UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 10-K
| x | ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
For the Fiscal Year Ended December 31, 2015
OR
| ¨ | 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.
Yes ¨ No x
Indicate by check mark if the registrant is not required to file reports pursuant to Section 13 or Section 15(d) of the Act.
Yes ¨ No x
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.
Yes x No ¨
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).
Yes x No ¨
Indicate by check mark if disclosure 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. x
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 filer | | ¨ | | Accelerated filer | | ¨ |
| | | |
| Non-accelerated filer | | ¨ (do not check if a smaller reporting company) | | Smaller reporting company | | x |
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).
Yes ¨ No x
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.
DOCUMENTS INCORPORATED BY REFERENCE
Prospectus dated May 1, 2013, included within Amendment No. 1 to the Registration Statement on Form S-1 (File No. 333-184998), is incorporated by reference into Item 1 and Item 5.
TABLE OF CONTENTS
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PART I
Item 1. Business.
Superfund Green, L.P. (the “Fund”) is a limited partnership which was organized on May 3, 2002 under the Delaware Revised Uniform Limited Partnership Act, as amended. In accordance with the Sixth Amended and Restated Limited Partnership Agreement (the “Limited Partnership Agreement”) under which it operates, the Fund is organized as two separate series of limited partnership units (the “Units”), Series A and Series B (each, a “Series”). Series B implements the Fund’s futures and forward trading program at a leverage level equal to approximately 1.5 times that implemented on behalf of Series A. Over the long term (periods of several years), the targeted average ratio of margin to equity for Series A is approximately 20% and approximately 30% for Series B. The leverage with which each of the Series is traded is the only difference between the Series.
The Fund operates as a commodity investment pool, whose purpose is speculative trading in the United States (“U.S.”) and international futures and forward markets. Specifically, the Fund trades a portfolio of more than 120 futures and forward contracts using a fully-automated, proprietary, computerized trading system. The general partner and trading manager of the Fund is Superfund Capital Management, Inc. (“Superfund Capital Management”), a Grenada corporation. Superfund Capital Management is registered as a commodity pool operator with the Commodity Futures Trading Commission (the “CFTC”) and is a member of the National Futures Association (the “NFA”) and is therefore subject to the provisions of the Commodity Exchange Act, the regulations of the CFTC and the rules of the NFA.
Narrative Description of the Business
A description of the business of the Fund, including trading approach, rights and obligations of the Unitholders, and compensation arrangements is contained in the Fund’s Prospectus dated May 1, 2013 included within the Registration Statement on Form S-1 (File No. 333-184998), under “Summary,” “The Risks You Face,” “Superfund Capital Management, Inc.,” “Conflicts of Interest,” and “Charges to Each Series” and such description is incorporated herein by reference from the Prospectus.
The Fund conducts its business in one industry segment: the speculative trading of futures and forward contracts and options thereon. The Fund is a market participant in the “managed futures” industry. Market participants include all types of investors, such as corporations, employee benefit plans, individuals and foreign investors. Service providers of the managed futures industry include (a) pool operators, which conduct and manage all aspects of trading funds, such as the Fund, (b) trading advisors, which make the specific trading decisions, and (c) commodity brokers, which execute and clear the trades pursuant to the instructions of the trading advisor. The Fund has no employees and does not engage in the sale of goods or services.
The Fund trades on domestic and international exchanges in more than 120 futures and forward contracts. Trading decisions are made using a fully-automated, proprietary, computerized trading system which emphasizes instruments with low correlation and high liquidity for order execution. The particular contracts traded by the Fund will vary from time to time.
The Fund may, in the future, experience increased competition for the commodity futures and other contracts in which it trades. Superfund Capital Management will recommend similar or identical trades for other accounts under its management. Such competition may also increase due to what Superfund Capital Management believes is an increasing utilization of computerized trading methods similar in general to those used by Superfund Capital Management.
Under the Commodity Exchange Act, commodity exchanges and commodity futures trading are subject to regulation by the CFTC. The NFA, a registered futures association under the Commodity Exchange Act, is the only non-exchange self-regulatory organization for commodity industry professionals. The CFTC has delegated to the NFA responsibility for the registration of “commodity trading advisors,” “commodity pool operators,” “futures commission merchants,” “introducing brokers,” “swap dealers” and their respective associated persons and “floor brokers.” The Commodity Exchange Act requires “commodity pool operators” such as Superfund Capital Management and “commodity brokers,” “futures commission merchants” or “swap dealers” such as the Fund’s commodity brokers and FX counterparties to be registered and to comply with various reporting and recordkeeping requirements. Superfund Capital Management and the Fund’s commodity brokers are members of the NFA. The CFTC may suspend a commodity pool operator’s registration if it finds that its trading practices tend to disrupt orderly market conditions, or as the result of violations of the Commodity Exchange Act or rules and regulations promulgated thereunder. In the event Superfund Capital Management’s registration as a commodity pool operator was terminated or suspended, Superfund Capital Management would be unable to continue to manage its business or the Fund. Should Superfund Capital Management’s registration be suspended, termination of the Fund might result.
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In addition to such registration requirements, the CFTC and certain commodity exchanges have established limits on the maximum net long and net short positions which any person, including the Fund, may hold or control in certain futures contracts. Most exchanges also limit the maximum changes in futures contract prices that may occur during a single trading day. In November 2011, the CFTC adopted a new position limits regime for 28 so-called “exempt” (i.e., metals and energy) and agricultural futures and options contracts and their economically equivalent swap contracts. A U.S. District Court vacated the new position limits regime, but the CFTC proposed a new set of speculative position rules which are not yet finalized or effective. All accounts controlled by Superfund Capital Management, including the accounts of each Series, are combined for speculative position limit purposes. If positions in those accounts were to approach the level of the particular speculative position limit Superfund Capital Management may modify the trading decisions for the Fund or be forced to liquidate certain futures positions, possibly resulting in losses.
The Fund may also trade in dealer markets for forward and swap contracts. In addition, the Fund trades on foreign commodity exchanges, which are not currently subject to substantive regulation by any U.S. government agency. The Dodd-Frank Wall Street Reform and Consumer Protection Act (“Dodd-Frank”) was enacted in July 2010. As a result of rules adopted by the CFTC pursuant to Dodd-Frank, the regulatory landscape affecting the Fund is evolving. For example, Dodd-Frank mandates that certain standardized over-the-counter derivatives be executed in regulated markets and submitted for clearing to regulated clearinghouses. The mandates imposed by the CFTC pursuant to Dodd-Frank may result in the Fund bearing higher upfront and mark-to-market margin, less favorable trade pricing and the possible imposition of new or increased fees, including clearing account maintenance fees.
The Fund itself has no employees. Rather it is operated by Superfund Capital Management. Superfund Capital Management employs approximately seven people on a full-time basis.
Item 1A. Risk Factors.
Not required.
Item 1B. Unresolved Staff Comments.
Not required.
Item 2. Properties.
The Fund does not own or use any physical properties in the conduct of its business. Its assets currently consist of futures and other contracts and cash. Superfund Capital Management’s office is located at Superfund Office Building, P.O. Box 1479, Grand Anse, St. George’s, Grenada, West Indies.
Item 3. Legal Proceedings.
None.
Item 4. Mine Safety Disclosures.
Not applicable.
PART II
Item 5. Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities.
There is no trading market for the Units, and none is likely to develop. Units may be redeemed upon five (5) business days prior notice to Superfund Capital Management at their net asset value as of the last day of the month in which the redemption request is received.
As of February 28, 2016, there were 301 holders of Series A Units and 462 holders of Series B Units.
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Superfund Capital Management has sole discretion in determining what distributions, if any, the Fund will make to its Unitholders. Superfund Capital Management has not made any distributions as of the date hereof and has no present intention to make any.
| (d) | Securities Authorized for Issuance Under Equity Compensation Plans |
None.
| (e) | Recent Sales of Unregistered Securities; Use of Proceeds from Registered Securities |
There have been no sales of unregistered securities of the Fund during 2015 or 2014. A description of the use of proceeds from the sale of registered securities is contained in the Fund’s current Prospectus dated May 1, 2013, included within the Registration Statement on Form S-1 (File No. 333-184998), under “Use of Proceeds” and such description is incorporated herein by reference from the Prospectus.
| (f) | Purchases of Equity Securities by the Issuer and Affiliated Purchasers |
Pursuant to the Fund’s Limited Partnership Agreement, Unitholders may redeem their Units at the end of each calendar month at the then current month-end net asset value per Unit. The redemption of Units has no impact on the value of the Units that remain outstanding, and Units are not reissued once redeemed.
The following tables summarize the redemptions by Unitholders during the fourth calendar quarter of 2015:
Series A:
| | | | | | | | |
Month | | Units
Redeemed | | | Net Asset Value
per Unit ($) | |
October 31, 2015 | | | 181.825 | | | | 1,172.65 | |
November 30, 2015 | | | 64.122 | | | | 1,260.09 | |
December 31, 2015 | | | 189.526 | | | | 1,222.26 | |
| | | | | | | | |
Total | | | 435.473 | | | | | |
| | | | | | | | |
| | |
Series B: | | | | | | | | |
Month | | Units
Redeemed | | | Net Asset Value
per Unit ($) | |
October 31, 2015 | | | 234.553 | | | | 1,303.56 | |
November 30, 2015 | | | 225.314 | | | | 1,454.41 | |
December 31, 2015 | | | 71.588 | | | | 1,392.13 | |
| | | | | | | | |
Total | | | 531.455 | | | | | |
| | | | | | | | |
Item 6. Selected Financial Data.
Not required.
Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations.
Introduction
The Fund commenced the offering of its Units on October 22, 2002. The initial offering terminated on October 31, 2002, and the Fund commenced operations on November 5, 2002. The continuing offering period commenced at the termination of the initial offering period and ended on May 1, 2014. For the year ended December 31, 2015, redemptions totaled $4,420,419 for the Fund as a whole, $1,871,051 in Series A and $2,549,368 in Series B.
Liquidity
Most U.S. commodity exchanges limit fluctuations in futures contracts prices during a single day by regulations referred to as “daily price fluctuation limits” or “daily limits.” During a single trading day, no trades may be executed at prices beyond the daily limit. This may affect the Fund’s ability to initiate new positions or close existing ones or may prevent it from having orders executed. Futures
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prices have occasionally moved the daily limit for several consecutive days with little or no trading. Similar occurrences could prevent the Fund from promptly liquidating unfavorable positions and subject the Fund to substantial losses, which could exceed the margin initially committed to such trades. In addition, even if futures prices have not moved the daily limit, the Fund may not be able to execute futures trades at favorable prices if little trading in such contracts is taking place.
Trading in forward contracts introduces a possible further impact on liquidity. Because such contracts are executed “off exchange” between private parties, the time required to offset or “unwind” these positions may be greater than that for regulated instruments. This potential delay could be exacerbated to the extent a counterparty is not a U.S. person.
Other than these limitations on liquidity, which are inherent in the Fund’s futures and forward trading operations, the Fund’s assets are expected to be highly liquid.
Capital Resources
The Fund will raise additional capital only through the sale of Units offered pursuant to a new offering, if any, and does not intend to raise any capital through borrowings. Due to the nature of the Fund’s business, it will make no capital expenditures and will have no capital assets which are not operating capital or assets.
Results of Operations
2015
Series A:
Net results for the year ended December 31, 2015 were a loss of 4.9% in net asset value compared to the preceding year. In this period, Series A experienced a net decrease in net assets from operations of $428,860. The 2015 results consisted of interest income of $477, trading gains of $229,922 and total expenses of $659,259. Expenses included $166,074 in management fees, $13,466 in operating expenses, $359,079 in selling commissions, $104,897 in brokerage commissions and $15,743 in other expenses. At December 31, 2015 and December 31, 2014, the net asset value per Unit of Series A was $1,222.26 and $1,283.60, respectively.
Series B:
Net results for the year ended December 31, 2015 were a loss of 4.3% in net asset value compared to the preceding year. In this period, Series B experienced a net decrease in net assets from operations of $402,533. The 2015 results consisted of interest income of $906, trading gains of $367,822 and total expenses of $771,261. Expenses included $176,773 in management fees, $14,334 in operating expenses, $382,212 in selling commissions, $176,569 in brokerage commissions and $21,373 in other expenses. At December 31, 2015 and December 31, 2014, the net asset value per Unit of Series B was $1,392.13 and $1,462.68, respectively.
Fund results for the 4th Quarter 2015:
In December, the Fund’s managed futures strategy produced negative results. The Fund’s allocations to currency markets brought negative returns as a decline in value of the Chinese Yuan renewed fears of the reemergence of a protectionist monetary policy. The Fund’s positions in stock indices also yielded negative results as equities markets reacted negatively to the decision by the European Central Bank (“ECB”) to restrict the scale of additional monetary support policies. Positive returns from positions in the energy and grain sectors helped to limit the Fund’s overall negative returns.
In November, the Fund’s managed futures strategy yielded strong positive returns, as weak manufacturing data from China continued to hurt commodity prices. The Fund’s positions in the metals sector produced strong gains, led by the Fund’s short copper positions. The Fund’s allocations to energies markets also recorded strong returns, particularly the Fund’s short natural gas positions. The Fund’s positions in currencies and grains markets also produced positive returns in November. Uncertainty in the bond markets due to speculation on interest rate movements led to negative performance for the Fund’s positions in bonds.
In October, the Fund’s managed futures strategy produced positive overall returns, as investors were reassured by continued accommodative monetary policies in Europe and Japan. The Fund’s positions in energies markets produced strong gains, led by positions in natural gas. The Fund’s allocations to indices and bonds also resulted in positive performance. The Fund’s positions in agriculture yielded negative returns in October, partially offsetting the Fund’s gains in other sectors.
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Fund results for the 3rd Quarter 2015:
In September, the Fund’s managed futures strategy produced slightly negative results. The Fund’s positions in equity indices yielded negative returns amid concerns over a global growth decline. The Fund’s allocations to grain, metals and agricultural markets also produced overall negative performance, as prices lagged with the decline in global growth. The Fund’s positions in the energy and bonds sector performed positively for the month, helping to partially offset the negative performance from the Fund’s positions in equity indices.
In August, the Fund’s managed futures strategy yielded negative results. The decline in performance was primarily due to the Fund’s positions in equity indices, as global stock markets were turbulent amid uncertainties in the Chinese economy. The Fund’s positions in TSE Topix and Osaka Nikkei225 contributed the most to these losses. The Fund’s disappointing performance was also attributable to the Fund’s allocation to European bonds, as the Fund was not able to capitalize on intra-month market swings. The Fund’s long positions in U.S. bonds yielded positive results, as investors bet on fears that the U.S. Federal Reserve (the “Fed”) would scale back on an interest rate hike.
In July, the Fund’s managed futures strategy produced positive returns. The Fund’s positions in metals, particularly copper, produced strong gains as the market experienced volatility resulting from decreasing demand from China. The Fund’s positions in the bond, currency, equities and energy sectors also produced positive performance in July. With positions in CBOT wheat contributing the most, the Fund’s allocations to the grains and agricultural markets yielded negative returns.
Fund results for 2nd Quarter 2015:
In April, the Fund’s managed futures strategy produced negative results. This performance was partly attributable to the Fund’s long bond positions, as continued issues between Greece and its creditors, the Bank of England’s continued policy of low interest rates, and the uncertainty of a U.S. interest rate hike led to large scale sell-offs and falling bond prices. Also contributing to the Fund’s negative return was its long positions in CME Live Cattle, as prices dropped in mid-April due to a lower than expected demand in beef. The Fund’s allocation to the energy sector produced positive results, with long positions in NYMEX Crude Oil benefitting from bullish oil prices. The Fund’s allocation to indices also yielded favorable returns as the Nasdaq reached a fifteen-year high.
In May, the Fund’s managed futures strategy yielded slightly negative returns. The Fund’s positions in the bond sector produced losses on news of increased purchasing by the ECB and increased speculation that Greece would not be able to make future payments to its creditors. Gains from the Fund’s allocation to indices, specifically positions in Topix Index and Osaka Nikkei 225, helped to counter these losses. The Fund’s positions in currency, agriculture and metals markets also produced gains for the month.
In June, the Fund’s managed futures strategy produced a negative return as global indices reacted negatively to continued unsuccessful debt negotiations between Greece and its creditors, culminating with Greece defaulting on its IMF repayment at the end of the month. The Fund’s short positions on the TSE Topix lost ground with the index rising to an eight-year high as Japan looked to re-inflate its economy. The Fund’s allocation to the bond market also produced negative results as German Bunds and UK Gilts yields rose amidst failed negotiations over Greek debt. In addition, the Fund’s positions in commodity and metal markets produced overall negative results, despite gains from positions in soybeans, wheat and aluminum.
Fund results for 1st Quarter 2015:
In March, the Fund’s managed futures strategy produced flat results, with a negative return of 0.14% for Series A and 0.03% for Series B. The Fund’s long positions in cattle and short positions in soybean oil and sugar all produced positive returns. These gains were offset by losses resulting from the Fund’s long positions in indices, as the Nasdaq fell on speculation of increased interest rates by the Fed and a sell-off of biotech and technology stocks. The Fund’s long positions in Canadian bonds also produced negative results, as the Bank of Canada announced that it was maintaining its overnight rate targets.
In February, the Fund’s managed futures strategy produced positive results, primarily on its long positions in indices. In the U.S., the Nasdaq reached its highest level since March 2000. In Japan, both the Tokyo Stock Price Index and the Nikkei 225 both produced substantial gains in March. The Fund’s gains in indices where offset slightly by the Fund’s allocations to the energy sector, as the Fund’s short positions in oil lost ground. The Fund’s allocations to the metals markets also yielded negative returns.
In January, the Fund’s managed futures strategy yielded strong positive results. The Fund’s allocations to the bonds sector brought positive returns as the Bank of Canada lowered its overnight rate to counteract the effect of dropping oil prices on growth. The Fund’s positions in the Canadian dollar also performed positively as Canadian GDP figures contracted while the U.S. dollar strengthened on U.S. jobless claims. The Fund’s allocations to the agricultural sector produced negative results in January as hog futures fell on declining demand and cattle futures hit the lowest level since June 2014.
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2014
Series A:
Net results for the year ended December 31, 2014 were a gain of 5.6% in net asset value compared to the preceding year. In this period, Series A experienced a net increase in net assets from operations of $536,088. The 2014 results consisted of interest income of $966, other income of $4, trading gains of $1,467,808 and total expenses of $932,690. Expenses included $211,874 in management fees, $31,599 in ongoing offering expenses, $17,180 in operating expenses, $458,107 in selling commissions, $206,378 in brokerage commissions and $7,552 in other expenses. At December 31, 2014 and December 31, 2013, the net asset value per Unit of Series A was $1,283.60 and $1,215.27, respectively.
Series B:
Net results for the year ended December 31, 2014 were a gain of 12.4% in net asset value compared to the preceding year. In this period, Series B experienced a net increase in net assets from operations of $1,252,679. The 2014 results consisted of interest income of $1,573, other income of $12, trading gains of $2,363,409 and total expenses of $1,112,315. Expenses included $229,510 in management fees, $35,210 in ongoing offering expenses, $18,610 in operating expenses, $496,236 in selling commissions, $321,526 in brokerage commissions and $11,223 in other expenses. At December 31, 2014 and December 31, 2013, the net asset value per Unit of Series B was $1,462.68 and $1,300.97, respectively.
Fund results for the 4th Quarter 2014:
In December, the Fund’s managed futures strategy produced negative returns with losses attributable to the energy, stock index and agricultural sectors. The Fund’s long positions in cattle futures lost ground as the market fell consecutive days in the middle of the month, prompting the Chicago Mercantile Exchange (“CME”) to expand daily limits. The Fund’s allocations to U.S. stock indices underperformed as the U.S. markets remained volatile. The Fund’s long positions in Japanese bonds produced favorable results as the Japanese yen fell to a seven year low versus the U.S. dollar.
In November, the Fund’s managed futures strategy produced strong positive results based largely on the Fund’s positions in the stock index, bond and currency markets. Long positions in EUREX indices gained amid lingering prospects of further stimulus measures from the European Central Bank (“ECB”). Long positions in U.S. stock indices also produced positive results as the Standard & Poor’s 500 (“S&P500”) climbed to new highs on reported economic growth of 3.9%. The Fund yielded favorable returns from long Nikkei positions as industrial output and retail sales rose 0.2% and 1.4% respectively.
In October, the Fund’s managed futures strategy yielded negative results with losses primarily attributable to its allocations to the stock index, metals and grains markets. The Fund’s long positions in U.S. stock indices underperformed early in the month as the S&P500 erased its gains for the year. Short corn futures also lost ground as prices increased as poor weather conditions in the U.S. delayed the harvest. The Fund’s allocations to the bond sectors helped to minimize these losses, as long positions on Japanese bonds yielded positive results with the U.S. dollar strengthening against the Japanese yen. The Fund’s short crude positions also produced positive results as Saudi Arabia cut export prices to stimulate demand.
Fund results for the 3rd Quarter 2014:
In September, the Fund’s managed futures strategy produced positive returns based primarily on the Fund’s allocations to the currencies, metals and grains markets. The U.S. dollar strengthened to highest level in almost four years as a result of the continued expansion of the U.S. economy. The Fund benefitted from short positions in the Japanese yen and in COMEX gold as both slid throughout the month. The Fund’s long positions in U.S. stock indices produced negative results. These losses were partially offset by the Fund’s long positions in the Tokyo Stock Price Index as increased demand for Japanese exports fuelled Japanese equity markets. The Fund’s short positions in corn futures produced positive returns as the market traced on larger than expected inventories.
In August, the Fund’s managed futures strategy produced strong positive results mainly due to the Fund’s long positions in the bonds and indices markets. The German bund rose throughout the month as German 10-year yields dropped due to inflation. The Fund’s long positions in U.S. stock indices produced positive returns as the S&P500 reached all-time highs after rebounding from an eight week low. The Fund’s allocations to the metals market produced slightly negative results as tensions seemed to ease in the Ukraine. The Fund’s long positions in natural gas gained as hotter weather increased demand.
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In July, the Fund’s managed futures strategy produced negative results with losses primarily attributable to the metal, stock index and energy markets. The Fund’s long positions in U.S. stock indices yielded negative returns as the S&P500 declined over two percent in a single day, marking the largest decline in the index since 2012. The Fund’s long positions in gold also produced negative returns as speculators continued to offload gold on concerns that the U.S. Federal Reserve (the “Fed”) may increase interest rates in a bid to fight inflation. The Fund’s short positions in the grains market were favorable, with projected yields for corn expected to reach record levels. The Fund’s long positions in the energy market also produced negative returns as crude oil prices dropped to three month lows.
Fund results for 2nd Quarter 2014:
In June, the Fund’s managed futures strategy yielded slightly negative results as positions in the bond and metal markets suffered. The Fund’s short positions in COMEX gold lost ground as gold gained amid concerns regarding rising violence in Iraq. The Fund’s allocations to the energy, agricultural and equity markets all produced positive results, helping to partially offset the losses from the Fund’s bond and metal positions. The Fund’s long crude oil positions gained as violence in Iraq escalated, threatening the output of the Organization of the Petroleum Exporting Countries’ second largest producer. The Fund’s short positions in corn and soybeans gained as corn dropped to a five-month low and soybean experienced its biggest slump in five years as U.S. Department of Agriculture (“USDA”) reports showed farmers will plant record acreage. The Fund’s long E-mini S&P500 positions gained as the index continued to break record highs with its sixth straight quarterly gain.
In May, the Fund’s managed futures strategy produced strong positive performance, mainly due to allocations to the bond, stock index and metal markets. The Fund’s long positions in the CME S&P500 yielded positive returns as the index continued to break all-time highs as manufacturing indices indicated that economic growth would rebound in the second quarter. The Fund’s short positions in COMEX gold and silver also produced strong results as strong U.S. economic data eroded the metal’s “safe-haven” appeal. The Fund’s allocations to currencies produced negative results in May. The Euro tumbled from an almost 2.5-year high as ECB President Mario Draghi said that it would be open to taking further measures to support the Euro-zone economy. The ECB signal of a potential interest-rate cut has also weighed on the Euro.
In April, the Fund’s managed futures strategy produced negative results, with long positions in U.S. stock indices suffering as the S&P500 retraced from record highs. The Fund’s long positions in U.S. ten-year treasury notes also yielded negative returns. These losses were partially offset by positive performance from the Fund’s long Euro-bund positions. The Fund’s short positions in natural gas and crude oil produced negative results in April as tensions and political crisis in the Ukraine remained high and rising fears that any full-scale armed conflict in the region would disrupt supplies and send oil and gas prices higher. The Fund’s short positions in COMEX gold and silver remained flat as the improving U.S. and European economies helped to pressure gold prices.
Fund results for 1st Quarter 2014:
In March, the Fund’s managed futures strategy underperformed. The Fund’s bond positions negatively impacted performance as treasuries fell amid hints from the U.S. government of rate increases in 2015. The Fund’s allocations to energy markets also posted losses, as crude fell modestly due to tensions in Ukraine and a drop in Libyan oil production. The Fund’s positions in the metals, grains and agricultural markets, however, yielded positive returns, helping to offset the losses in other sectors. Among these markets, the Fund’s short positions in London Metal Exchange (“LME”) copper profited on concerns that the rising debt in China will curb copper demand. The fund also benefited from long positions soybean meal and cocoa gained amid poor weather conditions in Brazil.
In February, the Fund’s managed futures strategy yielded positive returns in all market groups except for metals, currencies and money markets. The Fund’s positions in bonds sector produced positive results as U.S. stocks rallied amid earnings and jobless claims, while German bonds fell as the ECB left interest rates unchanged and refrained from additional stimulus. The Fund’s short positions in silver and gold negatively affected performance as gold made experienced its largest monthly gain since July 2013 after investors and speculators chased prices higher on concerns about the pace of the U.S. economic recovery. The Fund’s long positions in crude oil and natural gas yielded profits as the markets continued to climb as cold weather demand pushed prices up in the first three weeks of the month.
In January, the Fund’s managed futures strategy produced negative results as positions in the indices and energy sectors underperformed. The Fund’s crude oil positions yielded losses amid speculation that the Fed would curb stimulus measures further following signs of improvement in the U.S. economy. The Fund’s positions in natural gas helped to minimize losses in the energies sector as it rallied throughout the second half of January due to a reported decrease in inventories to its lowest level in almost four years.
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The Fund’s positions in the metals markets performed poorly as gold and silver continued to rise on increased demand in Asia. The Fund’s allocations to indices also performed negatively as U.S. indices suffered the largest losses since 2012 on fears over emerging markets resulted in significant selloffs.
Off-Balance Sheet Risk
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. The Fund trades in futures and forward contracts and is therefore a party to financial instruments with elements of off-balance sheet market and credit risk. 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 positions of the Fund at the same time, and if Superfund Capital Management was unable to offset such positions, the Fund could experience substantial losses. Superfund Capital Management attempts to minimize market risk through real-time monitoring of open positions, diversification of the portfolio and maintenance of a margin-to-equity ratio in all but extreme instances not greater than 50%.
In addition to market risk, in entering into futures and forward contracts, there is a credit risk that a counterparty will not be able to meet its obligations to the Fund. The counterparty for futures contracts traded in the U.S. and on most foreign exchanges is the clearinghouse associated with such exchange. In general, clearinghouses are backed by the corporate members of the clearinghouse who are required to share any financial burden resulting from the non-performance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearinghouse is not backed by the clearing members, like some foreign exchanges, it is normally backed by a consortium of banks or other financial institutions.
Off-Balance Sheet Arrangements
The Fund does not engage in off-balance sheet arrangements with other entities.
Contractual Obligations
The Fund does not enter into contractual obligations or commercial commitments to make future payments of a type that would be typical for an operating company. The Fund’s sole business is trading futures, currency, forward and certain swap contracts, both long (contracts to buy) and short (contracts to sell). All such contracts are settled by offset, not delivery. Substantially all such contracts are for settlement within four months of the trade date and substantially all such contracts are held by the Fund for less than four months before being offset or rolled over into new contracts with similar maturities. The financial statements of Series A and Series B each present a Condensed Schedule of Investments setting forth net unrealized appreciation (depreciation) of such Series’ open forward contracts as well as the fair value of the futures contracts purchased and sold by each Series at December 31, 2015 and December 31, 2014.
Use of Estimates
The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Management assesses the levels of the investments at each measurement date and has determined that there are no significant estimates.
Critical Accounting Policies – Valuation of the Fund’s Positions
Superfund Capital Management believes that the accounting policies that are most critical to the Fund’s financial condition and results of operations relate to the valuation of the Fund’s positions. The majority of the Fund’s positions are exchange-traded futures contracts, which are valued daily at settlement prices published by the exchanges. Any forward foreign currency contracts held by the Fund are valued at published daily settlement prices or at dealers’ quotes. Thus, Superfund Capital Management expects that under normal circumstances substantially all of the Fund’s assets are valued on a daily basis using objective measures.
Recently Adopted Accounting Pronouncements
ASU 2013-08
In June 2013, FASB issued Accounting Standards Update (“ASU”) No. 2013-08,Amendments to the Scope, Measurement, and Disclosure Requirements (“ASU 2013-08”). ASU 2013-08 contains new guidance regarding the approach to investment company assessment, requires non-controlling ownership interests in other investment companies to be measured at fair value and requires
10
additional disclosures about the investment company’s status as an investment company and information required to be provided to any of its investees. The amendments in the update are effective for interim and annual reporting periods in fiscal years that begin after December 15, 2013. The adoption of the provisions of ASU 2013-08 has not had a material impact on the Fund’s financial statement disclosures.
Recently Issued Accounting Pronouncements
ASU 2015-14
In August 2015, FASB issued ASUNo. 2015-14,Revenue from Contracts with Customers (Topic 606) – Deferral of Effective Date(“ASU 2015-14”), which defers the effective date of ASUNo. 2014-09,Revenue from Contracts with Customers (Topic 606)(“ASU 2014-09”). The amendments inASU 2014-09 affect any entity that enters into contracts with customers to transfer goods or services or enters into contracts for the transfer of nonfinancial assets unless those contracts are within the scope of other standards. The guidance is effective for annual reporting periods beginning after December 15, 2017. Superfund Capital Management is evaluating the impact ofASU 2015-14 on the financial statements and disclosures.
Item 7A. Quantitative and Qualitative Disclosures about Market Risk.
Not required.
Item 8. Financial Statements and Supplementary Data.
Financial statements appear beginning on page 17 of this report. Supplementary data is not required.
Item 9. Changes in and Disagreements with Accountants on Accounting and Financial Disclosure.
None.
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 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 with respect to each Series individually, as well as the Fund as a whole, as of the end of each fiscal year, and to include in all annual reports a management report assessing the effectiveness of its internal control over financial reporting as defined in Rules 13a-15(f) and 15d-15(f) under the Securities Exchange Act. There were no changes in Superfund Capital Management’s internal control over financial reporting during the quarter-ended December 31, 2015 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 U.S. GAAP. 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 U.S. GAAP, 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. |
11
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, 2015. In making this assessment, management used the criteria set forth by the Committee of Sponsoring Organizations of the Treadway Commission in Internal Control — Integrated Framework in 2013. Based on its assessment, management has concluded that, as of December 31, 2015, 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.
The Rule 13a-14(a)/15d-14(a) Certification of Principal Executive Officer, Rule 13a-14(a)/15d-14(a) Certification of Principal Financial Officer, Section 1350 Certification of Principal Executive Officer and Section 1350 Certification of Principal Financial Officer, Exhibit 31.01, Exhibit 31.02, Exhibit 32.01 and Exhibit 32.02 hereto, respectively, are applicable with respect to each Series individually, as well as to the Fund as a whole.
Item 9B. Other Information.
There was no information required to be disclosed in a report on Form 8-K during the fourth quarter of 2015 that was not reported on Form 8-K.
PART III
Item 10. Directors, Executive Officers and Corporate Governance.
Identification of Directors and Executive Officers
The Fund has no directors or executive officers. The Fund has no employees. It is managed by Superfund Capital Management in its capacity as general partner. Superfund Capital Management has been registered with the CFTC as a commodity pool operator since May 2001. Its main business address is Superfund Office Building, P.O. Box 1479, Grand Anse, St. George’s, Grenada, West Indies, (473) 439-2418. Superfund Capital Management’s directors and executive officers are as follows:
NIGEL JAMES, age 35, was appointed as President of Superfund Capital Management on July 13, 2006, and was listed as a principal and registered as an associated person with Superfund Capital Management on November 28, 2006 and May 23, 2007, respectively. Mr. James has been an employee of various members of the Superfund group of affiliated companies since July 2003 when he became a software developer for Superfund Trading Management, Inc., an affiliate of Superfund Capital Management that acts as a commodity trading advisor to non-U.S. funds. In May 2005, he was promoted to the role of Intellectual Technology Project Manager for Superfund Trading Management, Inc. where he managed a team focused on conceptual analysis and design of trading software. Mr. James graduated from the University of the West Indies in Barbados with a Bachelor’s Degree in Computer Science and Management in May 2003 and began his employment in July 2003. Mr. James is a citizen of Grenada.
MARTIN SCHNEIDER, age 49, was appointed Vice President, Principal Financial Officer, Principal Accounting Officer and sole Director of Superfund Capital Management on July 28, 2010. Mr. Schneider was listed as a principal of Superfund Capital Management on August 19, 2010. From May 1997 to June 2001, Mr. Schneider served as Sales Director for Nike, Inc., an international retailer, in the company’s European divisions. From July 2001 to July 2002, Mr. Schneider held the position of Commercial Director for FC Tirol Innsbruck, a former Austrian football club. In this position, Mr. Schneider was responsible for the promotional activities of the organization. Mr. Schneider spent August 2002 preparing for his transition to the Superfund group of financial companies. From September 2002 to March 2005, Mr. Schneider functioned as the sports marketing director for Quadriga Asset Management GmbH, a financial services company, and as the Executive Vice President of the successor company, Superfund Marketing and Sports Sponsoring Inc., a marketing services company. In April 2005, Mr. Schneider assumed the role of Operating Manager for Superfund Group Monaco, a financial services company, a position he held until his appointment to Superfund Capital Management in June 2010. In the position of Operating Manager, Mr. Schneider conducted internal operational and financial audits of members of the Superfund group of affiliated financial companies. Mr. Schneider is a graduate of TGM Technical School in Vienna, Austria, with a degree in mechanical engineering. Mr. Schneider is a citizen of Austria.
CHRISTIAN BAHA, age 47, is Superfund Capital Management’s founder and ultimate sole owner. By December 1991, Mr. Baha began working independently to develop software for the technical analysis of financial data in Austria. In January 1995, Mr. Baha
12
founded the first members of the Superfund group of affiliated companies specializing in managed futures funds and began to develop a worldwide distribution network. With profit sharing rights certificates, Mr. Baha launched an alternative investment vehicle for private investors. Launched on March 8, 1996, this product is called the Superfund Unternehmens-Beteiligungs-Aktiengesellschaft (Superfund Q-AG), and was formerly known as Quadriga Beteiligungs & Vermögens AG (Quadriga AG). In March 2003, a new generation of managed futures funds was internationally launched under the brand name “Superfund” and previously existing products have since been re-branded under this name. Simultaneously with the development of the Quadriga/Superfund group of affiliated companies, Mr. Baha founded the software company TeleTrader AG, which has been listed on the Vienna Stock Exchange since March 2001. He was listed as a principal of Superfund Advisors, Inc., a CFTC registered commodity pool operator, on November 20, 2009, however, such listing was withdrawn as of November 26, 2011. He was registered as an associated person and listed as a principal of Superfund Asset Management, Inc., a CFTC registered introducing broker, effective as of July 23, 1999 and June 24, 1997, respectively, until it withdrew its registration on July 12, 2012. He was registered as an associated person and listed as a principal of Superfund Asset Management LLC, a CFTC registered introducing broker, positions which he has held since June 11, 2012 and April 26, 2012. He has also been listed as a principal of Superfund Capital Management from May 9, 2001 until it withdrew its registration on September 19, 2013. He was registered as an associated person of Superfund Capital Management on May 9, 2001 as well, however, such registration was subsequently withdrawn on February 17, 2009. Mr. Baha is listed as a principal of Superfund Capital Management because he indirectly, through holding companies, owns 100% its equity securities. Mr. Baha was also listed as a principal of Superfund USA, Inc., a former broker dealer that was previously registered as a commodity pool operator with the CFTC from August 14, 2009 through September 4, 2010, from August 13, 2009 through September 4, 2010 because he is the sole owner of the foregoing entity. He is a graduate of the police academy in Vienna, Austria and studied at the Business University of Vienna, Austria. Mr. Baha is a citizen of Austria.
Identification of Certain Significant Employees
None.
Family Relationships
None.
Business Experience
See “Identification of Directors and Executive Officers,” above.
Involvement in Certain Legal Proceedings
There has never been a material administrative, civil or criminal order, judgment, decree or finding against Superfund Capital Management or any of its directors, executive officers, promoters or control persons.
Code of Ethics
The Fund has no employees, officers or directors and is managed by Superfund Capital Management. Superfund Capital Management has adopted a code of ethics that applies to its principal executive officer, principal financial officer and its principal accounting officer. A copy of the code of ethics may be obtained at no charge by written request to the corporate secretary of Superfund Capital Management, Superfund Office Building, P.O. Box 1479, Grand Anse, St. George’s, Grenada, West Indies.
Board of Director Nominees
Not applicable.
Audit Committee Financial Expert
The Board of Directors of Superfund Capital Management, in its capacity as the audit committee for the Fund, has determined that Roman Gregorig qualifies as an “audit committee financial expert” in accordance with the applicable rules and regulations for the SEC. He is not independent of management.
Item 11. Executive Compensation.
The Fund has no employees, officers or directors and is managed by Superfund Capital Management. None of the directors or officers of Superfund Capital Management receive compensation from the Fund. Superfund Capital Management receives a monthly management fee of one-twelfth of 1.85% of month-end net assets (1.85% per annum) and a monthly fee of 25% of the aggregate cumulative appreciation (if any) in net asset value per Unit at the end of each month, exclusive of appreciation attributable to interest
13
income. In addition, Superfund Brokerage Services, Inc., an affiliate of Superfund Capital Management, serves as the introducing broker for the Fund’s futures transactions and receives a portion of the brokerage commissions paid by the Fund in connection with its futures trading. An annual selling commission will be paid to Superfund USA, LLC (“Superfund USA”), an affiliate of Superfund Capital Management. The Units pay a commission of 4% of the month-end net asset value per Unit (1/12 of 4% per month); provided, however, the maximum cumulative selling commission per Unit sold pursuant to the Prospectus is 10% of the initial public offering price for such Unit. Each Series and Superfund USA were permitted to retain additional selling agents to assist with the placement of the Units. Units are no longer available for sale to the public. Superfund USA will pay all or a portion of the selling commission described above which it receives in respect of the Units sold by any additional selling agents to the additional selling agents that effected the sales.
Item 12. Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters.
Securities Authorized for Issuance Under Equity Compensation Plans
None.
Security Ownership of Certain Beneficial Owners
All of the Fund’s general partner interest is held by Superfund Capital Management.
Security Ownership of Management
As of February 28, 2016, no Units were owned or held by officers of Superfund Capital Management. As of December 31, 2015, Superfund Capital Management owned 178.298 Units of Series A (non-voting), representing 2.77% of the total issued Units of Series A, and 204.874 Units of Series B (non-voting), representing 3.53% of the total issued Units of Series B, having a combined value of $505,377. Gains allocated to Units of Series A and Series B owned by Superfund Capital Management were $34,698 for the year ended December 31, 2015. Selling commissions over the 10% threshold in the amount of $11,695 were rebated to Superfund Capital Management during this period through the purchase of 8.087 Units of Series B. See Note 6 of the audited financial statements. Superfund Capital Management did not make any other contributions to either Series during this period. Superfund Capital Management’s ownership of Units of Series A and Series B is included in the overall changes in capital activity reported in the Statements of Changes in Net Assets. Christian Baha is the ultimate beneficial holder of all of the equity of Superfund Capital Management.
Changes in Control
None.
Item 13. Certain Relationships And Related Transactions and Director Independence.
See “Item 10 Directors, Executive Officers and Corporate Governance,” “Item 11 Executive Compensation” and “Item 12 Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters.” In 2015, the Series A management fees totaled $166,074, the Series A selling commissions totaled $359,079 and the Series A brokerage commissions totaled $104,897. In 2015, the Series B management fees totaled $176,773, the Series B selling commissions totaled $382,212 and the Series B brokerage commissions totaled $176,569. In 2014, the Series A management fees totaled $211,874, the Series A selling commissions totaled $458,107 and the Series A brokerage commissions totaled $206,378. In 2014, the Series B management fees totaled $229,510, the Series B selling commissions totaled $496,236 and the Series B brokerage commissions totaled $321,526.
Item 14. Principal Accounting Fees And Services.
Audit Fees
The aggregate fees billed for professional services rendered by RSM US LLP in connection with its audit of the Fund’s financial statements, reviews of the financial statements included in the quarterly reports on Form 10-Q and other services normally provided in connection with statutory and regulatory filings or engagements for the years ended December 31, 2015 and December 31, 2014, were approximately $94,000 and $84,500, respectively.
Audit-Related Fees
There were no audit-related fees for services rendered by RSM US LLP for the years ended December 31, 2015 and December 31, 2014.
14
Tax Fees
There were no fees for tax compliance, tax advice or tax planning rendered by RSM US LLP for the years ended December 31, 2015 and December 31, 2014.
All Other Fees
There were no other fees for products or services provided by RSM US LLP for the years ended December 31, 2015 and December 31, 2014.
Pre-Approval Policies
The Board of Directors and Audit Committee of Superfund Capital Management approved all of the services described above. The Board of Directors and Audit Committee have determined that the payments made to its independent accountants for these services are compatible with maintaining such auditors’ independence. The Board of Directors pre-approves all audit and non-audit services and all engagement fees and terms.
PART IV
Item 15.Exhibits, Financial Statement Schedules.
| | (a) | The Following documents are filed as part of this report: |
| | (1) | Financial Statements beginning on page 17 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 |
| |
| 31.01 | | Rule 13a-14(a)/15d-14(a) Certification of Principal Executive Officer |
| |
| 31.02 | | Rule 13a-14(a)/15d-14(a) Certification of Principal Financial Officer |
| |
| 32.01 | | Section 1350 Certification of Principal Executive Officer |
| |
| 32.02 | | Section 1350 Certification of Principal Financial Officer |
| |
| 101.INS | | XBRL Instance Document |
| |
| 101.SCH | | XBRL Taxonomy Extension Schema Document |
| |
| 101.CAL | | XBRL Taxonomy Extension Calculation Linkbase Document |
| |
| 101.DEF | | XBRL Taxonomy Extension Definition Linkbase Document |
| |
| 101.LAB | | XBRL Taxonomy Extension Labe Linkbase Document |
| |
| 101.PRE | | XBRL Taxonomy Extension Presentation Linkbase Document |
The following exhibits are incorporated by reference herein from the exhibit of the same description and number filed on April 12, 2013, with Amendment No. 1 to Superfund Green, L.P.’s Registration Statement on Form S-1 (File No. 333-184998).
| | |
| |
| 3.01 | | Form of Sixth Amended and Restated Limited Partnership Agreement of Superfund Green, L.P. |
| |
| 10.02 | | Form of Subscription Agreement |
The following exhibit is incorporated by reference herein from the exhibit 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. |
15
EXHIBIT 13.01
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Partners of Superfund Green, L.P. - Series A and Superfund Green, L.P. - Series B:
We have audited the accompanying statements of assets and liabilities of Superfund Green, L.P., Superfund Green, L.P. - Series A and Superfund Green, L.P. - Series B (collectively the “Funds”), including the condensed schedules of investments as of December 31, 2015 and 2014, and the related statements of operations, changes in net assets, and cash flows for the years then ended. These financial statements are the responsibility of the Funds’ 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 Funds are 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 Funds’ 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 Superfund Green, L.P., Superfund Green, L.P. - Series A and Superfund Green, L.P. - Series B as of December 31, 2015 and 2014, and the results of their operations and their cash flows for the years then ended, in conformity with accounting principles generally accepted in the United States of America.
/S/ RSM US LLP
Chicago, Illinois
March 30, 2016
16
SUPERFUND GREEN, L.P.
STATEMENTS OF ASSETS AND LIABILITIES
As of December 31, 2015 and December 31, 2014
| | | | | | | | |
| | | December 31, 2015 | | | December 31, 2014 | |
ASSETS | | | | | | | | |
Due from brokers | | $ | 6,518,057 | | | $ | 8,221,595 | |
Unrealized gain on futures contracts purchased | | | 492,943 | | | | 927,412 | |
Unrealized gain on futures contracts sold | | | 763,283 | | | | 627,584 | |
Cash | | | 9,619,391 | | | | 12,702,894 | |
| | | | | | | | |
Total assets | | | 17,393,674 | | | | 22,479,485 | |
| | | | | | | | |
LIABILITIES | | | | | | | | |
Unrealized loss on futures contracts purchased | | | 409,599 | | | | 681,201 | |
Unrealized loss on futures contracts sold | | | 676,201 | | | | 154,403 | |
Redemptions payable | | | 331,265 | | | | 991,842 | |
Management fees payable | | | 25,212 | | | | 33,459 | |
Fees payable | | | 10,657 | | | | 16,069 | |
| | | | | | | | |
Total liabilities | | | 1,452,934 | | | | 1,876,974 | |
| | | | | | | | |
NET ASSETS | | $ | 15,940,740 | | | $ | 20,602,511 | |
| | | | | | | | |
See accompanying notes to financial statements.
17
SUPERFUND GREEN, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
as of December 31, 2015
| | | | | | | | |
| | | Percentage of Net Assets | | | Fair Value | |
Futures Contracts Purchased | | | | | | | | |
Currency | | | (0.3 | )% | | $ | (47,858 | ) |
Energy | | | 0.2 | | | | 30,576 | |
Financial | | | 0.5 | | | | 74,365 | |
Food & Fiber | | | (0.7 | ) | | | (112,208 | ) |
Indices | | | 0.6 | | | | 98,500 | |
Livestock | | | 0.1 | | | | 17,990 | |
Metals | | | 0.1 | | | | 21,979 | |
| | | | | | | | |
Total futures contracts purchased | | | 0.6 | | | | 83,344 | |
| | | | | | | | |
Futures Contracts Sold | | | | | | | | |
Currency | | | (0.3 | ) | | | (51,265 | ) |
Energy | | | 0.5 | | | | 84,392 | |
Financial | | | (0.2 | ) | | | (34,788 | ) |
Food & Fiber | | | 0.9 | | | | 142,350 | |
Indices | | | 0.5 | | | | 78,026 | |
Livestock | | | (0.1 | ) | | | (20,560 | ) |
Metals | | | (0.7 | ) | | | (111,073 | ) |
| | | | | | | | |
Total futures contracts sold | | | 0.6 | | | | 87,082 | |
| | | | | | | | |
Total futures contracts, at fair value | | | 1.1 | % | | $ | 170,426 | |
| | | | | | | | |
Futures and Forward Contracts by Country Composition | | | | | | | | |
Australia | | | 0.1 | % | | $ | 15,095 | |
Canada | | | 0.3 | | | | 47,097 | |
European Monetary Union | | | 0.1 | | | | 18,363 | |
Great Britain | | | (0.3 | ) | | | (48,659 | ) |
Japan | | | 0.6 | | | | 88,051 | |
United States | | | 0.1 | | | | 14,103 | |
Other | | | 0.2 | | | | 36,376 | |
| | | | | | | | |
Total futures and forward contracts by country composition | | | 1.1 | % | | $ | 170,426 | |
| | | | | | | | |
See accompanying notes to financial statements.
18
SUPERFUND GREEN, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
as of December 31, 2014
| | | | | | | | |
| | | Percentage of Net Assets | | | Fair Value | |
Futures Contracts Purchased | | | | | | | | |
Currency | | | 0.0 | **% | | $ | 2,110 | |
Energy | | | (0.7 | ) | | | (160,231 | ) |
Financial | | | 2.3 | * | | | 491,037 | |
Food & Fiber | | | (0.2 | ) | | | (52,786 | ) |
Indices | | | 1.4 | * | | | 294,340 | |
Livestock | | | (1.0 | )* | | | (210,110 | ) |
Metals | | | (0.5 | ) | | | (118,149 | ) |
| | | | | | | | |
Total futures contracts purchased | | | 1.3 | | | | 246,211 | |
| | | | | | | | |
Futures Contracts Sold | | | | | | | | |
Currency | | | 0.4 | | | | 79,639 | |
Energy | | | 1.0 | * | | | 217,842 | |
Financial | | | (0.1 | ) | | | (12,202 | ) |
Food & Fiber | | | 0.3 | | | | 74,642 | |
Indices | | | (0.5 | ) | | | (101,301 | ) |
Metals | | | 1.0 | * | | | 214,561 | |
| | | | | | | | |
Total futures contracts sold | | | 2.1 | | | | 473,181 | |
| | | | | | | | |
Total futures contracts, at fair value | | | 3.4 | % | | $ | 719,392 | |
| | | | | | | | |
Futures and Forward Contracts by Country Composition | | | | | | | | |
Australia | | | 0.2 | % | | $ | 44,422 | |
Canada | | | 0.4 | | | | 90,868 | |
European Monetary Union | | | 0.0 | ** | | | 353 | |
Great Britain | | | 0.4 | | | | 77,698 | |
Japan | | | 0.9 | | | | 188,896 | |
United States | | | 0.3 | | | | 74,579 | |
Other | | | 1.1 | * | | | 242,576 | |
| | | | | | | | |
Total futures and forward contracts by country composition | | | 3.3 | % | | $ | 719,392 | |
| | | | | | | | |
| * | No individual contract position constituted one percent or greater of net assets. Accordingly, the number of contracts and expiration dates are not presented. |
| ** | Due to rounding – amount is less than 0.05% |
See accompanying notes to financial statements.
19
SUPERFUND GREEN, L.P.
STATEMENTS OF OPERATIONS
Years Ended December 31, 2015 and December 31, 2014
| | | | | | | | |
| | | 2015 | | | 2014 | |
Investment Income | | | | | | | | |
Interest income | | $ | 1,383 | | | $ | 2,539 | |
Other income | | | — | | | | 16 | |
| | | | | | | | |
Total investment income | | | 1,383 | | | | 2,555 | |
| | | | | | | | |
Expenses | | | | | | | | |
Selling commission | | | 741,291 | | | | 954,343 | |
Brokerage commissions | | | 281,466 | | | | 527,904 | |
Management fee | | | 342,847 | | | | 441,384 | |
Ongoing offering expenses | | | — | | | | 66,809 | |
Operating expenses | | | 27,800 | | | | 35,790 | |
Other | | | 37,116 | | | | 18,775 | |
| | | | | | | | |
Total expenses | | | 1,430,520 | | | | 2,045,005 | |
| | | | | | | | |
Net investment loss | | $ | (1,429,137 | ) | | $ | (2,042,450 | ) |
| | | | | | | | |
Realized and unrealized gain (loss) on investments | | | | | | | | |
Net realized gain on futures and forward contracts | | $ | 1,146,706 | | | $ | 3,929,625 | |
Net change in unrealized depreciation on futures and forward contracts | | | (548,962 | ) | | | (98,408 | ) |
| | | | | | | | |
Net gain on investments | | $ | 597,744 | | | $ | 3,831,217 | |
| | | | | | | | |
Net increase (decrease) in net assets from operations | | $ | (831,393 | ) | | $ | 1,788,767 | |
| | | | | | | | |
See accompanying notes to financial statements.
20
SUPERFUND GREEN, L.P.
STATEMENTS OF CHANGES IN NET ASSETS
Years Ended December 31, 2015 and December 31, 2014
| | | | | | | | |
| | | 2015 | | | 2014 | |
Increase (decrease) in net assets from operations | | | | | | | | |
Net investment loss | | $ | (1,429,137 | ) | | $ | (2,042,450 | ) |
Net realized gain on futures and forward contracts | | | 1,146,706 | | | | 3,929,625 | |
Net change in unrealized depreciation on futures and forward contracts | | | (548,962 | ) | | | (98,408 | ) |
| | | | | | | | |
Net increase (decrease) in net assets from operations | | | (831,393 | ) | | | 1,788,767 | |
Capital Share transactions | | | | | | | | |
Issuance of Units | | | 590,041 | | | | 978,609 | |
Redemption of Units | | | (4,420,419 | ) | | | (9,923,216 | ) |
| | | | | | | | |
Net decrease in net assets from capital share transactions | | | (3,830,378 | ) | | | (8,944,607 | ) |
| | | | | | | | |
Net decrease in net assets | | | (4,661,771 | ) | | | (7,155,840 | ) |
Net assets,beginning of year | | | 20,602,511 | | | | 27,758,351 | |
| | | | | | | | |
Net assets,end of year | | $ | 15,940,740 | | | $ | 20,602,511 | |
| | | | | | | | |
See accompanying notes to financial statements.
21
SUPERFUND GREEN, L.P.
STATEMENTS OF CASH FLOWS
Years Ended December 31, 2015 and December 31, 2014
| | | | | | | | |
| | | 2015 | | | 2014 | |
Cash flows from operating activities | | | | | | | | |
Net increase (decrease) in net assets from operations | | $ | (831,393 | ) | | $ | 1,788,767 | |
Adjustment to reconcile net increase (decrease) in net assets from operations to net cash provided by operating activities: | | | | | | | | |
Changes in operating assets and liabilities: | | | | | | | | |
Decrease in due from brokers | | | 1,703,538 | | | | 7,852,217 | |
Decrease in futures contracts purchased | | | 162,867 | | | | 432,055 | |
Decrease in unrealized depreciation on open forward contracts | | | — | | | | (44 | ) |
Increase (decrease) in futures contracts sold | | | 386,099 | | | | (333,603 | ) |
Decrease in management fees payable | | | (8,247 | ) | | | (11,179 | ) |
Decrease in fees payable | | | (5,412 | ) | | | (36,630 | ) |
| | | | | | | | |
Net cash provided by operating activities | | | 1,407,452 | | | | 9,691,583 | |
| | | | | | | | |
Cash flows from financing activities | | | | | | | | |
Subscriptions, net of change in advanced subscriptions | | | 590,041 | | | | 978,609 | |
Redemptions, net of change in redemptions payable | | | (5,080,996 | ) | | | (9,958,196 | ) |
| | | | | | | | |
Net cash used in financing activities | | | (4,490,955 | ) | | | (8,979,587 | ) |
| | | | | | | | |
Net increase (decrease) in cash | | | (3,083,503 | ) | | | 711,996 | |
Cash,beginning of year | | | 12,702,894 | | | | 11,990,898 | |
| | | | | | | | |
Cash,end of year | | $ | 9,619,391 | | | $ | 12,702,894 | |
| | | | | | | | |
See accompanying notes to financial statements.
22
SUPERFUND GREEN, L.P. – SERIES A
STATEMENTS OF ASSETS AND LIABILITIES
as of December 31, 2015 and December 31, 2014
| | | | | | | | |
| | | December 31, 2015 | | | December 31, 2014 | |
ASSETS | | | | | | | | |
Due from brokers | | $ | 2,645,491 | | | $ | 3,032,505 | |
Unrealized gain on futures contracts purchased | | | 200,964 | | | | 341,117 | |
Unrealized gain on futures contracts sold | | | 297,768 | | | | 237,325 | |
Cash | | | 5,412,560 | | | | 7,217,637 | |
| | | | | | | | |
Total assets | | | 8,556,783 | | | | 10,828,584 | |
| | | | | | | | |
LIABILITIES | | | | | | | | |
Unrealized loss on futures contracts purchased | | | 166,748 | | | | 251,096 | |
Unrealized loss on futures contracts sold | | | 271,057 | | | | 58,750 | |
Redemptions payable | | | 231,618 | | | | 591,594 | |
Management fees payable | | | 12,549 | | | | 16,258 | |
Fees payable | | | 7,302 | | | | 9,450 | |
| | | | | | | | |
Total liabilities | | | 689,274 | | | | 927,148 | |
| | | | | | | | |
NET ASSETS | | $ | 7,867,509 | | | $ | 9,901,436 | |
| | | | | | | | |
Number of Units | | | 6,436.862 | | | | 7,713.806 | |
| | | | | | | | |
Net Asset Value per Unit | | $ | 1,222.26 | | | $ | 1,283.60 | |
| | | | | | | | |
See accompanying notes to financial statements.
23
SUPERFUND GREEN, L.P. – SERIES A
CONDENSED SCHEDULE OF INVESTMENTS
as of December 31, 2015
| | | | | | | | |
| | | Percentage of Net Assets | | | Fair Value | |
Futures contracts purchased | | | | | | | | |
Currency | | | (0.3 | )% | | $ | (19,819 | ) |
Energy | | | 0.2 | | | | 14,733 | |
Financial | | | 0.4 | | | | 30,416 | |
Food & Fiber | | | (0.6 | ) | | | (47,034 | ) |
Indices | | | 0.5 | | | | 40,447 | |
Livestock | | | 0.1 | | | | 8,080 | |
Metals | | | 0.1 | | | | 7,393 | |
| | | | | | | | |
Total futures contracts purchased | | | 0.4 | | | | 34,216 | |
| | | | | | | | |
Futures contracts sold | | | | | | | | |
Currency | | | (0.2 | ) | | | (22,132 | ) |
Energy | | | 0.3 | | | | 24,407 | |
Financial | | | (0.1 | ) | | | (11,508 | ) |
Food & Fiber | | | 0.7 | | | | 54,433 | |
Indices | | | 0.4 | | | | 33,706 | |
Livestock | | | (0.1 | ) | | | (7,490 | ) |
Metals | | | (0.6 | ) | | | (44,705 | ) |
| | | | | | | | |
Total futures contracts sold | | | 0.4 | | | | 26,711 | |
| | | | | | | | |
Total futures contracts, at fair value | | | 0.8 | % | | $ | 60,927 | |
| | | | | | | | |
Futures and Forward Contracts by Country Composition | | | | | | | | |
Australia | | | 0.1 | % | | $ | 6,295 | |
Canada | | | 0.3 | | | | 20,503 | |
European Monetary Union | | | 0.1 | | | | 6,192 | |
Great Britain | | | (0.2 | ) | | | (17,131 | ) |
Japan | | | 0.4 | | | | 36,300 | |
United States | | | (0.1 | ) | | | (5,803 | ) |
Other | | | 0.2 | | | | 14,571 | |
| | | | | | | | |
Total futures and forward contracts by country composition | | | 0.8 | % | | $ | 60,927 | |
| | | | | | | | |
See accompanying notes to financial statements.
24
SUPERFUND GREEN, L.P. – SERIES A
CONDENSED SCHEDULE OF INVESTMENTS
as of December 31, 2014
| | | | | | | | |
| | | Percentage of Net Assets | | | Fair Value | |
Futures contracts purchased | | | | | | | | |
Energy | | | (0.6 | )% | | $ | (57,916 | ) |
Financial | | | 1.8 | * | | | 184,415 | |
Food & Fiber | | | (0.1 | ) | | | (13,355 | ) |
Indices | | | 0.9 | | | | 102,150 | |
Livestock | | | (0.7 | ) | | | (78,470 | ) |
Metals | | | (0.4 | ) | | | (46,803 | ) |
| | | | | | | | |
Total futures contracts purchased | | | 0.9 | | | | 90,021 | |
| | | | | | | | |
Futures contracts sold | | | | | | | | |
Currency | | | 0.3 | | | | 28,808 | |
Energy | | | 0.8 | | | | 81,210 | |
Financial | | | (0.0 | )** | | | (4,331 | ) |
Food & Fiber | | | 0.2 | | | | 27,541 | |
Indices | | | (0.4 | ) | | | (37,750 | ) |
Metals | | | 0.8 | | | | 83,097 | |
| | | | | | | | |
Total futures contracts sold | | | 1.7 | | | | 178,575 | |
| | | | | | | | |
Total futures contracts, at fair value | | | 2.6 | % | | $ | 268,596 | |
| | | | | | | | |
Futures and Forward Contracts by Country Composition | | | | | | | | |
Australia | | | 0.1 | % | | $ | 12,933 | |
Canada | | | 0.3 | | | | 31,434 | |
European Monetary Union | | | (0.0 | )** | | | (2,640 | ) |
Great Britain | | | 0.2 | | | | 25,780 | |
Japan | | | 0.6 | | | | 68,041 | |
United States | | | 0.5 | | | | 37,619 | |
Other | | | 0.9 | | | | 95,429 | |
| | | | | | | | |
Total futures and forward contracts by country composition | | | 2.6 | % | | $ | 268,596 | |
| | | | | | | | |
| * | No individual contract position constituted one percent or greater of net assets. Accordingly, the number of contracts and expiration dates are not presented. |
| ** | Due to rounding – amount is less than 0.05% |
See accompanying notes to financial statements.
25
SUPERFUND GREEN, L.P. – SERIES A
STATEMENTS OF OPERATIONS
Years Ended December 31, 2015 and December 31, 2014
| | | | | | | | |
| | | 2015 | | | 2014 | |
Investment Income | | | | | | | | |
Interest income | | $ | 477 | | | $ | 966 | |
Other income | | | — | | | | 4 | |
| | | | | | | | |
Total investment income | | | 477 | | | | 970 | |
| | | | | | | | |
Expenses | | | | | | | | |
Selling commission | | | 359,079 | | | | 458,107 | |
Brokerage commissions | | | 104,897 | | | | 206,378 | |
Management fee | | | 166,074 | | | | 211,874 | |
Ongoing offering expenses | | | — | | | | 31,599 | |
Operating expenses | | | 13,466 | | | | 17,180 | |
Other | | | 15,743 | | | | 7,552 | |
| | | | | | | | |
Total expenses | | | 659,259 | | | | 932,690 | |
| | | | | | | | |
Net investment loss | | $ | (658,782 | ) | | $ | (931,720 | ) |
| | | | | | | | |
Realized and unrealized gain (loss) on investments | | | | | | | | |
Net realized gain on futures and forward contracts | | $ | 437,588 | | | $ | 1,492,263 | |
Net change in depreciation on futures and forward contracts | | | (207,666 | ) | | | (24,455 | ) |
| | | | | | | | |
Net gain on investments | | $ | 229,922 | | | $ | 1,467,808 | |
| | | | | | | | |
Net increase (decrease) in net assets from operations | | $ | (428,860 | ) | | $ | 536,088 | |
| | | | | | | | |
Net increase (decrease) in net assets from operations per unit (based upon weighted average number of units outstanding during year)* | | $ | (61.12 | ) | | $ | 59.08 | |
| | | | | | | | |
Net increase (decrease) in net assets from operations per unit (based upon change in net asset value per unit during year) | | $ | (61.34 | ) | | $ | 68.33 | |
| | | | | | | | |
| * | Weighted average number of Units outstanding for Series A for the Years Ended December 31, 2015 and December 31, 2014: 7,016.95 and 9,074.29, respectively. |
See accompanying notes to financial statements.
26
SUPERFUND GREEN, L.P. – SERIES A
STATEMENTS OF CHANGES IN NET ASSETS
Years Ended December 31, 2015 and December 31, 2014
| | | | | | | | |
| | | 2015 | | | 2014 | |
Increase (decrease) in net assets from operations | | | | | | | | |
Net investment loss | | $ | (658,782 | ) | | $ | (931,720 | ) |
Net realized gain on futures and forward contracts | | | 437,588 | | | | 1,492,263 | |
Net change in unrealized depreciation on futures and forward contracts | | | (207,666 | ) | | | (24,455 | ) |
| | | | | | | | |
Net increase (decrease) in net assets from operations | | | (428,860 | ) | | | 536,088 | |
Capital Share transactions | | | | | | | | |
Issuance of Units | | | 265,984 | | | | 577,597 | |
Redemption of Units | | | (1,871,051 | ) | | | (4,186,645 | ) |
| | | | | | | | |
Net decrease in net assets from capital share transactions | | | (1,605,067 | ) | | | (3,609,048 | ) |
| | | | | | | | |
Net decrease in net assets | | | (2,033,927 | ) | | | (3,072,960 | ) |
Net assets,beginning of year | | | 9,901,436 | | | | 12,974,396 | |
| | | | | | | | |
Net assets,end of year | | $ | 7,867,509 | | | $ | 9,901,436 | |
| | | | | | | | |
Units, beginning of year | | | 7,713.806 | | | | 10,676.154 | |
Issuance of Units | | | 211.197 | | | | 482.137 | |
Redemption of Units | | | (1,488.141 | ) | | | (3,444.485 | ) |
| | | | | | | | |
Units, end of year | | | 6,436.862 | | | | 7,713.806 | |
| | | | | | | | |
See accompanying notes to financial statements.
27
SUPERFUND GREEN, L.P. – SERIES A
STATEMENTS OF CASH FLOWS
Years Ended December 31, 2015 and December 31, 2014
| | | | | | | | |
| | | 2015 | | | 2014 | |
Cash flows from operating activities | | | | | | | | |
Net increase (decrease) in net assets from operations | | $ | (428,860 | ) | | $ | 536,088 | |
Adjustment to reconcile net increase (decrease) in net assets from operations to net cash provided by operating activities: | | | | | | | | |
Changes in operating assets and liabilities: | | | | | | | | |
Decrease in due from brokers | | | 387,014 | | | | 3,620,497 | |
Decrease in futures contracts purchased | | | 55,805 | | | | 152,224 | |
Decrease in unrealized depreciation on open forward contracts | | | — | | | | (12 | ) |
Increase (decrease) in futures contracts sold | | | 151,864 | | | | (127,757 | ) |
Decrease in management fees payable | | | (3,709 | ) | | | (4,663 | ) |
Decrease in fees payable | | | (2,148 | ) | | | (18,019 | ) |
| | | | | | | | |
Net cash provided by operating activities | | | 159,966 | | | | 4,158,358 | |
| | | | | | | | |
Cash flows from financing activities | | | | | | | | |
Subscriptions, net of change in advanced subscriptions | | | 265,984 | | | | 577,597 | |
Redemptions, net of change in redemptions payable | | | (2,231,027 | ) | | | (4,111,637 | ) |
| | | | | | | | |
Net cash used in financing activities | | | (1,965,043 | ) | | | (3,534,040 | ) |
| | | | | | | | |
Net increase (decrease) in cash | | | (1,805,077 | ) | | | 624,318 | |
Cash,beginning of year | | | 7,217,637 | | | | 6,593,319 | |
| | | | | | | | |
Cash,end of year | | $ | 5,412,560 | | | $ | 7,217,637 | |
| | | | | | | | |
See accompanying notes to financial statements.
28
SUPERFUND GREEN, L.P. – SERIES B
STATEMENTS OF ASSETS AND LIABILITIES
as of December 31, 2015 and December 31, 2014
| | | | | | | | |
| | | December 31, 2015 | | | December 31, 2014 | |
ASSETS | | | | | | | | |
Due from brokers | | $ | 3,872,566 | | | $ | 5,189,090 | |
Unrealized gain on futures contracts purchased | | | 291,979 | | | | 586,295 | |
Unrealized gain on futures contracts sold | | | 465,515 | | | | 390,259 | |
Cash | | | 4,206,831 | | | | 5,485,257 | |
| | | | | | | | |
Total assets | | | 8,836,891 | | | | 11,650,901 | |
| | | | | | | | |
LIABILITIES | | | | | | | | |
Unrealized loss on futures contracts purchased | | | 242,851 | | | | 430,105 | |
Unrealized loss on futures contracts sold | | | 405,144 | | | | 95,653 | |
Redemptions payable | | | 99,647 | | | | 400,248 | |
Management fees payable | | | 12,663 | | | | 17,201 | |
Fees payable | | | 3,355 | | | | 6,619 | |
| | | | | | | | |
Total liabilities | | | 763,660 | | | | 949,826 | |
| | | | | | | | |
NET ASSETS | | $ | 8,073,231 | | | $ | 10,701,075 | |
| | | | | | | | |
Number of Units | | | 5,799.188 | | | | 7,316.097 | |
| | | | | | | | |
Net Asset Value per Unit | | $ | 1,392.13 | | | $ | 1,462.68 | |
| | | | | | | | |
See accompanying notes to financial statements.
29
SUPERFUND GREEN, L.P. – SERIES B
CONDENSED SCHEDULE OF INVESTMENTS
as of December 31, 2015
| | | | | | | | |
| | | Percentage of Net Assets | | | Fair Value | |
Futures contracts purchased | | | | | | | | |
Currency | | | (0.3 | )% | | $ | (28,039 | ) |
Energy | | | 0.2 | | | | 15,843 | |
Financial | | | 0.5 | | | | 43,949 | |
Food & Fiber | | | (0.8 | ) | | | (65,174 | ) |
Indices | | | 0.7 | | | | 58,053 | |
Livestock | | | 0.1 | | | | 9,910 | |
Metals | | | 0.2 | | | | 14,586 | |
| | | | | | | | |
Total futures contracts purchased | | | 0.6 | | | | 49,128 | |
| | | | | | | | |
Futures contracts sold | | | | | | | | |
Currency | | | (0.4 | ) | | | (29,133 | ) |
Energy | | | 0.8 | | | | 59,985 | |
Financial | | | (0.3 | ) | | | (23,280 | ) |
Food & Fiber | | | 1.1 | * | | | 87,917 | |
Indices | | | 0.5 | | | | 44,320 | |
Livestock | | | (0.1 | ) | | | (13,070 | ) |
Metals | | | (0.8 | ) | | | (66,368 | ) |
| | | | | | | | |
Total futures contracts sold | | | 0.8 | | | | 60,371 | |
| | | | | | | | |
Total futures contracts, at fair value | | | 1.4 | % | | $ | 109,499 | |
| | | | | | | | |
Futures and Forward Contracts by Country Composition | | | | | | | | |
Australia | | | 0.1 | % | | $ | 8,800 | |
Canada | | | 0.3 | | | | 26,594 | |
European Monetary Union | | | 0.2 | | | | 12,171 | |
Great Britain | | | (0.3 | ) | | | (31,528 | ) |
Japan | | | 0.6 | | | | 51,751 | |
United States | | | 0.2 | | | | 19,906 | |
Other | | | 0.3 | | | | 21,805 | |
| | | | | | | | |
Total futures and forward contracts by country composition | | | 1.4 | % | | $ | 109,499 | |
| | | | | | | | |
| * | No individual contract position constituted one percent or greater of net assets. Accordingly, the number of contracts and expiration dates are not presented. |
See accompanying notes to financial statements.
30
SUPERFUND GREEN, L.P. – SERIES B
CONDENSED SCHEDULE OF INVESTMENTS
as of December 31, 2014
| | | | | | | | |
| | | Percentage of Net Assets | | | Fair Value | |
Futures contracts purchased | | | | | | | | |
Currency | | | 0.0 | **% | | $ | 2,110 | |
Energy | | | (0.9 | ) | | | (102,315 | ) |
Financial | | | 2.8 | * | | | 306,622 | |
Food & Fiber | | | (0.4 | ) | | | (39,431 | ) |
Indices | | | 1.7 | * | | | 192,190 | |
Livestock | | | (1.2 | )* | | | (131,640 | ) |
Metals | | | (0.6 | ) | | | (71,346 | ) |
| | | | | | | | |
Total futures contracts purchased | | | 1.4 | | | | 156,190 | |
| | | | | | | | |
Futures contracts sold | | | | | | | | |
Currency | | | 0.6 | | | | 50,831 | |
Energy | | | 1.2 | * | | | 136,632 | |
Financial | | | (0.1 | ) | | | (7,871 | ) |
Food & Fiber | | | 0.4 | | | | 47,101 | |
Indices | | | (0.6 | ) | | | (63,551 | ) |
Metals | | | 1.2 | * | | | 131,464 | |
| | | | | | | | |
Total futures contracts sold | | | 2.7 | | | | 294,606 | |
| | | | | | | | |
Total futures contracts, at fair value | | | 4.1 | % | | $ | 450,796 | |
| | | | | | | | |
Futures and Forward Contracts by Country Composition | | | | | | | | |
Australia | | | 0.3 | % | | $ | 31,489 | |
Canada | | | 0.5 | | | | 59,434 | |
European Monetary Union | | | 0.0 | ** | | | 2,993 | |
Great Britain | | | 0.5 | | | | 51,918 | |
Japan | | | 1.1 | * | | | 120,855 | |
United States | | | 0.3 | | | | 36,960 | |
Other | | | 1.4 | * | | | 147,147 | |
| | | | | | | | |
Total futures and forward contracts by country composition | | | 4.1 | % | | $ | 450,796 | |
| | | | | | | | |
| * | No individual contract position constituted one percent or greater of net assets. Accordingly, the number of contracts and expiration dates are not presented. |
| ** | Due to rounding – amount is less than 0.05% |
See accompanying notes to financial statements.
31
SUPERFUND GREEN, L.P. – SERIES B
STATEMENTS OF OPERATIONS
Years Ended December 31, 2015 and December 31, 2014
| | | | | | | | |
| | | 2015 | | | 2014 | |
Investment Income | | | | | | | | |
Interest income | | $ | 906 | | | $ | 1,573 | |
Other income | | | — | | | | 12 | |
| | | | | | | | |
Total investment income | | | 906 | | | | 1,585 | |
| | | | | | | | |
Expenses | | | | | | | | |
Selling commission | | | 382,212 | | | | 496,236 | |
Brokerage commissions | | | 176,569 | | | | 321,526 | |
Management fee | | | 176,773 | | | | 229,510 | |
Ongoing offering expenses | | | — | | | | 35,210 | |
Operating expenses | | | 14,334 | | | | 18,610 | |
Other | | | 21,373 | | | | 11,223 | |
| | | | | | | | |
Total expenses | | | 771,261 | | | | 1,112,315 | |
| | | | | | | | |
Net investment loss | | $ | (770,355 | ) | | $ | (1,110,730 | ) |
| | | | | | | | |
Realized and unrealized gain (loss) on investments | | | | | | | | |
Net realized gain on futures and forward contracts | | $ | 709,118 | | | $ | 2,437,362 | |
Net change in unrealized depreciation on futures and forward contracts | | | (341,296 | ) | | | (73,953 | ) |
| | | | | | | | |
Net gain on investments | | | 367,822 | | | | 2,363,409 | |
| | | | | | | | |
Net increase (decrease) in net assets from operations | | $ | (402,533 | ) | | $ | 1,252,679 | |
| | | | | | | | |
Net increase (decrease) in net assets from operations per unit (based upon weighted average number of units outstanding during year)* | | $ | (62.42 | ) | | $ | 140.27 | |
| | | | | | | | |
Net increase (decrease) in net assets from operations per unit (based upon change in net asset value per unit during year) | | $ | (70.55 | ) | | $ | 161.71 | |
| | | | | | | | |
| * | Weighted average number of Units outstanding for Series B for the Years Ended December 31, 2015 and December 31, 2014: 6,448.63 and 8,930.45, respectively. |
See accompanying notes to financial statements.
32
SUPERFUND GREEN, L.P. – SERIES B
STATEMENTS OF CHANGES IN NET ASSETS
Years Ended December 31, 2015 and December 31, 2014
| | | | | | | | |
| | | 2015 | | | 2014 | |
Increase (decrease) in net assets from operations | | | | | | | | |
Net investment loss | | $ | (770,355 | ) | | $ | (1,110,730 | ) |
Net realized gain on futures and forward contracts | | | 709,118 | | | | 2,437,362 | |
Net change in unrealized depreciation on futures and forward contracts | | | (341,296 | ) | | | (73,953 | ) |
| | | | | | | | |
Net increase (decrease) in net assets from operations | | | (402,533 | ) | | | 1,252,679 | |
Capital Share transactions | | | | | | | | |
Issuance of Units | | | 324,057 | | | | 401,012 | |
Redemption of Units | | | (2,549,368 | ) | | | (5,736,571 | ) |
| | | | | | | | |
Net decrease in net assets from capital share transactions | | | (2,225,311 | ) | | | (5,335,559 | ) |
| | | | | | | | |
Net decrease in net assets | | | (2,627,844 | ) | | | (4,082,880 | ) |
Net assets,beginning of year | | | 10,701,075 | | | | 14,783,955 | |
| | | | | | | | |
Net assets,end of year | | $ | 8,073,231 | | | $ | 10,701,075 | |
| | | | | | | | |
Units,beginning of year | | | 7,316.097 | | | | 11,363.782 | |
Issuance of Units | | | 223.410 | | | | 304.733 | |
Redemption of Units | | | (1,740.319 | ) | | | (4,352.418 | ) |
| | | | | | | | |
Units, end of year | | | 5,799.188 | | | | 7,316.097 | |
| | | | | | | | |
See accompanying notes to financial statements.
33
SUPERFUND GREEN, L.P. – SERIES B
STATEMENTS OF CASH FLOWS
Years Ended December 31, 2015 and December 31, 2014
| | | | | | | | |
| | | 2015 | | | 2014 | |
Cash flows from operating activities | | | | | | | | |
Net increase (decrease) in net assets from operations | | $ | (402,533 | ) | | $ | 1,252,679 | |
Adjustment to reconcile net increase (decrease) in net assets from operations to net cash provided by operating activities: | | | | | | | | |
Changes in operating assets and liabilities: | | | | | | | | |
Decrease in due from brokers | | | 1,316,524 | | | | 4,231,720 | |
Decrease in futures contracts purchased | | | 107,062 | | | | 279,831 | |
Decrease in unrealized depreciation on open forward contracts | | | — | | | | (32 | ) |
Increase (decrease) in futures contracts sold | | | 234,235 | | | | (205,846 | ) |
Decrease in management fees payable | | | (4,538 | ) | | | (6,516 | ) |
Decrease in fees payable | | | (3,264 | ) | | | (18,611 | ) |
| | | | | | | | |
Net cash provided by operating activities | | | 1,247,486 | | | | 5,533,225 | |
| | | | | | | | |
Cash flows from financing activities | | | | | | | | |
Subscriptions, net of change in advanced subscriptions | | | 324,057 | | | | 401,012 | |
Redemptions, net of change in redemptions payable | | | (2,849,969 | ) | | | (5,846,559 | ) |
| | | | | | | | |
Net cash used in financing activities | | | (2,525,912 | ) | | | (5,445,547 | ) |
| | | | | | | | |
Net increase (decrease) in cash | | | (1,278,426 | ) | | | 87,678 | |
Cash,beginning of year | | | 5,485,257 | | | | 5,397,579 | |
| | | | | | | | |
Cash,end of year | | $ | 4,206,831 | | | $ | 5,485,257 | |
| | | | | | | | |
See accompanying notes to financial statements.
34
SUPERFUND GREEN, L.P., SUPERFUND GREEN, L.P. – SERIES A and SUPERFUND GREEN, L.P. – SERIES B
NOTES TO FINANCIAL STATEMENTS
December 31, 2015
Organization and Business
Superfund Green, 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 are 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 |
Pursuant to rules and regulations of the Securities and Exchange Commission (“SEC”), audited financial statements are prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and presented for the Fund as a whole, as the SEC registrant, and for Series A and Series B individually. 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 and Forward Contracts |
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.
| | (c) | Cash and Translation of Foreign Currency |
The Fund maintains cash deposits with financial institutions in amounts that are in excess of the coverage limits adopted by the Federal Deposit Insurance Corporation. The Fund does not, however, believe it is exposed to significant credit risk on these holdings.
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 realized and unrealized 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. Operating expenses of the Fund are allocated to each Series in proportion to the net asset value of the Series at the beginning of each month. Expenses directly attributable to a particular Series are charged directly to that Series.
Gains or losses are realized when contracts are liquidated. Unrealized gains and losses on open contracts (the difference between contract trade price and market price) are reported in the statements of assets and liabilities as gross gain or loss.
35
There exists a right of offset of unrealized gains or losses in accordance with Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 210-20,Offsetting – Balance Sheet.
Set forth herein are instruments and transactions eligible for offset in the Statements of Assets and Liabilities and which are subject to derivative clearing agreements with the Fund’s futures commission merchants. Each futures commission merchant nets margin held on behalf of each Series of the Fund or payment obligations of the futures commission merchant to each Series against any payment obligations of that Series to the futures commission merchant. Each Series is required to deposit margin at each futures commission merchant to meet the original and maintenance requirements established by that futures commission merchant, and/or the exchange or clearinghouse associated with the exchange on which the instrument is traded. The derivative clearing agreements give each futures commission merchant a security interest in this margin to secure any liabilities owed to the futures commission merchant arising from a default by the Series. As of December 31, 2015, Series A had on deposit $1,489,488 at ADM Investor Services, Inc. and $1,156,003 at Merrill Lynch, Pierce, Fenner & Smith Inc. As of December 31, 2015, Series B had on deposit $2,009,575 at ADM Investor Services, Inc. and $1,862,991 at Merrill Lynch, Pierce, Fenner & Smith Inc.
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 ASC 740,Income Taxes (“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 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 2012 through 2015 tax years generally remain subject to examination by the U.S. federal and most state tax authorities.
The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
| | (g) | Recently Adopted and/or Issued Accounting Pronouncements |
ASU 2013-08
In June 2013, FASB issued Accounting Standards Update (“ASU”) No. 2013-08,Amendments to the Scope, Measurement, and Disclosure Requirements (“ASU 2013-08”). ASU 2013-08 contains new guidance regarding the approach to investment company assessment, requires non-controlling ownership interests in other investment companies to be measured at fair value and requires additional disclosures about the investment company’s status as an investment company and information required to be provided to any of its investees. The amendments in the update are effective for interim and annual reporting periods in fiscal years that begin after December 15, 2013. The adoption of the provisions of ASU 2013-08 has not had a material impact on the Fund’s financial statement disclosures.
ASU 2015-14
In August 2015, FASB issued ASUNo. 2015-14,Revenue from Contracts with Customers (Topic 606) – Deferral of Effective Date(“ASU 2015-14”), which defers the effective date of ASUNo. 2014-09,Revenue from Contracts with Customers (Topic 606)(“ASU 2014-09”). The amendments inASU 2014-09 affect any entity that enters into contracts with customers to transfer goods or services or enters into contracts for the transfer of nonfinancial assets unless those contracts are within the scope of other standards. The guidance is effective for annual reporting periods beginning after December 15, 2017. Superfund Capital Management is evaluating the impact ofASU 2015-14 on the financial statements and disclosures.
| | (h) | Fair Value Measurements |
The Fund follows ASC 820,Fair Value Measurements and Disclosures (“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. |
36
| | |
| |
| 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.
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.
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. There were no Level 3 holdings at December 31, 2015 or December 31, 2014 or during the periods then ended.
The following table summarizes the valuation of the Fund’s assets and liabilities measured at fair value on a recurring basis by the ASC 820 fair value hierarchy as of December 31, 2015:
Superfund Green, L.P.
| | | | | | | | | | | | | | | | |
| | | Balance
December 31, 2015 | | | Level 1 | | | Level 2 | | | Level 3 | |
ASSETS | | | | | | | | | | | | | | | | |
Futures contracts sold | | $ | 763,283 | | | $ | 763,283 | | | $ | — | | | $ | — | |
Futures contracts purchased | | | 492,943 | | | | 492,943 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total Assets Measured at Fair Value | | $ | 1,256,226 | | | $ | 1,256,226 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
LIABILITIES | | | | | | | | | | | | | | | | |
Futures contracts sold | | $ | 676,201 | | | $ | 676,201 | | | $ | — | | | $ | — | |
Futures contracts purchased | | | 409,599 | | | | 409,599 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total Liabilities Measured at Fair Value | | $ | 1,085,800 | | | $ | 1,085,800 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
37
Superfund Green, L.P. – Series A
| | | | | | | | | | | | | | | | |
| | | Balance
December 31, 2015 | | | Level 1 | | | Level 2 | | | Level 3 | |
ASSETS | | | | | | | | | | | | | | | | |
Futures contracts sold | | $ | 297,768 | | | $ | 297,768 | | | $ | — | | | $ | — | |
Futures contracts purchased | | | 200,964 | | | | 200,964 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total Assets Measured at Fair Value | | $ | 498,732 | | | $ | 498,732 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
LIABILITIES | | | | | | | | | | | | | | | | |
Futures contracts sold | | $ | 271,057 | | | $ | 271,057 | | | $ | — | | | $ | — | |
Futures contracts purchased | | | 166,748 | | | | 166,748 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total Liabilities Measured at Fair Value | | $ | 437,805 | | | $ | 437,805 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
Superfund Green, L.P. – Series B
| | | | | | | | | | | | | | | | |
| | | Balance
December 31, 2015 | | | Level 1 | | | Level 2 | | | Level 3 | |
ASSETS | | | | | | | | | | | | | | | | |
Futures contracts sold | | $ | 465,515 | | | $ | 465,515 | | | $ | — | | | $ | — | |
Futures contracts purchased | | | 291,979 | | | | 291,979 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total Assets Measured at Fair Value | | $ | 757,494 | | | $ | 757,494 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
LIABILITIES | | | | | | | | | | | | | | | | |
Futures contracts sold | | $ | 405,144 | | | $ | 405,144 | | | $ | — | | | $ | — | |
Futures contracts purchased | | | 242,851 | | | | 242,851 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total Liabilities Measured at Fair Value | | $ | 647,995 | | | $ | 647,995 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
The following table summarizes the valuation of the Fund’s assets and liabilities measured at fair value on a recurring basis by the ASC 820 fair value hierarchy as of December 31, 2014:
Superfund Green, L.P.
| | | | | | | | | | | | | | | | |
| | | Balance
December 31, 2014 | | | Level 1 | | | Level 2 | | | Level 3 | |
ASSETS | | | | | | | | | | | | | | | | |
Futures contracts sold | | $ | 627,584 | | | $ | 627,584 | | | $ | — | | | $ | — | |
Futures contracts purchased | | | 927,412 | | | | 927,412 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total Assets Measured at Fair Value | | $ | 1,554,996 | | | $ | 1,554,996 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
LIABILITIES | | | | | | | | | | | | | | | | |
Futures contracts sold | | $ | 154,403 | | | $ | 154,403 | | | $ | — | | | $ | — | |
Futures contracts purchased | | | 681,201 | | | | 681,201 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total Liabilities Measured at Fair Value | | $ | 835,604 | | | $ | 835,604 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
38
Superfund Green, L.P. – Series A
| | | | | | | | | | | | | | | | |
| | | Balance
December 31, 2014 | | | Level 1 | | | Level 2 | | | Level 3 | |
ASSETS | | | | | | | | | | | | | | | | |
Futures contracts sold | | $ | 237,325 | | | $ | 237,325 | | | $ | — | | | $ | — | |
Futures contracts purchased | | | 341,117 | | | | 341,117 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total Assets Measured at Fair Value | | $ | 578,442 | | | $ | 578,442 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
LIABILITIES | | | | | | | | | | | | | | | | |
Futures contracts sold | | $ | 58,750 | | | $ | 58,750 | | | $ | — | | | $ | — | |
Futures contracts purchased | | | 251,096 | | | | 251,096 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total Liabilities Measured at Fair Value | | $ | 309,846 | | | $ | 309,846 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
Superfund Green, L.P. – Series B
| | | | | | | | | | | | | | | | |
| | | Balance
December 31, 2014 | | | Level 1 | | | Level 2 | | | Level 3 | |
ASSETS | | | | | | | | | | | | | | | | |
Futures contracts sold | | $ | 390,259 | | | $ | 390,259 | | | $ | — | | | $ | — | |
Futures contracts purchased | | | 586,295 | | | | 586,295 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total Assets Measured at Fair Value | | $ | 976,554 | | | $ | 976,554 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
LIABILITIES | | | | | | | | | | | | | | | | |
Futures contracts sold | | $ | 95,653 | | | $ | 95,653 | | | $ | — | | | $ | — | |
Futures contracts purchased | | | 430,105 | | | | 430,105 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total Liabilities Measured at Fair Value | | $ | 525,758 | | | $ | 525,758 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
For the years ended December 31, 2015 and 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.
| (3) | Disclosure of derivative instruments and hedging activities |
The Fund follows ASC 815,Disclosures about Derivative Instruments and Hedging Activities. 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 realized and unrealized gain (loss) on investments in the Statements of Operations.
39
Superfund Capital Management believes futures and forward unrealized gains and losses 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:
Superfund Green, L.P.
The fair value of the Fund’s derivatives by instrument type, as well as the location of those instruments on the Statement of Assets and Liabilities, as of December 31, 2015, is as follows:
| | | | | | | | | | | | | | |
Type of Instrument | | Statement of Assets and Liabilities Location | | Asset Derivatives at
December 31, 2015 | | | Liability Derivatives
at December 31, 2015 | | | Net | |
Futures contracts | | Futures contracts purchased | | $ | 492,943 | | | $ | (409,599 | ) | | $ | 83,344 | |
Futures contracts | | Futures contracts sold | | | 763,283 | | | | (676,201 | ) | | | 87,082 | |
| | | | | | | | | | | | | | |
Totals | | | | $ | 1,256,226 | | | $ | (1,085,800 | ) | | $ | 170,426 | |
| | | | | | | | | | | | | | |
The fair value of the Fund’s derivatives by instrument type, as well as the location of those instruments on the Statement of Assets and Liabilities, as of December 31, 2014, is as follows:
| | | | | | | | | | | | | | |
Type of Instrument | | Statement of Assets and Liabilities Location | | Asset Derivatives at
December 31, 2014 | | | Liability Derivatives
at December 31, 2014 | | | Net | |
Futures contracts | | Futures contracts purchased | | $ | 927,412 | | | $ | (681,201 | ) | | $ | 246,211 | |
Futures contracts | | Futures contracts sold | | | 627,584 | | | | (154,403 | ) | | | 473,181 | |
| | | | | | | | | | | | | | |
Totals | | | | $ | 1,554,996 | | | $ | (835,604 | ) | | $ | 719,392 | |
| | | | | | | | | | | | | | |
The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of December 31, 2015 is as follows:
| | | | | | | | | | | | | | | | |
| | | | | | Gross Amounts Not Offset in the Statement of
Assets and Liabilities | | | | |
Counterparty | | Net Amount of Assets in
the Statement of Assets
and Liabilities | | | Financial Instruments
Pledged | | | Cash Collateral
Received | | | Net Amount | |
ADMIS | | $ | (100,889 | ) | | $ | — | | | $ | — | | | $ | (100,889 | ) |
Merrill Lynch | | | 271,315 | | | | — | | | | — | | | | 271,315 | |
| | | | | | | | | | | | | | | | |
Totals | | $ | 170,426 | | | $ | — | | | $ | — | | | $ | 170,426 | |
The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of December 31, 2014 is as follows:
| | | | | | | | | | | | | | | | |
| | | | | | Gross Amounts Not Offset in the
Statement of Assets and Liabilities | | | | |
Counterparty | | Net Amount of Assets in
the Statement of Assets
and Liabilities | | | Financial Instruments
Pledged | | | Cash
Collateral
Received | | | Net
Amount | |
ADMIS | | $ | 74,729 | | | $ | — | | | $ | — | | | $ | 74,729 | |
Barclays Capital | | | 594,459 | | | | — | | | | — | | | | 594,459 | |
Merrill Lynch | | | 50,204 | | | | — | | | | — | | | | 50,204 | |
| | | | | | | | | | | | | | | | |
Totals | | $ | 719,392 | | | $ | — | | | $ | — | | | $ | 719,392 | |
40
Effects of derivative instruments on the Statement of Operations for the Year Ended December 31, 2015:
| | | | | | | | | | |
Derivatives not Designated as Hedging Instruments under ASC 815 | | Location of Gain (Loss) on Derivatives in Statement of Operations | | Net Realized Gain on
Derivatives in Statement
of Operations | | | Net Change in
Unrealized Depreciation
on Derivatives in
Statement of Operations | |
Foreign exchange contracts | | Net realized/unrealized gain on futures and forward contracts | | $ | 52,987 | | | $ | — | |
Futures contracts | | Net realized/unrealized gain (loss) on futures and forward contracts | | | 1,093,719 | | | | (548,962 | ) |
| | | | | | | | | | |
Total | | | | $ | 1,146,706 | | | $ | (548,962 | ) |
| | | | | | | | | | |
Effects of derivative instruments on the Statement of Operations for the Year Ended December 31, 2014:
| | | | | | | | | | |
Derivatives not Designated as Hedging Instruments under ASC 815 | | Location of Gain (Loss) on Derivatives in Statement of Operations | | Net Realized Gain (Loss)
on Derivatives in
Statement of Operations | | | Net Change in
Unrealized Appreciation
(Depreciation) on
Derivatives in Statement
of Operations | |
Foreign exchange contracts | | Net realized/unrealized gain (loss) on futures and forward contracts | | $ | (188,573 | ) | | $ | 44 | |
Futures contracts | | Net realized/unrealized gain (loss) on futures and forward contracts | | | 4,118,198 | | | | (98,452 | ) |
| | | | | | | | | | |
Total | | | | $ | 3,929,625 | | | $ | (98,408 | ) |
| | | | | | | | | | |
Superfund Green, L.P. gross and net unrealized gains and losses by long and short positions as of December 31, 2015:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | As of December 31, 2015 | |
| | | Futures Contracts Purchased | | | Futures Contracts Sold | | | | |
| | | Asset
Derivatives | | | % of
Net
Assets | | | Liability
Derivatives | | | % of
Net
Assets | | | Asset
Derivatives | | | % of
Net
Assets | | | Liability
Derivatives | | | % of
Net
Assets | | | Net Unrealized
Gain (Loss) on
Open Positions | |
Currency | | $ | 25,804 | | | | 0.2 | | | $ | (73,662 | ) | | | (0.5 | ) | | $ | 95,399 | | | | 0.6 | | | $ | (146,664 | ) | | | (0.9 | ) | | $ | (99,123 | ) |
Financial | | | 78,150 | | | | 0.5 | | | | (3,785 | ) | | | (0.0 | )* | | | 4,821 | | | | 0.0 | * | | | (39,609 | ) | | | (0.2 | ) | | | 39,577 | |
Food & Fiber | | | 64,490 | | | | 0.4 | | | | (176,698 | ) | | | (1.1 | ) | | | 182,433 | | | | 1.1 | | | | (40,083 | ) | | | (0.3 | ) | | | 30,142 | |
Indices | | | 211,901 | | | | 1.3 | | | | (113,401 | ) | | | (0.7 | ) | | | 199,752 | | | | 1.3 | | | | (121,726 | ) | | | (0.8 | ) | | | 176,526 | |
Metals | | | 51,982 | | | | 0.3 | | | | (30,003 | ) | | | (0.2 | ) | | | 47,150 | | | | 0.3 | | | | (158,223 | ) | | | (1.0 | ) | | | (89,094 | ) |
Livestock | | | 17,990 | | | | 0.1 | | | | — | | | | — | | | | — | | | | — | | | | (20,560 | ) | | | (0.1 | ) | | | (2,570 | ) |
Energy | | | 42,626 | | | | 0.3 | | | | (12,050 | ) | | | (0.1 | ) | | | 233,728 | | | | 1.5 | | | | (149,336 | ) | | | (0.9 | ) | | | 114,968 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Totals | | $ | 492,943 | | | | 3.1 | | | $ | (409,599 | ) | | | (2.6 | ) | | $ | 763,283 | | | | 4.8 | | | $ | (676,201 | ) | | | (4.2 | ) | | $ | 170,426 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| * | Due to rounding – amount is less than 0.05% |
41
Superfund Green, L.P. gross and net unrealized gains and losses by long and short positions as of December 31, 2014:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | As of December 31, 2014 | |
| | | Futures Contracts Purchased | | | Futures Contracts Sold | | | | |
| | | Asset
Derivatives | | | % of
Net
Assets | | | Liability
Derivatives | | | % of
Net
Assets | | | Asset
Derivatives | | | % of
Net
Assets | | | Liability
Derivatives | | | % of
Net
Assets | | | Net Unrealized
Gain (Loss) on
Open Positions | |
Currency | | $ | 2,110 | | | | 0.0 | * | | $ | — | | | | — | | | $ | 79,895 | | | | 0.4 | | | $ | (256 | ) | | | (0.0 | )* | | $ | 81,749 | |
Financial | | | 516,998 | | | | 2.4 | | | | (25,961 | ) | | | (0.1 | ) | | | — | | | | — | | | | (12,202 | ) | | | (0.1 | ) | | | 478,835 | |
Food & Fiber | | | 36,790 | | | | 0.2 | | | | (89,576 | ) | | | (0.4 | ) | | | 107,005 | | | | 0.5 | | | | (32,364 | ) | | | (0.1 | ) | | | 21,855 | |
Indices | | | 312,439 | | | | 1.4 | | | | (18,099 | ) | | | (0.1 | ) | | | 3,205 | | | | 0.0 | * | | | (104,506 | ) | | | (0.5 | ) | | | 193,039 | |
Metals | | | 55,851 | | | | 0.3 | | | | (174,000 | ) | | | (0.8 | ) | | | 219,636 | | | | 1.0 | | | | (5,075 | ) | | | (0.0 | )* | | | 96,412 | |
Livestock | | | 3,090 | | | | 0.0 | * | | | (213,200 | ) | | | (1.0 | ) | | | — | | | | — | | | | — | | | | — | | | | (210,110 | ) |
Energy | | | 134 | | | | 0.0 | * | | | (160,365 | ) | | | (0.7 | ) | | | 217,843 | | | | 1.0 | | | | — | | | | — | | | | 57,612 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Totals | | $ | 927,412 | | | | 4.3 | | | $ | (681,201 | ) | | | (3.1 | ) | | $ | 627,584 | | | | 2.9 | | | $ | (154,403 | ) | | | (0.7 | ) | | $ | 719,392 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| * | Due to rounding – amount is less than 0.05% |
Superfund Green, L.P. average contract volume by market sector for the Year Ended December 31, 2015:
| | | | | | | | |
| | | Average Number
of Long Contracts | | | Average Number
of Short Contracts | |
Currency | | | 164 | | | | 891 | |
Financial | | | 3,441 | | | | 1,247 | |
Food & Fiber | | | 1,339 | | | | 1,470 | |
Indices | | | 2,675 | | | | 2,244 | |
Metals | | | 975 | | | | 978 | |
Energy | | | 540 | | | | 926 | |
Livestock | | | 382 | | | | 83 | |
| | | | | | | | |
Total | | | 9,516 | | | | 7,839 | |
| | | | | | | | |
Superfund Green, L.P. average contract volume by market sector for the Year Ended December 31, 2014:
| | | | | | | | |
| | | Average Number
of Long Contracts | | | Average Number
of Short Contracts | |
Currency | | | 2,441 | | | | 1,447 | |
Financial | | | 11,912 | | | | 2,168 | |
Food & Fiber | | | 622 | | | | 788 | |
Indices | | | 6,994 | | | | 1,205 | |
Metals | | | 2,250 | | | | 1,370 | |
Energy | | | 1,579 | | | | 694 | |
Livestock | | | 462 | | | | 8 | |
| | | | | | | | |
Total | | | 26,260 | | | | 7,680 | |
| | | | | | | | |
Superfund Green, L.P. trading results by market sector:
42
| | | | | | | | | | | | |
| | | For the Year Ended December 31, 2015 | |
| | | Net Realized
Gains (Losses) | | | Change in Net
Unrealized
Gains (Losses) | | | Net Trading
Gains (Losses) | |
Foreign Exchange | | $ | 52,987 | | | $ | — | | | $ | 52,987 | |
Currency | | | 295,019 | | | | (180,869 | ) | | | 114,150 | |
Financial | | | (304,154 | ) | | | (439,256 | ) | | | (743,410 | ) |
Food & Fiber | | | (315,150 | ) | | | 8,287 | | | | (306,863 | ) |
Indices | | | 436,090 | | | | (16,514 | ) | | | 419,576 | |
Metals | | | 407,307 | | | | (185,506 | ) | | | 221,801 | |
Livestock | | | (824,090 | ) | | | 207,540 | | | | (616,550 | ) |
Energy | | | 1,398,697 | | | | 57,356 | | | | 1,456,053 | |
| | | | | | | | | | | | |
Total net trading gains (losses) in Statement of Operations | | $ | 1,146,706 | | | $ | (548,962 | ) | | $ | 597,744 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | For the Year Ended December 31, 2014 | |
| | | Net Realized
Gains (Losses) | | | Change in Net
Unrealized
Gains (Losses) | | | Net Trading
Gains (Losses) | |
Foreign Exchange | | $ | (188,573 | ) | | $ | 44 | | | $ | (188,529 | ) |
Currency | | | 553,145 | | | | (71,300 | ) | | | 481,845 | |
Financial | | | 2,466,259 | | | | 331,672 | | | | 2,797,931 | |
Food & Fiber | | | 931,647 | | | | (21,741 | ) | | | 909,906 | |
Indices | | | 906,369 | | | | (399,926 | ) | | | 506,443 | |
Metals | | | (658,725 | ) | | | 56,482 | | | | (602,243 | ) |
Livestock | | | 553,240 | | | | (192,740 | ) | | | 360,500 | |
Energy | | | (633,737 | ) | | | 199,101 | | | | (434,636 | ) |
| | | | | | | | | | | | |
Total net trading gains (losses)in Statement of Operations | | $ | 3,929,625 | | | $ | (98,408 | ) | | $ | 3,831,217 | |
| | | | | | | | | | | | |
Superfund Green, L.P. - Series A
The fair value of the Fund’s derivatives by instrument type, as well as the location of those instruments on the Statement of Assets and Liabilities, as of December 31, 2015, is as follows:
| | | | | | | | | | | | | | |
Type of Instrument | | Statement of Assets and Liabilities Location | | Asset Derivatives at
December 31, 2015 | | | Liability Derivatives
at December 31, 2015 | | | Net | |
Futures contracts | | Futures contracts purchased | | $ | 200,964 | | | $ | (166,748 | ) | | $ | 34,216 | |
Futures contracts | | Futures contracts sold | | | 297,768 | | | | (271,057 | ) | | | 26,711 | |
| | | | | | | | | | | | | | |
Totals | | | | $ | 498,732 | | | $ | (437,805 | ) | | $ | 60,927 | |
| | | | | | | | | | | | | | |
The fair value of the Fund’s derivatives by instrument type, as well as the location of those instruments on the Statement of Assets and Liabilities, as of December 31, 2014, is as follows:
| | | | | | | | | | | | | | |
Type of Instrument | | Statement of Assets and Liabilities Location | | Asset Derivatives at
December 31, 2014 | | | Liability Derivatives
at December 31, 2014 | | | Net | |
Futures contracts | | Futures contracts purchased | | $ | 341,117 | | | $ | (251,096 | ) | | $ | 90,021 | |
Futures contracts | | Futures contracts sold | | | 237,325 | | | | (58,750 | ) | | | 178,575 | |
| | | | | | | | | | | | | | |
Totals | | | | $ | 578,442 | | | $ | (309,846 | ) | | $ | 268,596 | |
| | | | | | | | | | | | | | |
The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of December 31, 2015 is as follows:
43
| | | | | | | | | | | | | | | | |
| | | | | | Gross Amounts Not Offset in the Statement of Assets and Liabilities | | | | |
| Counterparty | | Net Amount of Assets in
the Statement of Assets
and Liabilities | | | Financial Instruments
Pledged | | | Cash Collateral
Received | | | Net Amount | |
ADMIS | | $ | (51,324 | ) | | $ | — | | | $ | — | | | $ | (51,324 | ) |
Merrill Lynch | | | 112,251 | | | | — | | | | — | | | | 112,251 | |
| | | | | | | | | | | | | | | | |
Totals | | $ | 60,927 | | | $ | — | | | $ | — | | | $ | 60,927 | |
The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of December 31, 2014 is as follows:
| | | | | | | | | | | | | | | | |
| | | | | | Gross Amounts Not Offset in the Statement of Assets and Liabilities | | | | |
| Counterparty | | Net Amount of Assets in
the Statement of Assets
and Liabilities | | | Financial Instruments
Pledged | | | Cash Collateral
Received | | | Net Amount | |
ADMIS | | $ | 29,364 | | | $ | — | | | $ | — | | | $ | 29,364 | |
Barclays Capital | | | 221,708 | | | | — | | | | — | | | | 221,708 | |
Merrill Lynch | | | 17,524 | | | | — | | | | — | | | | 17,524 | |
| | | | | | | | | | | | | | | | |
Totals | | $ | 268,596 | | | $ | — | | | $ | — | | | $ | 268,596 | |
Effects of derivative instruments on the Statement of Operations for the Year Ended December 31, 2015:
| | | | | | | | | | |
Derivatives not Designated as Hedging Instruments under ASC 815 | | Location of Gain (Loss) on Derivatives in Statement of Operations | | Net Realized Gain on
Derivatives in Statement
of Operations | | | Net Change in
Unrealized Depreciation
on Derivatives in
Statement
of Operations | |
Foreign exchange contracts | | Net realized/unrealized gain on futures and forward contracts | | $ | 18,553 | | | $ | — | |
Futures contracts | | Net realized/unrealized gain (loss) on futures and forward contracts | | | 419,035 | | | | (207,666 | ) |
| | | | | | | | | | |
Total | | | | $ | 437,588 | | | $ | (207,666 | ) |
| | | | | | | | | | |
Effects of derivative instruments on the Statement of Operations for the Year Ended December 31, 2014:
| | | | | | | | | | |
Derivatives not Designated as Hedging Instruments under ASC 815 | | Location of Gain (Loss) on Derivatives in Statement of Operations | | Net Realized Gain (Loss)
on Derivatives in
Statement of Operations | | | Net Change in
Unrealized Appreciation
(Depreciation) on
Derivatives in Statement
of Operations | |
Foreign exchange contracts | | Net realized/unrealized gain (loss) on futures and forward contracts | | $ | (80,609 | ) | | $ | 12 | |
Futures contracts | | Net realized/unrealized gain (loss) on futures and forward contracts | | | 1,572,872 | | | | (24,467 | ) |
| | | | | | | | | | |
Total | | | | $ | 1,492,263 | | | $ | (24,455 | ) |
| | | | | | | | | | |
44
Superfund Green, L.P. – Series A gross and net unrealized gains and losses by long and short positions as of December 31, 2015:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | As of December 31, 2015 | |
| | | Futures Contracts Purchased | | | Futures Contracts Sold | | | | |
| | | Asset
Derivatives | | | % of
Net
Assets | | | Liability
Derivatives | | | % of
Net
Assets | | | Asset
Derivatives | | | % of
Net
Assets | | | Liability
Derivatives | | | % of
Net
Assets | | | Net Unrealized
Gain (Loss) on
Open Positions | |
Currency | | $ | 10,300 | | | | 0.1 | | | $ | (30,119 | ) | | | (0.4 | ) | | $ | 37,040 | | | | 0.5 | | | $ | (59,172 | ) | | | (0.8 | ) | | $ | (41,951 | ) |
Financial | | | 31,941 | | | | 0.4 | | | | (1,525 | ) | | | (0.0 | )* | | | 4,486 | | | | 0.1 | | | | (15,994 | ) | | | (0.2 | ) | | | 18,908 | |
Food & Fiber | | | 24,650 | | | | 0.3 | | | | (71,684 | ) | | | (0.9 | ) | | | 73,127 | | | | 0.9 | | | | (18,694 | ) | | | (0.2 | ) | | | 7,399 | |
Indices | | | 86,482 | | | | 1.1 | | | | (46,035 | ) | | | (0.6 | ) | | | 80,284 | | | | 1.0 | | | | (46,578 | ) | | | (0.6 | ) | | | 74,153 | |
Metals | | | 19,838 | | | | 0.3 | | | | (12,445 | ) | | | (0.2 | ) | | | 18,053 | | | | 0.2 | | | | (62,758 | ) | | | (0.8 | ) | | | (37,312 | ) |
Livestock | | | 8,080 | | | | 0.1 | | | | — | | | | — | | | | — | | | | — | | | | (7,490 | ) | | | (0.1 | ) | | | 590 | |
Energy | | | 19,673 | | | | 0.3 | | | | (4,940 | ) | | | (0.1 | ) | | | 84,778 | | | | 1.1 | | | | (60,371 | ) | | | (0.8 | ) | | | 39,140 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Totals | | $ | 200,964 | | | | 2.6 | | | $ | (166,748 | ) | | | (2.2 | ) | | $ | 297,768 | | | | 3.8 | | | $ | (271,057 | ) | | | (3.5 | ) | | $ | 60,927 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| * | Due to rounding – amount is less than 0.05% |
Superfund Green, L.P. – Series A gross and net unrealized gains and losses by long and short positions as of December 31, 2014:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | As of December 31, 2014 | |
| | | Futures Contracts Purchased | | | Futures Contracts Sold | | | | |
| | | Asset
Derivatives | | | % of
Net
Assets | | | Liability
Derivatives | | | % of
Net
Assets | | | Asset
Derivatives | | | % of
Net
Assets | | | Liability
Derivatives | | | % of
Net
Assets | | | Net Unrealized
Gain (Loss) on
Open Positions | |
Currency | | $ | — | | | | — | | | $ | — | | | | — | | | $ | 29,064 | | | | 0.3 | | | $ | (256 | ) | | | (0.0 | )* | | $ | 28,808 | |
Financial | | | 194,235 | | | | 1.9 | | | | (9,820 | ) | | | (0.1 | ) | | | — | | | | — | | | | (4,331 | ) | | | (0.0 | )* | | | 180,084 | |
Food & Fiber | | | 15,355 | | | | 0.1 | | | | (28,710 | ) | | | (0.3 | ) | | | 41,104 | | | | 0.4 | | | | (13,563 | ) | | | (0.1 | ) | | | 14,186 | |
Indices | | | 108,901 | | | | 1.0 | | | | (6,751 | ) | | | (0.1 | ) | | | 735 | | | | 0.0 | * | | | (38,485 | ) | | | (0.4 | ) | | | 64,400 | |
Metals | | | 20,662 | | | | 0.2 | | | | (67,465 | ) | | | (0.6 | ) | | | 85,212 | | | | 0.8 | | | | (2,115 | ) | | | (0.0 | )* | | | 36,294 | |
Livestock | | | 1,830 | | | | 0.0 | * | | | (80,300 | ) | | | (0.8 | ) | | | — | | | | — | | | | — | | | | — | | | | (78,470 | ) |
Energy | | | 134 | | | | 0.0 | * | | | (58,050 | ) | | | (0.6 | ) | | | 81,210 | | | | 0.8 | | | | — | | | | — | | | | 23,294 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Totals | | $ | 341,117 | | | | 3.2 | | | $ | (251,096 | ) | | | (2.5 | ) | | $ | 237,325 | | | | 2.3 | | | $ | (58,750 | ) | | | (0.5 | ) | | $ | 268,596 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| * | Due to rounding – amount is less than 0.05% |
Series A average contract volume by market sector for the Year Ended December 31, 2015:
| | | | | | | | |
| | | Average Number
of Long Contracts | | | Average Number
of Short Contracts | |
Currency | | | 65 | | | | 341 | |
Financial | | | 1,298 | | | | 499 | |
Food & Fiber | | | 518 | | | | 569 | |
Indices | | | 1,003 | | | | 863 | |
Metals | | | 363 | | | | 401 | |
Energy | | | 196 | | | | 352 | |
Livestock | | | 144 | | | | 31 | |
| | | | | | | | |
Total | | | 3,587 | | | | 3,056 | |
| | | | | | | | |
45
Series A average contract volume by market sector for the Year Ended December 31, 2014:
| | | | | | | | |
| | | Average Number
of Long Contracts | | | Average Number
of Short Contracts | |
Currency | | | 946 | | | | 554 | |
Financial | | | 4,639 | | | | 866 | |
Food & Fiber | | | 234 | | | | 297 | |
Indices | | | 2,652 | | | | 461 | |
Metals | | | 858 | | | | 506 | |
Energy | | | 588 | | | | 260 | |
Livestock | | | 175 | | | | 4 | |
| | | | | | | | |
Total | | | 10,092 | | | | 2,948 | |
| | | | | | | | |
Series A trading results by market sector:
| | | | | | | | | | | | |
| | | For the Year Ended December 31, 2015 | |
| | | Net Realized
Gains (Losses) | | | Change in Net
Unrealized
Gains (Losses) | | | Net Trading
Gains (Losses) | |
Foreign Exchange | | $ | 18,553 | | | $ | — | | | $ | 18,553 | |
Currency | | | 98,047 | | | | (70,757 | ) | | | 27,290 | |
Financial | | | (114,684 | ) | | | (161,174 | ) | | | (275,858 | ) |
Food & Fiber | | | (116,317 | ) | | | (6,787 | ) | | | (123,104 | ) |
Indices | | | 134,349 | | | | 9,752 | | | | 144,101 | |
Metals | | | 182,959 | | | | (73,606 | ) | | | 109,353 | |
Livestock | | | (316,020 | ) | | | 79,060 | | | | (236,960 | ) |
Energy | | | 550,701 | | | | 15,846 | | | | 566,547 | |
| | | | | | | | | | | | |
Total net trading gains (losses) in Statement of Operations | | $ | 437,588 | | | $ | (207,666 | ) | | $ | 229,922 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | For the Year Ended December 31, 2014 | |
| | | Net Realized
Gains (Losses) | | | Change in Net
Unrealized
Gains (Losses) | | | Net Trading
Gains (Losses) | |
Foreign Exchange | | $ | (80,609 | ) | | $ | 12 | | | $ | (80,597 | ) |
Currency | | | 195,186 | | | | (26,328 | ) | | | 168,858 | |
Financial | | | 930,635 | | | | 118,008 | | | | 1,048,643 | |
Food & Fiber | | | 351,617 | | | | (3,741 | ) | | | 347,876 | |
Indices | | | 404,768 | | | | (154,913 | ) | | | 249,855 | |
Metals | | | (225,439 | ) | | | 32,690 | | | | (192,749 | ) |
Livestock | | | 193,790 | | | | (71,850 | ) | | | 121,940 | |
Energy | | | (277,685 | ) | | | 81,667 | | | | (196,018 | ) |
| | | | | | | | | | | | |
Total net trading gains (losses) in Statement of Operations | | $ | 1,492,263 | | | $ | (24,455 | ) | | $ | 1,467,808 | |
| | | | | | | | | | | | |
Superfund Green, L.P. – Series B
The fair value of the Fund’s derivatives by instrument type, as well as the location of those instruments on the Statement of Assets and Liabilities, as of December 31, 2015, is as follows:
| | | | | | | | | | | | | | |
Type of Instrument | | Statement of Assets and Liabilities Location | | Asset Derivatives at
December 31, 2015 | | | Liability Derivatives
at December 31, 2015 | | | Net | |
Futures contracts | | Futures contracts purchased | | $ | 291,979 | | | $ | (242,851 | ) | | $ | 49,128 | |
Futures contracts | | Futures contracts sold | | | 465,515 | | | | (405,144 | ) | | | 60,371 | |
| | | | | | | | | | | | | | |
Totals | | | | $ | 757,494 | | | $ | (647,995 | ) | | $ | 109,499 | |
| | | | | | | | | | | | | | |
46
The fair value of the Fund’s derivatives by instrument type, as well as the location of those instruments on the Statement of Assets and Liabilities, as of December 31, 2014, is as follows:
| | | | | | | | | | | | | | |
Type of Instrument | | Statement of Assets and
Liabilities Location | | Asset Derivatives at
December 31, 2014 | | | Liability Derivatives at
December 31, 2014 | | | Net | |
Futures contracts | | Futures contracts purchased | | $ | 586,295 | | | $ | (430,105 | ) | | $ | 156,190 | |
Futures contracts | | Futures contracts sold | | | 390,259 | | | | (95,653 | ) | | | 294,606 | |
| | | | | | | | | | | | | | |
Totals | | | | $ | 976,554 | | | $ | (525,758 | ) | | $ | 450,796 | |
| | | | | | | | | | | | | | |
The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of December 31, 2015 is as follows:
| | | | | | | | | | | | | | | | |
| | | | | | Gross Amounts Not Offset in the Statement
of Assets and Liabilities | | | | |
Counterparty | | Net Amount of Assets in
the Statement of Assets
and Liabilities | | | Financial Instruments
Pledged | | | Cash Collateral
Received | | | Net Amount | |
ADMIS | | $ | (49,565 | ) | | $ | — | | | $ | — | | | $ | (49,565 | ) |
Merrill Lynch | | | 159,064 | | | | — | | | | — | | | | 159,064 | |
| | | | | | | | | | | | | | | | |
Totals | | $ | 109,499 | | | $ | — | | | $ | — | | | $ | 109,499 | |
The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of December 31, 2014 is as follows:
| | | | | | | | | | | | | | | | |
| | | | | | Gross Amounts Not Offset in the Statement
of Assets and Liabilities | | | | |
Counterparty | | Net Amount of Assets in
the Statement of Assets
and Liabilities | | | Financial Instruments
Pledged | | | Cash Collateral
Received | | | Net Amount | |
ADMIS | | $ | 45,365 | | | $ | — | | | $ | — | | | $ | 45,365 | |
Barclays Capital | | | 372,751 | | | | — | | | | — | | | | 372,751 | |
Merrill Lynch | | | 32,680 | | | | — | | | | — | | | | 32,680 | |
| | | | | | | | | | | | | | | | |
Totals | | $ | 450,796 | | | $ | — | | | $ | — | | | $ | 450,796 | |
Effects of derivative instruments on the Statement of Operations for the Year Ended December 31, 2015:
| | | | | | | | | | |
Derivatives not Designated as Hedging Instruments under ASC 815 | | Location of Gain (Loss) on
Derivatives in Statement
Operations | | Net Realized Gain
on Derivatives in
Statement Operations | | | Net Change in
Unrealized Depreciation
on Derivatives in
Statement Operations | |
Foreign exchange contracts | | Net realized/unrealized
gain on futures and
forward contracts | | $ | 34,434 | | | $ | — | |
Futures contracts | | Net realized/unrealized
gain (loss) on futures
and forward contracts | | | 674,684 | | | | (341,296 | ) |
| | | | | | | | | | |
Total | | | | $ | 709,118 | | | $ | (341,296 | ) |
| | | | | | | | | | |
Effects of derivative instruments on the Statement of Operations for the Year Ended December 31, 2014:
47
| | | | | | | | | | |
Derivatives not Designated as Hedging Instruments under ASC 815 | | Location of Gain (Loss) on Derivatives in Statement Operations | | Net Realized Gain (Loss)
on Derivatives in
Statement Operations | | | Net Change in
Unrealized Appreciation
(Depreciation) on
Derivatives in Statement
Operations | |
Foreign exchange contracts | | Net realized/unrealized gain (loss) on futures and forward contracts | | $ | (107,964 | ) | | $ | 32 | |
Futures contracts | | Net realized/unrealized gain (loss) on futures and forward contracts | | | 2,545,326 | | | | (73,985 | ) |
| | | | | | | | | | |
Total | | | | $ | 2,437,362 | | | $ | (73,953 | ) |
| | | | | | | | | | |
Superfund Green, L.P. – Series B gross and net unrealized gains and losses by long and short positions as of December 31, 2015:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | As of December 31, 2015 | |
| | | Futures Contracts Purchased | | | Futures Contracts Sold | | | | |
| | | Asset
Derivatives | | | % of
Net
Assets | | | Liability
Derivatives | | | % of
Net
Assets | | | Asset
Derivatives | | | % of
Net
Assets | | | Liability
Derivatives | | | % of
Net
Assets | | | Net Unrealized
Gain (Loss) on
Open Positions | |
Currency | | $ | 15,504 | | | | 0.2 | | | $ | (43,543 | ) | | | (0.5 | ) | | $ | 58,359 | | | | 0.7 | | | $ | (87,492 | ) | | | (1.1 | ) | | $ | (57,172 | ) |
Financial | | | 46,209 | | | | 0.6 | | | | (2,260 | ) | | | (0.0 | )* | | | 335 | | | | 0.0 | * | | | (23,615 | ) | | | (0.3 | ) | | | 20,669 | |
Food & Fiber | | | 39,840 | | | | 0.5 | | | | (105,014 | ) | | | (1.3 | ) | | | 109,306 | | | | 1.4 | | | | (21,389 | ) | | | (0.3 | ) | | | 22,743 | |
Indices | | | 125,419 | | | | 1.6 | | | | (67,366 | ) | | | (0.8 | ) | | | 119,468 | | | | 1.5 | | | | (75,148 | ) | | | (0.9 | ) | | | 102,373 | |
Metals | | | 32,144 | | | | 0.4 | | | | (17,558 | ) | | | (0.2 | ) | | | 29,097 | | | | 0.4 | | | | (95,465 | ) | | | (1.2 | ) | | | (51,782 | ) |
Livestock | | | 9,910 | | | | 0.1 | | | | — | | | | — | | | | — | | | | — | | | | (13,070 | ) | | | (0.2 | ) | | | (3,160 | ) |
Energy | | | 22,953 | | | | 0.3 | | | | (7,110 | ) | | | (0.1 | ) | | | 148,950 | | | | 1.8 | | | | (88,965 | ) | | | (1.1 | ) | | | 75,828 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Totals | | $ | 291,979 | | | | 3.6 | | | $ | (242,851 | ) | | | (2.9 | ) | | $ | 465,515 | | | | 5.8 | | | $ | (405,144 | ) | | | (5.1 | ) | | $ | 109,499 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| * | Due to rounding – amount is less than 0.05% |
Superfund Green, L.P. – Series B gross and net unrealized gains and losses by long and short positions as of December 31, 2014:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | As of December 31, 2014 | |
| | | Futures Contracts Purchased | | | Futures Contacts Sold | | | | |
| | | Asset
Derivatives | | | % of
Net
Assets | | | Liability
Derivatives | | | % of
Net
Assets | | | Asset
Derivatives | | | % of
Net
Assets | | | Liability
Derivatives | | | % of
Net
Assets | | | Net Unrealized
Gain (Loss) on
Open Positions | |
Currency | | $ | 2,110 | | | | 0.0 | * | | $ | — | | | | — | | | $ | 50,831 | | | | 0.5 | | | $ | — | | | | — | | | $ | 52,941 | |
Financial | | | 322,763 | | | | 2.9 | | | | (16,141 | ) | | | (0.1 | ) | | | — | | | | — | | | | (7,871 | ) | | | (0.1 | ) | | | 298,751 | |
Food & Fiber | | | 21,435 | | | | 0.2 | | | | (60,866 | ) | | | (0.5 | ) | | | 65,901 | | | | 0.6 | | | | (18,801 | ) | | | (0.2 | ) | | | 7,669 | |
Indices | | | 203,538 | | | | 1.8 | | | | (11,348 | ) | | | (0.1 | ) | | | 2,470 | | | | 0.0 | * | | | (66,021 | ) | | | (0.6 | ) | | | 128,639 | |
Metals | | | 35,189 | | | | 0.3 | | | | (106,535 | ) | | | (1.0 | ) | | | 134,424 | | | | 1.2 | | | | (2,960 | ) | | | (0.0 | )* | | | 60,118 | |
Livestock | | | 1,260 | | | | 0.0 | * | | | (132,900 | ) | | | (1.2 | ) | | | — | | | | — | | | | — | | | | — | | | | (131,640 | ) |
Energy | | | — | | | | — | | | | (102,315 | ) | | | (0.9 | ) | | | 136,633 | | | | 1.2 | | | | — | | | | — | | | | 34,318 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Totals | | $ | 586,295 | | | | 5.2 | | | $ | (430,105 | ) | | | (3.8 | ) | | $ | 390,259 | | | | 3.5 | | | $ | (95,653 | ) | | | (0.9 | ) | | $ | 450,796 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| * | Due to rounding – amount is less than 0.05% |
48
Series B average contract volume by market sector for the Year Ended December 31, 2015:
| | | | | | | | |
| | | Average Number
of Long Contracts | | | Average Number
of Short Contracts | |
Currency | | | 99 | | | | 550 | |
Financial | | | 2,143 | | | | 748 | |
Food & Fiber | | | 821 | | | | 901 | |
Indices | | | 1,672 | | | | 1,381 | |
Metals | | | 612 | | | | 577 | |
Energy | | | 344 | | | | 574 | |
Livestock | | | 238 | | | | 52 | |
| | | | | | | | |
Total | | | 5,929 | | | | 4,783 | |
| | | | | | | | |
Series B average contract volume by market sector for the Year Ended December 31, 2014:
| | | | | | | | |
| | | Average Number
of Long Contracts | | | Average Number
of Short Contracts | |
Currency | | | 1,495 | | | | 893 | |
Financial | | | 7,273 | | | | 1,302 | |
Food & Fiber | | | 388 | | | | 491 | |
Indices | | | 4,342 | | | | 744 | |
Metals | | | 1,392 | | | | 864 | |
Energy | | | 991 | | | | 434 | |
Livestock | | | 287 | | | | 4 | |
| | | | | | | | |
Total | | | 16,168 | | | | 4,732 | |
| | | | | | | | |
Series B trading results by market sector:
| | | | | | | | | | | | |
| | | For the Year Ended December 31, 2015 | |
| | | Net Realized
Gains (Losses) | | | Change in Net
Unrealized
Gains (Losses) | | | Net Trading
Gains (Losses) | |
Foreign Exchange | | $ | 34,434 | | | $ | — | | | $ | 34,434 | |
Currency | | | 196,972 | | | | (110,112 | ) | | | 86,860 | |
Financial | | | (189,470 | ) | | | (278,082 | ) | | | (467,552 | ) |
Food & Fiber | | | (198,833 | ) | | | 15,074 | | | | (183,759 | ) |
Indices | | | 301,741 | | | | (26,266 | ) | | | 275,475 | |
Metals | | | 224,348 | | | | (111,900 | ) | | | 112,448 | |
Livestock | | | (508,070 | ) | | | 128,480 | | | | (379,590 | ) |
Energy | | | 847,996 | | | | 41,510 | | | | 889,506 | |
| | | | | | | | | | | | |
Total net trading gains (losses) in Statement of Operations | | $ | 709,118 | | | $ | (341,296 | ) | | $ | 367,822 | |
| | | | | | | | | | | | |
| |
| | | For the Year Ended December 31, 2014 | |
| | | Net Realized
Gains (Losses) | | | Change in Net
Unrealized
Gains (Losses) | | | Net Trading
Gains (Losses) | |
Foreign Exchange | | $ | (107,964 | ) | | $ | 32 | | | $ | (107,932 | ) |
Currency | | | 357,959 | | | | (44,972 | ) | | | 312,987 | |
Financial | | | 1,535,624 | | | | 213,664 | | | | 1,749,288 | |
Food & Fiber | | | 580,030 | | | | (18,000 | ) | | | 562,030 | |
Indices | | | 501,601 | | | | (245,013 | ) | | | 256,588 | |
Metals | | | (433,286 | ) | | | 23,792 | | | | (409,494 | ) |
Livestock | | | 359,450 | | | | (120,890 | ) | | | 238,560 | |
Energy | | | (356,052 | ) | | | 117,434 | | | | (238,618 | ) |
| | | | | | | | | | | | |
Total net trading gains (losses) in Statement of Operations | | $ | 2,437,362 | | | $ | (73,953 | ) | | $ | 2,363,409 | |
| | | | | | | | | | | | |
49
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, 2015, 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.
| (5) | Allocation of Net Profits and Losses |
In accordance with the Sixth Amended and Restated 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.
Subscriptions received in advance, 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, 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. 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. In addition, Superfund Brokerage Services, Inc., an affiliate of Superfund Capital Management, serves as the introducing broker for the Fund’s futures transactions and receives a portion of the brokerage commissions paid by the Fund in connection with its futures trading. 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. Selling commissions charged as of the end of each month in excess of 10% of the initial public offering price of Units sold shall not be paid out to any selling agent but shall instead be held in a separate account. Accrued monthly performance fees, if any, will then be charged against both net assets of the Fund as of month-end, as well as against amounts held in the separate account. Any increase or decrease in net assets and any accrued interest will then be credited or charged to each investor (a “Limited Partner”) on a pro rata basis. The remainder of the amounts held in the separate account, if any, shall then be reinvested in Units as of such month-end, at the current net asset value, for the benefit of the appropriate Limited Partner. The amount of any distribution to a Limited Partner, any amount paid to a Limited Partner on redemption of Units and any redemption fee paid to Superfund Capital Management upon the redemption of Units will be charged to that Limited Partner. Selling commissions are shown gross on the statement of operations and amounts over the 10% selling commission threshold are rebated to the Limited Partner by purchasing Units of the Fund. For the year ended December 31, 2015, rebated selling commissions amounted to $265,984 for Series A and $324,055 for Series B.
As of December 31, 2015, Superfund Capital Management owned 178.298 Units of Series A, representing 2.77% of the total issued Units of Series A, and 204.874 Units of Series B, representing 3.53% of the total issued Units of Series B, having a combined value of $505,377. Gains allocated to Units of Series A and Series B owned by Superfund Capital Management were $34,698 for the year ended December 31, 2015. Selling commissions over the 10% threshold in the amount of $11,695 were rebated to Superfund Capital Management during this period through the purchase of 8.087 Units of Series B. As of December 31, 2014, Superfund Capital Management owned 178.298 Units of Series A, representing 2.2% of the total issued Units of Series A, and 196.786 Units of Series B, representing 2.6% of the total issued Units of Series B, having a combined value of $519,069. Gains allocated to Units of Series A and Series B owned by Superfund Capital Management were $22,255 for the year ended December 31, 2014. Selling commissions over the 10% threshold in the amount of $11,190 were rebated to Superfund Capital Management during this period through the purchase of 8.488 Units of Series B. Superfund Capital Management did not make any contributions to either Series during the year ended December 31, 2015.
50
Financial highlights for the year ended December 31, 2015, are as follows:
| | | | | | | | |
| | | SERIES A | | | SERIES B | |
Total return* | | | | | | | | |
Total return before incentive fees | | | (4.9 | )% | | | (4.3 | )% |
Incentive fees | | | 0.0 | | | | 0.0 | |
| | | | | | | | |
Total return after incentive fees | | | (4.9 | )% | | | (4.3 | )% |
| | | | | | | | |
Ratio to average partners’ capital | | | | | | | | |
Operating expenses before incentive fees | | | 7.4 | % | | | 8.2 | % |
Incentive fees | | | 0.0 | | | | 0.0 | |
| | | | | | | | |
Total expenses | | | 7.4 | % | | | 8.2 | % |
| | | | | | | | |
Net investment loss | | | (7.4 | )% | | | (8.2 | )% |
Net asset value per unit, beginning of year | | $ | 1,283.60 | | | $ | 1,462.68 | |
| | | | | | | | |
Net investment loss | | | (93.40 | ) | | | (118.52 | ) |
Net gain on investments | | | 32.06 | | | | 47.97 | |
| | | | | | | | |
Total loss from operations | | | (61.34 | ) | | | (70.55 | ) |
| | | | | | | | |
Net asset value per unit, end of year | | $ | 1,222.26 | | | $ | 1,392.13 | |
| | | | | | | | |
| * | Total return is calculated for each Series of the Fund taken as a whole. An individual investor’s return may vary from these returns based on the timing of capital transactions. |
| | | | | | | | |
Other per Unit information: | | | | | | | | |
Net decrease in net assets from operations per Unit (based upon weighted average | | | | | | | | |
Number of Units during year) | | $ | (61.12 | ) | | $ | (62.42 | ) |
| | | | | | | | |
Net decrease in net assets from operations per Unit (based upon change in net asset value per Unit during year) | | $ | (61.34 | ) | | $ | (70.55 | ) |
| | | | | | | | |
Financial highlights for the year ended December 31, 2014, are as follows:
| | | | | | | | |
| | | SERIES A | | | SERIES B | |
Total return* | | | | | | | | |
Total return before incentive fees | | | 5.6 | % | | | 12.4 | % |
Incentive fees | | | 0.0 | | | | 0.0 | |
| | | | | | | | |
Total return after incentive fees | | | 5.6 | % | | | 12.4 | % |
| | | | | | | | |
Ratio to average partners’ capital | | | | | | | | |
Operating expenses before incentive fees | | | 8.1 | % | | | 8.9 | % |
Incentive fees | | | 0.0 | | | | 0.0 | |
| | | | | | | | |
Total expenses | | | 8.1 | % | | | 8.9 | % |
| | | | | | | | |
Net investment loss | | | (8.1 | )% | | | (8.9 | )% |
Net asset value per unit, beginning of year | | $ | 1,215.27 | | | $ | 1,300.97 | |
| | | | | | | | |
Net investment loss | | | (98.41 | ) | | | (117.43 | ) |
Net gain on investments | | | 166.74 | | | | 279.14 | |
| | | | | | | | |
Total income (loss) from operations | | | 68.33 | | | | 161.71 | |
| | | | | | | | |
Net asset value per unit, end of year | | $ | 1,283.60 | | | $ | 1,462.68 | |
| | | | | | | | |
| * | Total return is calculated for each Series of the Fund taken as a whole. An individual investor’s return may vary from these returns based on the timing of capital transactions. |
| | | | | | | | |
Other per Unit information: | | | | | | | | |
Net increase in net assets from operations per Unit (based upon weighted average Number of Units during year) | | $ | 59.08 | | | $ | 140.27 | |
| | | | | | | | |
Net increase in net assets from operations per Unit (based upon change in net asset value per Unit during year) | | $ | 68.33 | | | $ | 161.71 | |
| | | | | | | | |
51
| (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 $1,256,226 and $1,085,800, respectively, at December 31, 2015.
For Series A, gross unrealized gains and losses related to exchange traded futures were $498,732 and $437,805, respectively, at December 31, 2015.
For Series B, gross unrealized gains and losses related to exchange traded futures were $757,494 and $647,995, respectively, at December 31, 2015.
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. (“ADMIS”) and Merrill Lynch, Pierce, Fenner & Smith Inc. (“Merrill Lynch”).
Superfund Capital Management monitors and attempts to control 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.
52
| (9) | Subscriptions and Redemptions |
Effective May 1, 2014, the Fund no longer accepts subscriptions.
A 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 $10,000. 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.”
In the normal course of business, the Fund enters into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is dependent on future claims that may be made against the Fund, and therefore cannot be established; however, based on experience, the risk of loss from such claims is considered remote.
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.
53
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 March 30, 2016.
| | |
| 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, the general partner of the registrant, and in the capacities and on the dates indicated.
| | | | |
Signature | | Title with Superfund Capital Management | | Date |
| | |
/s/ Nigel James | | President | | March 30, 2016 |
| Nigel James | | (Principal Executive Officer) | | |
| | |
/s/ Martin Schneider | | Vice President and Director | | March 30, 2016 |
Martin Schneider | | (Principal Financial Officer) | | |
(Being the principal executive officer and the principal financial officer, and a majority of the board of directors of Superfund Capital Management)
54
EXHIBIT INDEX
| | |
Exhibit
Number | | Description of Document |
| |
| 31.01 | | Rule 13a-14(a)/15d -14(a) Certification of Principal Executive Officer |
| |
| 31.02 | | Rule 13a-14(a)/15d-14(a) Certification of Principal Financial Officer |
| |
| 32.01 | | Section 1350 Certification of Principal Executive Officer |
| |
| 32.02 | | Section 1350 Certification of Principal Financial Officer |
| |
| 101.INS | | XBRL Instance Document |
| |
| 101.SCH | | XBRL Taxonomy Extension Schema Document |
| |
| 101.CAL | | XBRL Taxonomy Extension Calculation Linkbase Document |
| |
| 101.DEF | | XBRL Taxonomy Extension Definition Linkbase Document |
| |
| 101.LAB | | XBRL Taxonomy Extension Labe Linkbase Document |
| |
| 101.PRE | | XBRL Taxonomy Extension Presentation Linkbase Document |
The following exhibits are incorporated by reference herein from the exhibits of the same description and number filed on April 12, 2013, with Amendment No. 1 to Superfund Green, L.P.’s Registration Statement on Form S-1 (File No. 333-184998).
| | |
| 3.01 | | Form of Sixth Amended and Restated Limited Partnership Agreement of Superfund Green, L.P. |
| |
| 10.02 | | Form of Subscription Agreement |
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. |
55
