v3.22.2.2
Investments
 12 Months Ended
Jun. 30, 2022
Investments [Abstract]  
Investments

(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 commodity trading advisor uses a mathematical approach to investing. Using this approach, the applicable commodity trading advisor determines the type, quantity and mix of investment positions that it believes in combination should produce returns consistent with the Fund’s objective.

 

All open derivative positions at June 30, 2022 and at June 30, 2021, as applicable, 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 shareholders’ capital throughout the reporting periods 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 freight futures or 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 Assets and Liabilities, 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 freight futures or 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.  

 

BREAKWAVE DRY BULK SHIPPING ETF

Fair Value of Derivative Instruments, as of June 30, 2022

 

    Asset Derivatives     Liability Derivatives  
Derivatives   Statements of
Assets and Liabilities		   Unrealized
Gain		     Statements of
Assets and Liabilities		   Fair
Value		  
Interest Rate Risk   -       -     Payable on open futures contracts   $ 9,265,175*  

 

*Represents cumulative appreciation and depreciation of futures contracts as reported in the Statements of Assets and Liabilities.

 

BREAKWAVE DRY BULK SHIPPING ETF*

Fair Value of Derivative Instruments, as of June 30, 2021

 

    Asset Derivatives     Liability Derivatives  
Derivatives   Statements of
Assets and Liabilities		   Unrealized
Gain		      Statements of
Assets and Liabilities		   Fair
Value		  
Interest Rate Risk   Receivable on open futures contracts    $   21,723,570 *          -          -  

 

*Represents cumulative appreciation of futures contracts as reported in the Statements of Assets and Liabilities.

 

Derivatives   Location of Gain (Loss) on Derivatives   Realized
Gain on
Derivatives
Recognized
in Income		     Change in
Unrealized
Gain (Loss) on Derivatives Recognized
in Income		  

 

Interest Rate Risk

   Net realized gain on futures and options contracts and/or change in unrealized gain (loss) on futures and options contracts   $ 836,968     $  ( 30,988,515)  

 

The futures and options contracts open at June 30, 2022 are indicative of the activity for the year ended June 30, 2022.

 

BREAKWAVE DRY BULK SHIPPING ETF

The Effect of Derivative Instruments on the Combined Statements of Operations

For the Year Ended June 30, 2021

 

Derivatives   Location of Gain (Loss) on Derivatives   Realized
Gain on
Derivatives
Recognized
in Income		     Change in
Unrealized
Gain (Loss) on Derivatives Recognized
in Income		  

 

Interest Rate Risk

   Net realized gain on futures and options contracts and/or change in unrealized gain (loss) on futures and options contracts   $ 48,115,213     $ 13,142,015  

 

The futures and options contracts open at June 30, 2021 are indicative of the activity for the year ended June 30, 2021.