UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 10-K/A
(Amendment No.1)
þ | ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
For the Fiscal Year Ended December 31, 2009
OR
o | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
For the transition period from to
Commission File Number 000-51634
SUPERFUND GREEN, L.P.
(Exact name of registrant as specified in its charter)
DELAWARE | 98-0375395 | |
(State or other jurisdiction of incorporation or organization) | (IRS Employer Identification Number) |
SUPERFUND OFFICE BUILDING P.O. BOX 1479 GRAND ANSE ST. GEORGE’S, GRENADA WEST INDIES | Not applicable | |
(Address of principal executive offices) | (Zip Code) |
Registrant’s telephone number, including area code:(473) 439-2418
Securities registered pursuant to Section 12(b) of the Act:None
Securities registered pursuant to Section 12(g) of the Act:
Units of Limited Partnership Interest
(Title of Class)
Indicate by check mark if the registrant is a well-known seasoned issuer, as defined in Rule 405 of the Securities Act.
Yeso Noþ
Indicate by check mark if the registrant is not required to file reports pursuant to Section 13 or Section 15(d) of the Act.
Yeso Noþ
Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.
Yesþ Noo
Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Website, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).
Yeso Noo
Indicate by check mark if the disclosure document of delinquent filers pursuant to Item 405 of Regulation S-K (§229.405 of this chapter) is not contained herein, and will not be contained, to the best of the registrant’s knowledge, in definitive proxy or information statements incorporated by reference in Part III of this Form 10-K or any amendment to this Form 10-K.o
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See the definitions of “large accelerated filer,” “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act.
Large accelerated filero | Accelerated filero | Non-accelerated filero(do not check if a smaller reporting company) | Smaller reporting companyþ |
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).
Yeso Noþ
State the aggregate market value of the voting and non-voting common equity held by non-affiliates computed by reference to the price at which the common equity was last sold, or the average bid and asked price of such common equity, as of the last business day of the registrant’s most recently completed second fiscal quarter.
Not applicable.
EXPLANATORY NOTE
In response to comments raised by the Staff of the Securities and Exchange Commission, this Form 10-K/A (Amendment No. 1) (“Form 10-K/A”) is being filed by Superfund Green, L.P. (the “Fund”) to amend the Fund’s disclosure in Item 9A, Controls and Procedures, and Item 15, Financial Statement Schedules, in the Form 10-K for the year ended December 31, 2009 that was originally filed with the Securities and Exchange Commission on March 31, 2010 (the “Original Form 10-K”).
Except as required to reflect the item described above, no attempt has been made in this Form 10-K/A to modify or update disclosures in the Original Form 10-K. This Form 10-K/A does not reflect events occurring after the filing of the Original Form 10-K or modify or update any related disclosures. Information not affected by the amendment is unchanged and reflects the disclosure made at the time of the filing of the Original Form 10-K with the Securities and Exchange Commission on March 31, 2010. Accordingly, this Form 10-K/A should be read in conjunction with the Original Form 10-K and the Fund’s filings made with the Securities and Exchange Commission subsequent to the filing of the Original Form 10-K.
2
Item 9A. Controls And Procedures.
Controls and Procedures
Superfund Capital Management, the Fund’s general partner, with the participation of Superfund Capital Management’s principal executive officer and principal financial officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures with respect to each Series individually, as well as the Fund as a whole, as of the end of the period covered by this annual report, and, based on their evaluation, have concluded that these disclosure controls and procedures are effective. There were no significant changes in Superfund Capital Management’s internal controls with respect to each Series individually, as well as the Fund as a whole, or in other factors applicable to each Series individually, as well as the Fund as a whole, that could materially affect these controls subsequent to the date of their evaluation.
Changes in Internal Control over Financial Reporting
Section 404 of the Sarbanes-Oxley Act of 2002 requires Superfund Capital Management to evaluate annually the effectiveness of its internal controls over financial reporting as of the end of each fiscal year, and to include a management report assessing the effectiveness of its internal control over financial reporting in all annual reports. There were no changes in Superfund Capital Management’s internal control over financial reporting during the quarter ended December 31, 2009 that have materially affected, or are reasonably likely to materially affect, Superfund Capital Management’s internal control over financial reporting.
Management’s Annual Report on Internal Control over Financial Reporting
Superfund Capital Management is responsible for establishing and maintaining adequate internal control over the financial reporting of each Series individually, as well as the Fund as a whole. Internal control over financial reporting is defined in Rules 13a-15(f) and 15d-15(f) under the Securities Exchange Act as a process designed by, or under the supervision of, a company’s principal executive and principal financial officers and effected by a company’s board of directors, management and other personnel to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles. Superfund Capital Management’s internal control over financial reporting includes those policies and procedures that:
• pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of each Series individually, as well as the Fund as a whole;
• provide reasonable assurance that transactions are recorded as necessary to permit preparation of each Series’, as well as the Fund’s, financial statements in accordance with generally accepted accounting principles, and that the receipts and expenditures of each Series individually, as well as the Fund as a whole, are being made only in accordance with authorizations of Superfund Capital Management’s management and directors; and
• provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of the assets of each Series individually, as well as the Fund as a whole, that could have a material effect on the Series’ or the Fund’s financial statements.
Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements. Projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate.
The management of Superfund Capital Management assessed the effectiveness of its internal control over financial reporting with respect to each Series individually, as well as the Fund as a whole, as of December 31, 2009. In making this assessment, management used the criteria set forth by the Committee of Sponsoring Organizations of the Treadway Commission (COSO) in Internal Control — Integrated Framework. Based on its assessment, management has concluded that, as of December 31, 2009, Superfund Capital Management’s internal control over financial reporting with respect to each Series individually, as well as the Fund as a whole, is effective based on those criteria.
This annual report does not include an attestation report of the Fund’s registered public accounting regarding control over financial reporting. Management’s report was not subject to attestation by the Fund’s registered public accounting firm pursuant to temporary rules of the Securities and Exchange Commission that permit the Fund to provide only management’s report in this annual report.
The Rule 13a-14(a)/15d-14(a) certifications of the principal executive officer and the principal financial officer included as Exhibits 31.1 and 31.2, respectively, are certifying as to each Series individually, as well as the Fund as a whole.
3
Item 15. Exhibits, Financial Statement Schedules.
(a) | The Following documents are filed as part of this report: |
(1) | Financial Statements beginning on page 7 hereof. | ||
(2) | Financial Statement Schedules: | ||
Financial statement schedules have been omitted because they are not required or because equivalent information has been included in the financial statements or notes thereto. |
(3) | Exhibits as required by Item 601 of Regulation S-K. | ||
The following exhibits are included herewith. |
Exhibit | ||
Number | Description of Document | |
3.01 | Form of Fifth Amended and Restated Limited Partnership Agreement of Superfund Green, L.P. | |
31.1 | Rule 13a-14(a)/15d-14(a) Certification of Principal Executive Officer | |
31.2 | Rule 13a-14(a)/15d-14(a) Certification of Principal Financial Officer | |
32.1 | Section 1350 Certification of Principal Executive Officer | |
32.2 | Section 1350 Certification of Principal Financial Officer |
The following exhibits are incorporated by reference herein from the exhibit of the same description and number filed on November 24, 2009, with Superfund Green, L.P.’s Registration Statement on Form S-1 (Reg. No. 333-162132).
10.01(g) | Administration, Accounting and Investor Services Agreement. | |
10.02 | Form of Subscription Agreement | |
10.03(a) | Escrow Agreement between Series A and HSBC Bank USA. | |
10.03(b) | Escrow Agreement between Series B and HSBC Bank USA. |
The following exhibits are incorporated by reference herein from the exhibits of the same description and number filed on January 21, 2005, with Quadriga Superfund, L.P.’s Registration Statement on Form S-1 (Reg. No. 333-122229).
3.02 | Certificate of Limited Partnership. |
4
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Partners of Superfund Green, L.P. — Series A and Series B:
We have audited the accompanying statements of assets and liabilities of Superfund Green, L.P., comprising Series A and Series B (formerly Quadriga Superfund, L.P., collectively, the “Fund”), including the condensed schedules of investments, as of December 31, 2009 and 2008, and the related statements of operations, changes in net assets, and cash flows for each of the two years in the period then ended. These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of the Fund as of December 31, 2009 and 2008, and the results of its operations and its cash flows for each of the two years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.
/S/ DELOITTE & TOUCHE LLP
Philadelphia, Pennsylvania
March 31, 2010 (October 4, 2010 as to Note 2(a))
Philadelphia, Pennsylvania
March 31, 2010 (October 4, 2010 as to Note 2(a))
5
SUPERFUND GREEN, L.P.
STATEMENTS OF ASSETS AND LIABILITIES
December 31, 2009 and December 31, 2008
STATEMENTS OF ASSETS AND LIABILITIES
December 31, 2009 and December 31, 2008
December 31, 2009 | December 31, 2008 | |||||||
ASSETS | ||||||||
US Government securities, at fair value, (amortized cost $42,403,057 and $86,320,840 as of December 31, 2009 and December 31, 2008, respectively) | $ | 42,403,057 | $ | 86,320,840 | ||||
Due from brokers | 43,238,109 | 10,011,675 | ||||||
Unrealized appreciation on open forward contracts | 696,512 | 56,016 | ||||||
Futures contracts purchased | 1,573,761 | 2,713,619 | ||||||
Futures contracts sold | — | 517,307 | ||||||
Cash | 642,058 | 1,479,277 | ||||||
Total assets | 88,553,497 | 101,098,734 | ||||||
LIABILITIES | ||||||||
Unrealized depreciation on open forward contracts | 1,552,248 | 206,840 | ||||||
Redemptions payable | 1,437,508 | 4,482,082 | ||||||
Due to affiliate | — | 300,000 | ||||||
Futures contracts sold | 35,632 | — | ||||||
Fees payable | 392,266 | 520,427 | ||||||
Total liabilities | 3,417,654 | 5,509,349 | ||||||
NET ASSETS | $ | 85,135,843 | $ | 95,589,385 | ||||
See accompanying notes to financial statements.
6
SUPERFUND GREEN, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
December 31, 2009
CONDENSED SCHEDULE OF INVESTMENTS
December 31, 2009
Percentage of | ||||||||||||
Face Value | Net Assets | Fair Value | ||||||||||
Debt Securities United States, at fair value | ||||||||||||
United States Treasury Bills due February 25, 2010 (amortized cost $42,403,057), securities are held in margin accounts as collateral for open futures and forwards | ||||||||||||
$ | 42,405,000 | 49.8 | % | $ | 42,403,057 | |||||||
Forward contracts, at fair value | ||||||||||||
Unrealized appreciation on forward contracts | ||||||||||||
Currency | 0.8 | 696,512 | ||||||||||
Total unrealized appreciation on forward contracts | 0.8 | 696,512 | ||||||||||
Unrealized depreciation on forward contracts | ||||||||||||
Currency | (1.8 | ) | (1,552,248 | ) | ||||||||
Total unrealized depreciation on forward contracts | (1.8 | ) | (1,552,248 | ) | ||||||||
Total forward contracts, at fair value | (1.0 | ) | (855,736 | ) | ||||||||
Futures contracts, at fair value | ||||||||||||
Futures contracts purchased | ||||||||||||
Currency | (0.7 | ) | (631,137 | ) | ||||||||
Energy | 0.5 | 464,616 | ||||||||||
Financial | (0.7 | ) | (592,735 | ) | ||||||||
Food & Fiber | 1.4 | 1,206,762 | ||||||||||
Indices | 2.6 | 2,178,831 | ||||||||||
Metals | (1.2 | ) | (1,052,576 | ) | ||||||||
Total futures contracts purchased | 1.8 | 1,573,761 | ||||||||||
Futures contracts sold | ||||||||||||
Energy | (0.1 | ) | (48,560 | ) | ||||||||
Financial | 0.3 | 256,733 | ||||||||||
Food & Fiber | (0.2 | ) | (146,300 | ) | ||||||||
Livestock | (0.1 | ) | (58,425 | ) | ||||||||
Indices | 0.0 | * | (39,080 | ) | ||||||||
Total futures contracts sold | 0.0 | * | (35,632 | ) | ||||||||
Total futures contracts, at fair value | 1.8 | 1,538,129 | ||||||||||
Futures and forward contracts by country composition | ||||||||||||
European Monetary Union | (0.2 | ) | (166,738 | ) | ||||||||
Great Britain | 0.2 | 186,129 | ||||||||||
Japan | 0.5 | 406,969 | ||||||||||
United States | 0.1 | 48,897 | ||||||||||
Other | 0.2 | 207,136 | ||||||||||
Total futures and forward contracts by country | 0.8 | % | $ | 682,393 | ||||||||
* | Due to rounding |
See accompanying notes to financial statements.
7
SUPERFUND GREEN, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
December 31, 2008
CONDENSED SCHEDULE OF INVESTMENTS
December 31, 2008
Percentage of | ||||||||||||
Face Value | Net Assets | Fair Value | ||||||||||
Debt Securities United States, at fair value | ||||||||||||
United States Treasury Bills due February 26, 2009 (amortized cost $86,320,840), securities are held in margin accounts as collateral for open futures and forwards | $ | 86,335,000 | 90.3 | % | $ | 86,320,840 | ||||||
Forward contracts, at fair value | ||||||||||||
Unrealized appreciation on forward contracts | ||||||||||||
Currency | 0.1 | % | $ | 56,016 | ||||||||
Total unrealized appreciation on forward contracts | 0.1 | 56,016 | ||||||||||
Unrealized depreciation on forward contracts | ||||||||||||
Currency | (0.2 | ) | (206,840 | ) | ||||||||
Total unrealized depreciation on forward contracts | (0.2 | ) | (206,840 | ) | ||||||||
Total forward contracts, at fair value | (0.2 | )% | $ | (150,824 | ) | |||||||
Futures contracts, at fair value | ||||||||||||
Futures contracts purchased | ||||||||||||
Currency | 0.4 | % | $ | 383,485 | ||||||||
Financial | 2.1 | 2,044,010 | ||||||||||
Food & Fiber | 0.1 | 125,510 | ||||||||||
Indices | 0.1 | 91,879 | ||||||||||
Metals | 0.1 | 68,735 | ||||||||||
Total futures contracts purchased | 2.8 | 2,713,619 | ||||||||||
Futures contracts sold | ||||||||||||
Currency | 0.1 | 139,360 | ||||||||||
Energy | 0.4 | 408,463 | ||||||||||
Financial | 0.0 | * | (29,416 | ) | ||||||||
Food & Fiber | (0.2 | ) | (185,510 | ) | ||||||||
Indices | (0.1 | ) | (92,505 | ) | ||||||||
Livestock | 0.1 | 87,510 | ||||||||||
Metals | 0.2 | 189,405 | ||||||||||
Total futures contracts sold | 0.5 | 517,307 | ||||||||||
Total futures contracts, at fair value | 3.4 | % | $ | 3,230,926 | ||||||||
Futures and forward contracts by country composition | ||||||||||||
European Monetary Union | 0.6 | % | $ | 578,879 | ||||||||
Great Britain | 0.4 | 401,768 | ||||||||||
United States | 1.6 | 1,511,180 | ||||||||||
Other | 0.6 | 588,275 | ||||||||||
Total futures and forward contracts by country | 3.2 | % | $ | 3,080,102 | ||||||||
See accompanying notes to financial statements.
8
SUPERFUND GREEN, L.P.
STATEMENTS OF OPERATIONS
Years Ended December 31, 2009 and December 31, 2008
STATEMENTS OF OPERATIONS
Years Ended December 31, 2009 and December 31, 2008
2009 | 2008 | |||||||
Investment income,interest | $ | 101,008 | $ | 1,709,336 | ||||
Expenses | ||||||||
Incentive fee | 301,233 | 5,617,846 | ||||||
Management fee | 1,740,053 | 1,750,783 | ||||||
Ongoing offering expenses | 940,568 | 946,369 | ||||||
Operating expenses | 141,085 | 141,955 | ||||||
Selling commission | 3,762,276 | 3,785,476 | ||||||
Brokerage commissions | 2,374,747 | 1,587,288 | ||||||
Other | 35,919 | 42,072 | ||||||
Total expenses | 9,295,881 | 13,871,789 | ||||||
Net investment loss | (9,194,873 | ) | (12,162,453 | ) | ||||
Realized and unrealized gain (loss) on investments | ||||||||
Net realized gain (loss) on futures and forward contracts | (35,842,238 | ) | 40,232,474 | |||||
Net change in unrealized appreciation (depreciation) on futures and forward contracts | (2,397,709 | ) | 2,359,764 | |||||
Net gain (loss) on investments | (38,239,947 | ) | 42,592,238 | |||||
Net increase (decrease) in net assets from operations | $ | (47,434,820 | ) | $ | 30,429,785 | |||
See accompanying notes to financial statements.
9
SUPERFUND GREEN, L.P.
STATEMENTS OF CHANGES IN NET ASSETS
Years Ended December 31, 2009 and December 31, 2008
STATEMENTS OF CHANGES IN NET ASSETS
Years Ended December 31, 2009 and December 31, 2008
2009 | 2008 | |||||||
Increase (decrease) in net assets from operations | ||||||||
Net investment loss | $ | (9,194,873 | ) | $ | (12,162,453 | ) | ||
Net realized gain (loss) on futures and forward contracts | (35,842,238 | ) | 40,232,474 | |||||
Net change in unrealized appreciation (depreciation) on futures and forward contracts | (2,397,709 | ) | 2,359,764 | |||||
Net increase (decrease) in net assets from operations | (47,434,820 | ) | 30,429,785 | |||||
Capital share transactions | ||||||||
Issuance of shares | 65,149,247 | 45,180,696 | ||||||
Redemption of shares | (28,167,969 | ) | (63,810,751 | ) | ||||
Net increase (decrease) in net assets from capital share transactions | 36,981,278 | (18,630,055 | ) | |||||
Net increase (decrease) in net assets | (10,453,542 | ) | 11,799,730 | |||||
Net assets, beginning of year | 95,589,385 | 83,789,655 | ||||||
Net assets, end of year | $ | 85,135,843 | $ | 95,589,385 | ||||
See accompanying notes to financial statements.
10
SUPERFUND GREEN, L.P.
STATEMENTS OF CASH FLOWS
Years Ended December 31, 2009 and December 31, 2008
STATEMENTS OF CASH FLOWS
Years Ended December 31, 2009 and December 31, 2008
2009 | 2008 | |||||||
Cash flows from operating activities | ||||||||
Net increase (decrease) in net assets from operations | $ | (47,434,820 | ) | $ | 30,429,785 | |||
Adjustments to reconcile net increase (decrease) in net assets from operations to net cash provided by (used in) operating activities: | ||||||||
Changes in operating assets and liabilities: | ||||||||
Purchases of U.S. government securities | (211,006,719 | ) | (337,646,713 | ) | ||||
Sales and maturities of U.S. government securities | 255,012,670 | 332,009,103 | ||||||
Amortization of discounts and premiums | (88,168 | ) | (1,449,776 | ) | ||||
Due from brokers | (33,226,434 | ) | (993,069 | ) | ||||
Due to affiliate | (300,000 | ) | 166,724 | |||||
Due from affiliate | — | 133,276 | ||||||
Unrealized appreciation on open forward contracts | (640,496 | ) | 330,144 | |||||
Futures contracts purchased | 1,139,858 | (2,113,821 | ) | |||||
Unrealized depreciation on open forward contracts | 1,345,408 | (1,318,977 | ) | |||||
Futures contracts sold | 552,939 | 742,890 | ||||||
Fees payable | (128,161 | ) | 137,902 | |||||
Net cash provided by (used in) operating activities | (34,773,923 | ) | 20,427,468 | |||||
Cash flows from financing activities | ||||||||
Subscriptions, net of change in advance subscriptions | 65,149,247 | 45,180,696 | ||||||
Redemptions, net of redemption payable | (31,212,543 | ) | (64,316,816 | ) | ||||
Net cash provided by (used in) financing activities | 33,936,704 | (19,136,120 | ) | |||||
Net increase (decrease) in cash | (837,219 | ) | 1,291,348 | |||||
Cash, beginning of year | 1,479,277 | 187,929 | ||||||
Cash, end of year | $ | 642,058 | $ | 1,479,277 | ||||
See accompanying notes to financial statements.
11
SUPERFUND GREEN, L.P. — SERIES A
STATEMENTS OF ASSETS AND LIABILITIES
December 31, 2009 and December 31, 2008
STATEMENTS OF ASSETS AND LIABILITIES
December 31, 2009 and December 31, 2008
December 31, 2009 | December 31, 2008 | |||||||
ASSETS | ||||||||
US Government securities, at fair value (amortized cost $16,019,268 and $31,494,929 as of December 31, 2009, and December 31, 2008, respectively) | $ | 16,019,268 | $ | 31,494,929 | ||||
Due from brokers | 17,161,443 | 4,049,967 | ||||||
Unrealized appreciation on open forward contracts | 187,448 | 11,138 | ||||||
Futures contracts purchased | 465,462 | 735,529 | ||||||
Futures contracts sold | — | 109,330 | ||||||
Cash | 611,470 | 810,576 | ||||||
Total assets | 34,445,091 | 37,211,469 | ||||||
LIABILITIES | ||||||||
Unrealized depreciation on open forward contracts | 421,267 | 43,336 | ||||||
Redemptions payable | 550,221 | 1,714,573 | ||||||
Due to affiliate | — | 300,000 | ||||||
Futures contracts sold | 10,673 | — | ||||||
Fees payable | 150,435 | 181,226 | ||||||
Total liabilities | 1,132,596 | 2,239,135 | ||||||
NET ASSETS | $ | 33,312,495 | $ | 34,972,334 | ||||
Number of Units | 24,594.117 | 18,098.830 | ||||||
Net asset value per Unit | $ | 1,354.49 | $ | 1,932.30 | ||||
See accompanying notes to financial statements.
12
SUPERFUND GREEN, L.P. — SERIES A
CONDENSED SCHEDULE OF INVESTMENTS
December 31, 2009
CONDENSED SCHEDULE OF INVESTMENTS
December 31, 2009
Percentage of | ||||||||||||
Face Value | Net Assets | Fair Value | ||||||||||
Debt Securities United States, at fair value | ||||||||||||
United States Treasury Bills due February 25, 2010 (amortized cost $16,019,268), securities are held in margin accounts as collateral for open futures and forwards | $ | 16,020,000 | 48.1 | % | $ | 16,019,268 | ||||||
Forward contracts, at fair value | ||||||||||||
Unrealized appreciation on forward contracts | ||||||||||||
Currency | 0.6 | 187,448 | ||||||||||
Total unrealized appreciation on forward contracts | 0.6 | 187,448 | ||||||||||
Unrealized depreciation on forward contracts | ||||||||||||
Currency | (1.3 | ) | (421,267 | ) | ||||||||
Total unrealized depreciation on forward contracts | (1.3 | ) | (421,267 | ) | ||||||||
Total forward contracts, at fair value | (0.7 | ) | (233,819 | ) | ||||||||
Futures Contracts, at fair value | ||||||||||||
Futures Contracts Purchased | ||||||||||||
Currency | (0.5 | ) | (176,595 | ) | ||||||||
Energy | 0.4 | 132,156 | ||||||||||
Financial | (0.4 | ) | (149,774 | ) | ||||||||
Food & Fiber | 1.0 | 337,999 | ||||||||||
Indices | 1.8 | 605,471 | ||||||||||
Metals | (0.9 | ) | (283,795 | ) | ||||||||
Total futures contracts purchased | 1.4 | 465,462 | ||||||||||
Futures Contracts Sold | ||||||||||||
Energy | (0.0 | )* | (12,010 | ) | ||||||||
Financial | 0.2 | 72,347 | ||||||||||
Food & Fiber | (0.1 | ) | (43,025 | ) | ||||||||
Indices | (0.0) | * | (7,925 | ) | ||||||||
Livestock | (0.1 | ) | (20,060 | ) | ||||||||
Total futures contracts sold | (0.0) | * | (10,673 | ) | ||||||||
Total futures contracts, at fair value | 1.4 | 454,789 | ||||||||||
�� | ||||||||||||
Futures and forward contracts by country composition | ||||||||||||
European Monetary Union | (0.1 | ) | (51,393 | ) | ||||||||
Great Britain | 0.2 | 61,549 | ||||||||||
Japan | 0.3 | 108,985 | ||||||||||
United States | 0.1 | 30,577 | ||||||||||
Other | 0.2 | 71,252 | ||||||||||
Total futures and forward contracts by country | 0.7 | % | $ | 220,970 | ||||||||
* | Due to rounding |
See accompanying notes to financial statements.
13
SUPERFUND GREEN, L.P. — SERIES A
CONDENSED SCHEDULE OF INVESTMENTS
December 31, 2008
CONDENSED SCHEDULE OF INVESTMENTS
December 31, 2008
Percentage of | ||||||||||||
Face Value | Net Assets | Fair Value | ||||||||||
Debt Securities United States, at fair value | ||||||||||||
United States Treasury Bills due February 26, 2009 (amortized cost $31,494,929), securities are held in margin accounts as collateral for open futures and forwards | $ | 31,500,000 | 90.1 | % | $ | 31,494,929 | ||||||
Forward contracts, at fair value | ||||||||||||
Unrealized appreciation on forward contracts | ||||||||||||
Currency | 0.0 | % | $ | 11,138 | ||||||||
Total unrealized appreciation on forward contracts | 0.0 | * | 11,138 | |||||||||
Unrealized depreciation on forward contracts | ||||||||||||
Currency | (0.1 | ) | (43,336 | ) | ||||||||
Total unrealized depreciation on forward contracts | (0.1 | ) | (43,336 | ) | ||||||||
Total forward contracts, at fair value | (0.1 | )% | $ | (32,198 | ) | |||||||
Futures Contracts, at fair value | ||||||||||||
Futures Contracts Purchased | ||||||||||||
Currency | 0.3 | % | $ | 101,136 | ||||||||
Financial | 1.5 | 508,908 | ||||||||||
Food & Fiber | 0.1 | 33,914 | ||||||||||
Indices | 0.0 | * | 22,836 | |||||||||
Metals | 0.2 | 68,735 | ||||||||||
Total futures contracts purchased | 2.1 | 735,529 | ||||||||||
Futures Contracts Sold | ||||||||||||
Currency | 0.1 | 38,025 | ||||||||||
Energy | 0.2 | 88,531 | ||||||||||
Financial | 0.0 | * | 919 | |||||||||
Food & Fiber | (0.1 | ) | (40,878 | ) | ||||||||
Indices | (0.0 | )* | (7,067 | ) | ||||||||
Livestock | 0.1 | 23,400 | ||||||||||
Metals | 0.0 | * | 6,400 | |||||||||
Total futures contracts sold | 0.3 | 109,330 | ||||||||||
Total futures contracts, at fair value | 2.4 | % | $ | 844,859 | ||||||||
Futures and forward contracts by country composition | ||||||||||||
European Monetary Union | 0.4 | % | $ | 153,538 | ||||||||
Great Britain | 0.3 | 110,392 | ||||||||||
United States | 1.1 | 369,143 | ||||||||||
Other | 0.5 | 179,588 | ||||||||||
Total futures and forward contracts by country | 2.3 | % | $ | 812,661 | ||||||||
* | Due to rounding |
See accompanying notes to financial statements.
14
SUPERFUND GREEN, L.P. — SERIES A
STATEMENTS OF OPERATIONS
Years Ended December 31, 2009 and December 31, 2008
STATEMENTS OF OPERATIONS
Years Ended December 31, 2009 and December 31, 2008
2009 | 2008 | |||||||
Investment income,interest | $ | 36,541 | $ | 917,244 | ||||
Expenses | ||||||||
Incentive fee | — | 1,786,681 | ||||||
Management fee | 642,447 | 813,892 | ||||||
Ongoing offering expenses | 347,268 | 439,942 | ||||||
Operating expenses | 52,090 | 65,991 | ||||||
Selling commission | 1,389,074 | 1,759,767 | ||||||
Brokerage commissions | 637,825 | 615,631 | ||||||
Other | 15,191 | 17,006 | ||||||
Total expenses | 3,083,895 | 5,498,910 | ||||||
Net investment loss | (3,047,354 | ) | (4,581,666 | ) | ||||
Realized and unrealized gain (loss) on investments | ||||||||
Net realized gain (loss) on futures and forward contracts | ||||||||
(8,768,134 | ) | 17,288,029 | ||||||
Net change in unrealized appreciation (depreciation) on futures and forward contracts | ||||||||
(591,691 | ) | 377,151 | ||||||
Net gain (loss) on investments | (9,359,825 | ) | 17,665,180 | |||||
Net increase (decrease) in net assets from operations | $ | (12,407,179 | ) | $ | 13,083,514 | |||
Net increase (decrease) in net assets from operations per unit (based upon weighted average number of units outstanding during period) | $ | (563.24 | ) | $ | 523.26 | |||
Net increase (decrease) in net assets from operations per unit (based upon change in net asset value per unit during period) | $ | (577.81 | ) | $ | 445.86 | |||
See accompanying notes to financial statements.
15
SUPERFUND GREEN, L.P. — SERIES A
STATEMENTS OF CHANGES IN NET ASSETS
Years Ended December 31, 2009 and December 31, 2008
STATEMENTS OF CHANGES IN NET ASSETS
Years Ended December 31, 2009 and December 31, 2008
2009 | 2008 | |||||||
Increase (decrease) in net assets from operations: | ||||||||
Net investment loss | $ | (3,047,354 | ) | $ | (4,581,666 | ) | ||
Net realized gain (loss) on futures and forward contracts | (8,768,134 | ) | 17,288,029 | |||||
Net change in unrealized appreciation (depreciation) on futures and forward contracts | (591,691 | ) | 377,151 | |||||
Net increase (decrease) in net assets from operations | (12,407,179 | ) | 13,083,514 | |||||
Capital share transactions | ||||||||
Issuance of shares | 22,712,095 | 6,800,873 | ||||||
Redemption of shares | (11,964,755 | ) | (42,846,561 | ) | ||||
Net increase (decrease) in net assets from capital share transactions | 10,747,340 | (36,045,688 | ) | |||||
Net decrease in net assets | (1,659,839 | ) | (22,962,174 | ) | ||||
Net assets, beginning of year | 34,972,334 | 57,934,508 | ||||||
Net assets, end of year | $ | 33,312,495 | $ | 34,972,334 | ||||
Units, beginning of year | 18,098.830 | 38,975.348 | ||||||
Issuance of units | 13,736.756 | 3,874.666 | ||||||
Redemption of units | (7,241.469 | ) | (24,751.184 | ) | ||||
Units, end of year | 24,594.117 | 18,098.830 | ||||||
See accompanying notes to financial statements.
16
SUPERFUND GREEN, L.P. — SERIES A
STATEMENTS OF CASH FLOWS
Years Ended December 31, 2009 and December 31, 2008
STATEMENTS OF CASH FLOWS
Years Ended December 31, 2009 and December 31, 2008
2009 | 2008 | |||||||
Cash flows from operating activities | ||||||||
Net increase (decrease) in net assets from operations | $ | (12,407,179 | ) | $ | 13,083,514 | |||
Adjustments to reconcile net increase (decrease) in net assets from operations to net cash provided by (used in) operating activities: | ||||||||
Changes in operating assets and liabilities: | ||||||||
Purchases of U.S. government securities | (76,427,172 | ) | (155,825,083 | ) | ||||
Sales and maturities of U.S. government securities | 91,934,208 | 180,364,661 | ||||||
Amortization of discounts and premiums | (31,375 | ) | (814,748 | ) | ||||
Due from brokers | (13,111,476 | ) | 1,455,170 | |||||
Due to affiliate | (300,000 | ) | 166,724 | |||||
Unrealized appreciation on open forward contracts | (176,310 | ) | 218,576 | |||||
Futures contracts purchased | 270,067 | (369,517 | ) | |||||
Unrealized depreciation on open forward contracts | 377,931 | (875,132 | ) | |||||
Futures contracts sold | 120,003 | 648,922 | ||||||
Fees payable | (30,791 | ) | (130,277 | ) | ||||
Net cash provided by (used in) operating activities | (9,782,094 | ) | 37,922,810 | |||||
Cash flows from financing activities | ||||||||
Subscriptions, net of change in advance subscriptions | 22,712,095 | 6,800,873 | ||||||
Redemptions, net of redemptions payable | (13,129,107 | ) | (44,027,661 | ) | ||||
Net cash provided by (used in) financing activities | 9,582,988 | (37,226,788 | ) | |||||
Net increase (decrease) in cash | (199,106 | ) | 696,022 | |||||
Cash, beginning of year | 810,576 | 114,554 | ||||||
Cash, end of year | $ | 611,470 | $ | 810,576 | ||||
See accompanying notes to financial statements.
17
SUPERFUND GREEN, L.P. — SERIES B
STATEMENTS OF ASSETS AND LIABILITIES
December 31, 2009 and December 31, 2008
STATEMENTS OF ASSETS AND LIABILITIES
December 31, 2009 and December 31, 2008
December 31, 2009 | December 31, 2008 | |||||||
ASSETS | ||||||||
US Government securities, at fair value, (amortized cost $26,383,789 and $54,825,911 as of December 31, 2009 and December 31, 2008, respectively) | $ | 26,383,789 | $ | 54,825,911 | ||||
Due from brokers | 26,076,666 | 5,961,708 | ||||||
Unrealized appreciation on open forward contracts | 509,064 | 44,878 | ||||||
Futures contracts purchased | 1,108,299 | 1,978,090 | ||||||
Futures contracts sold | — | 407,977 | ||||||
Cash | 30,588 | 668,701 | ||||||
Total assets | 54,108,406 | 63,887,265 | ||||||
LIABILITIES | ||||||||
Unrealized depreciation on open forward contracts | 1,130,981 | 163,504 | ||||||
Redemptions payable | 887,287 | 2,767,509 | ||||||
Futures contracts sold | 24,959 | — | ||||||
Fees payable | 241,831 | 339,201 | ||||||
Total liabilities | 2,285,058 | 3,270,214 | ||||||
NET ASSETS | $ | 51,823,348 | $ | 60,617,051 | ||||
Number of Units | 35,626.349 | 23,305.633 | ||||||
Net asset value per Unit | $ | 1,454.64 | $ | 2,600.96 | ||||
See accompanying notes to financial statements.
18
SUPERFUND GREEN, L.P. — SERIES B
CONDENSED SCHEDULE OF INVESTMENTS
December 31, 2009
CONDENSED SCHEDULE OF INVESTMENTS
December 31, 2009
Percentage of | ||||||||||||
Face Value | Net Assets | Fair Value | ||||||||||
Debt Securities United States, at fair value | ||||||||||||
United States Treasury Bills due February 25, 2010 (amortized cost $26,383,789), securities are held in margin accounts as collateral for open futures and forwards | $ | 26,385,000 | 50.9 | % | $ | 26,383,789 | ||||||
Forward contracts, at fair value | ||||||||||||
Unrealized appreciation on forward contracts | �� | |||||||||||
Currency | 1.0 | 509,064 | ||||||||||
Total unrealized appreciation on forward contracts | 1.0 | 509,064 | ||||||||||
Unrealized depreciation on forward contracts | ||||||||||||
Currency | (2.2 | ) | (1,130,981 | ) | ||||||||
Total unrealized depreciation on forward contracts | (2.2 | ) | (1,130,981 | ) | ||||||||
Total forward contracts, at fair value | (1.2 | ) | (621,917 | ) | ||||||||
Futures contracts, at fair value | ||||||||||||
Futures contracts purchased | ||||||||||||
Currency | (0.9 | ) | (454,542 | ) | ||||||||
Energy | 0.6 | 332,460 | ||||||||||
Financial | (0.8 | ) | (442,961 | ) | ||||||||
Food & Fiber | 1.7 | 868,763 | ||||||||||
Indices | 3.0 | 1,573,360 | ||||||||||
Metals | (1.5 | ) | (768,781 | ) | ||||||||
Total futures contracts purchased | 2.1 | 1,108,299 | ||||||||||
Futures contracts sold | ||||||||||||
Energy | (0.1 | ) | (36,550 | ) | ||||||||
Financial | 0.4 | 184,386 | ||||||||||
Food & Fiber | (0.2 | ) | (103,275 | ) | ||||||||
Livestock | (0.1 | ) | (50,500 | ) | ||||||||
Indices | (0.0 | )* | (19,020 | ) | ||||||||
Total futures contracts sold | (0.0 | )* | (24,959 | ) | ||||||||
Total futures contracts, at fair value | 2.1 | 1,083,340 | ||||||||||
Futures and forward contracts by country composition | ||||||||||||
European Monetary Union | (0.2 | ) | (115,345 | ) | ||||||||
Great Britain | 0.2 | * | 124,580 | |||||||||
Japan | 0.6 | 297,984 | ||||||||||
United States | 0.0 | 18,320 | ||||||||||
Other | 0.3 | 135,884 | ||||||||||
Total futures and forward contracts by country | 0.9 | % | $ | 461,423 | ||||||||
* | Due to rounding |
See accompanying notes to financial statements.
19
SUPERFUND GREEN, L.P. — SERIES B
CONDENSED SCHEDULE OF INVESTMENTS
December 31, 2008
CONDENSED SCHEDULE OF INVESTMENTS
December 31, 2008
Percentage of | ||||||||||||
Face Value | Net Assets | Fair Value | ||||||||||
Debt Securities United States, at fair value | ||||||||||||
United States Treasury Bills due February 26, 2009 (amortized cost $54,825,911), securities are held in margin accounts as collateral for open futures and forwards | $ | 54,835,000 | 90.4 | % | $ | 54,825,911 | ||||||
Forward contracts, at fair value | ||||||||||||
Unrealized appreciation on forward contracts | ||||||||||||
Currency | 0.1 | % | $ | 44,878 | ||||||||
Total unrealized appreciation on forward contracts | 0.1 | 44,878 | ||||||||||
Unrealized depreciation on forward contracts | ||||||||||||
Currency | (0.3 | ) | (163,504 | ) | ||||||||
Total unrealized depreciation on forward contracts | (0.3 | ) | (163,504 | ) | ||||||||
Total forward contracts, at fair value | (0.2 | )% | $ | (118,626 | ) | |||||||
Futures contracts, at fair value | ||||||||||||
Futures contracts purchased | ||||||||||||
Currency | 0.5 | % | $ | 282,349 | ||||||||
Financial | 2.5 | 1,535,102 | ||||||||||
Food & Fiber | 0.2 | 91,596 | ||||||||||
Indices | 0.1 | 69,043 | ||||||||||
Total futures contracts purchased | 3.3 | 1,978,090 | ||||||||||
Futures contracts sold | ||||||||||||
Currency | 0.2 | 101,335 | ||||||||||
Energy | 0.5 | 319,932 | ||||||||||
Financial | (0.1 | ) | (30,335 | ) | ||||||||
Livestock | 0.1 | 64,110 | ||||||||||
Indices | (0.1 | ) | (85,438 | ) | ||||||||
Food & Fiber | (0.2 | ) | (144,632 | ) | ||||||||
Metals | 0.3 | 183,005 | ||||||||||
Total futures contracts sold | 0.7 | 407,977 | ||||||||||
Total futures contracts, at fair value | 4.0 | % | $ | 2,386,067 | ||||||||
Futures and forward contracts by country composition | ||||||||||||
European Monetary Union | 0.7 | % | $ | 425,341 | ||||||||
Great Britain | 0.5 | 291,376 | ||||||||||
United States | 1.9 | 1,142,037 | ||||||||||
Other | 0.7 | 408,687 | ||||||||||
Total futures and forward contracts by country | 3.8 | % | $ | 2,267,441 | ||||||||
See accompanying notes to financial statements.
20
SUPERFUND GREEN, L.P. — SERIES B
STATEMENTS OF OPERATIONS
Years Ended December 31, 2009 and December 31, 2008
STATEMENTS OF OPERATIONS
Years Ended December 31, 2009 and December 31, 2008
2009 | 2008 | |||||||
Investment income,interest | $ | 64,467 | $ | 792,092 | ||||
Expenses | ||||||||
Incentive fee | 301,233 | 3,831,165 | ||||||
Management fee | 1,097,606 | 936,891 | ||||||
Ongoing offering expenses | 593,300 | 506,427 | ||||||
Operating expenses | 88,995 | 75,964 | ||||||
Selling commission | 2,373,202 | 2,025,709 | ||||||
Brokerage commissions | 1,736,922 | 971,657 | ||||||
Other | 20,728 | 25,066 | ||||||
Total expenses | 6,211,986 | 8,372,879 | ||||||
Net investment loss | (6,147,519 | ) | (7,580,787 | ) | ||||
Realized and unrealized gain (loss) on investments | ||||||||
Net realized gain (loss) on futures and forward contracts | (27,074,104 | ) | 22,944,445 | |||||
Net change in unrealized appreciation (depreciation) on futures and forward contracts | ||||||||
(1,806,018 | ) | 1,982,613 | ||||||
Net gain (loss) on investments | (28,880,122 | ) | 24,927,058 | |||||
Net increase (decrease) in net assets from operations | $ | (35,027,641 | ) | $ | 17,346,271 | |||
Net increase (decrease) in net assets from operations per unit (based upon weighted average number of units outstanding during period) | $ | (1,106.39 | ) | $ | 786.52 | |||
Net increase (decrease) in net assets from operations per unit (based upon change in net asset value per unit during period) | $ | (1,146.32 | ) | $ | 826.27 | |||
See accompanying notes to financial statements.
21
SUPERFUND GREEN, L.P. — SERIES B
STATEMENTS OF CHANGES IN NET ASSETS
Years Ended December 31, 2009 and December 31, 2008
STATEMENTS OF CHANGES IN NET ASSETS
Years Ended December 31, 2009 and December 31, 2008
2009 | 2008 | |||||||
Increase (decrease) in net assets from operations | ||||||||
Net investment loss | $ | (6,147,519 | ) | $ | (7,580,787 | ) | ||
Net realized gain (loss) on futures and forward contracts | (27,074,104 | ) | 22,944,445 | |||||
Net change in unrealized appreciation (depreciation) on futures and forward contracts | (1,806,018 | ) | 1,982,613 | |||||
Net increase (decrease) in net assets from operations | (35,027,641 | ) | 17,346,271 | |||||
Capital share transactions | ||||||||
Issuance of shares | 42,437,152 | 38,379,823 | ||||||
Redemption of shares | (16,203,214 | ) | (20,964,190 | ) | ||||
Net increase in net assets from capital share transactions | 26,233,938 | 17,415,633 | ||||||
Net increase (decrease) in net assets | (8,793,703 | ) | 34,761,904 | |||||
Net assets, beginning of year | 60,617,051 | 25,855,147 | ||||||
Net assets, end of year | $ | 51,823,348 | $ | 60,617,051 | ||||
Units, beginning of year | 23,305.633 | 14,568.812 | ||||||
Issuance of units | 20,136.910 | 17,593.459 | ||||||
Redemption of units | (7,816.194 | ) | (8,856.638 | ) | ||||
Units, end of year | 35,626.349 | 23,305.633 | ||||||
See accompanying notes to financial statements.
22
SUPERFUND GREEN, L.P. — SERIES B
STATEMENTS OF CASH FLOWS
Years Ended December 31, 2009 and December 31, 2008
STATEMENTS OF CASH FLOWS
Years Ended December 31, 2009 and December 31, 2008
2009 | 2008 | |||||||
Cash flows from operating activities | ||||||||
Net increase (decrease) in net assets from operations | $ | (35,027,641 | ) | $ | 17,346,271 | |||
Adjustments to reconcile net increase (decrease) in net assets from operations to net cash used in operating activities: | ||||||||
Changes in operating assets and liabilities: | ||||||||
Purchases of U.S. government securities | (134,579,547 | ) | (181,821,630 | ) | ||||
Sales and maturities of U.S. government securities | 163,078,462 | 151,644,442 | ||||||
Amortization of discounts and premiums | (56,793 | ) | (635,028 | ) | ||||
Due from brokers | (20,114,958 | ) | (2,448,239 | ) | ||||
Due from affiliate | — | 133,276 | ||||||
Unrealized appreciation on open forward contracts | (464,186 | ) | 111,568 | |||||
Futures contracts purchased | 869,791 | (1,744,304 | ) | |||||
Unrealized depreciation on open forward contracts | 967,477 | (443,845 | ) | |||||
Futures contracts sold | 432,936 | 93,968 | ||||||
Fees payable | (97,370 | ) | 268,179 | |||||
Net cash used in operating activities | (24,991,829 | ) | (17,495,342 | ) | ||||
Cash flows from financing activities | ||||||||
Subscriptions, net of change in advance subscriptions | 42,437,152 | 38,379,823 | ||||||
Redemptions, net of redemption payable | (18,083,436 | ) | (20,289,155 | ) | ||||
Net cash provided by financing activities | 24,353,716 | 18,090,668 | ||||||
Net increase (decrease) in cash | (638,113 | ) | 595,326 | |||||
Cash, beginning of year | 668,701 | 73,375 | ||||||
Cash, end of year | $ | 30,588 | $ | 668,701 | ||||
See accompanying notes to financial statements.
23
SUPERFUND GREEN, L.P.
(formerly known as QUADRIGA SUPERFUND, L.P.)
NOTES TO FINANCIAL STATEMENTS
December 31, 2009
(formerly known as QUADRIGA SUPERFUND, L.P.)
NOTES TO FINANCIAL STATEMENTS
December 31, 2009
(1) Nature of Operations
Organization and Business
Superfund Green, L.P., formerly known as Quadriga Superfund, L.P. (the “Fund”), a Delaware limited partnership, commenced operations on November 5, 2002. The Fund was organized to trade speculatively in the United States of America (“U.S.”) and international commodity futures markets using a fully-automated computerized trading system. The Fund has issued two classes of Units, Series A and Series B (the “Series”). The two Series will be traded and managed the same way except for the degree of leverage. |
The term of the Fund shall continue until December 31, 2050, unless terminated earlier by the Fund’s general partner, Superfund Capital Management, Inc. (“Superfund Capital Management”) or by operation of law or a decline in the aggregate net assets of such Series to less than $500,000. |
(2) Basis of Presentation and Significant Accounting Policies
(a) | Basis of Presentation |
Pursuant to rules and regulations of the Securities and Exchange Commission (“SEC”), audited financial statements are presented for the Fund as a whole, as the SEC registrant, and for Series A and Series B individually. The accompanying financial statements and notes thereto have been amended from the financial statements originally issued on March 31, 2010 to include financial statements and footnote totals for the Fund as a whole. For the avoidance of doubt, the debts, liabilities, obligations and expenses incurred, contracted for or otherwise existing with respect to a particular Series shall be enforceable only against the assets of such Series and not against the assets of the Fund generally or any other Series. Accordingly, the assets of one Series of the Fund include only those funds and other assets that are paid to, held by or distributed to the Fund on account of and for the benefit of that Series, including, without limitation, funds delivered to the Fund for the purchase of Units in that Series. |
(b) | Valuation of Investments in Futures Contracts, Forward Contracts, and U.S Treasury Bills |
All commodity interests (including derivative financial instruments and derivative commodity instruments) are used for trading purposes. The commodity interests are recorded on a trade date basis and open contracts are recorded in the statements of assets and liabilities at fair value on the last business day of the period, which represents market value for those commodity interests for which market quotes are readily available. |
Exchange-traded futures contracts are valued at settlement prices published by the recognized exchange. Any spot and forward foreign currency contracts held by the Fund will be valued at published settlement prices or at dealers’ quotes. The Fund uses the amortized cost method for valuing U.S. Treasury Bills due to the short-term nature of such instrument; accordingly, the cost of securities plus accreted discount, or minus amortized premium approximates fair value (See Section (2)(g) – Fair Value Measurements). |
(c) | Translation of Foreign Currency |
Assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the period end exchange rates. Purchases and sales of investments, and income and expenses that are denominated in foreign currencies are translated into U.S. dollar amounts on the transaction date. Adjustments arising from foreign currency transactions are reflected in the statements of operations. |
The Fund does not isolate that portion of the results of operations arising from the effect of changes in foreign exchange rates on investments from fluctuations from changes in market prices of investments held. Such fluctuations are included in net gain (loss) on investments in the statements of operations. |
(d) | Investment Transactions, Investment Income, and Expenses |
Investment transactions are accounted for on a trade-date basis. Interest income and expenses are recognized on the accrual basis. |
(e) | Income Taxes |
The Fund does not record a provision for U.S. income taxes because the partners report their share of the Fund’s income or loss on their returns. The financial statements reflect the Fund’s transactions without adjustment, if any, required for income tax purposes. |
Superfund Capital Management has evaluated the application of Accounting Standards Codification (“ASC”) 740 to the Fund, to determine whether or not there are uncertain tax positions that require financial statement recognition. Based on this evaluation, the |
24
Fund has determined no reserves for uncertain tax position are required to be recorded as a result of the application of ASC 740. The Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. As a result, no income tax liability or expense has been recorded in the accompanying financial statements. The fund files federal and various state tax returns. The 2006 through 2009 tax years generally remain subject to examination by the U.S. federal and most state tax authorities. |
(f) | Use of Estimates |
The preparation of financial statements in conformity with accounting principles generally accepted in the U.S. requires Superfund Capital Management to make estimates and assumptions that affect the amounts reported and disclosed in the financial statements. Actual results could differ from those estimates. |
(g) | Recently Issued Accounting Pronouncements |
ASC 105.10.05 |
In June 2009, the Financial Accounting Standards Board (“FASB”) issued FASB 105.10.05,Generally Accepted Accounting Principles(“ASC 105.10.05”). ASC 105.10.05 establishes FASB ASC as the single source of authoritative generally accepted accounting principles (“GAAP”). Pursuant to the provisions of ASC 105.10.05, the Fund has adopted ASC 105.10.05 and updated references to GAAP in its financial statements issued subsequent to September 15, 2009. The adoption of ASC 105.10.05 did not have any impact on the Fund’s results of operations, financial condition or cash flows. |
ASU 2010-06 |
In January 2010, FASB issued Accounting Standards Update No. 2010-06 (“ASU 2010-06”),Improving Disclosures about Fair Value Measurements, which, among other things, amends ASC 820 to require entities to separately present purchases, sales, issuances, and settlements in their reconciliation of Level 3 fair value measurements (i.e. to present such items as gross basis rather than on a net basis), and which clarifies existing disclosure requirements provided by ASC 820 regarding the level of disaggregation and the inputs and valuation techniques used to measure fair value for measurements that fall within either Level 2 or Level 3 of the fair value hierarchy. ASU 2010-06 is effective for interim and annual periods beginning after December 15, 2009, except for the disclosures about purchases, sales, issuances, and settlements in the roll forward of activity in Level 3 fair value measurements (which are effective for fiscal years beginning after December 15, 2010 and for interim periods within those fiscal years). Superfund Capital Management is currently evaluating the impact of ASU 2010-06 on the Fund’s financial statements. |
(h) | Fair Value Measurements |
The Fund follows ASC 820,Fair Value Measurements(“ASC 820”). ASC 820 establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (level 1 measurements) and the lowest priority to unobservable inputs (level 3 measurements). The three levels of the fair value hierarchy under ASC 820 are described below: |
Level 1 Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities. | |||
Level 2 Quoted prices in markets that are not considered to be active or financial instruments for which all significant inputs are observable, either directly or indirectly. | |||
Level 3 Prices or valuations that require inputs that are both significant to the fair value measurement and unobservable. |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input that is significant to the fair value measurement. In determining fair value, the Fund separates its financial instruments into two categories: U.S. government securities and derivative contracts. |
U.S. Government Securities.The Fund’s only market exposure in instruments held other than for trading is in its U.S. Treasury Bill portfolio. As the Fund uses the amortized cost method for valuing its U.S. Treasury Bill portfolio, which approximates fair value, this portfolio is classified within level 2 of the fair value hierarchy. |
Derivative Contracts.Derivative contracts can be exchange-traded or over-the-counter (“OTC”). Exchange-traded derivatives typically fall within level 1 or level 2 of the fair value hierarchy depending on whether they are deemed to be actively traded or not. The Fund has exposure to exchange-traded derivative contracts through the Fund’s trading of exchange-traded futures contracts. The Fund’s exchange-traded futures contract positions are valued daily at settlement prices published by the applicable exchanges. In such cases, provided they are deemed to be actively traded, exchange-traded derivatives are classified within level 1 of the fair value hierarchy. Less actively traded exchange-traded derivatives fall within level 2 of the fair value hierarchy. |
25
OTC derivatives are valued using market transactions and other market evidence whenever possible, including market-based inputs to models, model calibration to market-clearing transactions, broker or dealer quotations, or alternative pricing sources with reasonable levels of price transparency. Where models are used, the selection of a particular model to value an OTC derivative depends upon the contractual terms of, and specific risks inherent in, the instrument as well as the availability of pricing information in the market. For OTC derivatives that trade in liquid markets, such as generic forwards and swaps, model inputs can generally be verified and model selection does not involve significant management judgment. The OTC derivatives held by the Fund may include forwards and swaps. Spot and forward foreign currency contracts held by the Fund are valued at published daily settlement prices or at dealers’ quotes. The Fund’s forward and swap positions are typically classified within level 2 of the fair value hierarchy. |
Certain OTC derivatives traded in less liquid markets with limited pricing information, and the determination of fair value for these derivatives is inherently more difficult. Such instruments are classified within level 3 of the fair value hierarchy. Where the Fund does not have corroborating market evidence to support significant model inputs and cannot verify the model to market transactions, transaction price is initially used as the best estimate of fair value. Accordingly, when a pricing model is used to value such an instrument, the model is adjusted so that the model value at inception equals the transaction price. The valuations of these less liquid OTC derivatives are typically based on level 1 and/or level 2 inputs that can be observed in the market, as well as unobservable level 3 inputs. Subsequent to initial recognition, the Fund updates the level 1 and level 2 inputs to reflect observable market changes, with resulting gains and losses reflected within level 3. Level 3 inputs are only changed when corroborated by evidence such as similar market transactions, third-party pricing services and/or broker or dealer quotations, or other empirical market data. In circumstances where the Fund cannot verify the model value to market transactions, it is possible that a different valuation model could produce a materially different estimate of fair value. The Fund attempts to avoid holding less liquid OTC derivatives. However, once held, the market for any particular derivative contract could become less liquid during the holding period. As of and during the year ended December 31, 2009, the Fund held no derivative contracts valued using level 3 inputs. |
The following table summarizes the valuation of the Fund’s assets and liabilities by the ASC 820 fair value hierarchy as of December 31, 2009: |
Superfund Green, L.P.
Balance | ||||||||||||||||
December 31, | ||||||||||||||||
2009 | Level 1 | Level 2 | Level 3 | |||||||||||||
ASSETS | ||||||||||||||||
U.S. Government securities | $ | 42,403,057 | $ | — | $ | 42,403,057 | $ | — | ||||||||
Unrealized appreciation on open forward contracts | 696,512 | — | 696,512 | — | ||||||||||||
Futures contracts purchased | 1,573,761 | 1,573,761 | — | — | ||||||||||||
Total Assets Measured at Fair Value | $ | 44,673,330 | $ | 1,573,761 | $ | 43,099,569 | $ | — | ||||||||
LIABILITIES | ||||||||||||||||
Unrealized depreciation on open forward contracts | $ | 1,552,248 | $ | — | $ | 1,552,248 | $ | — | ||||||||
Futures contracts sold | 35,632 | 35,632 | — | — | ||||||||||||
Total Liabilities Measured at Fair Value | $ | 1,587,880 | $ | 35,632 | $ | 1,552,248 | $ | — | ||||||||
26
Series A.
Balance | ||||||||||||||||
December 31, 2009 | Level 1 | Level 2 | Level 3 | |||||||||||||
ASSETS | ||||||||||||||||
U.S. Government securities | $ | 16,019,268 | $ | — | $ | 16,019,268 | $ | — | ||||||||
Unrealized appreciation on open forward contracts | 187,448 | — | 187,448 | — | ||||||||||||
Futures contracts purchased | 465,462 | 465,462 | — | — | ||||||||||||
Total Assets Measured at Fair Value | $ | 16,672,178 | $ | 465,462 | $ | 16,206,716 | $ | — | ||||||||
LIABILITIES | ||||||||||||||||
Unrealized depreciation on open forward contracts | $ | 421,267 | $ | — | $ | 421,267 | $ | — | ||||||||
Futures contracts sold | 10,673 | 10,673 | — | — | ||||||||||||
Total Liabilities Measured at Fair Value | $ | 431,940 | $ | 10,673 | $ | 421,267 | $ | — | ||||||||
27
Series B.
Balance | ||||||||||||||||
December 31, 2009 | Level 1 | Level 2 | Level 3 | |||||||||||||
ASSETS | ||||||||||||||||
U.S. Government securities | $ | 26,383,789 | $ | — | $ | 26,383,789 | $ | — | ||||||||
Unrealized appreciation on open forward contracts | 509,064 | — | 509,064 | — | ||||||||||||
Futures contracts purchased | 1,108,299 | 1,108,299 | — | — | ||||||||||||
Total Assets Measured at Fair Value | $ | 28,001,152 | $ | 1,108,299 | $ | 26,892,853 | $ | — | ||||||||
LIABILITIES | ||||||||||||||||
Unrealized depreciation on open forward contracts | $ | 1,130,981 | $ | — | $ | 1,130,981 | $ | — | ||||||||
Futures contracts sold | 24,959 | 24,959 | — | — | ||||||||||||
Total Liabilities Measured at Fair Value | $ | 1,155,940 | $ | 24,959 | $ | 1,130,981 | $ | — | ||||||||
The following table summarizes the valuation of the Fund’s assets and liabilities by the ASC 820 fair value hierarchy as of December 31, 2008:
Superfund Green, L.P.
Balance | ||||||||||||||||
December 31, 2008 | Level 1 | Level 2 | Level 3 | |||||||||||||
ASSETS | ||||||||||||||||
U.S. Government securities | $ | 86,320,840 | $ | — | $ | 85,320,840 | $ | — | ||||||||
Unrealized appreciation on open forward contracts | 56,016 | — | 56,016 | — | ||||||||||||
Futures contracts purchased | 2,713,619 | 2,713,619 | — | — | ||||||||||||
Futures contracts sold | 517,307 | 517,307 | — | — | ||||||||||||
Total Assets Measured at Fair Value | $ | 89,607,782 | $ | 3,230,926 | $ | 86,376,856 | $ | — | ||||||||
LIABILITIES | ||||||||||||||||
Unrealized depreciation on open forward contracts | $ | 206,840 | $ | — | $ | 206,840 | $ | — | ||||||||
Total Liabilities Measured at Fair Value | $ | 206,840 | $ | — | $ | 206,840 | $ | — | ||||||||
28
Series A:
Balance | ||||||||||||||||
December 31, 2008 | Level 1 | Level 2 | Level 3 | |||||||||||||
ASSETS | ||||||||||||||||
U.S. Government securities | $ | 31,494,929 | $ | — | $ | 31,494,929 | $ | — | ||||||||
Unrealized appreciation on open forward contracts | 11,138 | — | 11,138 | — | ||||||||||||
Futures contracts purchased | 735,529 | 735,529 | — | — | ||||||||||||
Futures contracts sold | 109,330 | 109,330 | — | — | ||||||||||||
Total Assets Measured at Fair Value | $ | 32,350,926 | $ | 844,859 | $ | 31,506,067 | $ | — | ||||||||
LIABILITIES | ||||||||||||||||
Unrealized depreciation on open forward contracts | $ | 43,336 | $ | — | $ | 43,336 | $ | — | ||||||||
Total Liabilities Measured at Fair Value | $ | 43,336 | $ | — | $ | 43,336 | $ | — | ||||||||
29
Series B:
Balance | ||||||||||||||||
December 31, 2008 | Level 1 | Level 2 | Level 3 | |||||||||||||
ASSETS | ||||||||||||||||
U.S. Government securities | $ | 54,825,911 | $ | — | $ | 54,825,911 | $ | — | ||||||||
Unrealized appreciation on open forward contracts | 44,878 | — | 44,878 | — | ||||||||||||
Futures contracts purchased | 1,978,090 | 1,978,090 | — | — | ||||||||||||
Futures contracts sold | 407,977 | 407,977 | — | — | ||||||||||||
Total Assets Measured at Fair Value | $ | 57,256,856 | $ | 2,386,067 | $ | 54,870,789 | $ | — | ||||||||
LIABILITIES | ||||||||||||||||
Unrealized depreciation on open forward contracts | $ | 163,504 | $ | — | $ | 163,504 | $ | — | ||||||||
Total Liabilities Measured at Fair Value | $ | 163,504 | $ | — | $ | 163,504 | $ | — | ||||||||
(3) Disclosure of derivative instruments and hedging activities
The Fund follows ASC 815,Disclosures about Derivative Instruments and Hedging Activities(“ASC 815”). ASC 815 is intended to improve financial reporting for derivative instruments by requiring enhanced disclosure that enables investors to understand how and why an entity uses derivatives, how derivatives are accounted for, and how derivative instruments affect an entity’s results of operations and financial position. | ||
Derivative instruments held by the Fund do not qualify as derivative instruments held as hedging instruments, as defined in ASC 815. Instead, the Fund includes derivative instruments in its trading activity. Per the requirements of ASC 815, the Fund discloses the gains and losses on its trading activities for both derivative and nonderivative instruments in the Statement of Operations for each Series. | ||
The Fund engages in the speculative trading of forward contracts in currency and futures contracts in a wide range of commodities, including equity markets, interest rates, food and fiber, energy, livestock and metals. ASC 815 requires entities to recognize all derivatives instruments as either assets or liabilities at fair value in the statement of financial position. Investments in forward contracts and commodity futures contracts are recorded in the Statements of Assets and Liabilities as “unrealized appreciation or depreciation on open forward contracts and futures contracts purchased and futures contracts sold.” Since the derivatives held or sold by the Fund are for speculative trading purposes, the derivative instruments are not designated as hedging instruments under the provisions of ASC 815. Accordingly, all realized gains and losses, as well as any change in net unrealized gains or losses on open positions from the preceding period, are recognized as part of the Fund’s trading profits and losses in the Statements of Operations. | ||
Superfund Capital Management believes futures and forward trading activity expressed as a percentage of net assets is indicative of trading activity. Information concerning the fair value of the Fund’s derivatives held long or sold short, as well as information related to the annual average volume of the Fund’s derivative activity, is as follows: |
30
Superfund Green, L.P.:
As of December 31, 2009 | ||||||||||||||||||||||||||||||||||||
Long Positions Gross Unrealized | Short Position Gross Unrealized | |||||||||||||||||||||||||||||||||||
% of | % of | % of | % of | Net Unrealized | ||||||||||||||||||||||||||||||||
Net | Net | Net | Net | Gains (Losses) on | ||||||||||||||||||||||||||||||||
Gains | Assets | Losses | Assets | Gains | assets | Losses | Assets | Open Positions | ||||||||||||||||||||||||||||
Foreign Exchange | $ | 413,502 | 0.5 | $ | (991,114 | ) | (1.2 | ) | $ | 283,010 | 0.3 | $ | (561,134 | ) | (0.7 | ) | $ | (855,736 | ) | |||||||||||||||||
Currency | 235,600 | 0.3 | (866,737 | ) | (1.0 | ) | — | — | — | — | (631,137 | ) | ||||||||||||||||||||||||
Financial | 496,948 | 0.6 | (1,089,683 | ) | (1.3 | ) | 276,081 | 0.3 | (19,348 | ) | (0.0 | )* | (336,002 | ) | ||||||||||||||||||||||
Food & Fiber | 1,291,163 | 1.5 | (84,401 | ) | (0.1 | ) | — | — | (146,300 | ) | (0.2 | ) | 1,060,462 | |||||||||||||||||||||||
Indices | 2,235,215 | 2.6 | (56,384 | ) | (0.1 | ) | — | — | (26,945 | ) | (0.0 | )* | 2,151,886 | |||||||||||||||||||||||
Metals | 1,237,052 | 1.5 | (2,289,628 | ) | (2.7 | ) | — | — | — | — | (1,052,576 | ) | ||||||||||||||||||||||||
Livestock | — | — | — | — | — | — | (70,560 | ) | (0.1 | ) | (70,560 | ) | ||||||||||||||||||||||||
Energy | 532,486 | 0.6 | (67,870 | ) | (0.1 | ) | — | — | (48,560 | ) | (0.1 | ) | 416,056 | |||||||||||||||||||||||
Totals | $ | 6,441,966 | 7.6 | $ | (5,445,817 | ) | (6.5 | ) | $ | 559,091 | 0.6 | $ | (872,847 | ) | (1.1 | ) | $ | 682,393 | ||||||||||||||||||
* | Due to rounding |
Superfund Green, L.P. average quarterly contract volume by market sector as of year ended December 31, 2009:
Average number | Average number | Average value | Average value | |||||||||||||
of Long | of Short | of Long | of Short | |||||||||||||
Contracts | Contracts | Positions | Positions | |||||||||||||
Foreign Exchange | 52 | 48 | $ | 190,560 | $ | (700,112 | ) |
Average number | Average number | |||||||
of Long | of Short | |||||||
Contracts | Contracts | |||||||
Currency | 885 | 341 | ||||||
Financial | 4,177 | 148 | ||||||
Food & Fiber | 240 | 549 | ||||||
Indices | 559 | 289 | ||||||
Metals | 288 | 123 | ||||||
Livestock | 0 | 201 | ||||||
Energy | 244 | 438 | ||||||
Totals | 6,445 | 2,137 | ||||||
Superfund Green, L.P. trading results by market sector:
For the year ended December 31, 2009 | ||||||||||||
Change in Net | ||||||||||||
Net Realized | Unrealized | Net Trading | ||||||||||
Gains (Losses) | Gains (Losses) | Gains (Losses) | ||||||||||
Foreign Exchange | $ | (5,844,157 | ) | $ | (704,912 | ) | $ | (6,549,069 | ) | |||
Currency | (8,319,151 | ) | (1,153,982 | ) | (9,473,133 | ) | ||||||
Financial | 637,546 | (2,350,596 | ) | (1,713,050 | ) | |||||||
Food & Fiber | (3,590,616 | ) | 1,120,462 | (2,470,154 | ) | |||||||
Indices | (9,681,594 | ) | 2,152,512 | (7,529,082 | ) | |||||||
Metals | 2,592,849 | (1,310,716 | ) | 1,282,133 | ||||||||
Livestock | 665,240 | (158,070 | ) | 507,170 | ||||||||
Energy | (12,302,355 | ) | 7,593 | (12,294,762 | ) | |||||||
Total net trading losses | $ | (35,842,238 | ) | $ | (2,397,709 | ) | $ | (38,239,947 | ) | |||
31
Series A:
As of December 31, 2009 | ||||||||||||||||||||||||||||||||||||
Long Positions Gross Unrealized | Short Position Gross Unrealized | |||||||||||||||||||||||||||||||||||
% of | % of | % of | % of | Net Unrealized | ||||||||||||||||||||||||||||||||
Net | Net | Net | Net | Gains (Losses) on | ||||||||||||||||||||||||||||||||
Gains | Assets | Losses | Assets | Gains | assets | Losses | Assets | Open Positions | ||||||||||||||||||||||||||||
Foreign Exchange | $ | 113,007 | 0.3 | $ | (263,555 | ) | (0.8 | ) | $ | 74,441 | 0.2 | $ | (157,712 | ) | (0.4 | ) | $ | (233,819 | ) | |||||||||||||||||
Currency | 67,730 | 0.2 | (244,325 | ) | (0.7 | ) | — | — | — | — | (176,595 | ) | ||||||||||||||||||||||||
Financial | 151,789 | 0.5 | (301,563 | ) | (0.9 | ) | 77,875 | 0.2 | (5,528 | ) | (0.0 | )* | (77,427 | ) | ||||||||||||||||||||||
Food & Fiber | 360,737 | 1.1 | (22,738 | ) | (0.1 | ) | — | — | (43,025 | ) | (0.1 | ) | 294,974 | |||||||||||||||||||||||
Indices | 620,907 | 1.8 | (15,436 | ) | (0.0 | )* | — | — | (7,925 | ) | (0.0 | )* | 597,546 | |||||||||||||||||||||||
Metals | 353,181 | 1.0 | (636,976 | ) | (1.9 | ) | — | — | — | — | (283,795 | ) | ||||||||||||||||||||||||
Livestock | — | — | — | — | — | — | (20,060 | ) | (0.1 | ) | (20,060 | ) | ||||||||||||||||||||||||
Energy | 150,196 | 0.5 | (18,040 | ) | (0.1 | ) | — | — | (12,010 | ) | (0.0 | )* | 120,146 | |||||||||||||||||||||||
Totals | $ | 1,817,547 | 5.4 | $ | (1,502,633 | ) | (4.5 | ) | $ | 152,316 | 0.4 | $ | (246,260 | ) | (0.6 | ) | $ | 220,970 | ||||||||||||||||||
* | Due to rounding |
Series A average quarterly contract volume by market sector as of year ended December 31, 2009:
Average number | Average number | Average value | Average value | |||||||||||||
of Long | of Short | of Long | of Short | |||||||||||||
Contracts | Contracts | Positions | Positions | |||||||||||||
Foreign Exchange | 23 | 22 | $ | 48,653 | $ | (170,446 | ) |
Average number | Average number | |||||||
of Long | of Short | |||||||
Contracts | Contracts | |||||||
Currency | 264 | 95 | ||||||
Financial | 1,146 | 40 | ||||||
Food & Fiber | 67 | 148 | ||||||
Indices | 138 | 89 | ||||||
Metals | 81 | 32 | ||||||
Livestock | 0 | 58 | ||||||
Energy | 69 | 110 | ||||||
Totals | 1,788 | 594 | ||||||
Series A trading results by market sector:
For the year ended December 31, 2009 | ||||||||||||
Change in Net | ||||||||||||
Net Realized | Unrealized | Net Trading | ||||||||||
Gains (Losses) | Gains (Losses) | Gains (Losses) | ||||||||||
Foreign Exchange | $ | (1,475,144 | ) | $ | (201,621 | ) | $ | (1,676,765 | ) | |||
Currency | (2,190,296 | ) | (315,756 | ) | (2,506,052 | ) | ||||||
Financial | 224,040 | (587,254 | ) | (363,214 | ) | |||||||
Food & Fiber | (900,346 | ) | 301,938 | (598,408 | ) | |||||||
Indices | (2,489,390 | ) | 581,777 | (1,907,613 | ) | |||||||
Metals | 1,032,905 | (358,930 | ) | 673,975 | ||||||||
Livestock | 183,530 | (43,460 | ) | 140,070 | ||||||||
Energy | (3,153,433 | ) | 31,615 | (3,121,818 | ) | |||||||
Total net trading losses | $ | (8,768,134 | ) | $ | (591,691 | ) | $ | (9,359,825 | ) | |||
32
Series B:
As of December 31, 2009 | ||||||||||||||||||||||||||||||||||||
Long Positions Gross Unrealized | Short Position Gross Unrealized | |||||||||||||||||||||||||||||||||||
% of | % of | % of | % of | Net Unrealized | ||||||||||||||||||||||||||||||||
Net | Net | Net | Net | Gains (Losses) on | ||||||||||||||||||||||||||||||||
Gains | Assets | Losses | Assets | Gains | assets | Losses | Assets | Open Positions | ||||||||||||||||||||||||||||
Foreign Exchange | $ | 300,495 | 0.6 | $ | (727,559 | ) | (1.4 | ) | $ | 208,569 | 0.4 | $ | (403,422 | ) | (0.8 | ) | $ | (621,917 | ) | |||||||||||||||||
Currency | 167,870 | 0.3 | (622,412 | ) | (1.2 | ) | — | — | — | — | (454,542 | ) | ||||||||||||||||||||||||
Financial | 345,159 | 0.7 | (788,120 | ) | (1.5 | ) | 198,206 | 0.4 | (13,820 | ) | (0.0 | )* | (258,575 | ) | ||||||||||||||||||||||
Food & Fiber | 930,426 | 1.8 | (61,663 | ) | (0.1 | ) | — | — | (103,275 | ) | (0.2 | ) | 765,488 | |||||||||||||||||||||||
Indices | 1,614,308 | 3.1 | (40,948 | ) | (0.1 | ) | — | — | (19,020 | ) | (0.0 | )* | 1,554,340 | |||||||||||||||||||||||
Metals | 883,871 | 1.7 | (1,652,652 | ) | (3.2 | ) | — | — | — | — | (768,781 | ) | ||||||||||||||||||||||||
Livestock | — | — | — | — | — | — | (50,500 | ) | (0.1 | ) | (50,500 | ) | ||||||||||||||||||||||||
Energy | 382,290 | 0.7 | (49,830 | ) | (0.1 | ) | — | — | (36,550 | ) | (0.1 | ) | 295,910 | |||||||||||||||||||||||
Totals | $ | 4,624,419 | 8.9 | $ | (3,943,184 | ) | (7.6 | ) | $ | 406,775 | 0.8 | $ | (626,587 | ) | (1.2 | ) | $ | 461,423 | ||||||||||||||||||
* | Due to rounding |
Series B average quarterly contract volume by market sector for year ended December 31, 2009: |
Average number | Average number | Average value | Average value | |||||||||||||
of Long | of Short | of Long | of Short | |||||||||||||
Contracts | Contracts | Positions | Positions | |||||||||||||
Foreign Exchange | 29 | 26 | $ | 141,907 | $ | (529,666 | ) |
Average number | Average number | |||||||
of Long | of Short | |||||||
Contracts | Contracts | |||||||
Currency | 621 | 246 | ||||||
Financial | 3,032 | 108 | ||||||
Food & Fiber | 174 | 402 | ||||||
Indices | 421 | 200 | ||||||
Metals | 207 | 90 | ||||||
Livestock | 0 | 143 | ||||||
Energy | 175 | 328 | ||||||
Totals | 4,659 | 1,543 | ||||||
Series B trading results by market sector:
For the year ended December 31, 2009 | ||||||||||||
Change in Net | ||||||||||||
Net Realized | Unrealized | Net Trading | ||||||||||
Gains (Losses) | Gains (Losses) | Gains (Losses) | ||||||||||
Foreign Exchange | $ | (4,369,013 | ) | $ | (503,291 | ) | $ | (4,872,304 | ) | |||
Currency | (6,128,855 | ) | (838,226 | ) | (6,967,081 | ) | ||||||
Financial | 413,506 | (1,763,342 | ) | (1,349,836 | ) | |||||||
Food & Fiber | (2,690,270 | ) | 818,524 | (1,871,746 | ) | |||||||
Indices | (7,192,204 | ) | 1,570,735 | (5,621,469 | ) | |||||||
Metals | 1,559,944 | (951,786 | ) | 608,158 | ||||||||
Livestock | 481,710 | (114,610 | ) | 367,100 | ||||||||
Energy | (9,148,922 | ) | (24,022 | ) | (9,172,944 | ) | ||||||
Total net trading losses | $ | (27,074,104 | ) | $ | (1,806,018 | ) | $ | (28,880,122 | ) | |||
33
(4) | Due from/to Brokers | |
Due from brokers consist of proceeds from securities sold. Amounts due from brokers may be restricted to the extent that they serve as deposits for securities sold short. Amounts due to brokers represent margin borrowings that are collateralized by certain securities. As of December 31, 2009, there were no amounts due to brokers. | ||
In the normal course of business, all of the Fund’s marketable securities transactions, money balances and marketable security positions are transacted with brokers. The Fund is subject to credit risk to the extent any broker with whom it conducts business is unable to fulfill contractual obligations on its behalf. Superfund Capital Management monitors the financial condition of such brokers and does not anticipate any losses from these counterparties. | ||
(5) | Allocation of Net Profits and Losses | |
In accordance with the Fifth Amended and Restated Limited Partnership Agreement (the “Limited Partnership Agreement”), net profits and losses of the Fund are allocated to partners according to their respective interests in the Fund as of the beginning of each month. | ||
Advance subscriptions, if any, represent cash received prior to December 31 for contributions of the subsequent month and do not participate in the earnings of the Fund until the following January. | ||
(6) | Related Party Transactions | |
Superfund Capital Management shall be paid a management fee equal to one-twelfth of 1.85% of month-end net assets (1.85% per annum) of net assets, ongoing offering expenses equal to one-twelfth of 1% of month-end net assets (1% per annum), not to exceed the amount of actual expenses incurred, and monthly operating expenses equal to one-twelfth of 0.15% of month-end net assets (0.15% per annum), not to exceed the amount of actual expenses incurred. In accordance with the Prospectus dated November 24, 2009, as supplemented on December 3, 2009, included within the Registration Statement on Form S-1 (File No. 333-162132) as subsequently supplemented, Superfund USA, an entity related to Superfund Capital Management by common ownership, shall be paid monthly selling commissions equal to one-twelfth of 4% (4% per annum) of the month-end net asset value of the Fund. However, the maximum cumulative selling commission per Unit is limited to 10% of the initial public offering price of Units sold pursuant to such Prospectus. | ||
Superfund Capital Management will also be paid a monthly performance/incentive fee equal to 25% of the new appreciation without respect to interest income. Trading losses will be carried forward and no further performance/incentive fee may be paid until the prior losses have been recovered. | ||
As of December 31, 2009, Superfund Capital Management owned 386.799 Units of Series A, representing 1.57% of the total issued Units of Series A, and 528.22 Units of Series B, representing 1.48% of the total issued Units of Series B, having a combined value of $1,292,285. | ||
(7) | Financial Highlights |
Financial highlights for the period January 1, 2009, through December 31, 2009, are as follows:
SERIES A | SERIES B | |||||||
Total return | ||||||||
Total return before incentive fees | (29.9 | )% | (43.7 | )% | ||||
Incentive fees | 0.0 | (0.4 | ) | |||||
Total return after incentive fees | (29.9 | )% | (44.1 | )% | ||||
Ratio to average partners’ capital | ||||||||
Operating expenses before incentive fees | 8.9 | % | 9.9 | % | ||||
Incentive fees | 0.0 | 0.5 | ||||||
Total expenses | 8.9 | % | 10.4 | % | ||||
Net investment loss | (8.8 | )% | (9.8 | )% | ||||
Net assets value per unit, beginning of period | $ | 1,932.30 | $ | 2,600.96 | ||||
Net investment loss | (139.94 | ) | (197.32 | ) | ||||
Net loss on investments | (437.87 | ) | (949.00 | ) | ||||
Net asset value per unit, end of period | $ | 1,354.49 | $ | 1,454.64 | ||||
Other per Unit information: | ||||||||
Net decrease in net assets from operations per Unit (based upon weighted average Number of Units during period) | $ | (563.24 | ) | $ | (1,106.39 | ) | ||
Net decrease in net assets from operations per Unit (based upon change in net asset value per Unit) | $ | (577.81 | ) | $ | (1,146.32 | ) | ||
34
Financial highlights for the period January 1, 2008, through December 31, 2008, are as follows:
SERIES A | SERIES B | |||||||
Total return | ||||||||
Total return before incentive fees | 34.6 | % | 56.6 | % | ||||
Incentive fees | 4.6 | 10.0 | ||||||
Total return after incentive fees | 30.0 | % | 46.6 | % | ||||
Ratio to average partners’ capital | ||||||||
Operating expenses before incentive fees | 8.3 | % | 9.4 | % | ||||
Incentive fees | 4.0 | 7.9 | ||||||
Total expenses | 12.3 | % | 17.3 | % | ||||
Net investment loss | (6.3) | % | (7.8) | % | ||||
Net assets value per unit, beginning of period | $ | 1,486.44 | $ | 1,774.69 | ||||
Net investment loss | (175.42 | ) | (352.33 | ) | ||||
Net gain on investments | 621.28 | 1,178.60 | ||||||
Net asset value per unit, end of period | $ | 1,932.30 | $ | 2,600.96 | ||||
Other per Unit information: | ||||||||
Net increase in net assets from operations per Unit (based upon weighted average Number of Units during period) | $ | 523.26 | $ | 786.52 | ||||
Net increase in net assets from operations per Unit (based upon change in net asset value per Unit) | $ | 445.86 | $ | 826.27 | ||||
(8) | Financial Instrument Risk | |
In the normal course of its business, the Fund is party to financial instruments with off-balance sheet risk, including derivative financial instruments and derivative commodity instruments. The term “off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in a future obligation or loss. These financial instruments may include forwards, futures, and options, whose values are based upon an underlying asset, index, or reference rate, and generally represent future commitments to exchange currencies or cash flows, to purchase or sell other financial instruments at specific terms at specific future dates, or, in the case of derivative commodity instruments, to have a reasonable possibility to be settled in cash, through physical delivery or with another financial instrument. These instruments may be traded on an exchange or OTC. Exchange-traded instruments are standardized and include futures and certain option contracts. OTC contracts are negotiated between contracting parties and include forwards and certain options. Each of these instruments is subject to various risks similar to those related to the underlying financial instruments including market and credit risk. In general, the risks associated with OTC contracts are greater than those associated with exchange traded instruments because of the greater risk of default by the counterparty to an OTC contract. | ||
For the Fund, gross unrealized gains and losses related to exchange traded futures were $6,304,545 and $4,766,416, respectively, and gross unrealized gains and losses related to non-exchange traded forwards were $696,512 and $1,552,248, respectively, at December 31, 2009. |
35
For Series A, gross unrealized gains and losses related to exchange traded futures were $1,782,415 and $1,327,626, respectively, and gross unrealized gains and losses related to non-exchange traded forwards were $187,448 and $421,267, respectively, at December 31, 2009. | ||
For Series B, gross unrealized gains and losses related to exchange traded futures were $4,522,130 and $3,438,790, respectively, and gross unrealized gains and losses related to non-exchange traded forwards were $509,064 and $1,130,981, respectively, at December 31, 2009. | ||
Market risk is the potential for changes in the value of the financial instruments traded by the Fund due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity prices. In entering into these contracts, there exists a market risk that such contracts may be significantly influenced by conditions, such as interest rate volatility, resulting in such contracts being less valuable. If the markets should move against all of the futures interest positions at the same time, and Superfund Capital Management is unable to offset such positions, the Fund could experience substantial losses. | ||
Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. Credit risk with respect to exchange-traded instruments is reduced to the extent that an exchange or clearing organization acts as a counterparty to the transactions. The Fund’s risk of loss in the event of counterparty default is typically limited to the amounts recognized in the statements of assets and liabilities and not represented by the contract or notional amounts of the instruments. As the Fund’s assets are held in segregated accounts with futures commission merchants, the Fund has credit risk and concentration risk. The Fund’s futures commission merchants are currently ADM Investor Services, Inc., Barclays Capital Inc., and Rosenthal Collins Group, L.L.C. | ||
Superfund Capital Management monitors and controls the Fund’s risk exposure on a daily basis through financial, credit and risk management monitoring systems, and accordingly believes that it has effective procedures for evaluating and limiting the credit and market risks to which the Fund is subject. These monitoring systems allow Superfund Capital Management to statistically analyze actual trading results with risk adjusted performance indicators and correlation statistics. In addition, on-line monitoring systems provide account analysis of futures and forward positions by sector, margin requirements, gain and loss transactions, and collateral positions. | ||
The majority of these instruments mature within one year of December 31, 2009. However, due to the nature of the Fund’s business, these instruments may not be held to maturity. | ||
(9) | Subscriptions and Redemptions | |
Investors must submit subscriptions at least five business days prior to the applicable month-end closing date and they will be accepted once payments are received and cleared. All subscriptions funds are required to be promptly transmitted to the escrow agent, HSBC Bank USA. Subscriptions must be accepted or rejected by Superfund Capital Management within five business days of receipt, and the settlement date for the deposit of subscription funds in escrow must be within five business days of acceptance. No fees or costs will be assessed on any subscription while held in escrow, irrespective of whether the subscription is accepted or the subscription funds are returned. | ||
A limited partner of a Series (“Limited Partner”) may request any or all of his investment in such Series be redeemed by such Series at the net asset value of a Unit within such Series as of the end of each month, subject to a minimum redemption of $1,000 and subject further to such Limited Partner having an investment in such Series, after giving effect to the requested redemption, at least equal to the minimum initial investment amount of $5,000. Limited Partners must transmit a written request of such withdrawal to Superfund Capital Management not less than five business days prior to the end of the month (or such shorter period as permitted by Superfund Capital Management) as of which redemption is to be effective. Redemptions will generally be paid within twenty days after the date of redemption. However, in special circumstances, including, but not limited to, inability to liquidate dealers’ positions as of a redemption date or default or delay in payments due to each Series from clearing brokers, banks or other persons or entities, each Series may in turn delay payment to persons requesting redemption of the proportionate part of the net assets of each Series represented by the sums that are the subject of such default or delay. The Fund’s prospectus provides “if the net asset value per Unit within a Series as of the end of any business day declines by 50% or more from either the prior year-end or the prior month-end Unit value of such Series, Superfund Capital Management will suspend trading activities, notify all Limited Partners within such Series of the relevant facts within seven business days and declare a special redemption period.” | ||
(10) | Subsequent events | |
Superfund Capital Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements. |
36
SIGNATURES
Pursuant to the requirements of Section 13 or Section 15(d) of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized on October 4, 2010.
SUPERFUND GREEN, L.P. (Registrant) | ||||
By: | SUPERFUND CAPITAL MANAGEMENT, INC. | |||
General Partner | ||||
By: | /s/ Nigel James | |||
Nigel James | ||||
President | ||||
Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of Superfund Capital Management, Inc. the general partner of the registrant, and in the capacities and on the dates indicated.
Title with | ||||
Signature | Superfund Capital Management, Inc. | Date | ||
/s/ Nigel James | President (Principal Executive Officer) | October 4, 2010 | ||
/s/ Martin Schneider | Vice President and Director (Principal Financial Officer and Principal Accounting Officer) | October 4, 2010 |
(Being the principal executive officer, the principal financial officer and the principal accounting officer, and a majority of the board of directors of Superfund Capital Management, Inc.)
37
EXHIBIT INDEX
Exhibit | ||
Number | Description of Document | |
31.1 | Rule 13a-14(a)/15d -14(a) Certification of Principal Executive Officer | |
31.2 | Rule 13a-14(a)/15d-14(a) Certification of Principal Financial Officer | |
32.1 | Section 1350 Certification of Principal Executive Officer | |
32.2 | Section 1350 Certification of Principal Financial Officer |
38