XML 51 R11.htm IDEA: XBRL DOCUMENT
v3.19.3.a.u2

Summary of Significant Accounting Policies | 6 Months Ended
--- | ---
Dec. 31, 2019
Accounting Policies [Abstract] |
Summary of Significant Accounting Policies | (2) Summary of Significant Accounting Policies (a) Basis of Accounting The accompanying interim combined financial statements of the Funds have been prepared in conformity with U.S. generally accepted accounting principles ("U.S. GAAP"). Each Fund qualifies as an investment company for financial reporting purposes under Topic 946 of the Accounting Standard Codification of U.S. GAAP. The accompanying interim combined financial statements are unaudited, but in the opinion of management, contain all adjustments (which include normal recurring adjustments) considered necessary to present fairly the interim combined financial statements. These interim combined financial statements should be read in conjunction with RISE's annual report on Form 10-K for the year ended June 30, 2019, RISE's prospectus dated January 22, 2020 (the "RISE Prospectus"), BDRY's annual report on Form 10-K for the year ended June 30, 2019 and BDRY's prospectus dated March 13, 2019 (the "BDRY Prospectus," and together with the RISE Prospectus, the "Prospectuses"). Interim period results are not necessarily indicative of results for a full-year period. (b) Use of Estimates The preparation of the interim combined financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the interim combined financial statements and accompanying notes. Actual results could differ from those estimates. There were no significant estimates used in the preparation of the interim combined financial statements. (c) Cash Cash, when shown in the Combined Statements of Assets and Liabilities, represents non-segregated cash with the custodian and does not include short-term investments. (d) Cash Held by Broker Sit is registered as a "commodity trading advisor" and acts as such for RISE. Breakwave is registered as a "commodity trading advisor" and acts as such for BDRY. Each Fund's arrangement with its respective FCM requires the Fund to meet its variation margin requirement related to the price movements, both positive and negative, on futures contracts held by the Fund by keeping cash on deposit with the Commodity Brokers (as defined below). These amounts are shown as Segregated cash held by broker in the Combined Statements of Assets and Liabilities. The Funds deposit cash or United States Treasury Obligations, as applicable, with their respective FCM subject to the CFTC regulations and various exchange and broker requirements. The combination of the Funds' deposits with their respective FCM of cash and United States Treasury Obligations, as applicable, and the unrealized gain or loss on open futures contracts (variation margin) represents the Funds' overall equity in their respective brokerage trading account. The Funds use their cash held by their respective FCM to satisfy variation margin requirements. The Funds earn interest on their cash deposited with their respective FCM and interest income is recorded on the accrual basis. (e) Final Net Asset Value for Fiscal Period The calculation time of each Fund's final net asset value for creation and redemption of Fund shares for the three months ended December 31, 2019 and 2018 was at 4:00 p.m. Eastern Time on December 31, 2019 and December 31, 2018, respectively. Although the Funds' shares may continue to trade on secondary markets subsequent to the calculation of the final NAV, the 4:00 p.m. Eastern Time represented the final opportunity to transact in creation or redemption baskets for the three months ended December 31, 2019 and 2018. Fair value per share is determined at the close of the NYSE Arca. For financial reporting purposes, each Fund values its investment positions based upon the final closing price in their primary markets. Accordingly, the investment valuations in these interim combined financial statements differ from those used in the calculations of the Funds' final creation/redemption NAVs at December 31, 2019 and December 31, 2018. (f) Investment Valuation Short-term investments, excluding U.S. Treasury Bills, are carried at amortized cost, which approximates fair value. U.S. Treasury Bills are valued as determined by an independent pricing service based on methods which include consideration of: yields or prices of securities of comparable quality, coupon, maturity and type; indications as to values from dealers; and general market conditions. Futures and options contracts are valued at the last settled price on the applicable exchange on which that futures and/or options contract trades. (g) Financial Instruments and Fair Value Each Fund discloses the fair value of its investments in accordance with the Financial Accounting Standards Board ("FASB") fair value measurement and disclosure guidance which requires a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The disclosure requirements establish a fair value hierarchy that distinguishes between: (1) market participant assumptions developed based on market data obtained from sources independent to the Fund (observable inputs); and (2) the Fund's own assumptions about market participant assumptions developed based on the best information available under the circumstances (unobservable inputs). The three levels defined by the disclosure requirements hierarchy are as follows: Level I: Quoted prices (unadjusted) in active markets for identical assets and liabilities that the reporting entity has the ability to access at the measurement date. Level II: Inputs other than quoted prices included within Level I that are observable for the asset or liability, either directly or indirectly. Level II inputs include the following: quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the asset or liability, and inputs that are derived principally from or corroborated by observable market data by correlation or other means (market-corroborated inputs). Level III: Unobservable pricing input at the measurement date for the asset or liability. Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available. In some instances, the inputs used to measure fair value might fall in different levels of the fair value hierarchy. The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest input level that is significant to the fair value measurement in its entirety. Fair value measurements also require additional disclosure when the volume and level of activity for the asset or liability have significantly decreased, as well as when circumstances indicate that a transaction is not orderly. The following tables summarize RISE's valuation of investments at December 31, 2019 and at June 30, 2019 using the fair value hierarchy:
|  | December 31, 2019 (unaudited) |
|  | Short-Term Investments |  |  | Purchased Options Contracts |  |  | Written Options Contracts |  | Futures Contracts |  | Total |
Level I – Quoted Prices |  | $ | 5,511,316 | a |  | $ | 21,797 | a |  | $ | (5,906 | )b | $ | 15,878 | c | $ | 5,543,085 |
a – Included in Investments in securities in the Combined Statements of Assets and Liabilities. b – Included in Options written, at fair value in the Combined Statements of Assets and Liabilities. c – Included in Receivable on open futures contracts in the Combined Statements of Assets and Liabilities.
|  | June 30, 2019 (audited) |
|  | Short-Term Investments |  |  | Purchased Options Contracts |  |  | Written Options Contracts |  | Futures Contracts |  | Total |
Level I – Quoted Prices |  | $ | 11,874,272 | a |  | $ | 35,625 | a |  | $ | (19,336 | )b | $ | (326,457) | c | $ | 11,564,104 |
a – Included in Investments in securities in the Combined Statements of Assets and Liabilities. b – Included in Options written, at fair value in the Combined Statements of Assets and Liabilities. c – Included in Payable on open futures contracts in the Combined Statements of Assets and Liabilities. Transfers between levels are recognized at the end of the reporting period. During the six months ended December 31, 2019 and the year ended June 30, 2019, RISE recognized no transfers from Level 1, Level 2 or Level 3. The following table summarizes BDRY's valuation of investments at December 31, 2019 and at June 30, 2019 using the fair value hierarchy:
|  | December 31, 2019 (unaudited) |
|  | Short-Term Investments |  |  | Futures Contracts |  |  | Total |
Level I – Quoted Prices |  | $ | 551,232 | a |  | $ | (105,125) | b |  | $ | 446,107 |
a – Included in Investments in securities in the Combined Statements of Assets and Liabilities. b – Included in Payable on open futures contracts in the Combined Statements of Assets and Liabilities.
|  | June 30, 2019 (audited) |
|  | Short-Term Investments |  |  | Futures Contracts |  |  | Total |
Level I – Quoted Prices |  | $ | 1,095,625 | a |  | $ | 391,415 | b |  | $ | 1,487,040 |
a – Included in Investments in securities in the Combined Statements of Assets and Liabilities. b – Included in Receivable on open futures contracts in the Combined Statements of Assets and Liabilities. Transfers between levels are recognized at the end of the reporting period. During the six months ended December 31, 2019 and the year ended June 30, 2019, BDRY recognized no transfers from Level 1, Level 2 or Level 3. The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those securities. (h) Investment Transactions and Related Income Investment transactions are recorded on the trade date. All such transactions are recorded on the identified cost basis, and marked to market daily. Unrealized gain/loss on open futures contracts is reflected in Receivable/Payable on open futures contracts in the Combined Statements of Assets and Liabilities and the change in the unrealized gain/loss between periods is reflected in the Combined Statements of Operations. RISE's discounts on short-term securities purchased are accreted daily and reflected as Interest Income, when applicable, in the Combined Statements of Operations. BDRY's interest earned on short-term securities and on cash deposited with MacQuarie Futures USA LLC are accrued daily and reflected as Interest Income, when applicable, in the Combined Statements of Operations. (i) Federal Income Taxes Each Fund is registered as a Delaware statutory trust and is treated as a partnership for U.S. federal income tax purposes. Accordingly, the Funds do not expect to incur U.S. federal income tax liability; rather, each beneficial owner is required to take into account their allocable share of the Funds' income, gain, loss, deductions and other items for the Funds' taxable year ending with or within the beneficial owner's taxable year. Management of the Funds has reviewed the open tax years and major jurisdictions and concluded that there is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns at December 31, 2019 and June 30, 2019. The Funds are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. On an ongoing basis, management will monitor its tax positions taken to determine if adjustments to its conclusions are necessary based on factors including, but not limited to, further implementation of guidance expected from the FASB and on-going analysis of tax law, regulation, and interpretations thereof. The Funds' federal tax returns are subject to examination by the Internal Revenue Service for a period of three years after they are filed.

X
- References No definition available. + Details
Name: | us-gaap_AccountingPoliciesAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- Definition The entire disclosure for the basis of presentation and significant accounting policies concepts. Basis of presentation describes the underlying basis used to prepare the financial statements (for example, US Generally Accepted Accounting Principles, Other Comprehensive Basis of Accounting, IFRS). Accounting policies describe all significant accounting policies of the reporting entity. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 235 -URI http://asc.fasb.org/topic&trid=2122369 + Details
Name: | us-gaap_BasisOfPresentationAndSignificantAccountingPoliciesTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration