Trading Activities | 5. Trading Activities: The Partnership’s 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, 2023 and 2022 were 7,222 and 3,370, respectively. The monthly average number of metals forward contracts traded during the years ended December 31, 2023 and 2022 were 873 and 452, respectively. The monthly average notional values of currency forward contracts traded during the years ended December 31, 2023 and 2022 were $851,893,924 and $634,136,136, respectively. The following tables summarize the gross and net amounts recognized relating to the assets and liabilities of the Partnership’s derivative instruments and transactions eligible for offset subject to master netting agreements or similar arrangements as of December 31, 2023 and 2022, respectively. Gross Amounts Offset in the Consolidated Statements of Financial Condition Amounts Presented in the Consolidated Statements of Financial Condition Gross Amounts Not Offset in the Consolidated Statements of Financial Condition December 31, 2023 Gross Financial Instruments Cash Collateral Received/ Pledged* Net Amount Assets MS&Co. Futures $ 4,050,808 $ (4,050,808 ) $ - $ - $ - $ - Forwards 4,092,756 (4,092,756 ) - - - - 8,143,564 (8,143,564 ) - - - - JPMorgan Forwards 51,219 (51,219 ) - - - - Total assets $ 8,194,783 $ (8,194,783 ) $ - $ - $ - $ - Liabilities MS&Co. Futures $ (4,570,043 ) $ 4,050,808 $ (519,235 ) $ - $ 519,235 $ - Forwards (5,868,972 ) 4,092,756 (1,776,216 ) - 1,776,216 - (10,439,015 ) 8,143,564 (2,295,451 ) - 2,295,451 - JPMorgan Forwards (128,041 ) 51,219 (76,822 ) - 76,822 - Total liabilities $ (10,567,056 ) $ 8,194,783 $ (2,372,273 ) $ - $ 2,372,273 $ - Net fair value $ - * Gross Amounts Offset in the Statements of Financial Condition Amounts Presented in the Statements of Financial Condition Gross Amounts Not Offset in the Statements of Financial Condition December 31, 2022 (1) Gross Amounts Recognized Financial Instruments Cash Collateral Received/ Pledged* Net Amount Assets Futures $ 3,786,495 $ (3,615,922 ) $ 170,573 $ - $ - $ 170,573 Forwards 2,474,696 (2,021,304 ) 453,392 - - 453,392 Total assets $ 6,261,191 $ (5,637,226 ) $ 623,965 $ - $ - $ 623,965 Liabilities Futures $ (3,615,922 ) $ 3,615,922 $ - $ - $ - $ - Forwards (2,021,304 ) 2,021,304 - - - - Total liabilities $ (5,637,226 ) $ 5,637,226 $ - $ - $ - $ - Net fair value $ 623,965 * (1) Not consolidated. * 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 tables indicate the gross fair values of derivative instruments of futures and forward contracts as separate assets and liabilities as of December 31, 2023 and 2022, respectively. December 31, 2023 Assets Futures Contracts Currencies $ 213,492 Energy 161,745 Grains 375,418 Indices 991,165 Interest Rates U.S. 93,101 Interest Rates Non-U.S. 726,694 Livestock 122,423 Metals 254,138 Softs 1,112,632 Total unrealized appreciation on open futures contracts 4,050,808 Liabilities Futures Contracts Currencies (253,517 ) Energy (754,945 ) Grains (575,307 ) Indices (660,445 ) Interest Rates U.S. (789,921 ) Interest Rates Non-U.S. (927,673 ) Livestock (58,085 ) Metals (128,916 ) Softs (421,234 ) Total unrealized depreciation on open futures contracts (4,570,043 ) Net unrealized depreciation on open futures contracts $ (519,235 ) * Assets Forward Contracts Currencies $ 3,324,371 Metals 819,604 Total unrealized appreciation on open forward contracts 4,143,975 Liabilities Forward Contracts Currencies (4,651,461 ) Metals (1,345,552 ) Total unrealized depreciation on open forward contracts (5,997,013 ) Net unrealized depreciation on open forward contracts $ (1,853,038 ) ** * This amount is in “Net unrealized depreciation on open futures contracts” in the Consolidated Statements of Financial Condition. ** This amount is in “Net unrealized depreciation on open forward contracts” in the Consolidated Statements of Financial Condition. December 31, 2022 (1) Assets Futures Contracts Currencies $ 31,641 Energy 660,818 Grains 532,838 Indices 394,363 Interest Rates U.S. 318,625 Interest Rates Non-U.S. 1,615,714 Livestock 51,880 Metals 63,530 Softs 117,086 Total unrealized appreciation on open futures contracts 3,786,495 Liabilities Futures Contracts Currencies (67,887 ) Energy (51,220 ) Grains (343,358 ) Indices (1,940,370 ) Interest Rates U.S. (211,976 ) Interest Rates Non-U.S. (790,578 ) Livestock (13,450 ) Metals (37,863 ) Softs (159,220 ) Total unrealized depreciation on open futures contracts (3,615,922 ) Net unrealized appreciation on open futures contracts $ 170,573 * Assets Forward Contracts Currencies $ 2,005,546 Metals 469,150 Total unrealized appreciation on open forward contracts 2,474,696 Liabilities Forward Contracts Currencies (1,604,184 ) Metals (417,120 ) Total unrealized depreciation on open forward contracts (2,021,304 ) Net unrealized appreciation on open forward contracts $ 453,392 ** (1) Not consolidated. * This amount is in “Net unrealized appreciation on open futures contracts” in the Consolidated Statements of Financial Condition. ** This amount is in “Net unrealized appreciation on open forward contracts” in the Consolidated 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, 2023, 2022 and 2021, respectively. Sector 2023 2022 (1) 2021 (1) Currencies $ (4,518,431 ) $ 10,675,253 $ 2,285,525 Energy (100,763 ) 8,460,214 8,868,835 Grains (1,074,796 ) 1,189,266 2,837,873 Indices 2,380,229 (2,499,428 ) 5,799,611 Interest Rates U.S. 73,432 5,425,496 (5,368,158) Interest Rates Non-U.S. (3,909,061 ) 7,026,148 (6,655,091) Livestock 298,085 (209,595 ) (425,918) Metals (3,128,072 ) 267,087 414,121 Softs 1,171,254 (594,050 ) 1,784,978 Total $ (8,808,123 ) *** $ 29,740,391 *** $ 9,541,776 *** (1) Not consolidated. *** This amount is in “Total trading results” in the Consolidated Statements of Income and Expenses. |