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 change in 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, 2016, is as follows: Type of Instrument Statement of Assets and Liabilities Location Asset Derivatives at Liability Derivatives Net Foreign exchange contracts Unrealized appreciation on open forward contracts $ 25,475 $ — $ 25,475 Foreign exchange contracts Unrealized depreciation on open forward contracts — (34,093 ) (34,093 ) Futures contracts Futures contracts purchased 254,994 (211,351 ) 43,643 Futures contracts Futures contracts sold 164,986 (145,611 ) 19,375 Totals $ 445,455 $ 391,055 $ 54,400 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 December 31, 2016 is as follows: Gross Amounts Not Offset in the Statement of Assets and Liabilities Counterparty Net Amount of Assets in Financial Cash Collateral Net Amount ADMIS $ (62,704 ) $ — $ — $ (62,704 ) Merrill Lynch 117,104 — — 117,104 Totals $ 54,400 $ — $ — $ 54,400 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 $ (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 Year Ended December 31, 2016: Derivatives not Designated as Hedging Instruments under ASC 815 Location of Loss on Derivatives in Statement of Operations Net Realized Loss on Net Change in Foreign exchange contracts Net realized/unrealized loss on futures and forward contracts $ (63,171 ) $ (8,620 ) Futures contracts Net realized/unrealized loss on futures and forward contracts (1,921,048 ) (107,408 ) Total $ (1,984,219 ) $ (116,028 ) 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 ) Superfund Green, L.P. gross and net unrealized gains and losses by long and short positions as of December 31, 2016: As of December 31, 2016 Futures Contracts Purchased Futures Contracts Sold Gains % of Net Assets Losses % of Net Assets Gains % of Net Assets Losses % of Net Assets Net Unrealized Gain (Loss) on Foreign Exchange $ 13,481 0.2 $ (14,738 ) (0.2 ) $ 11,994 0.1 $ (19,355 ) (0.2 ) $ (8,618 ) Currency 2,976 0.0 * (38,947 ) (0.4 ) 20,015 0.2 (3,555 ) (0.0 )* (19,511 ) Financial 105,659 1.2 (12,113 ) (0.1 ) 1,789 0.0 * (28,765 ) (0.3 ) 66,570 Food & Fiber 13,543 0.2 (30,833 ) (0.4 ) 28,124 0.3 (20,480 ) (0.2 ) (9,646 ) Indices 92,375 1.1 (49,313 ) (0.6 ) 8,350 0.1 (28,427 ) (0.3 ) 22,985 Metals 5,640 0.1 (80,118 ) (0.9 ) 106,709 1.2 (4,885 ) (0.1 ) 27,346 Livestock — — — — — — (45,580 ) (0.5 ) (45,580 ) Energy 34,799 0.4 (25 ) (0.0 )* — — (13,920 ) (0.2 ) 20,854 Totals $ 268,473 3.1 $ (226,087 ) (2.6 ) $ 176,981 2.0 $ (164,967 ) (1.9 ) $ 54,400 * 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, 2015: As of December 31, 2015 Futures Contracts Purchased Futures Contracts Sold Gains % of Net Assets Losses % of Net Assets Gains % of Net Assets Losses % 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. monthly contract volume: For the twelve months ended December 31, 2016, the monthly average futures and forward contracts bought was 1,826 and the monthly average futures and forward contracts sold was 1,602. For the twelve months ended December 31, 2015, the monthly average futures contracts bought was 2,379 and the monthly average futures contracts sold was 1,973. Superfund Green, L.P. trading results by market sector: For the Year Ended December 31, 2016 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading Gains (Losses) Foreign Exchange $ (63,171 ) $ (8,618 ) $ (71,789 ) Currency (562,974 ) 79,612 (483,362 ) Financial 224,978 26,997 251,975 Food & Fiber (187,222 ) (39,790 ) (227,012 ) Indices 23,696 (153,541 ) (129,845 ) Metals (663,151 ) 116,440 (546,711 ) Livestock (95,670 ) (43,010 ) (138,680 ) Energy (660,705 ) (94,118 ) (754,823 ) Total net trading losses in Statement of Operations $ (1,984,219 ) $ (116,028 ) $ (2,100,247 ) 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 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, 2016, is as follows: Type of Instrument Statement of Assets and Liabilities Location Asset Derivatives at Liability Derivatives Net Foreign exchange contracts Unrealized appreciation on open forward contracts $ 4,792 $ — $ 4,792 Foreign exchange contracts Unrealized depreciation on open forward contracts — (9,573 ) (9,573 ) Futures contracts Futures contracts purchased 96,648 (84,541 ) 12,107 Futures contracts Futures contracts sold 69,382 (57,076 ) 12,306 Totals $ 170,822 $ (151,190 ) $ 19,632 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 Fund’s financial assets, derivative assets and cash collateral held by counterparties as of December 31, 2016 is as follows: Gross Amounts Not Offset in Counterparty Net Amount of Assets in Financial Cash Collateral Net Amount ADMIS $ (25,285 ) $ — $ — $ (25,285 ) Merrill Lynch 44,917 — — 44,917 Totals $ 19,632 $ — $ — $ 19,632 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 Effects of derivative instruments on the Statement of Operations for the Year Ended December 31, 2016: Derivatives not Designated as Hedging Instruments under ASC 815 Location of Loss on Net Realized Loss on Net Change in Foreign exchange contracts Net realized/unrealized $ (22,124 ) $ (4,782 ) Futures contracts Net realized/unrealized (787,124 ) (36,512 ) Total $ (809,248 ) $ (41,294 ) 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) Net Realized Gain on Net Change in Foreign exchange contracts Net realized/unrealized gain $ 18,553 $ — Futures contracts Net realized/unrealized gain forward contracts 419,035 (207,666 ) Total $ 437,588 $ (207,666 ) Superfund Green, L.P. – Series A gross and net unrealized gains and losses by long and short positions as of December 31, 2016: As of December 31, 2016 Futures Contracts Purchased Futures Contracts Sold Gains % of Net Assets Losses % of Net Assets Gains % of Net Assets Losses % of Net Assets Net Gain (Loss) Foreign Exchange $ 1,557 0.0 * $ (4,187 ) (0.1 ) $ 3,235 0.1 $ (5,386 ) (0.1 ) $ (4,781 ) Currency 1,288 0.0 * (14,968 ) (0.4 ) 7,389 0.2 (2,370 ) (0.1 ) (8,661 ) Financial 37,316 1.0 (2,489 ) (0.1 ) 750 0.0 * (10,516 ) (0.3 ) 25,061 Food & Fiber 5,428 0.1 (11,755 ) (0.3 ) 11,771 0.3 (7,241 ) (0.2 ) (1,797 ) Indices 40,361 1.1 (15,743 ) (0.4 ) 2,693 0.1 (11,094 ) (0.3 ) 16,217 Metals 1,874 0.1 (39,585 ) (1.1 ) 46,779 1.3 (1,985 ) (0.1 ) 7,083 Livestock — — — — — — (18,160 ) (0.5 ) (18,160 ) Energy 10,380 0.3 — — — — (5,710 ) (0.2 ) 4,670 Totals $ 98,204 2.6 $ (88,727 ) (2.4 ) $ 72,617 2.0 $ (62,462 ) (1.8 ) $ 19,632 * 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, 2015: As of December 31, 2015 Futures Contracts Purchased Futures Contracts Sold Gains % of Net Assets Losses % of Net Assets Gains % of Net Assets Losses % of Net Assets Net 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 monthly contract volume: For the twelve months ended December 31, 2016, the monthly average futures and forward contracts bought was 705 and the monthly average futures and forward contracts sold was 627. For the twelve months ended December 31, 2015, the monthly average futures contracts bought was 897 and the monthly average futures contracts sold was 764. Series A trading results by market sector: For the Year Ended December 31, 2016 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading Gains (Losses) Foreign Exchange $ (22,124 ) $ (4,781 ) $ (26,905 ) Currency (225,131 ) 33,290 (191,841 ) Financial 88,433 6,157 94,590 Food & Fiber (74,047 ) (9,198 ) (83,245 ) Indices (36,803 ) (57,936 ) (94,739 ) Metals (254,828 ) 44,395 (210,433 ) Livestock (29,480 ) (18,750 ) (48,230 ) Energy (255,268 ) (34,471 ) (289,739 ) Total net trading losses in Statement of Operations $ (809,248 ) $ (41,294 ) $ (850,542 ) 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 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, 2016, is as follows: Type of Instrument Statement of Assets and Liabilities Location Asset Liability Derivatives Net Foreign exchange contracts Unrealized appreciation on open forward contracts $ 20,683 $ — $ 20,683 Foreign exchange contracts Unrealized depreciation on open forward contracts — (24,520 ) (24,520 ) Futures contracts Futures contracts purchased 158,346 (126,810 ) 31,536 Futures contracts Futures contracts sold 95,604 (88,535 ) 7,069 Totals $ 274,633 $ (239,865 ) $ 34,768 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 Fund’s financial assets, derivative assets and cash collateral held by counterparties as of December 31, 2016 is as follows: Gross Amounts Not Offset in the Statement of Assets and Liabilities Counterparty Net Amount of Assets in Financial Cash Collateral Net Amount ADMIS $ (37,419 ) $ — $ — $ (37,419 ) Merrill Lynch 72,187 — — 72,187 Totals $ 34,768 $ — $ — $ 34,768 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 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 Year Ended December 31, 2016: Derivatives not Designated as Hedging Instruments under ASC 815 Location of Loss on Derivatives in Statement Operations Net Realized Loss on Derivatives in Statement Operations Net Change in Unrealized Depreciation on Derivatives in Statement Operations Foreign exchange contracts Net realized/unrealized loss on futures and forward contracts $ (41,047 ) $ (3,838 ) Futures contracts Net realized/unrealized loss on futures and forward contracts (1,133,924 ) (70,896 ) Total $ (1,174,971 ) $ (74,734 ) 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 ) Superfund Green, L.P. – Series B gross and net unrealized gains and losses by long and short positions as of December 31, 2016: As of December 31, 2016 Futures Contracts Purchased Futures Contacts Sold Gains % of Net Assets Losses % of Net Assets Gains % of Net Assets Losses % of Net Assets Net Unrealized Gain (Loss) on Open Positions Foreign Exchange $ 11,924 0.2 $ (10,551 ) (0.2 ) $ 8,759 0.2 $ (13,969 ) (0.3 ) $ (3,837 ) Currency 1,688 0.0 * (23,979 ) (0.5 ) 12,626 0.2 (1,185 ) (0.0 )* (10,850 ) Financial 68,343 1.3 (9,624 ) (0.2 ) 1,039 0.0 * (18,249 ) (0.4 ) 41,509 Food & Fiber 8,115 0.2 (19,078 ) (0.4 ) 16,353 0.3 (13,239 ) (0.3 ) (7,849 ) Indices 52,014 1.0 (33,570 ) (0.7 ) 5,657 0.1 (17,333 ) (0.3 ) 6,768 Metals 3,766 0.1 (40,533 ) (0.8 ) 59,930 1.2 (2,900 ) (0.1 ) 20,263 Livestock — — — — — — (27,420 ) (0.5 ) (27,420 ) Energy 24,419 0.5 (25 ) (0.0 )* — — (8,210 ) (0.2 ) 16,184 Totals $ 170,269 3.3 $ (137,360 ) (2.8 ) $ 104,364 2.0 $ (102,505 ) (2.1 ) $ 34,768 * 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, 2015: As of December 31, 2015 Futures Contracts Purchased Futures Contracts Sold Gains % of Net Assets Losses % of Net Assets Gains % of Net Assets Losses % 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% Series B monthly contract volume: For the twelve months ended December 31, 2016, the monthly average futures and forward contracts bought was 1,121 and the monthly average futures and forward contracts sold was 975. For the twelve months ended December 31, 2015, the monthly average futures contracts bought was 1,483 and the monthly average futures contracts sold was 1,209. Series B trading results by market sector: For the Year Ended December 31, 2016 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading Gains (Losses) Foreign Exchange $ (41,047 ) $ (3,837 ) $ (44,884 ) Currency (337,843 ) 46,322 (291,521 ) Financial 136,545 20,840 157,385 Food & Fiber (113,175 ) (30,592 ) (143,767 ) Indices 60,499 (95,605 ) (35,106 ) Metals (408,323 ) 72,045 (336,278 ) Livestock (66,190 ) (24,260 ) (90,450 ) Energy (405,437 ) (59,647 ) (465,084 ) Total net trading losses in Statement of Operations $ (1,174,971 ) $ (74,734 ) $ (1,249,705 ) 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 |