| 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 years ended December 31, 2018
and 2017 were 1,363 and 1,712, respectively. The monthly average
number of metals forward contracts traded by the Partnership/Master
during the years ended December 31, 2018 and 2017 were 157 and
236, respectively. The monthly average notional values of currency
forward contracts traded by the Partnership/Master during the years
ended December 31, 2018 and 2017 were $158,517,260 and
$175,388,882, respectively. The following tables summarize 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
December 31, 2018 and 2017, respectively.
Gross Amounts Offset in the
Amounts Presented in the
Gross Amounts Not Offset in the Statements of Financial Condition
December 31, 2018 Gross Amounts Statements of Condition Statements of Condition Financial Cash Collateral Net Amount
Assets
Futures $ 561,881 $ (275,263) $
286,618 $ - $ - $
286,618
Forwards
1,333,455 (853,932) 479,523
-
- 479,523
Total assets $ 1,895,336 $ (1,129,195) $ 766,141 $
- $
- $ 766,141
Liabilities
Futures $ (275,263) $ 275,263 $
- $
- $
- $
-
Forwards (853,932) 853,932
-
-
-
-
Total liabilities $ (1,129,195) $
1,129,195 $
- $
- $
- $
-
Net fair value $ 766,141 *
Gross Amounts Offset in the
Amounts Presented in the Gross Amounts Not Offset in the
December 31, 2017 Gross Amounts Statements of Condition Statements of Condition Financial Cash Collateral Net Amount
Assets
Futures $ 722,562 $ (455,376) $ 267,186 $
- $
- $ 267,186
Forwards 819,639 (614,579) 205,060
-
- 205,060
Total assets $ 1,542,201 $ (1,069,955) $ 472,246 $
- $
- $ 472,246
Liabilities
Futures $ (455,376) $ 455,376 $
- $
- $
- $
-
Forwards (614,579) 614,579
-
-
-
-
Total liabilities $ (1,069,955) $ 1,069,955 $
- $
- $
- $
-
Net fair value $ 472,246 *
*
In the event of default by the Partnership,
MS&Co., the Partnership’s commodity futures brokers and
the sole counterparty to the
Partnership’s non-exchange-traded
The following tables indicate the gross fair values
of derivative instruments of futures and forward contracts as
separate assets and liabilities for the Partnership as of
December 31, 2018 and 2017, respectively.
Assets
December 31, 2018
Futures Contracts
Energy $ 63,201
Grains 67,071
Indices 67,303
Interest Rates U.S. 40,484
Interest Rates Non-U.S. 191,985
Livestock 30
Metals 23,908
Softs 107,899
Total unrealized appreciation on open futures contracts 561,881
Liabilities
Futures Contracts
Energy (83,350)
Grains (930)
Indices (67,877)
Interest Rates U.S. (112,616)
Interest Rates Non-U.S. (8,061)
Livestock (1,043)
Metals (400)
Softs (986)
Total unrealized depreciation on open futures contracts (275,263)
Net unrealized appreciation on open futures contracts $
286,618 *
Assets
Forward Contracts
Currencies $ 1,162,260
Metals 171,195
Total unrealized appreciation on open forward contracts 1,333,455
Liabilities
Forward Contracts
Currencies (727,182)
Metals (126,750)
Total unrealized depreciation on open forward contracts (853,932)
Net unrealized appreciation on open forward contracts $ 479,523 **
*
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.
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 years
ended December 31 2018, 2017 and 2016.
Sector 2018 2017** 2016
Currencies $
636,438 $ (1,586,994 ) $ (232,835 )
Energy 528,757 (595,331 ) (1,339,102 )
Grains (401,562 ) (759,369 ) 254,390
Indices (1,764,964 )
5,597,239 (453,676 )
Interest Rates U.S. 159,139 (366,474 ) (135,278 )
Interest Rates Non-U.S. 232,657 (879,489 )
1,121,232
Livestock (150,735 ) (90,330 ) (295,814 )
Metals (579,734 ) (28,141 ) (299,841 )
Softs 87,233 (108,089 ) (437,483 )
Total $ (1,252,771 ) * $ 1,183,022 * $ (1,818,407 ) *
*
This amount is in “Total trading
results” in the Partnership’s/Master’s Statements
of Income and Expenses.
**
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%. |
