Trading Activities | 5. Trading Activities: The Partnershipās objective is to profit from speculative trading in Futures Interests. Therefore, the Trading Advisors will take speculative positions in Futures Interests where it feels the best profit opportunities exist for its trading strategy. As such, the average number of contracts outstanding in absolute quantities (the total of the open long and open short positions) has been presented as a part of the volume disclosure, as position direction is not an indicative factor in such volume disclosures. All of the Futures Interests owned by the Partnership are held for trading purposes. The monthly average number of futures contracts traded during the years ended December 31, 2021 and 2020 were 6,649 and 3,907, respectively. The monthly average number of metals forward contracts traded during the years ended December 31, 2021 and 2020 were 678 and 406, respectively. The monthly average notional values of currency forward contracts traded during the years ended December 31, 2021 and 2020 were $835,509,187 and $292,777,322, respectively. The following tables summarize the gross and net amounts recognized relating to the assets and liabilities of the Partnershipās derivative instruments and transactions eligible for offset subject to master netting agreements or similar arrangements as of December 31, 2021 and 2020, respectively. December 31, 2021 Gross Amounts Gross Amounts Statements of Amounts Statements of Gross Amounts Not Offset in the Statements of Financial Condition Net Amount Financial Cash Collateral Assets Futures $ 2,679,698 $ (1,950,628) $ 729,070 $ - $ - $ 729,070 Forwards 2,567,692 (2,567,692) - - - - Total assets $ 5,247,390 $ (4,518,320) $ 729,070 $ - $ - $ 729,070 Liabilities Futures $ (1,950,628) $ 1,950,628 $ - $ - $ - $ - Forwards (2,988,862) 2,567,692 (421,170) - 421,170 - Total liabilities $ (4,939,490) $ 4,518,320 $ (421,170) $ - $ 421,170 $ - Net fair value $ 729,070 * December 31, 2020 Gross Amounts Gross Amounts Statements of Amounts Statements of Gross Amounts Not Offset in the Statements of Financial Condition Net Amount Financial Cash Collateral Assets Futures $ 4,122,810 $ (349,631) $ 3,773,179 $ - $ - $ 3,773,179 Forwards 1,473,522 (864,974) 608,548 - - 608,548 Total assets $ 5,596,332 $ (1,214,605) $ 4,381,727 $ - $ - $ 4,381,727 Liabilities Futures $ (349,631) $ 349,631 $ - $ - $ - $ - Forwards (864,974) 864,974 - - - - Total liabilities $ (1,214,605) $ 1,214,605 $ - $ - $ - $ - Net fair value $ 4,381,727 * * In the event of default by the Partnership, MS&Co., the Partnershipās commodity futures broker and the sole counterparty to the Partnershipās non-exchange-traded The following tables indicate the gross fair values of derivative instruments of futures and forward contracts as separate assets and liabilities as of December 31, 2021 and 2020, respectively. December 31, 2021 Assets Futures Contracts Currencies $ 27,947 Energy 667,615 Grains 277,755 Indices 654,155 Interest Rates U.S. 125,562 Interest Rates Non-U.S. 699,662 Livestock 16,490 Metals 58,181 Softs 152,331 Total unrealized appreciation on open futures contracts 2,679,698 Liabilities Futures Contracts Currencies (193,626) Energy (116,177) Grains (157,556) Indices (486,810) Interest Rates U.S. (109,898) Interest Rates Non-U.S. (630,253) Livestock (4,910) Metals (149,920) Softs (101,478) Total unrealized depreciation on open futures contracts (1,950,628) Net unrealized appreciation on open futures contracts $ 729,070 * Assets Forward Contracts Currencies $ 1,744,966 Metals 822,726 Total unrealized appreciation on open forward contracts 2,567,692 Liabilities Forward Contracts Currencies (2,224,046) Metals (764,816) Total unrealized depreciation on open forward contracts (2,988,862) Net unrealized depreciation on open forward contracts $ (421,170) ** * This amount is in āNet unrealized appreciation on open futures contractsā in the Statements of Financial Condition. ** This amount is in āNet unrealized depreciation on open forward contractsā in the Statements of Financial Condition. December 31, 2020 Assets Futures Contracts Currencies $ 23,052 Energy 109,229 Grains 1,365,721 Indices 1,611,029 Interest Rates U.S. 64,049 Interest Rates Non-U.S. 291,892 Metals 581,429 Softs 76,409 Total unrealized appreciation on open futures contracts 4,122,810 Liabilities Futures Contracts Currencies (3,228) Energy (112,645) Grains (290) Indices (43,188) Interest Rates U.S. (132,891) Interest Rates Non-U.S. (52,802) Metals (2,787) Softs (1,800) Total unrealized depreciation on open futures contracts (349,631) Net unrealized appreciation on open futures contracts $ 3,773,179 * Assets Forward Contracts Currencies $ 546,367 Metals 927,155 Total unrealized appreciation on open forward contracts 1,473,522 Liabilities Forward Contracts Currencies (763,174) Metals (101,800) Total unrealized depreciation on open forward contracts (864,974) Net unrealized appreciation on open forward contracts $ 608,548 ** * This amount is in āNet unrealized appreciation on open futures contractsā in the Statements of Financial Condition. ** This amount is in āNet unrealized appreciation on open forward contractsā in the 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, 2021, 2020 and 2019, respectively. Sector 2021 2020 2019 Currencies $ 2,285,525 $ (4,430,163) $ (658,803) Energy 8,868,835 (1,895,131) (5,781,883) Grains 2,837,873 1,236,867 (1,216,406) Indices 5,799,611 (15,340,684) 15,551,437 Interest Rates U.S. (5,368,158) 10,530,542 5,732,768 Interest Rates Non-U.S. (6,655,091) 2,788,538 7,188,020 Livestock (425,918) - - Metals 414,121 5,858,105 (1,617,020) Softs 1,784,978 (1,099,658) (553,158) Total $ 9,541,776 *** $ (2,351,584) *** $ 18,644,955 *** *** This amount is in āTotal trading resultsā in the Statements of Income and Expenses. |