406
Total short forward currency contracts			(1.17	)			(1,337,133	)
TOTAL INVESTMENTS IN FORWARD CURRENCY CONTRACTS-Net			0.26				300,273
TOTAL			2.81	%		$	3,203,614

 

        (Continued)

 

 

GLOBAL MACRO TRUST
CONDENSED SCHEDULE OF INVESTMENTS
AS OF DECEMBER 31, 2020
U. S. TREASURY NOTES

 

						Fair Value
Face						as a % of				Fair
Amount				Description		Trust Capital				Value
$	48,010,000			U.S. Treasury notes, 2.250%, 02/15/2021			42.15	%		$	48,131,900
	28,200,000			U.S. Treasury notes, 2.625%, 05/15/2021			24.93				28,459,418
	20,620,000			U.S. Treasury notes, 2.750%, 08/15/2021			18.36				20,956,686
				TOTAL INVESTMENTS IN U.S. TREASURY
				NOTES (amortized cost $97,558,368)			85.44	%		$	97,548,004

 

See notes to financial statements

(Concluded)

 

 

GLOBAL MACRO TRUST
CONDENSED SCHEDULE OF INVESTMENTS
AS OF DECEMBER 31, 2019

 

		Net Unrealized
		Appreciation
		(Depreciation)				Net Unrealized
		as a % of				Appreciation
		Trust Capital				(Depreciation)
FUTURES AND FORWARD CURRENCY CONTRACTS
FUTURES CONTRACTS
Long futures contracts:
Energies			0.15	%		$	240,490
Grains			0.01				17,302
Interest rates:
2 Year U.S. Treasury Note (55 contracts, settlement date March 2020)			0.00				2,016
5 Year U.S. Treasury Note (113 contracts, settlement date March 2020)			0.00				289
Other			(0.04	)			(63,086	)
Total interest rates			(0.04	)			(60,781	)
Livestock			(0.00	)			(260	)
Metals			0.25				394,440
Softs			0.01				14,560
Stock indices			0.04				71,617
Total long futures contracts			0.42				677,368
Short futures contracts:
Energies			0.05				78,750
Grains			(0.13	)			(209,775	)
Interest rates:
10 Year U.S. Treasury Note (142 contracts, settlement date March 2020)			0.00				5,484
Other			0.29				467,953
Total interest rates			0.29				473,437
Metals			(0.05	)			(86,298	)
Softs			(0.01	)			(14,696	)
Stock indices			0.14				225,237
Total short futures contracts			0.29				466,655
TOTAL INVESTMENTS IN FUTURES CONTRACTS-Net			0.71				1,144,023
FORWARD CURRENCY CONTRACTS
Total long forward currency contracts			1.86				2,978,285
Total short forward currency contracts			(2.63	)			(4,210,279	)
TOTAL INVESTMENTS IN FORWARD CURRENCY CONTRACTS-Net			(0.77	)			(1,231,994	)
TOTAL			(0.06	)%		$	(87,971	)

 

(Continued)

 

 

GLOBAL MACRO TRUST
CONDENSED SCHEDULE OF INVESTMENTS
AS OF DECEMBER 31, 2019
U. S. TREASURY NOTES

 

						Fair Value
Face						as a % of				Fair
Amount				Description		Trust Capital				Value
$	46,900,000			U.S. Treasury notes, 1.375%, 02/15/2020			29.35	%		$	46,889,009
	41,010,000			U.S. Treasury notes, 1.500%, 05/15/2020			25.65				40,998,786
	50,020,000			U.S. Treasury notes, 1.500%, 08/15/2020			31.28				49,990,691
				TOTAL INVESTMENTS IN U.S. TREASURY
				NOTES (amortized cost $137,753,413)			86.28	%		$	137,878,486

 

See notes to financial statements							(Concluded)

 

GLOBAL MACRO TRUST
STATEMENTS OF OPERATIONS
YEARS ENDED DECEMBER 31, 2020, 2019, AND 2018

 

		2020				2019				2018
INVESTMENT INCOME — Interest income, net		$	1,327,184			$	3,656,672			$	3,066,530
EXPENSES:
Brokerage fees			5,839,901				8,081,248				9,946,220
Administrative expenses			904,901				1,178,834				1,041,158
Custody fees and other expenses			26,622				30,206				34,453
Management fees			594,605				637,980				560,465
Total expenses			7,366,029				9,928,268				11,582,296
Managing Owner commission rebate to unitholders			(567,734	)			(560,036	)			(627,923	)
Net expenses			6,798,295				9,368,232				10,954,373
NET INVESTMENT LOSS			(5,471,111	)			(5,711,560	)			(7,887,843	)
NET REALIZED AND UNREALIZED GAINS (LOSSES):
Net realized gains (losses) on closed positions:
Futures and forward currency contracts			(18,129,640	)			16,115,827				(3,142,047	)
Foreign exchange translation			(109,405	)			(211,280	)			68,661
Net change in unrealized:
Futures and forward currency contracts			3,291,585				(3,823,580	)			6,765,880
Foreign exchange translation			(5,977	)			153,688				(292,665	)
Net gains (losses) from U.S. Treasury notes:
Realized			133,287				31,264				9,227
Net change in unrealized			(135,437	)			168,451				211,261
Total net realized and unrealized gains (losses)			(14,955,587	)			12,434,370				3,620,317
NET INCOME (LOSS)			(20,426,698	)			6,722,810				(4,267,526	)
LESS PROFIT SHARE TO MANAGING OWNER			-				348,815				68,133
NET INCOME (LOSS) AFTER PROFIT SHARE TO MANAGING OWNER		$	(20,426,698	)		$	6,373,995			$	(4,335,659	)
Series 1 Unitholders		$	(167.49	)		$	31.04			$	(32.83	)
Series 3 Unitholders		$	(177.49	)		$	102.40			$	26.88
Series 4 Unitholders		$	(192.15	)		$	187.76			$	72.59
Series 5 Unitholders(1)		$	(180.60	)		$	86.11			$	89.56

 

(1)

Series 5 Units were first issued on April 1, 2018.

 

See notes to financial statements          

 

 

GLOBAL MACRO TRUST

STATEMENTS OF CHANGES IN TRUST CAPITAL

YEARS ENDED DECEMBER 31, 2020, 2019, AND 2018

 

																																		New Profit Memo
		Series 1 Unitholders								Series 3 Unitholders								Series 4 Unitholders								Series 5 Unitholders								Account								Managing Owner								Total
		Amount				Units				Amount				Units				Amount				Units				Amount				Units				Amount				Units				Amount				Units				Amount
TRUST CAPITAL — January 1, 2018		$	169,927,843				139,480.782			$	31,616,309				19,430.096			$	6,558,797				3,286.212				-				-				-				-			$	3,742,615				3,072.023			$	211,845,564
Subscriptions			-				-				5,771,850				3,681.151				708,729				358.793				883,179				584.994				-				-				-				-				7,363,758
Redemptions			(34,246,955	)			(29,835.833	)			(6,030,054	)			(3,859.926	)			(48,408	)			(25.861	)			-				-				-				-				(68,133	)			(57.474	)			(40,393,550	)
Additional units allocated*			-				363.846				-				-				-				-				-				-				-				-				-				199.888				-
Net income (loss) after profit share to Managing Owner			(5,270,031	)			-				484,718				-				266,847				-				46,702				-				-				-				136,105				-				(4,335,659	)
Managing Owner’s profit share			-				-				-				-				-				-				-				-				68,133				57.474				-				-				68,133
Transfer of New Profit Memo Account to Managing Owner			-				-				-				-				-				-				-				-				(68,133	)			(57.474	)			68,133				57.474				-
TRUST CAPITAL — December 31, 2018			130,410,857				110,008.795				31,842,823				19,251.321				7,485,965				3,619.144				929,881				584.994				-				-				3,878,720				3,271.911				174,548,246
Subscriptions			-				-				2,815,000				1,674.382				1,022,335				488.208				3,744,609				2,304.841				-				-				-				-				7,581,944
Redemptions			(25,936,920	)			(21,900.219	)			(2,532,676	)			(1,495.350	)			(5,643	)			(2.639	)			(218,140	)			(130.089	)			-				-				(349,083	)			(287.108	)			(29,042,462	)
Additional units allocated*			-				313.463				-				-				-				-				-				-				-				0.151				-				205.944				-
Net income after profit share to Managing Owner			3,091,712				-				2,003,474				-				758,380				-				168,071				-				268				-				352,090				-				6,373,995
Managing Owner’s profit share			-				-				-				-				-				-				-				-				348,815				286.957				-				-				348,815
Transfer of New Profit Memo Account to Managing Owner			-				-				-				-				-				-				-				-				(349,083	)			(287.108	)			349,083				287.108				-
TRUST CAPITAL — December 31, 2019			107,565,649				88,422.039				34,128,621				19,430.353				9,261,037				4,104.713				4,624,421				2,759.746				-				-				4,230,810				3,477.855				159,810,538
Subscriptions			-				-				1,353,000				794.391				769,695				352.551				1,520,615				976.226				-				-				-				-				3,643,310
Redemptions			(16,269,681	)			(15,741.804	)			(9,780,897	)			(6,467.937	)			(963,063	)			(473.926	)			(642,816	)			(446.902	)			-				-				(1,200,000	)			(989.238	)			(28,856,457	)
Additional units allocated*			-				279.198				-				-				-				-				-				-				-				-				-				156.798				-
Net loss after profit share to Managing Owner			(14,761,156	)			-				(3,979,090	)			-				(845,877	)			-				(584,832	)			-				-				-				(255,743	)			-				(20,426,698	)
TRUST CAPITAL — December 31, 2020		$	76,534,812				72,959.433			$	21,721,634				13,756.807			$	8,221,792				3,983.338			$	4,917,388				3,289.070			$	-				-			$	2,775,067				2,645.415			$	114,170,693

 

*

Additional units are issued to Series 1 Unitholders who are charged less than a 7.0% brokerage fee and the Managing Owner. See note 3.

 

See notes to financial statements                                                    

  

  

GLOBAL MACRO TRUST

STATEMENTS OF FINANCIAL HIGHLIGHTS

YEARS ENDED DECEMBER 31, 2020, 2019, AND 2018

 

		2020																2019																2018
		Series 1				Series 3				Series 4				Series 5				Series 1				Series 3				Series 4				Series 5				Series 1				Series 3				Series 4				Series 5(b)
PER UNIT OPERATING PERFORMANCE (FOR A UNIT OUTSTANDING THROUGHOUT THE YEAR)
Net income (loss) from operations:
Net investment gain (loss) (a)		$	(59.95	)		$	(28.71	)		$	(3.04	)		$	(39.27	)		$	(56.30	)		$	(12.21	)		$	21.94			$	(25.41	)		$	(60.50	)		$	(15.19	)		$	15.52			$	(16.57	)
Net realized and unrealized gains (losses) on trading of futures and forward currency contracts			(107.56	)			(148.97	)			(188.26	)			(140.67	)			85.83				129.12				163.58				131.22				26.34				43.07				54.67				132.86
Net gains (losses) from U.S. Treasury notes (a)			0.02				0.19				(0.85	)			(0.66	)			1.51				1.88				2.24				0.21				1.33				1.92				2.40				1.71
Net income (loss) from operations			(167.49	)			(177.49	)			(192.15	)			(180.60	)			31.04				118.79				187.76				106.02				(32.83	)			29.80				72.59				118.00
Less: profit share allocated to Managing Owner			0.00				0.00				0.00				0.00				0.00				16.39				0.00				19.91				0.00				2.92				0.00				28.44
Net income (loss) after profit share allocation			(167.49	)			(177.49	)			(192.15	)			(180.60	)			31.04				102.40				187.76				86.11				(32.83	)			26.88				72.59				89.56
Net asset value, beginning of year			1,216.50				1,756.46				2,256.20				1,675.67				1,185.46				1,654.06				2,068.44				1,589.56				1,218.29				1,627.18				1,995.85				1,500.00
Net asset value, end of year		$	1,049.01			$	1,578.97			$	2,064.05			$	1,495.07			$	1,216.50			$	1,756.46			$	2,256.20			$	1,675.67			$	1,185.46			$	1,654.06			$	2,068.44			$	1,589.56
RATIOS TO AVERAGE TRUST CAPITAL (c):
Net investment gain (loss)			(5.71	)%			(1.85	)%			(0.15	)%			(2.68	)%			(4.75	)%			(0.72	)%			1.03	%			(1.57	)%			(5.27	)%			(0.97	)%			0.80	%			(1.43	)%
Total expenses			6.75	%			2.92	%			1.15	%			3.66	%			6.98	%			2.94	%			1.18	%			3.72	%			6.89	%			2.61	%			0.85	%			3.36	%
Profit share allocation			0.00				0.00				0.00				0.00				0.00				0.97				0.00				1.23				0.00				0.19				0.00				1.84
TOTAL EXPENSES AND PROFIT SHARE ALLOCATION			6.75	%			2.92	%			1.15	%			3.66	%			6.98	%			3.91	%			1.18	%			4.95	%			6.89	%			2.80	%			0.85	%			5.20	%
Total return before profit share allocation			(13.77	)%			(10.10	)%			(8.52	)%			(10.78	)%			2.62	%			7.16	%			9.08	%			6.65	%			(2.69	)%			1.84	%			3.64	%			7.81	%
Less profit share allocation			0.00				0.00				0.00				0.00				0.00				0.97				0.00				1.23				0.00				0.19				0.00				1.84
TOTAL RETURN AFTER PROFIT SHARE ALLOCATION			(13.77	)%			(10.10	)%			(8.52	)%			(10.78	)%			2.62	%			6.19	%			9.08	%			5.42	%			(2.69	)%			1.65	%			3.64	%			5.97	%

 

(a) Calculated based on the weighted average number of units during the year, see Note 7.

(b) Series 5 Units were first issued on April 1, 2018.

(c) Periods less than one year are annualized.

 

See notes to financial statements                                                  

 

 

Global Macro Trust

 

NOTES TO FINANCIAL STATEMENTS

YEARS ENDED DECEMBER 31, 2020, 2019 and 2018

 

1.

ORGANIZATION

 

Global Macro Trust (the “Trust”) was organized on July 23, 2001, under the Delaware Statutory Trust Act. At such time, original capital of $400 by Millburn Ridgefield Corporation (the “Managing Owner”) and $1,600 by the Initial Unitholder, an affiliated entity, was contributed to the Trust. The Trust commenced trading operations on July 1, 2002. The Trust engages in the speculative trading of futures and forward currency contracts. The instruments that are traded by the Trust are volatile and involve a high degree of market risk.

 

The Managing Owner manages the business of the Trust and makes all trading decisions, as stated in Trust agreement.

 

The Managing Owner has agreed to make additional capital subscriptions, subject to certain possible exceptions, in order to maintain its capital account at not less than 1% of the total outstanding capital subscriptions in the Trust (including the Managing Owner’s subscriptions) but in no event shall the Managing Owner invest less than $500,000. The Managing Owner and the holders (the “Unitholders”) of the Units of Beneficial Interest (“Units”) issued by the Trust will share in any profits and losses of the Trust in proportion to the percentage interest owned by each before brokerage commissions, custodial fee, management fees and profit share allocations.

 

The Trust will dissolve on December 31, 2031 or at an earlier date if certain conditions occur set forth in the Sixth Amended and Restated Declaration of Trust and the Trust Agreement (the “Agreement”).

 

2.

SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

 

Basis of Presentation — The financial statements have been prepared in conformity with accounting principles generally accepted (“U.S. GAAP”) in the United States (the “U.S.”) as detailed in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“Codification”). Certain reclassifications have been made to the prior period financial statements to conform to the current period presentation.

 

The Trust is for U.S. GAAP purposes an investment company in accordance with FASB Codification 946 Financial Services – Investment Companies.

 

Investments — The Trust records its transactions in futures and forward currency contracts and U.S. Treasury notes including related income and expenses on a trade date basis.

 

Open futures contracts are valued at quoted market values. Open forward currency contracts are valued at fair value which is based on pricing models that consider the time value of money and the current market and contractual prices of the underlying financial instruments. Brokerage commissions on futures contracts are expensed when contracts are opened. Realized gains (losses) and changes in unrealized appreciation (depreciation) on futures and forward currency contracts are recognized in the periods in which the contracts are closed or the changes in the value of open contracts occur and are included in net realized and unrealized gains (losses) in the Statements of Operations.

 

Investments in U.S. Treasury notes are valued at fair value based on the midpoint of bid/ask quotations reported daily at 3 pm EST by Bloomberg. The Trust amortizes premiums and accretes discounts on U.S. Treasury notes. Such securities are normally on deposit with financial institutions (see Note 6) as collateral for performance of the Trust’s trading obligations with respect to derivative contracts or are held for safekeeping in a custody account at HSBC Bank USA, N.A.

 

 

Cash and Cash Equivalents — Cash and cash equivalents includes cash and investments in Dreyfus Treasury Prime Cash Management, a short term U.S. government securities money market fund, that is readily convertible to cash and has an original maturity of 90 days or less.

 

Cash Denominated in Foreign Currencies — Includes foreign currency cash held at the Trust’s trading counterparties. Foreign cash deficits, if applicable, are presented in the liabilities section of the Statements of Financial Condition.

 

Foreign Currency Translation — Assets and liabilities denominated in foreign currencies are translated to U.S. dollars at prevailing exchange rates of such currencies. Purchases and sales of investments are translated to U.S. dollars at the exchange rate prevailing when such transactions occurred.

 

Income Taxes — The Trust is treated as a limited partnership for federal and state income tax reporting purposes. Accordingly, the Trust prepares calendar year U.S. federal and applicable state tax returns and reports to the Unitholders their allocable units of the Trust’s income, expenses and trading gains or losses. No provision for income taxes has been made in the accompanying financial statements as the Unitholders are responsible for the payment of taxes.

 

Income Taxes (Topic 740) of the Codification clarifies the accounting for uncertainty in tax positions. This requires that the Trust recognize in its financial statements the impact of any uncertain tax positions. Based on a review of the Trust’s open tax years, 2017 to 2020, the Managing Owner has determined that no reserves for uncertain tax positions were required.

 

Estimates — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts and disclosures reported in the financial statements. Actual results could differ from these estimates.

 

Right of Offset — The customer agreements between the Trust, the Futures Clearing Brokers and the FX Prime Brokers gives the Trust the legal right to net unrealized gains and losses on open futures and foreign currency contracts. The Trust netted, for financial reporting purposes, the unrealized gains and losses on open futures and forward currency contracts on the Statements of Financial Condition as the criteria under ASC 210-20, “Balance Sheet,” were met.

 

Fair Value of Financial Instruments — The fair value of the Trust’s assets and liabilities which qualify as financial instruments under the Fair Value Measurements (Topic 820) of the Codification approximates the carrying amounts presented in the Statements of Financial Condition. The topic defines fair value, establishes a framework for measurement of fair value and expands disclosures about fair value measurements. The three levels of the fair value hierarchy are described below:

 

Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;

 

Level 2 — Quoted prices in markets that are not active or financial instruments for which all significant inputs are observable either directly or indirectly;

 

Level 3 — Prices or valuations that require inputs that are both significant to the fair value measurement and unobservable.

 

 

In determining fair value, the Trust separates its investments into two categories: cash instruments and derivative contracts.

 

Cash Instruments — The Trust’s cash instruments are generally classified within Level 1 of the fair value hierarchy because they are typically valued using quoted market prices. The types of instruments valued based on quoted market prices in active markets include U.S. government obligations and an investment in a quoted short-term U.S. government securities money market fund. The Managing Owner of the Trust does not adjust the quoted price for such instruments even in situations where the Trust holds a large position and a sale could reasonably impact the quoted price.

 

Derivative Contracts — Derivative contracts can be exchange-traded or over-the-counter (“OTC”). Exchange-traded futures contracts are valued based on quoted closing settlement prices and typically fall within Level 1 of the fair value hierarchy.

 

Spot currency contracts are valued based on current market prices (“Spot Price”). Forward currency contracts are valued based on pricing models that consider the Spot Price plus the financing cost or benefit (“Forward Point”). Forward Points from the quotation service providers are generally in periods of one month, two months, three months, six months, nine months and twelve months forward while the contractual forward delivery dates for the forward currency contracts traded by the Trust may be in between these periods. The Managing Owner’s policy to determine fair value for forward currency contracts involves first calculating the number of months from the date the forward currency contract is being valued to its maturity date (“Months to Maturity”), then identifying the forward currency contracts for the two forward months that are closest to the Months to Maturity (“Forward Month Contracts”). Linear interpolation is then performed between the dates of these two Forward Month Contracts to calculate the interpolated forward point. Model inputs can generally be verified and model selection does not involve significant management judgment. Such instruments are typically classified within Level 2 of the fair value hierarchy.

 

 

The following table represents the Trust’s investments by hierarchical level as of December 31, 2020 and 2019 in valuing the Trust’s investments at fair value. At December 31, 2020 and 2019, the Trust held no assets or liabilities classified in Level 3.

 

Financial Assets and Liabilities at Fair Value as of December 31, 2020

  

		Level 1				Level 2				Total
U.S. Treasury notes (1)		$	97,548,004			$	-			$	97,548,004
Short-term money market fund*			8,646,731				-				8,646,731
Exchange-traded futures contracts
Energies			233,730				-				233,730
Grains			525,977				-				525,977
Interest rates			353,091				-				353,091
Livestock			(1,230	)			-				(1,230	)
Metals			843,528				-				843,528
Softs			36,908				-				36,908
Stock indices			911,337				-				911,337
Total exchange-traded futures contracts			2,903,341				-				2,903,341
Over-the-counter forward currency contracts			-				300,273				300,273
Total futures and forward currency contracts (2)			2,903,341				300,273				3,203,614
Total financial assets and liabilities at fair value		$	109,098,076			$	300,273			$	109,398,349
Per line item in the Statements of Financial Condition
(1)
Investments in U.S. Treasury notes held in equity trading accounts as collateral										$	16,247,017
Investments in U.S. Treasury notes											81,300,987
Total investments in U.S. Treasury notes										$	97,548,004
(2)
Net unrealized appreciation on open futures and forward currency contracts										$	3,225,128
Net unrealized depreciation on open futures and forward currency contracts											(21,514	)
Total net unrealized appreciation on open futures and forward currency contracts										$	3,203,614

 

*

The short-term money market fund is included in Cash and Cash Equivalents on the Statements of Financial Condition.

 

 

Financial Assets and Liabilities at Fair Value as of December 31, 2019

 

		Level 1				Level 2				Total
U.S. Treasury notes (1)		$	137,878,486			$	-			$	137,878,486
Short-term money market fund*			12,898,762				-				12,898,762
Exchange-traded futures contracts
Energies			319,240				-				319,240
Grains			(192,473	)			-				(192,473	)
Interest rates			412,656				-				412,656
Livestock			(260	)			-				(260	)
Metals			308,142				-				308,142
Softs			(136	)			-				(136	)
Stock indices			296,854				-				296,854
Total exchange-traded futures contracts			1,144,023				-				1,144,023
Over-the-counter forward currency contracts			-				(1,231,994	)			(1,231,994	)
Total futures and forward currency contracts (2)			1,144,023				(1,231,994	)			(87,971	)
Total financial assets and liabilities at fair value		$	151,921,271			$	(1,231,994	)		$	150,689,277
Per line item in the Statements of Financial Condition
(1)
Investments in U.S. Treasury notes held in equity trading accounts as collateral										$	20,644,779
Investments in U.S. Treasury notes											117,233,707
Total investments in U.S. Treasury notes										$	137,878,486
(2)
Net unrealized appreciation on open futures and forward currency contracts										$	1,144,023
Net unrealized depreciation on open futures and forward currency contracts											(1,231,994	)
Total net unrealized depreciation on open futures and forward currency contracts										$	(87,971	)

  

*

The short-term money market fund is included in Cash and Cash Equivalents on the Statements of Financial Condition.

  

3.

TRUST AGREEMENT

 

With the effectiveness of the Trust’s Registration Statement on August 12, 2009, the Trust began to offer Series 3 and Series 4 units. The only units offered prior to such date were Series 1 units. Series 3 and Series 4 units were first issued September 1, 2009 and November 1, 2010, respectively. Subsequent to August 2017, Series 1 Units are no longer being offered.

 

With the effectiveness of the Trust’s Registration Statement on September 29, 2017, the Trust in addition to offering Series 3 and Series 4 Units, began offering Series 5 Units. Series 5 Units were first issued on April 1, 2018.

 

 

Series 1 Unitholders pay brokerage fees to the Managing Owner at the annual rate of up to 7.0% of their average month-end Net Assets Value (prior to reduction for accrued brokerage commissions or Profit Share). Series 1 Unitholders who made net capital investments into Series 1 of $100,000 or more or who had previously invested through asset-based fee or fixed fee investment programs are charged less than the annual brokerage rate of 7.0% as follows:

 

Net Capital Investments		Brokerage Fees
$100,000–$499,999			6.50	%
$500,000–$999,999			6.00
Greater than $1,000,000			5.50
Asset-based or fixed fee investment programs			4.00

 

Brokerage fees are charged to capital accounts of the Managing Owner, its principals, their respective affiliates or the New Profit Memo Account only to the extent of charges paid to third party executing and clearing brokers. In order to maintain a uniform Net Asset Value per Unit, additional Units are issued to Series 1 Unitholders who are charged less than a 7.0% brokerage fee.

 

The Managing Owner, not the Trust, pays the allocable share to Series 1 of all routine costs of executing and clearing the Trust’s futures trades including brokerage commissions payable to the clearing brokers and electronic platform trading costs. The Managing Owner also pays, from its own funds, selling commissions on all sales of Series 1 Units.

 

The Trust pays the Managing Owner a management fee of 1.75% per year of the Trust’s Net Asset Value (before management fee and profit share calculations) attributable to Series 3 Units. Series 3, 4 and 5 Units are also charged for their pro rata share of the Trust’s actual trade execution and clearing costs including electronic platform trading costs. Series 4 Unitholders are related-party investors and, therefore, are not charged a management fee.

 

The Trust pays the Managing Owner a management fee of 2.50% per year of the Trust’s Net Asset Value (before management fee and profit share calculations) attributable to Series 5 Units.

 

Per the Trust agreement, selling agents are prohibited from receiving amounts in excess of 9.5% of the gross offering proceeds of Series 1 units sold subsequent to August 12, 2009. During the years ended December 31, 2020, 2019, and 2018, the Managing Owner rebated to the Trust for the benefit of all holders of Series 1 Units, all amounts that would have otherwise been due to selling agents but for the 9.5% cap. Further, in certain cases, there are Series 1 units that remain outstanding, where there is no longer a selling agent associated with such units. Beginning in August 2014, the Managing Owner rebated such amounts to the Trust for the benefit of all holders of Series 1 Units. The total amounts rebated to the Trust for both of these items during the years ended December 31, 2020, 2019, and 2018, were $567,734, $560,036, and $627,923 respectively, are presented in “Managing Owner commission rebate to unitholders” in the Statements of Operations.

 

 

The Agreement provides that the Managing Owner’s profit share, equal to 20% of New Trading Profits in excess of the highest cumulative level of Trading Profit as of any previous calendar year-end, is charged to the Unitholders’ capital accounts. The highest cumulative level of Trading Profit is maintained separately for Series 1, Series 3 and Series 5. Series 4 Unitholders are related-party investors and, therefore, are not charged profit share. New Trading Profits include realized and unrealized trading profits (losses), brokerage fees, trading-related expenses and administrative expenses. New Trading Profits do not include interest income. For Unitholders’ redemptions during the year, the profit share calculation shall be computed as though the redemption occurred at year-end. Profit share attributable to interests redeemed during a year is tentatively credited to an account maintained for bookkeeping purposes called New Profit Memo Account. Any profit share charged is added to the Managing Owner’s capital account to the extent that net taxable capital gains are allocated to the Managing Owner. The remainder of such profit share, if any, is added to the New Profit Memo Account. The Managing Owner may not make any withdrawal from the balance in the New Profit Memo Account. If, at the end of a subsequent year, net taxable gains are allocated to the Managing Owner in excess of such year’s profit share, a corresponding amount is transferred from the New Profit Memo Account to the Managing Owner’s capital account.

 

The Trust will pay its legal, accounting, auditing, printing, postage and similar administrative expenses (including Trustees’ fees, accounting services fees and the expenses of updating the Prospectus) as well as extraordinary costs. The Managing Owner, at its discretion, may reimburse certain expenses paid by the Trust.

 

Units may be redeemed at the option of any Unitholder at Net Asset Value (as defined in the Agreement) as of the close of business on the last business day of any calendar month on ten business days written notice to the Managing Owner.

 

4.

DUE FROM/TO BROKERS

 

At December 31, 2020 and 2019, due from and due to brokers balances, if applicable, in the Statements of Financial Condition include net cash receivable from each broker and net cash payable to each broker, respectively. The due from broker balance also includes cash held as collateral at Bank of America, N.A.

 

5.

TRADING ACTIVITIES

 

The Trust conducts its futures trading with various futures commission merchants (“FCMs”) on futures exchanges and its forward currency trading with various banks or dealers (“Dealers”) in the interbank markets. Substantially all assets included in the Trust’s equity in trading accounts and certain liability accounts, as discussed below, were held as collateral by such FCMs in either U.S. regulated segregated accounts (for futures contracts traded on U.S. exchanges) or non-U.S. secured accounts (for futures contracts traded on non-U.S. exchanges) as required by U.S. Commodity Futures Trading Commission’s regulations or held as collateral by the Dealers.

 

Liabilities in the Statements of Financial Condition that are components of “Total equity in trading accounts” include net unrealized depreciation on open futures and forward currency contracts, cash denominated in foreign currencies and due to brokers, if any.

 

The Trust enters into contracts with various institutions that contain a variety of indemnifications. The Trust’s maximum exposure under these arrangements is unknown. However, the Trust has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.

 

6.

DERIVATIVE INSTRUMENTS

 

The Trust is party to derivative financial instruments in the normal course of its business. These financial instruments include futures and forward currency contracts which may be traded on an exchange or OTC.

 

The Trust records its derivative activities on a mark-to-market basis as described in Note 2. For OTC contracts, the Trust enters into master netting agreements with its counterparties. Therefore, assets represent the Trust’s unrealized gains less unrealized losses for OTC contracts in which the Trust has a master netting agreement. Similarly, liabilities represent net amounts owed to counterparties on OTC contracts.

 

 

Futures contracts are agreements to buy or sell an underlying asset or index for a set price in the future. Initial margin deposits are made upon entering into futures contracts and can be either in cash or treasury securities. Open futures contracts are revalued on a daily basis to reflect the market value of the contracts at the end of each trading day. Variation margin payments are received or made depending upon whether unrealized gains or losses are incurred. When a contract is closed, the Trust records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the time it was closed. The Trust bears the market risk that arises from changes in the value of these financial instruments.

 

Forward currency contracts entered into by the Trust represent a firm commitment to buy or sell an underlying currency at a specified value and point in time based upon an agreed or contracted quantity. The ultimate gain or loss is equal to the difference between the value of the contract at the onset and the value of the contract at settlement date.

 

Each of these financial instruments is subject to various risks similar to those related to the underlying financial instruments including market risk, credit risk and sovereign risk.

 

Market risk is the potential change in the value of the instruments traded by the Trust due to market changes including interest and foreign exchange rate movements and fluctuations in futures or security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. The financial instruments traded by the Trust contain varying degrees of off-balance sheet risk whereby changes in the market values of the futures and forward currency contracts and the Trust’s satisfaction of its obligations related to such market value changes may exceed the amount recognized in the Statements of Financial Condition.

 

Since the mid-1990s, the world has seen a number of outbreaks of new viral illnesses of varying severity, including avian flus, Severe Acute Respiratory Syndrome (SARS), Middle East Respiratory Syndrome (MERS), the H1N1 Flu (Swine Flu), and COVID-19 caused by the novel Coronavirus known as SARS–CoV-2. The responses to these outbreaks have varied as has their impact on human health, local economies and the global economy, and it is impossible at the outset of any such outbreak to estimate accurately what the ultimate impact of any such outbreak will be. Protective measures taken by governments and the private sector, including the Managing Owner, to mitigate the spread of any such illness, including travel restrictions and outright bans, mandatory business closures, quarantines, and work-from-home arrangements, may lead to, or may be expected to lead to, wide spread economic damage, resulting in severe disruptions in the markets in which the Trust trades and, potentially, adversely affecting the Trust’s profit potential; and the spread of any such illness within the offices of the Managing Owner, the Trust’s service providers, and/or the exchanges and other components of market infrastructure could severely impair the operational capabilities of the Managing Owner, the Trust’s service providers or various markets themselves resulting in harm to the Trust’s business and its operating results.

 

Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. Credit risk is normally reduced to the extent that an exchange or clearing organization acts as a counterparty to futures transactions since typically the collective credit of the members of the exchange is pledged to support the financial integrity of the exchange. In the case of OTC transactions, the Trust must rely solely on the credit of the individual counterparties. The contract amounts of the forward and futures contracts do not represent the Trust’s risk of loss due to counterparty nonperformance. The Trust’s exposure to credit risk associated with counterparty nonperformance of these forward currency contracts includes unrealized gains inherent in such contracts, which are recognized in the Statements of Financial Condition, plus the value of margin or collateral held in cash and U.S. Treasury Notes by the counterparty. The amount of such credit risk was $6,959,196 and $11,312,516 at December 31, 2020 and 2019, respectively.

 

 

The Managing Owner 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. The Managing Owner’s market risk control procedures include diversification of the Trust’s portfolio and continuously monitoring the portfolio’s open positions, historical volatility and maximum historical loss. The Managing Owner seeks to minimize credit risk primarily by depositing and maintaining the Trust’s assets at financial institutions and brokers which the Managing Owner believes to be creditworthy. The Trust’s trading activities are primarily with brokers and other financial institutions located in North America, Europe and Asia. All futures transactions of the Trust are cleared by major securities firms, pursuant to customer agreements, including Deutsche Bank Securities Inc. (a wholly owned subsidiary of Deutsche Bank AG), Goldman Sachs & Co. and BofA Securities, Inc. (formerly Merrill Lynch Pierce, Fenner & Smith Inc), collectively the “Futures Clearing Brokers.” The Trust ceased clearing trades through SG Americas Securities, LLC. during November 2020. For all forward currency transactions, the Trust utilizes two prime brokers, Deutsche Bank AG, and Bank of America, N.A. collectively the “FX Prime Brokers.” In addition, the Trust cleared trades through Morgan Stanley & Co., LLC (“MS”), utilizing MS as a swap dealer. The Trust ceased utilizing MS as a swap dealer during October 2018.

 

The Trust is subject to sovereign risk such as the risk of restrictions being imposed by foreign governments on the repatriation of cash and the effect of political or economic uncertainties. Net unrealized appreciation (depreciation) on futures and forward currency contracts are denominated in the functional currency (U.S. dollar). Cash settlement of futures and forward currency contracts is made in the local currency (settlement currency) and then translated to U.S. dollars.

 

 

Net unrealized appreciation (depreciation) on futures and forward currency contracts by settlement currency type, denominated in U.S. dollars, is detailed below:

  

		As of December 31,
		2020								2019
		Total Net								Total Net
		Unrealized								Unrealized
		Appreciation				Percent				Appreciation				Percent
Currency Type		(Depreciation)				of Total				(Depreciation)				of Total
Australian dollar		$	20,687				0.65	%		$	27,388				(31.13	)%
Brazilian real			2,036				0.06				-				-
British pound			93,550				2.92				(26,283	)			29.88
Canadian dollar			50,750				1.58				28,301				(32.17	)
Euro			69,475				2.17				369,336				(419.84	)
Hong Kong dollar			329,215				10.28				38,779				(44.08	)
Japanese yen			7,165				0.22				(178,063	)			202.41
Korean won			-				-				164,001				(186.43	)
Malaysian ringgit			(454	)			(0.01	)			(5,879	)			6.68
Norwegian krone			27,236				0.85				(90,054	)			102.37
Polish zloty			5,540				0.17				56,473				(64.20	)
Singapore dollar			2,494				0.08				576				(0.65	)
South African rand			(850	)			(0.03	)			15,663				(17.80	)
Swedish krona			(36,967	)			(1.15	)			23,867				(27.13	)
Taiwan dollar			4,431				0.14				(221	)			0.25
Thai baht			(868	)			(0.03	)			(655	)			0.74
U.S. dollar			2,630,174				82.10				(511,200	)			581.10
Total		$	3,203,614				100.00	%		$	(87,971	)			100.00	%

 

Derivatives and Hedging (Topic 815) of the Codification requires qualitative disclosure about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivative instruments and disclosures about credit-risk-related contingent features in derivative agreements.

 

The Trust’s market risk is influenced by a wide variety of factors including the level and volatility of interest rates, exchange rates, equity price levels, the market 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.

 

The Trust engages in the speculative trading of futures and forward contracts on agricultural commodities, currencies, energies, interest rates, metals and stock indices. The following were the primary trading risk exposures of the Trust at December 31, 2020 and 2019 by market sector:

 

Agricultural (grains, livestock and softs) – The Trust’s primary exposure is to agricultural price movements, which are often directly affected by severe or unexpected weather conditions as well as supply and demand factors.

 

Currencies – Exchange rate risk is a principal market exposure of the Trust. The Trust’s currency exposure is to exchange rate fluctuations, primarily fluctuations which disrupt the historical pricing relationships between different currencies and currency pairs. The fluctuations are influenced by interest rate changes as well as political and general economic conditions. The Trust trades in a large number of currencies including cross-rates—e.g., positions between two currencies other than the U.S. dollar.

 

 

Energies – The Trust’s primary energy market exposure is to gas and oil price movements often resulting from political developments in the Middle East and economic conditions worldwide. Energy prices are volatile and substantial profits and losses have been and are expected to continue to be experienced in this market.

 

Interest Rates – Interest rate movements directly affect the price of the sovereign bond futures positions held by the Trust and indirectly the value of its stock index and currency positions. Interest rate movements in one country as well as relative interest rate movements between countries may materially impact the Trust’s profitability. The Trust’s primary interest rate exposure is to interest rate fluctuations in countries or regions including Australia, Canada, Japan, Switzerland, the United Kingdom, the U.S. and the Eurozone. However, the Trust also may take positions in futures contracts on the government debt of other countries. The Managing Owner anticipates that interest rates in these industrialized countries or areas, both long-term and short-term, will remain the primary interest rate market exposure of the Trust for the foreseeable future.

 

Metals – The Trust’s metals market exposure is to fluctuations in the price of aluminum, copper, gold, lead, nickel, palladium, platinum, silver, tin and zinc.

 

Stock Indices – The Trust’s equity exposure through stock index futures is to equity price risk in the major industrialized countries as well as other countries.

 

Derivatives and Hedging (Topic 815) of the Codification requires entities to recognize in the Statements of Financial Condition all derivative contracts as assets or liabilities. Fair value of futures and forward currency contracts in a net asset position are recorded in the Statements of Financial Condition as “Net unrealized appreciation on open futures and forward currency contracts.” Fair value of futures and forward currency contracts in a net liability position are recorded in the Statements of Financial Condition as “Net unrealized depreciation on open futures and forward currency contracts.” The Trust’s policy regarding fair value measurement is discussed in Note 2.

 

Since the derivatives held or sold by the Trust are for speculative trading purposes, derivative instruments are not designated as hedging instruments under the provisions of the Derivatives and Hedging (Topic 815) of the Codification. Accordingly, all realized gains and losses as well as any change in net unrealized gains or losses on open positions from the preceding period are recognized as part of the Trust’s trading gains and losses in the Statements of Operations. 

 

The following tables present the fair value of open futures and forward currency contracts, held long or sold short, at December 31, 2020 and 2019. Fair value, below, is presented on a gross basis even though the contracts are subject to master netting agreements and qualify for net presentation in the Statements of Financial Condition.

 

 

Fair Value of Futures and Forward Currency Contracts at December 31, 2020

  

																		Net Unrealized
		Fair Value - Long Positions								Fair Value - Short Positions								Gain (Loss) on
Sector		Gains				Losses				Gains				Losses				Open Positions
Futures contracts:
Energies		$	161,072			$	(23,042	)		$	139,340			$	(43,640	)		$	233,730
Grains			581,440				(50	)			-				(55,413	)			525,977
Interest rates			432,675				(75,401	)			-				(4,183	)			353,091
Livestock			-				-				370				(1,600	)			(1,230	)
Metals			1,210,410				(150,485	)			111,678				(328,075	)			843,528
Softs			56,897				(171	)			170				(19,988	)			36,908
Stock indices			886,471				(98,865	)			128,824				(5,093	)			911,337
Total futures contracts			3,328,965				(348,014	)			380,382				(457,992	)			2,903,341
Forward currency contracts			2,106,424				(469,018	)			505,995				(1,843,128	)			300,273
Total futures and forward currency contracts		$	5,435,389			$	(817,032	)		$	886,377			$	(2,301,120	)		$	3,203,614

 

  

Fair Value of Futures and Forward Currency Contracts at December 31, 2019

  

																		Net Unrealized
		Fair Value - Long Positions								Fair Value - Short Positions								Gain (Loss) on
Sector		Gains				Losses				Gains				Losses				Open Positions
Futures contracts:
Energies		$	348,898			$	(108,408	)		$	80,510			$	(1,760	)		$	319,240
Grains			19,772				(2,470	)			5,713				(215,488	)			(192,473	)
Interest rates			16,237				(77,018	)			584,181				(110,744	)			412,656
Livestock			-				(260	)			-				-				(260	)
Metals			660,231				(265,791	)			299,404				(385,702	)			308,142
Softs			15,935				(1,375	)			9,499				(24,195	)			(136	)
Stock indices			372,686				(301,069	)			257,489				(32,252	)			296,854
Total futures contracts			1,433,759				(756,391	)			1,236,796				(770,141	)			1,144,023
Forward currency contracts			3,542,752				(564,467	)			518,649				(4,728,928	)			(1,231,994	)
Total futures and forward currency contracts		$	4,976,511			$	(1,320,858	)		$	1,755,445			$	(5,499,069	)		$	(87,971	)

 

The effect of trading futures and forward currency contracts is represented on the Statements of Operations for the years ended 2020, 2019, and 2018 as “Net realized gains (losses) on closed positions: Futures and forward currency contracts” and “Net change in unrealized: Futures and forward currency contracts.” These trading gains and losses are detailed below:

 

Trading gains (losses) of futures and forward currency contracts for the years ended December 31, 2020, 2019 and 2018

  

Sector		2020				2019				2018
Futures contracts:
Energies		$	3,232,623			$	(5,346,364	)		$	14,996,351
Grains			1,187,589				1,481,999				1,137,068
Interest rates			(4,970,130	)			10,540,737				2,528,322
Livestock			307,570				(12,870	)			2,650
Metals			613,103				(468,732	)			(2,656,939	)
Softs			(331,892	)			(460,102	)			467,959
Stock indices			(18,806,803	)			10,429,151				(13,025,443	)
Total futures contracts			(18,767,940	)			16,163,819				3,449,968
Forward currency contracts			3,929,885				(3,871,572	)			173,865
Total futures and forward currency contracts		$	(14,838,055	)		$	12,292,247			$	3,623,833

 

 

The following table presents average notional value by sector in U.S. dollars of open futures and forward currency contracts for the years ended December 31, 2020, 2019 and 2018. The Trust’s average net asset value for the years ended 2020, 2019, and 2018 was approximately $128,000,000, $165,000,000 and $188,000,000, respectively.

 

		2020								2019								2018
Sector		Long Positions				Short Positions				Long Positions				Short Positions				Long Positions				Short Positions
Futures contracts:
Energies		$	9,639,167			$	5,961,013			$	14,456,428			$	14,270,860			$	43,197,241			$	11,055,770
Grains			5,817,963				3,913,553				2,211,102				10,409,085				1,446,327				16,263,275
Interest rates			220,208,494				46,276,995				149,481,473				160,542,779				390,208,082				81,842,066
Livestock			124,126				135,964				298,858				600,724				129,276				625,654
Metals			15,114,780				1,864,009				6,139,120				8,669,418				5,654,319				18,474,789
Softs			1,319,494				1,023,819				365,875				3,588,990				1,089,766				2,690,213
Stock indices			60,463,823				10,237,759				75,837,753				37,600,259				122,135,375				30,523,474
Total futures contracts			312,687,847				69,413,112				248,790,609				235,682,115				563,860,386				161,475,241
Forward currency contracts			44,168,441				23,069,273				33,739,275				74,590,611				32,675,857				140,075,032
Total average notional		$	356,856,288			$	92,482,385			$	282,529,884			$	310,272,726			$	596,536,243			$	301,550,273

 

Notional values in the interest rate sector were calculated by converting the notional value in local currency of all open interest rate futures positions to 10-year equivalent fixed income instruments, translated to U.S. dollars at each quarter-end during 2020, 2019 and 2018. The 10-year note is often used as a benchmark for many types of fixed-income instruments and the Managing Owner believes it is a more meaningful representation of notional values of the Trust’s open interest rate positions. 

 

 

The following tables summarize the valuation of the Trust’s investments by counterparty as of December 31, 2020 and 2019.

 

Offsetting of derivative assets and liabilities at December 31, 2020

 

		Gross amounts of recognized Assets				Gross amounts offset in the Statement of Financial Condition				Net amounts of Assets presented in the Statement of Financial Condition
Assets
Futures contracts
Counterparty C		$	715,230			$	(132,014	)		$	583,216
Counterparty J			424,187				(43,675	)			380,512
Counterparty L			2,569,930				(630,317	)			1,939,613
Total futures contracts		$	3,709,347			$	(806,006	)		$	2,903,341
Forward currency contracts
Counterparty G			1,205,861				(884,074	)			321,787
Total assets		$	4,915,208			$	(1,690,080	)		$	3,225,128

 

		Gross amounts of recognized Liabilities				Gross amounts offset in the Statement of Financial Condition				Net amounts of Liabilities presented in the Statement of Financial Condition
Liabilities
Forward currency contracts
Counterparty K			1,428,072				(1,406,558	)			21,514
Total liabilities		$	1,428,072			$	(1,406,558	)		$	21,514

 

  

		Net amounts of Assets presented in the Statement				Amounts Not Offset in the Statement of Financial Condition
Counterparty		of Financial Condition				Financial Instruments				Collateral Received(1)(2)				Net Amount(3)
Counterparty C		$	583,216			$	-			$	(583,216	)		$	-
Counterparty G			321,787				-				-				321,787
Counterparty J			380,512				-			$	(380,512	)			-
Counterparty L			1,939,613				-				(1,939,613	)			-
Total		$	3,225,128			$	-			$	(2,903,341	)		$	321,787

 

		Net amounts of Assets presented in the Statement				Amounts Not Offset in the Statement of Financial Condition
Counterparty		of Financial Condition				Financial Instruments				Collateral Pledged(1)(2)				Net Amount(4)
Counterparty K		$	21,514			$	-			$	(21,514	)		$	-
Total		$	21,514			$	-			$	(21,514	)		$	-

 

(1)

Collateral received includes trades made on exchanges. These trades are subject to central counterparty clearing where settlement is guaranteed by the exchange. Collateral pledged includes both cash and U.S. Treasury notes held at each respective counterparty.

(2)

Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Financial Condition, for each respective counterparty.

(3)

Net amount represents the amount that is subject to loss in the event of a counterparty failure as of December 31, 2020.

(4)

Net amount represents the amounts owed by the Trust to each counterparty as of December 31, 2020.

 

 

Offsetting of derivative assets and liabilities at December 31, 2019

 

		Gross amounts of recognized Assets				Gross amounts offset in the Statement of Financial Condition				Net amounts of Assets presented in the Statement of Financial Condition
Assets
Futures contracts
Counterparty C		$	714,978			$	(353,946	)		$	361,032
Counterparty I			1,424,901				(963,483	)			461,418
Counterparty J			530,676				(209,103	)			321,573
Total assets		$	2,670,555			$	(1,526,532	)		$	1,144,023

 

		Gross amounts of recognized Liabilities				Gross amounts offset in the Statement of Financial Condition				Net amounts of Liabilities presented in the Statement of Financial Condition
Liabilities
Forward currency contracts
Counterparty G			2,968,600				(2,080,697	)			887,903
Counterparty K			2,324,795				(1,980,704	)			344,091
Total liabilities		$	5,293,395			$	(4,061,401	)		$	1,231,994

  

 

		Net amounts of Assets presented in the Statement				Amounts Not Offset in the Statement of Financial Condition
Counterparty		of Financial Condition				Financial Instruments				Collateral Received(1)(2)				Net Amount(3)
Counterparty C		$	361,032			$	-			$	(361,032	)		$	-
Counterparty I			461,418				-				(461,418	)			-
Counterparty J			321,573				-				(321,573	)			-
Total		$	1,144,023			$	-			$	(1,144,023	)		$	-

 

		Net amounts of Assets presented in the Statement				Amounts Not Offset in the Statement of Financial Condition
Counterparty		of Financial Condition				Financial Instruments				Collateral Pledged(1)(2)				Net Amount(4)
Counterparty G		$	887,903				-			$	(887,903	)			-
Counterparty K			344,091				-				(344,091	)			-
Total		$	1,231,994			$	-			$	(1,231,994	)		$	-

 

(1)

Collateral received includes trades made on exchanges. These trades are subject to central counterparty clearing where settlement is guaranteed by the exchange. Collateral pledged includes both cash and U.S. Treasury notes held at each respective counterparty.

(2)

Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Financial Condition, for each respective counterparty.

(3)

Net amount represents the amount that is subject to loss in the event of a counterparty failure as of December 31, 2019.

(4)

Net amount represents the amounts owed by the Trust to each counterparty as of December 31, 2019.

 

  

7.

FINANCIAL HIGHLIGHTS

 

Unit operating performance for Series 1, 3, 4 and 5 Units is calculated based on Unitholders’ trust capital for each Series taken as a whole utilizing the beginning and ending Net Asset Value per unit and weighted average number of units during the year. Weighted average number of units for each Series is detailed below:

 

		Years ended December 31,
		2020				2019				2018				Date of first issuance
Series 1			80,473.632				98,824.588				126,667.456			July 23, 2001
Series 3			17,481.806				19,497.621				19,980.130			September 1, 2009
Series 4			4,206.832				3,950.649				3,557.837			November 1, 2010
Series 5			3,267.128				1,466.136				342.762			April 1, 2018

 

Ratios are calculated for each Series taken as a whole. Total return for Series 1 investors are presented for Unitholders charged 7% brokerage fee. An individual Unitholder’s per unit operating performance may vary based on the timing of capital transactions and differences in individual Unitholder’s brokerage fee (for Series 1), management fee (for Series 3 and 5) and profit share allocation arrangements.

 

8.

REDEMPTION PAYABLE TO MANAGING OWNER

 

At December 31, 2020 and 2019, redemption payable of $0 and $349,083, respectively, was related to profit share earned during the year and allocated to the Managing Owner at each year-end and subsequently paid.

 

9.

SUBSEQUENT EVENTS

 

During the period from January 1, 2021 to March 18, 2021, subscriptions of $263,681 were made to the Trust and redemptions of $3,826,148 were made from the Trust. The Managing Owner has performed its evaluation of subsequent events through March 18, 2021, the date the financial statements were issued. Based on such evaluation, no further events were discovered that required adjustment to or disclosure in the financial statements.