Disclosure of Derivative Instruments and Hedging Activities | (3) Disclosure of derivative instruments and hedging activities The Fund follows ASC 815, Disclosures about Derivative Instruments and Hedging Activities 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. 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 Liability Derivatives 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 Liability Derivatives 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 Counterparty Net Amount of Assets in Financial Instruments Cash Collateral 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 Counterparty Net Amount of Assets in Financial Instruments Cash Net ADMIS $ 74,729 $ — $ — $ 74,729 Barclays Capital 594,459 — — 594,459 Merrill Lynch 50,204 — — 50,204 Totals $ 719,392 $ — $ — $ 719,392 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 Net Change in 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) Net Change in 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 % of Net Assets Liability % of Net Assets Asset % of Net Assets Liability % of Net Assets Net Unrealized Gain (Loss) on 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% 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 % of Net Assets Liability % of Net Assets Asset % of Net Assets Liability % of Net Assets Net Unrealized Gain (Loss) on 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 Average Number 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 Average Number 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: For the Year Ended December 31, 2015 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading 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 Liability Derivatives 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 Liability Derivatives 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: Gross Amounts Not Offset in the Statement of Assets and Liabilities Counterparty Net Amount of Assets in Financial Instruments Cash Collateral 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 Financial Instruments Cash Collateral 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 Net Change in 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) Net Change in Unrealized Appreciation 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 ) 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 % of Net Assets Liability % of Net Assets Asset % of Net Assets Liability % of Net Assets Net Unrealized Gain (Loss) on 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 % of Net Assets Liability % of Net Assets Asset % of Net Assets Liability % of Net Assets Net Unrealized Gain (Loss) on 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 Average Number 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 Series A average contract volume by market sector for the Year Ended December 31, 2014: Average Number Average Number 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 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 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 Liability Derivatives 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 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 Asset Derivatives at Liability Derivatives at 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 Counterparty Net Amount of Assets in Financial Instruments Cash Collateral 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 Counterparty Net Amount of Assets in Financial Instruments Cash Collateral 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 Net Realized Gain on Derivatives in Statement Operations Net Change in Foreign exchange contracts Net realized/unrealized gain on futures and $ 34,434 $ — Futures contracts Net realized/unrealized 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: Derivatives not Designated as Hedging Instruments under ASC 815 Location of Gain (Loss) on Derivatives in Statement Operations Net Realized Gain (Loss) Net Change in 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 % of Net Assets Liability % of Net Assets Asset % of Net Assets Liability % of Net Assets Net Unrealized Gain (Loss) on 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 % of Net Assets Liability % of Net Assets Asset % of Net Assets Liability % of Net Assets Net Unrealized Gain (Loss) on 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% Series B average contract volume by market sector for the Year Ended December 31, 2015: Average Number Average Number 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 Average Number 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 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 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 |