Disclosure of Derivative Instruments and Hedging Activities | 4. 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 Statements of Operations. The Fund engages in the speculative trading of 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 commodity futures contracts are recorded in the statements of assets and liabilities as unrealized appreciation or depreciation on 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 trading activity expressed as a percentage of net assets is indicative of trading activity. Information concerning the fair value of the Fund’s derivatives held long or sold short, as well as information related to the annual average volume of the Fund’s derivative activity, is as follows: 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 March 31, 2016, is as follows: Type of Instrument Statement of Assets and Liabilities Location Asset Derivatives at Liability Derivatives Net Futures contracts Futures contracts purchased $ 790,679 $ (282,438 ) $ 508,241 Futures contracts Futures contracts sold 344,519 (650,141 ) (305,622 ) Totals $ 1,135,198 $ (932,579 ) $ 202,619 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 Fund’s financial assets, derivative assets and cash collateral held by counterparties as of March 31, 2016 is as follows: Gross Amounts Not Offset in the Counterparty Net Amount of Assets in Financial Instruments Cash Collateral Net Amount ADMIS $ (67,191 ) $ — $ — $ (67,191 ) Merrill Lynch 269,810 — — 269,810 Totals $ 202,619 $ — $ — $ 202,619 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 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 Effects of derivative instruments on the statement of operations for the three months ended March 31, 2016: 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 on futures and forward contracts $ 19,547 $ — Futures contracts Net realized/unrealized gain (loss) on futures and forward contracts (127,535 ) 32,194 Total $ (107,988 ) $ 32,194 Effects of derivative instruments on the statement of operations for the three months ended March 31, 2015: Derivatives not Designated as Hedging Instruments under ASC 815 Location of Gain 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 $ 48,083 $ — Futures contracts Net realized/unrealized gain on futures and forward contracts 1,661,564 26,276 Total $ 1,709,647 $ 26,276 Superfund Green, L.P. gross and net unrealized gains and losses by long and short positions as of March 31, 2016 and December 31, 2015: As of March 31, 2016 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 $ 131,039 0.9 $ — — $ 82,048 0.5 $ (191,932 ) (1.3 ) $ 21,155 Financial 124,790 0.8 (54,027 ) (0.4 ) 94,242 0.6 (78,370 ) (0.5 ) 86,635 Food & Fiber 393,529 2.6 (2,034 ) (0.0 )* 12,818 0.1 (237,433 ) (1.6 ) 166,880 Indices 99,754 0.7 (28,834 ) (0.2 ) 91,886 0.6 (68,723 ) (0.5 ) 94,083 Metals 41,567 0.3 (136,724 ) (0.9 ) 12,494 0.1 (59,583 ) (0.4 ) (142,246 ) Livestock — — (45,120 ) (0.3 ) 20,350 0.1 (1,010 ) (0.0 )* (25,780 ) Energy — — (15,699 ) (0.1 ) 30,681 0.2 (13,090 ) (0.1 ) 1,892 Totals $ 790,679 5.3 $ (282,438 ) (1.9 ) $ 344,519 2.2 $ (650,141 ) (4.4 ) $ 202,619 * Due to rounding – amount is less than 0.05% 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. average* monthly contract volume by market sector as of quarter ended March 31, 2016: Average Number Average Number Currency 99 249 Financial 412 572 Food & Fiber 384 382 Indices 415 589 Metals 152 211 Energy 68 327 Livestock 61 29 Total 1,591 2,359 * Based on quarterly holdings Superfund Green, L.P. average* monthly contract volume by market sector as of quarter ended March 31, 2015: Average Number Average Number Currency 17 120 Financial 1,802 14 Food & Fiber 305 295 Indices 822 174 Metals 285 159 Energy 94 89 Livestock 143 4 Total 3,468 855 * Based on quarterly holdings Superfund Green, L.P. trading results by market sector: For the Three Months Ended March 31, 2016 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading Gains (Losses) Foreign Exchange $ 19,547 $ — 19,547 Currency (199,152 ) 120,278 (78,874 ) Financial (94,311 ) 47,059 (47,252 ) Food & Fiber (87,208 ) 136,738 49,530 Indices 229,658 (82,443 ) 147,215 Metals (360,451 ) (53,152 ) (413,603 ) Livestock (14,960 ) (23,210 ) (38,170 ) Energy 398,889 (113,076 ) 285,813 Total net trading gains (losses) in Statement of Operations $ (107,988 ) $ 32,194 $ (75,794 ) For the Three Months Ended March 31, 2015 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading Gains (Losses) Foreign Exchange $ 48,083 $ — 48,083 Currency 561,266 (187,682 ) 373,584 Financial 1,197,840 (90,451 ) 1,107,389 Food & Fiber (27,254 ) 73,785 46,531 Indices 618,348 134,367 752,715 Metals 18,927 (154,338 ) (135,411 ) Livestock (659,720 ) 290,690 (369,030 ) Energy (47,843 ) (40,095 ) (87,938 ) Total net trading gains in Statement of Operations $ 1,709,647 $ 26,276 $ 1,735,923 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 March 31, 2016, is as follows: Type of Instrument Statement of Assets and Liabilities Location Asset Derivatives at Liability Derivatives Net Futures contracts Futures contracts purchased $ 306,031 $ (108,500 ) $ 197,531 Futures contracts Futures contracts sold 131,238 (265,281 ) (134,043 ) Totals $ 437,269 $ (373,781 ) $ 63,488 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 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 Fund’s financial assets, derivative assets and cash collateral held by counterparties as of March 31, 2016 is as follows: Gross Amounts Not Offset in the Statement of Counterparty Net Amount of Assets in Financial Instruments Cash Collateral Net Amount ADMIS $ (33,701 ) $ — $ — $ (33,701 ) Merrill Lynch 97,189 — — 97,189 Totals $ 63,488 $ — $ — $ 63,488 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 $ (51,324 ) $ — $ — $ (51,324 ) Merrill Lynch 112,251 — — 112,251 Totals $ 60,927 $ — $ — $ 60,927 Effects of derivative instruments on the statement of operations for the three months ended March 31, 2016: 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 on futures and forward contracts $ 7,696 $ — Futures contracts Net realized/unrealized gain (loss) on futures and forward contracts (108,853 ) 2,562 Total $ (101,157 ) $ 2,562 Effects of derivative instruments on the statement of operations for the three months ended March 31, 2015: Derivatives not Designated as Hedging Instruments under ASC 815 Location of Gain 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 $ 17,431 $ — Futures contracts Net realized/unrealized gain on futures and forward contracts 569,564 6,632 Total $ 586,995 $ 6,632 Superfund Green, L.P. – Series A gross and net unrealized gains and losses by long and short positions as of March 31, 2016 and December 31, 2015: As of March 31, 2016 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 $ 50,457 0.7 $ — — $ 32,160 0.4 $ (76,513 ) (1.0 ) $ 6,104 Financial 46,752 0.6 (21,873 ) (0.3 ) 37,614 0.5 (31,267 ) (0.4 ) 31,226 Food & Fiber 155,236 2.1 (1,257 ) (0.0 )* 4,675 0.1 (94,023 ) (1.3 ) 64,631 Indices 36,370 0.5 (10,493 ) (0.1 ) 34,159 0.5 (28,991 ) (0.4 ) 31,045 Metals 17,216 0.2 (51,129 ) (0.7 ) 3,181 0.0 * (28,612 ) (0.4 ) (59,344 ) Livestock — — (17,860 ) (0.2 ) 8,180 0.1 (330 ) (0.0 )* (10,010 ) Energy — — (5,888 ) (0.1 ) 11,269 0.2 (5,545 ) (0.1 ) (164 ) Totals $ 306,031 4.1 $ (108,500 ) (1.4 ) $ 131,238 1.8 $ (265,281 ) (3.6 ) $ 63,488 * Due to rounding – amount is less than 0.05% 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% Series A average* monthly contract volume by market sector as of quarter ended March 31, 2016: Average Number Average Number Currency 38 96 Financial 157 227 Food & Fiber 151 150 Indices 162 232 Metals 59 84 Energy 28 129 Livestock 24 11 Total 619 929 * Based on quarterly holdings Series A average* monthly contract volume by market sector as of quarter ended March 31, 2015: Average Number Average Number Currency 8 40 Financial 668 6 Food & Fiber 113 110 Indices 302 65 Metals 103 57 Energy 33 33 Livestock 54 2 Total 1,281 313 * Based on quarterly holdings Series A trading results by market sector: For the Three Months Ended March 31, 2016 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading Foreign Exchange $ 7,696 $ — $ 7,696 Currency (79,007 ) 48,055 (30,952 ) Financial (30,999 ) 12,319 (18,680 ) Food & Fiber (40,916 ) 57,232 16,316 Indices 54,742 (43,108 ) 11,634 Metals (141,557 ) (22,032 ) (163,589 ) Livestock (2,490 ) (10,600 ) (13,090 ) Energy 131,374 (39,304 ) 92,070 Total net trading gains (losses) in Statement of Operations $ (101,157 ) $ 2,562 $ (98,595 ) For the Three Months Ended March 31, 2015 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading Foreign Exchange $ 17,431 $ — $ 17,431 Currency 211,238 (69,365 ) 141,873 Financial 446,604 (41,400 ) 405,204 Food & Fiber (7,692 ) 22,363 14,671 Indices 192,250 58,446 250,696 Metals 6,092 (54,774 ) (48,682 ) Livestock (251,940 ) 108,971 (142,969 ) Energy (26,988 ) (17,609 ) (44,597 ) Total net trading gains in Statement of Operations $ 586,995 $ 6,632 $ 593,627 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 March 31, 2016, is as follows: Type of Instrument Statement of Assets and Asset Derivatives at Liability Derivatives Net Futures contracts Futures contracts $ 484,648 $ (173,938 ) $ 310,710 Futures contracts Futures contracts sold 213,281 (384,860 ) (171,579 ) Totals $ 697,929 $ (558,798 ) $ 139,131 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 Asset Derivatives at Liability Derivatives Net Futures contracts Futures contracts $ 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 Fund’s financial assets, derivative assets and cash collateral held by counterparties as of March 31, 2016 is as follows: Gross Amounts Not Offset in the Counterparty Net Amount of Assets in Financial Instruments Cash Collateral Net Amount ADMIS $ (33,490 ) $ — $ — $ (33,490 ) Merrill Lynch 172,621 — — 172,621 Totals $ 139,131 $ — $ — $ 139,131 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 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 Effects of derivative instruments on the statement of operations for the three months ended March 31, 2016: 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 on futures and forward contracts $ 11,851 $ — Futures contracts Net realized/unrealized gain (loss) on futures and forward contracts (18,682 ) 29,632 Total $ (6,831 ) $ 29,632 Effects of derivative instruments on the statement of operations for the three months ended March 31, 2015: Derivatives not Designated as Hedging Instruments under ASC 815 Location of Gain 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 $ 30,652 $ — Futures contracts Net realized/unrealized gain on futures and forward contracts 1,092,000 19,644 Total $ 1,122,652 $ 19,644 Series B gross and net unrealized gains and losses by long and short positions as of March 31, 2016 and December 31, 2015: As of March 31, 2016 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 $ 80,582 1.0 $ — — $ 49,888 0.6 $ (115,419 ) (1.5 ) $ 15,051 Financial 78,038 1.0 (32,154 ) (0.4 ) 56,628 0.7 (47,103 ) (0.6 ) 55,409 Food & Fiber 238,293 3.1 (777 ) (0.0 )* 8,143 0.1 (143,410 ) (1.9 ) 102,249 Indices 63,384 0.8 (18,341 ) (0.2 ) 57,727 0.7 (39,732 ) (0.5 ) 63,038 Metals 24,351 0.3 (85,595 ) (1.1 ) 9,313 0.1 (30,971 ) (0.4 ) (82,902 ) Livestock — — (27,260 ) (0.4 ) 12,170 0.2 (680 ) (0.0 )* (15,770 ) Energy — — (9,811 ) (0.1 ) 19,412 0.3 (7,545 ) (0.1 ) 2,056 Totals $ 484,648 6.2 $ (173,938 ) (2.2 ) $ 213,281 2.7 $ (384,860 ) (5.0 ) $ 139,131 * Due to rounding – amount is less than 0.05% 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 3.7 $ (242,851 ) (2.9 ) $ 465,515 5.8 $ (405,144 ) (5.1 ) $ 109,499 * Due to rounding – amount is less than 0.05% Series B average* monthly contract volume by market sector as of quarter ended March 31, 2016: Average Number Average Number Currency 61 153 Financial 255 345 Food & Fiber 233 232 Indices 253 357 Metals 93 127 Energy 40 198 Livestock 37 18 Total 972 1,430 * Based on quarterly holdings Series B average* monthly contract volume by market sector as of quarter ended March 31, 2015: Average Number Average Number Currency 9 80 Financial 1,134 8 Food & Fiber 192 185 Indices 520 109 Metals 182 102 Energy 61 56 Livestock 89 2 Total 2,187 542 * Based on quarterly holdings Series B trading results by market sector: For the Three Months Ended March 31, 2016 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading Foreign Exchange $ 11,851 $ — $ 11,851 Currency (120,145 ) 72,223 (47,922 ) Financial (63,312 ) 34,740 (28,572 ) Food & Fiber (46,292 ) 79,506 33,214 Indices 174,916 (39,335 ) 135,581 Metals (218,894 ) (31,120 ) (250,014 ) Livestock (12,470 ) (12,610 ) (25,080 ) Energy 267,515 (73,772 ) 193,743 Total net trading gains (losses) in Statement of Operations $ (6,831 ) $ 29,632 $ 22,801 For the Three Months Ended March 31, 2015 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading Foreign Exchange $ 30,652 $ — $ 30,652 Currency 350,028 (118,317 ) 231,711 Financial 751,236 (49,051 ) 702,185 Food & Fiber (19,562 ) 51,422 31,860 Indices 426,098 75,921 502,019 Metals 12,835 (99,564 ) (86,729 ) Livestock (407,780 ) 181,719 (226,061 ) Energy (20,855 ) (22,486 ) (43,341 ) Total net trading gains in Statement of Operations $ 1,122,652 $ 19,644 $ 1,142,296 |