(3) Investments

(a) Short-Term Investments

The Fund may purchase U.S. Treasury Bills, agency securities, and other high-credit quality short-term fixed income or similar securities with original maturities of one year or less. A portion of these investments may be used as margin for the Fund’s trading in futures contracts.

(b) Accounting for Derivative Instruments

In seeking to achieve the Fund’s investment objective, the Sponsor uses a mathematical approach to investing. Using this approach, the Sponsor determines the type, quantity and mix of investment positions that the Sponsor believes in combination should produce returns consistent with the Fund’s objective.

All open derivative positions at March 31, 2016 and June 30, 2015 for the Fund are disclosed in the Schedules of Investments and the notional value of these open positions relative to the shareholders’ capital of the Fund is generally representative of the notional value of open positions to shareholder’s capital throughout the reporting period for the Fund. The volume associated with derivative positions varies on a daily basis as the Fund transacts in derivative contracts in order to achieve the appropriate exposure, as expressed in notional value, in comparison to shareholders’ capital consistent with the Fund’s investment objective.

Following is a description of the derivative instruments used by the Fund during the reporting period, including the primary underlying risk exposures.

(c) Futures Contracts

The Fund enters into futures contracts to gain exposure to changes in the value of the Benchmark Portfolio. A futures contract obligates the seller to deliver (and the purchaser to accept) the future cash settlement of a specified quantity and type of a treasury futures contract at a specified time and place. The contractual obligations of a buyer or seller of a treasury futures contract may generally be satisfied by making an offsetting sale or purchase of an identical futures contract on the same or linked exchange before the designated date of delivery.

Upon entering into a futures contract, the Fund is required to deposit and maintain as collateral at least such initial margin as required by the exchange on which the transaction is affected. The initial margin is segregated as Cash held by broker, as disclosed in the Statements of Financial Condition, and is restricted as to its use. Pursuant to the futures contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the futures contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. The Fund will realize a gain or loss upon closing a futures transaction.

Futures contracts involve, to varying degrees, elements of market risk (specifically treasury price risk) and exposure to loss in excess of the amount of variation margin. The face or contract amounts reflect the extent of the total exposure the Fund has in the particular classes of instruments. Additional risks associated with the use of futures contracts include imperfect correlation between movements in the price of the futures contracts and the market value of the underlying securities and the possibility of an illiquid market for a futures contract. With futures contracts, there is minimal counterparty risk to the Fund since futures contracts are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures contracts, guarantees the futures contracts against default.

Fair Value of Derivative Instruments, as of March 31, 2016

Assets Derivatives

Liability Derivatives

Statements of

Financial

Unrealized

Financial

Unrealized

Derivatives

Condition

Gain

Condition

Loss

Interest Rate Risk

Receivable on open futures contracts

48,032

Written options, at fair value

(190,117)

Represents cumulative appreciation of futures contracts as reported in the Statements of Financial Condition.

Represents cumulative depreciation of futures contracts as reported in the Statements of Financial Condition.

Fair Value of Derivative Instruments, as of June 30, 2015

Asset Derivatives

Liability Derivatives

Statements of

Financial

Unrealized

Financial

Unrealized

Derivatives

Condition

Gain

Condition

Loss

Interest Rate Risk

Receivable on open futures contracts

9,187

Payable on open futures contracts

(2,579)

Interest Rate Risk

Written options, at fair value

(27,070)

***

Represents cumulative appreciation of futures contracts as reported in the Statements of Financial Condition.

Represents cumulative depreciation of futures contracts as reported in the Statements of Financial Condition.

***

Represents cumulative depreciation of options contracts as reported in the Statements of Financial Condition.

The Effect of Derivative Instruments on the Statements of Operations

For the Three Months Ended March 31, 2016

		Realized Gain
		(Loss) on
		Derivatives		Change in Unrealized gain (loss)
		Recognized in		on Derivatives Recognized in
Derivatives	Location of Gain(Loss) on Derivatives	Income		Income
	Net realized gain (loss) on futures and options contracts
	and/or Change in unrealized gain (loss) on
Interest Rate Risk	futures and options contracts	$	(719,469)	$	(250,645)

The futures and options contracts open at March 31, 2016 are indicative of the activity for the three months ended March 31, 2016.

The Effect of Derivative Instruments on the Statements of Operations

For the Nine Months Ended March 31, 2016

		Realized Gain
		(Loss) on
		Derivatives		Change in Unrealized gain (loss)
		Recognized in		on Derivatives Recognized in
Derivatives	Location of Gain(Loss) on Derivatives	Income		Income
	Net realized gain (loss) on futures and options contracts
	and/or Change in unrealized gain (loss) on
Interest Rate Risk	futures and options contracts	$	(726,684)	$	(127,903)

The futures and options contracts open at March 31, 2016 are indicative of the activity for the nine months ended March 31, 2016.

The Effect of Derivative Instruments on the Statements of Operations

For the Period from February 19, 2015 to March 31, 2015

		Realized Gain
		(Loss) on
		Derivatives		Change in Unrealized gain (loss)
		Recognized in		on Derivatives Recognized in
Derivatives	Location of Gain(Loss) on Derivatives	Income		Income
	Net realized gain (loss) on futures and options contracts
	and/or Change in unrealized gain (loss) on
Interest Rate Risk	futures and options contracts	$	(11,396)	$	(156,031)

The futures and options contracts open at March 31, 2015 are indicative of the activity for the period from February 19, 2015 to March 31, 2015.

The Effect of Derivative Instruments on the Statements of Operations

For the Period from February 19, 2015 to March 31, 2015

		Realized Gain
		(Loss) on
		Derivatives		Change in Unrealized gain (loss)
		Recognized in		on Derivatives Recognized in
Derivatives	Location of Gain(Loss) on Derivatives	Income		Income
	Net realized gain (loss) on futures and options contracts
	and/or Change in unrealized gain (loss) on
Interest Rate Risk	futures and options contracts	$	(11,396)	$	(156,031)

The futures and options contracts open at March 31, 2015 are indicative of the activity for the period from February 19, 2015 to March 31, 2015.