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Derivative Instruments and Hedging Activities
 3 Months Ended
Mar. 31, 2017
Teucrium Commodity Trust - Combined [Member]  
Derivative Instruments and Hedging Activities

Note 5 – Derivative Instruments and Hedging Activities

 

In the normal course of business, the Funds utilize derivative contracts in connection with its proprietary trading activities. Investments in derivative contracts are subject to additional risks that can result in a loss of all or part of an investment. The Funds’ derivative activities and exposure to derivative contracts are classified by the following primary underlying risks: interest rate, credit, commodity price, and equity price risks. In addition to its primary underlying risks, the Funds are also subject to additional counterparty risk due to inability of its counterparties to meet the terms of their contracts. For the three months ended March 31, 2017 and 2016, the Funds invested only in commodity futures contracts specifically related to each Fund.

 

Futures Contracts

 

The Funds are subject to commodity price risk in the normal course of pursuing their investment objectives. A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date.

 

The purchase and sale of futures contracts requires margin deposits with a FCM. Subsequent payments (variation margin) are made or received by each Fund each day, depending on the daily fluctuations in the value of the contract, and are recorded as unrealized gains or losses by each Fund. Futures contracts may reduce the Funds’ exposure to counterparty risk since futures contracts are exchange-traded; and the exchange’s clearinghouse, as the counterparty to all exchange-traded futures, guarantees the futures against default.

 

The Commodity Exchange Act requires an FCM to segregate all customer transactions and assets from the FCM’s proprietary activities. A customer’s cash and other equity deposited with an FCM are considered commingled with all other customer funds subject to the FCM’s segregation requirements. In the event of an FCM’s insolvency, recovery may be limited to each Fund’s pro rata share of segregated customer funds available. It is possible that the recovery amount could be less than the total of cash and other equity deposited.

  

The following table discloses information about offsetting assets and liabilities presented in the statements of assets and liabilities to enable users of these financial statements to evaluate the effect or potential effect of netting arrangements for recognized assets and liabilities. These recognized assets and liabilities are presented as defined in the Financial Accounting Standards Board’s (“FASB”) Accounting Standards Update (“ASU”) No. 2011-11 “Balance Sheet (Topic 210): Disclosures about Offsetting Assets and Liabilities” and subsequently clarified in FASB ASU 2013-01 “Balance Sheet (Topic 210): Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities.”

 

The following table also identifies the fair value amounts of derivative instruments included in the statements of assets and liabilities as derivative contracts, categorized by primary underlying risk and held by the FCM, ED&F Man as of March 31, 2017 and December 31, 2016. 

 

Offsetting of Financial Assets and Derivative Assets as of March 31, 2017

 

    (i)     (ii)     (iii) = (i) – (ii)     (iv)     (v) = (iii) – (iv)  
                                     
                      Gross Amount Not Offset in the        
                      Statement of Assets and Liabilities        
          Gross Amount     Net Amount                    
          Offset in the     Presented in the     Futures              
    Gross Amount     Statement of     Statement of     Contracts              
    of Recognized     Assets and     Assets and     Available for     Collateral, Due        
Description    Assets     Liabilities     Liabilities     Offset     to Broker     Net Amount  
Commodity price                                                
Soybean futures contracts   $ 3,188     $ —     $ 3,188     $ 3,188     $ —     $ —  

 

Offsetting of Financial Liabilities and Derivative Liabilities as of March 31, 2017

 

    (i)     (ii)     (iii) = (i) – (ii)     (iv)     (v) = (iii) – (iv)  
                                     
                      Gross Amount Not Offset in the        
                      Statement of Assets and Liabilities        
          Gross Amount     Net Amount                    
          Offset in the     Presented in the     Futures              
    Gross Amount     Statement of     Statement of     Contracts              
    of Recognized     Assets and     Assets and     Available for     Collateral, Due        
Description    Liabilities     Liabilities     Liabilities     Offset     from Broker     Net Amount  
Commodity price                                                
Corn futures contracts   $ 520,550     $ —     $ 520,550     $ —     $ 520,550     $ —  
Soybean futures contracts     488,863       —       488,863       3,188       485,675       —  
Sugar futures contracts     523,320       —       523,320       —       523,320       —  
Wheat futures contracts     2,958,875       —       2,958,875       —       2,958,875       —  

 

Offsetting of Financial Assets and Derivative Assets as of December 31, 2016

 

    (i)     (ii)     (iii) = (i) – (ii)     (iv)     (v) = (iii) – (iv)  
                                     
                      Gross Amount Not Offset in the        
                      Statement of Assets and Liabilities        
          Gross Amount     Net Amount                    
          Offset in the     Presented in the     Futures              
    Gross Amount     Statement of     Statement of     Contracts              
    of Recognized     Assets and     Assets and     Available for     Collateral, Due        
Description    Assets     Liabilities     Liabilities     Offset     to Broker     Net Amount  
Commodity price                                                
Soybean futures contracts   $ 357,500     $ —     $ 357,500     $ 12,025     $ —     $ 345,475  
Sugar futures contracts     185,147       —       185,147       185,147       —       —  

 

Offsetting of Financial Liabilities and Derivative Liabilities as of December 31, 2016

 

    (i)     (ii)     (iii) = (i) – (ii)     (iv)     (v) = (iii) – (iv)  
                                     
                      Gross Amount Not Offset in the        
                      Statement of Assets and Liabilities        
          Gross Amount     Net Amount                    
          Offset in the     Presented in the     Futures              
    Gross Amount     Statement of     Statement of     Contracts              
    of Recognized     Assets and     Assets and     Available for     Collateral, Due        
Description    Liabilities     Liabilities     Liabilities     Offset     from Broker     Net Amount  
Commodity price                                                
Corn futures contracts   $ 1,460,800     $ —     $ 1,460,800     $ —     $ 1,460,800     $ —  
Soybean futures contracts     12,025       —       12,025       12,025       —       —  
Sugar futures contracts     331,542       —       331,542       185,147       146,395       —  
Wheat futures contracts     3,921,588       —       3,921,588       —       3,921,588       —  

 

The following is a summary of realized and unrealized gains (losses) of the derivative instruments utilized by the Trust:

 

Three months ended March 31, 2017

 

Primary Underlying Risk  Realized Gain (Loss) on
Commodity Futures Contracts		   Net Change in Unrealized Appreciation or
Depreciation on Commodity Futures Contracts		 
Commodity price        
Corn futures contracts  $280,775   $940,250 
Soybean futures contracts   342,912    (831,150)
Sugar futures contracts   (206,248)   (376,925)
Wheat futures contracts   (175,300)   962,713 
Total commodity futures contracts  $242,139   $694,888 

 

Three months ended March 31, 2016

 

Primary Underlying Risk  Realized (Loss) Gain on
Commodity Futures Contracts		   Net Change in Unrealized Appreciation or
Depreciation on Commodity Futures Contracts		 
Commodity price        
Corn futures contracts  $(2,091,875)  $(152,100)
Soybean futures contracts   100,325    344,625 
Sugar futures contracts   (1,758)   (2,475)
Wheat futures contracts   (569,113)   396,989 
Total commodity futures contracts  $(2,562,421)  $587,039 

 

Volume of Derivative Activities

 

The average notional market value categorized by primary underlying risk for all futures contracts held was $154.4 million for the three months ended March 31, 2017 and $96.8 million for the three months ended March 31, 2016.
Teucrium Corn Fund [Member]  
Derivative Instruments and Hedging Activities

Note 5 – Derivative Instruments and Hedging Activities

 

In the normal course of business, the Fund utilizes derivative contracts in connection with its proprietary trading activities. Investments in derivative contracts are subject to additional risks that can result in a loss of all or part of an investment. The Fund’s derivative activities and exposure to derivative contracts are classified by the following primary underlying risks: interest rate, credit, commodity price, and equity price risks. In addition to its primary underlying risks, the Fund is also subject to additional counterparty risk due to inability of its counterparties to meet the terms of their contracts. For the three months ended March 31, 2017 and 2016, the Fund invested only in commodity futures contracts.

 

Futures Contracts

 

The Fund is subject to commodity price risk in the normal course of pursuing its investment objectives. A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date.

 

The purchase and sale of futures contracts requires margin deposits with a FCM. Subsequent payments (variation margin) are made or received by the Fund each day, depending on the daily fluctuations in the value of the contract, and are recorded as unrealized gains or losses by the Fund. Futures contracts may reduce the Fund’s exposure to counterparty risk since futures contracts are exchange-traded; and the exchange’s clearinghouse, as the counterparty to all exchange-traded futures, guarantees the futures against default.  

 

The Commodity Exchange Act requires an FCM to segregate all customer transactions and assets from the FCM’s proprietary activities. A customer’s cash and other equity deposited with an FCM are considered commingled with all other customer funds subject to the FCM’s segregation requirements. In the event of an FCM’s insolvency, recovery may be limited to the Fund’s pro rata share of segregated customer funds available. It is possible that the recovery amount could be less than the total of cash and other equity deposited.

 

The following table discloses information about offsetting assets and liabilities presented in the statements of assets and liabilities to enable users of these financial statements to evaluate the effect or potential effect of netting arrangements for recognized assets and liabilities. These recognized assets and liabilities are presented as defined in FASB ASU No. 2011-11 “Balance Sheet (Topic 210): Disclosures about Offsetting Assets and Liabilities” and subsequently clarified in FASB ASU 2013-01 “Balance Sheet (Topic 210): Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities.”

 

The following table also identifies the fair value amounts of derivative instruments included in the statements of assets and liabilities as derivative contracts, categorized by primary underlying risk and held by the FCM, ED&F Man as of March 31, 2017 and December 31, 2016.

 

Offsetting of Financial Liabilities and Derivative Liabilities as of March 31, 2017 

                               
   (i)   (ii)   (iii) = (i) – (ii)   (iv)   (v) = (iii) – (iv) 
               Gross Amount Not Offset in the
Statement of Assets and
Liabilities		     
Description  Gross Amount
of Recognized
Liabilities		   Gross
Amount
Offset in the
Statement of
Assets and
Liabilities		   Net Amount
Presented in
the
Statement of
Assets and
Liabilities		   Futures
Contracts
Available for
Offset		   Collateral, Due
from Broker		   Net Amount 
Commodity price                        
Corn futures contracts  $520,550   $—   $520,550   $—   $520,550   $— 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of December 31, 2016

                               
   (i)   (ii)   (iii) = (i) – (ii)   (iv)   (v) = (iii) – (iv) 
               Gross Amount Not Offset in the
Statement of Assets and
Liabilities		     
Description  Gross Amount
of Recognized
Liabilities		   Gross
Amount
Offset in the
Statement of
Assets and
Liabilities		   Net Amount
Presented in
the
Statement of
Assets and
Liabilities		   Futures
Contracts
Available for
Offset		   Collateral, Due
from Broker		   Net Amount 
Commodity price                        
Corn futures contracts  $1,460,800   $—   $1,460,800   $—   $1,460,800   $— 

 

The following tables identify the net gain and loss amounts included in the statements of operations as realized and unrealized gains and losses on trading of commodity futures contracts categorized by primary underlying risk:

 

Three months ended March 31, 2017

 

      Realized Gain on     Net Change in Unrealized Appreciation or  
Primary Underlying Risk     Commodity Futures Contracts     Depreciation on Commodity Futures Contracts  
Commodity Price                  
Corn futures contracts     $ 280,775     $ 940,250  

  

Three months ended March 31, 2016

 

        Realized Loss on     Net Change in Unrealized Appreciation or  
Primary Underlying Risk     Commodity Futures Contracts     Depreciation on Commodity Futures Contracts  
Commodity Price                  
Corn futures contracts     $ (2,091,875 )   $ (152,100 )

 

Volume of Derivative Activities

 

The average notional market value categorized by primary underlying risk for the futures contracts held was $70.7 million for the three months ended March 31, 2017 and $57.8 million for the three months ended March 31, 2016.
Teucrium Soybean Fund [Member]  
Derivative Instruments and Hedging Activities

Note 5 – Derivative Instruments and Hedging Activities

 

In the normal course of business, the Fund utilizes derivative contracts in connection with its proprietary trading activities. Investments in derivative contracts are subject to additional risks that can result in a loss of all or part of an investment. The Fund’s derivative activities and exposure to derivative contracts are classified by the following primary underlying risks: interest rate, credit, commodity price, and equity price risks. In addition to its primary underlying risks, the Fund is also subject to additional counterparty risk due to inability of its counterparties to meet the terms of their contracts. For the three months ended March 31, 2017 and 2016, the Fund invested only in commodity futures contracts.

 

Futures Contracts

 

The Fund is subject to commodity price risk in the normal course of pursuing its investment objectives. A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date.

  

The purchase and sale of futures contracts requires margin deposits with a FCM. Subsequent payments (variation margin) are made or received by the Fund each day, depending on the daily fluctuations in the value of the contract, and are recorded as unrealized gains or losses by the Fund. Futures contracts may reduce the Fund’s exposure to counterparty risk since futures contracts are exchange-traded; and the exchange’s clearinghouse, as the counterparty to all exchange-traded futures, guarantees the futures against default.

 

The Commodity Exchange Act requires an FCM to segregate all customer transactions and assets from the FCM’s proprietary activities. A customer’s cash and other equity deposited with an FCM are considered commingled with all other customer funds subject to the FCM’s segregation requirements. In the event of an FCM’s insolvency, recovery may be limited to the Fund’s pro rata share of segregated customer funds available. It is possible that the recovery amount could be less than the total of cash and other equity deposited.

 

The following table discloses information about offsetting assets and liabilities presented in the statements of assets and liabilities to enable users of these financial statements to evaluate the effect or potential effect of netting arrangements for recognized assets and liabilities. These recognized assets and liabilities are presented as defined in FASB ASU No. 2011-11 “Balance Sheet (Topic 210): Disclosures about Offsetting Assets and Liabilities” and subsequently clarified in FASB ASU 2013-01 “Balance Sheet (Topic 210): Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities.”

 

The following table also identifies the fair value amounts of derivative instruments included in the statements of assets and liabilities as derivative contracts, categorized by primary underlying risk and held by the FCM, ED&F Man as of March 31, 2017 and December 31, 2016.

 

Offsetting of Financial Assets and Derivative Assets as of March 31, 2017

 

   (i)   (ii)   (iii) = (i) – (ii)   (iv)   (v) = (iii) – (iv) 
                         
               Gross Amount Not Offset in the
Statement of Assets and Liabilities		     
Description  Gross
Amount
of
Recognized
Assets		   Gross
Amount
Offset in the
Statement of
Assets and
Liabilities		   Net Amount
Presented in
the
Statement of
Assets and
Liabilities		   Futures Contracts
Available for Offset		   Collateral,
Due
to Broker		   Net Amount 
Commodity price                        
Soybean futures contracts  $3,188   $—   $3,188   $3,188   $—   $— 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of March 31, 2017

 

   (i)   (ii)   (iii) = (i) – (ii)   (iv)   (v) = (iii) – (iv) 
                         
               Gross Amount Not Offset in the
Statement of Assets and Liabilities		     
Description  Gross
Amount
of
Recognized
Liabilities		   Gross
Amount
Offset in the
Statement of
Assets and
Liabilities		   Net Amount
Presented in
the
Statement of
Assets and
Liabilities		   Futures Contracts
Available for Offset		   Collateral,
Due
from Broker		   Net Amount 
Commodity price                        
Soybean futures contracts  $488,863   $—   $488,863   $3,188   $485,675   $— 

  

Offsetting of Financial Assets and Derivative Assets as of December 31, 2016

 

   (i)   (ii)   (iii) = (i) – (ii)   (iv)   (v) = (iii) – (iv) 
                         
               Gross Amount Not Offset in the
Statement of Assets and Liabilities		     
Description  Gross
Amount
of
Recognized
Assets		   Gross
Amount
Offset in the
Statement of
Assets and
Liabilities		   Net Amount
Presented in
the
Statement of
Assets and
Liabilities		   Futures Contracts
Available for Offset		   Collateral,
Due
to Broker		   Net Amount 
Commodity price                        
Soybean futures contracts  $357,500   $—   $357,500   $12,025   $—   $345,475 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of December 31, 2016

 

   (i)   (ii)   (iii) = (i) – (ii)   (iv)   (v) = (iii) – (iv) 
                         
               Gross Amount Not Offset in the
Statement of Assets and Liabilities		     
Description  Gross
Amount
of
Recognized
Liabilities		   Gross
Amount
Offset in the
Statement of
Assets and
Liabilities  		   Net Amount
Presented in
the
Statement of
Assets and
Liabilities		   Futures Contracts
Available for Offset		    Collateral,
Due
from Broker		   Net Amount 
Commodity price                        
Soybean futures contracts  $12,025   $—   $12,025   $12,025   $—   $— 

 

The following is a summary of realized and unrealized gains and losses of the derivative instruments utilized by the Fund:

 

Three months ended March 31, 2017

 

Primary Underlying Risk 

Realized Gain on  

Commodity Futures Contracts  

  

 Net Change in Unrealized
Appreciation or Depreciation on  

Commodity Futures Contracts

 
Commodity price          
Soybean futures contracts
  $342,912   $(831,150)

 

Three months ended March 31, 2016

 

Primary Underlying Risk 

Realized Gain on 

Commodity Futures Contracts 

  

Net Change in Unrealized 

Appreciation or Depreciation on 

Commodity Futures Contracts 

 
Commodity price          
Soybean futures contracts  $100,325   $344,625 

 

Volume of Derivative Activities

 

The average notional market value categorized by primary underlying risk for all futures contracts held was $12.1 million for the three months ended March 31, 2017 and $9.4 million for the three months ended March 31, 2016. 
Teucrium Sugar Fund [Member]  
Derivative Instruments and Hedging Activities

Note 5 – Derivative Instruments and Hedging Activities

 

In the normal course of business, the Fund utilizes derivative contracts in connection with its proprietary trading activities. Investments in derivative contracts are subject to additional risks that can result in a loss of all or part of an investment. The Fund’s derivative activities and exposure to derivative contracts are classified by the following primary underlying risks: interest rate, credit, commodity price, and equity price risks. In addition to its primary underlying risks, the Fund is also subject to additional counterparty risk due to inability of its counterparties to meet the terms of their contracts. For the three months ended March 31, 2017 and 2016, the Fund invested only in commodity futures contracts.

 

Futures Contracts

 

The Fund is subject to commodity price risk in the normal course of pursuing its investment objectives. A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date.

 

The purchase and sale of futures contracts requires margin deposits with a FCM. Subsequent payments (variation margin) are made or received by the Fund each day, depending on the daily fluctuations in the value of the contract, and are recorded as unrealized gains or losses by the Fund. Futures contracts may reduce the Fund’s exposure to counterparty risk since futures contracts are exchange-traded; and the exchange’s clearinghouse, as the counterparty to all exchange-traded futures, guarantees the futures against default.

 

The Commodity Exchange Act requires an FCM to segregate all customer transactions and assets from the FCM’s proprietary activities. A customer’s cash and other equity deposited with an FCM are considered commingled with all other customer funds subject to the FCM’s segregation requirements. In the event of an FCM’s insolvency, recovery may be limited to the Fund’s pro rata share of segregated customer funds available. It is possible that the recovery amount could be less than the total of cash and other equity deposited.

 

The following table discloses information about offsetting assets and liabilities presented in the statements of assets and liabilities to enable users of these financial statements to evaluate the effect or potential effect of netting arrangements for recognized assets and liabilities. These recognized assets and liabilities are presented as defined in FASB ASU No. 2011-11 “Balance Sheet (Topic 210): Disclosures about Offsetting Assets and Liabilities” and subsequently clarified in FASB ASU 2013-01 “Balance Sheet (Topic 210): Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities.”

 

The following table also identifies the fair value amounts of derivative instruments included in the statements of assets and liabilities as derivative contracts, categorized by primary underlying risk and held by the FCM, ED&F Man as of March 31, 2017 and December 31, 2016.

 

Offsetting of Financial Liabilities and Derivative Liabilities as of March 31, 2017

 

    (i)     (ii)     (iii) = (i) – (ii)   (iv)   (v) = (iii) – (iv)
                         
                          Gross Amount Not Offset in the
Statement of Assets and Liabilities		    
                                         
Description   Gross Amount
of Recognized
Liabilities		     Gross Amount
Offset in the
Statement of
Assets and
Liabilities		     Net Amount
Presented in the
Statement of
Assets and
Liabilities		   Futures Contracts Available for Offset   Collateral,
Due
from Broker		   Net Amount
Commodity price                                        
Sugar futures contracts   $ 523,320     $ —     $ 523,320   $ —   $ 523,320   $ —

 

Offsetting of Financial Assets and Derivative Assets as of December 31, 2016

 

    (i)     (ii)     (iii) = (i) – (ii)   (iv)   (v) = (iii) – (iv)
                         
                          Gross Amount Not Offset in the
Statement of Assets and Liabilities		    
                                         
Description   Gross Amount
of Recognized
Assets		     Gross Amount
Offset in the
Statement of
Assets and
Liabilities		     Net Amount
Presented in the
Statement of
Assets and
Liabilities		   Futures Contracts Available for Offset   Collateral,
Due
to Broker		   Net Amount
Commodity price                                        
Sugar futures contracts   $ 185,147     $ —     $ 185,147   $ 185,147   $ —   $ —

  

Offsetting of Financial Liabilities and Derivative Liabilities as of December 31, 2016

 

    (i)     (ii)     (iii) = (i) – (ii)   (iv)   (v) = (iii) – (iv)
                         
                          Gross Amount Not Offset in the
Statement of Assets and Liabilities		    
                                         
Description   Gross Amount
of Recognized
Liabilities		     Gross Amount
Offset in the
Statement of
Assets and
Liabilities		     Net Amount
Presented in the
Statement of
Assets and
Liabilities		   Futures Contracts Available for Offset   Collateral,
Due
from Broker		   Net Amount
Commodity price                                        
Sugar futures contracts   $ 331,542     $ —     $ 331,542   $ 185,147   $ 146,395   $ —

 

The following tables identify the net gain and loss amounts included in the statements of operations as realized and unrealized gains and losses on trading of commodity futures contracts categorized by primary underlying risk:

 

Three months ended March 31, 2017

 

Primary Underlying Risk 

Realized Loss on

Commodity Futures Contracts

  

Net Change in Unrealized

Appreciation or Depreciation on
Commodity Futures Contracts

 
Commodity price        
Sugar futures contracts  $(206,248)  $(376,925)

 

Three months ended March 31, 2016

 

Primary Underlying Risk 

Realized Loss on

Commodity Futures Contracts

  

Net Change in Unrealized

Appreciation or Depreciation on

Commodity Futures Contracts

 
Commodity price        
Sugar futures contracts  $(1,758)  $(2,475)

  

Volume of Derivative Activities

 

The average notional market value categorized by primary underlying risk for all futures contracts held was $5.5 million for the three months ended March 31, 2017 and $4.7 million for the three months ended March 31, 2016.
Teucrium Wheat Fund [Member]  
Derivative Instruments and Hedging Activities

Note 5 – Derivative Instruments and Hedging Activities

 

In the normal course of business, the Fund utilizes derivative contracts in connection with its proprietary trading activities. Investments in derivative contracts are subject to additional risks that can result in a loss of all or part of an investment. The Fund’s derivative activities and exposure to derivative contracts are classified by the following primary underlying risks: interest rate, credit, commodity price, and equity price risks. In addition to its primary underlying risks, the Fund is also subject to additional counterparty risk due to inability of its counterparties to meet the terms of their contracts. For the three months ended March 31, 2017 and 2016, the Fund invested only in commodity futures contracts.

  

Futures Contracts

 

The Fund is subject to commodity price risk in the normal course of pursuing its investment objectives. A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date.

 

The purchase and sale of futures contracts requires margin deposits with a Futures Commission Merchant (“FCM”).  Subsequent payments (variation margin) are made or received by the Fund each day, depending on the daily fluctuations in the value of the contract, and are recorded as unrealized gains or losses by the Fund.  Futures contracts may reduce the Fund’s exposure to counterparty risk since futures contracts are exchange-traded; and the exchange’s clearinghouse, as the counterparty to all exchange-traded futures, guarantees the futures against default.

 

The Commodity Exchange Act requires an FCM to segregate all customer transactions and assets from the FCM’s proprietary activities.  A customer’s cash and other equity deposited with an FCM are considered commingled with all other customer funds subject to the FCM’s segregation requirements.  In the event of an FCM’s insolvency, recovery may be limited to the Fund’s pro rata share of segregated customer funds available.  It is possible that the recovery amount could be less than the total of cash and other equity deposited.  

 

The following table discloses information about offsetting assets and liabilities presented in the statements of assets and liabilities to enable users of these financial statements to evaluate the effect or potential effect of netting arrangements for recognized assets and liabilities. These recognized assets and liabilities are presented as defined in the Financial Accounting Standards Board’s (“FASB”) Accounting Standards Update (“ASU”) No. 2011-11 “Balance Sheet (Topic 210): Disclosures about Offsetting Assets and Liabilities” and subsequently clarified in FASB ASU 2013-01 “Balance Sheet (Topic 210): Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities.”

 

The following table also identifies the fair value amounts of derivative instruments included in the statements of assets and liabilities as derivative contracts, categorized by primary underlying risk and held by the FCM, ED&F Man as of March 31, 2017 and December 31, 2016.

 

Offsetting of Financial Liabilities and Derivative Liabilities as of March 31, 2017 

 

   (i)   (ii)   (iii) = (i) – (ii)   (iv)   (v) = (iii) – (iv) 
                     
              Gross Amount Not Offset in the
Statement of Assets and
Liabilities		     
Description  Gross Amount
of Recognized
Liabilities		   Gross Amount
Offset in the
Statement of
Assets and
Liabilities		   Net Amount
Presented in
the Statement of
Assets and
Liabilities		   Futures
Contracts
Available for
Offset		   Collateral, Due
from Broker		   Net Amount 
Commodity price                              
Wheat futures contracts  $2,958,875   $—   $2,958,875   $—   $2,958,875   $— 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of December 31, 2016 

                                     
    (i)     (ii)     (iii) = (i) – (ii)     (iv)     (v) = (iii) – (iv)  
                                     
                      Gross Amount Not Offset in the
Statement of Assets and
Liabilities		        
Description   Gross Amount
of Recognized
Liabilities		     Gross Amount
Offset in the
Statement of
Assets and
Liabilities		     Net Amount
Presented in
the Statement of
Assets and
Liabilities		     Futures
Contracts
Available for
Offset		     Collateral, Due
from Broker		     Net Amount  
Commodity price                                                
Wheat futures contracts   $ 3,921,588     $ —     $ 3,921,588     $ —     $ 3,921,588     $ —  

 

The following tables identify the net gain and loss amounts included in the statements of operations as realized and unrealized gains and losses on trading of commodity futures contracts categorized by primary underlying risk:

 

Three months ended March 31, 2017

 

Primary Underlying Risk 

Realized Loss on 
Commodity Futures Contracts 

  

Net Change in Unrealized 
Appreciation or Depreciation on 
Commodity Futures Contracts 

 
Commodity price          
Wheat futures contracts  $(175,300)  $962,713 

 

Three months ended March 31, 2016

 

Primary Underlying Risk 

Realized Loss on 
Commodity Futures Contracts 

  

Net Change in Unrealized
Appreciation or Depreciation on 
Commodity Futures Contracts 

 
Commodity price          
Wheat futures contracts  $(569,113)  $396,989 

 

Volume of Derivative Activities

 

The average notional market value categorized by primary underlying risk for all futures contracts held was $66.1 million for the three months ended March 31, 2017 and $24.9 million for the three months ended March 31, 2016.