| Trading Activities | 4.
Trading Activities: The Partnership was formed for the purpose of
trading contracts in a variety of commodity interests, including
derivative financial instruments and derivative commodity
interests. Prior to its full redemption from the Master effective
July 14, 2017, the Partnership invested substantially all of
its assets through a “master/feeder” structure. The
Partnership’s pro-rata The futures brokerage account agreements with
MS&Co. give the Partnership, and gave the Master, respectively,
the legal right to net unrealized gains and losses on open futures
and forward contracts. The Partnership nets, and the Master netted,
for financial reporting purposes, the unrealized gains and losses
on open futures and forward contracts in their respective
Statements of Financial Condition as the criteria under ASC
210-20, “Balance
Sheet,” Trading and transaction fees are based on the
number of trades executed by the Advisor. All clearing fees paid to
MS&Co. are directly charged to the Partnership and prior to the
Partnership’s full redemption from the Master effective
July 14, 2017, were borne by the Master and allocated to the
Partnership. All of the commodity interests owned by the
Partnership are, and by the Master were, held for trading purposes.
The monthly average number of futures contracts traded by the
Partnership/Master during the three months ended September 30,
2018 and 2017 were 1,286 and 1,240, respectively. The monthly
average number of futures contracts traded by the
Partnership/Master during the nine months ended September 30,
2018 and 2017 were 1,327 and 1,786, respectively. The monthly
average number of metals forward contracts traded by the
Partnership/Master during the three months ended September 30,
2018 and 2017 were 145 and 268, respectively. The monthly average
number of metals forward contracts traded by the Partnership/Master
during the nine months ended September 30, 2018 and 2017 were
152 and 277, respectively. The monthly average notional values of
currency forward contracts traded by the Partnership/Master during
the three months ended September 30, 2018 and 2017 were
$154,752,785 and $167,088,539, respectively. The monthly average
notional values of currency forward contracts traded by the
Partnership/Master during the nine months ended September 30,
2018 and 2017 were $159,450,559 and $182,419,867, respectively. The following table summarizes the gross and net
amounts relating to assets and liabilities of the
Partnership’s derivatives and their offsetting subject to
master netting arrangements or similar agreements as of
September 30, 2018 and December 31, 2017,
respectively.
Gross Amounts Offset in the
Amounts
Presented in the
Gross Amounts Not Offset in the
September 30, 2018
Gross Amounts Statements of Condition Statements of Condition Financial Cash Collateral Net Amount
Assets
Futures $ 823,209 $
(208,334) $
614,875 $
- $
- $
614,875
Forwards 498,155 (498,155)
-
-
-
-
Total assets $
1,321,364 $ (706,489) $ 614,875 $
- $
- $ 614,875
Liabilities
Futures $ (208,334) $ 208,334 $
- $
- $
- $
-
Forwards (714,633) 498,155 (216,478)
-
- (216,478)
Total liabilities $ (922,967) $ 706,489 $ (216,478) $
- $
- $ (216,478)
Net fair value $ 398,397 *
Gross Amounts Amounts
Gross Amounts Not Offset in the
December 31, 2017
Gross Amounts Statements of Condition Statements of Financial Cash Collateral
Net Amount
Assets
Futures $
722,562 $
(455,376) $
267,186 $
- $
- $ 267,186
Forwards 819,639 (614,579) 205,060
-
- 205,060
$ 1,542,201 $
(1,069,955) $
472,246 $
- $ - $ 472,246
Liabilities
Futures $ (455,376) $ 455,376 $
- $
- $
- $
-
Forwards (614,579) 614,579
-
-
-
-
Net fair value $ (1,069,955) $ 1,069,955 $
- $
- $
- $
-
$
472,246 *
*
In the event of default by the Partnership,
MS&Co., the Partnership’s commodity futures broker and
the sole counterparty to the
Partnership’s non-exchange-traded The following table indicates the gross fair values
of derivative instruments of futures and forward contracts as
separate assets and liabilities for the Partnership as of
September 30, 2018 and December 31, 2017,
respectively.
Assets
September 30, 2018
Futures Contracts
Energy $
179,334
Grains 54,725
Indices 255,030
Interest Rates U.S. 117,219
Interest Rates Non-U.S. 65,454
Livestock 200
Metals 42,555
Softs
108,692
Total unrealized appreciation on open futures contracts
823,209
Liabilities
Futures Contracts
Energy (19,310 )
Grains (14,358 )
Indices (53,398 )
Interest Rates U.S. (6,757 )
Interest Rates Non-U.S. (75,201 )
Livestock (8,810 )
Metals (11,172 )
Softs
(19,328 )
Total unrealized depreciation on open futures contracts
(208,334 )
Net unrealized appreciation on open futures contracts $ 614,875 *
Assets
Forward Contracts
Currencies $ 347,115
Metals
151,040
Total unrealized appreciation on open forward contracts
498,155
Liabilities
Forward Contracts
Currencies (567,553 )
Metals
(147,080 )
Total unrealized depreciation on open forward contracts
(714,633 )
Net unrealized depreciation on open forward contracts $ (216,478 ) **
*
This amount is in “Net unrealized
appreciation on open futures contracts” in the
Partnership’s Statements of Financial Condition.
**
This amount is in “Net unrealized
depreciation on open forward contracts” in the
Partnership’s Statements of Financial Condition.
Assets
December 31, 2017
Futures Contracts
Energy $ 175,224
Grains 102,158
Indices 279,491
Interest Rates U.S. 45,321
Interest Rates Non-U.S. 9,980
Livestock 3,770
Metals 59,445
Softs
47,173
Total unrealized appreciation on open futures contracts
722,562
Liabilities
Futures Contracts
Energy (82,362 )
Grains (7,954 )
Indices (110,784 )
Interest Rates U.S. (10,654 )
Interest Rates Non-U.S. (236,497 )
Livestock (1,560 )
Metals (3,000 )
Softs
(2,565 )
Total unrealized depreciation on open futures contracts
(455,376 )
Net unrealized appreciation on open futures contracts $ 267,186 *
Assets
Forward Contracts
Currencies $ 652,474
Metals
167,165
Total unrealized appreciation on open forward contracts
819,639
Liabilities
Forward Contracts
Currencies (539,534 )
Metals
(75,045 )
Total unrealized depreciation on open forward contracts
(614,579 )
Net unrealized appreciation on open forward contracts $ 205,060 **
*
This amount is in “Net unrealized
appreciation on open futures contracts” in the
Partnership’s Statements of Financial Condition.
**
This amount is in “Net unrealized
appreciation on open forward contracts” in the
Partnership’s Statements of Financial Condition.
The following table indicates the trading gains and
losses, by market sector, on derivative instruments for the three
and nine months ended September 30, 2018 and 2017,
respectively.
Three Months Ended September 30,
Nine Months Ended September 30,
Sector 2018 2017** 2018 2017**
Currencies $
108,024 $
319,656 $
158,726 $
(1,261,440)
Energy (51,507) 5,224 497,103 (1,083,423)
Grains (78,802) (218,921) (392,429) (918,228)
Indices 151,656 910,147 (908,695) 4,095,808
Interest Rates U.S. 88,921 (57,730) 459,146 (426,733)
Interest Rates Non-U.S. (286,967) 87,418 (289,000) (816,228)
Livestock (46,175) (113,120) (130,268) (29,915)
Metals (64,712) (210,118) (523,795) (72,995)
Softs 138,300 (201,700) 210,212 (82,868)
Total $ (41,262) * $ 520,856 * $ (919,000) * $ (596,022) *
*
This amount is in “Total trading
results” in the Partnership’s/Master’s Statements
of Income and Expenses and Changes in Partners’ Capital.
**
Prior to July 17, 2017, trading gains and
losses were allocated to the Partnership through its investment in
the Master, of which the Partnership owned 100%. |
