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. 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, 2017, 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 $ 12,118 $ — $ 12,118 Foreign exchange contracts Unrealized depreciation on open forward contracts — (34,559 ) (34,559 ) Futures contracts Futures contracts purchased 241,777 (116,766 ) 125,011 Futures contracts Futures contracts sold 87,227 (76,627 ) 10,600 Totals $ 341,122 $ (227,952 ) $ 113,170 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 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 Fund’s financial assets, derivative assets and cash collateral held by counterparties as of March 31, 2017 is as follows: Gross Amounts Not Offset in the Statement of Counterparty Net Amount of Assets in Financial Instruments Cash Collateral Net Amount ADMIS $ 56,448 $ — $ — $ 56,448 Merrill Lynch 56,722 — — 56,722 Totals $ 113,170 $ — $ — $ 113,170 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 Counterparty Net Amount of Assets in Financial Instruments Cash Collateral Net Amount ADMIS $ (62,704 ) $ — $ — $ (62,704 ) Merrill Lynch 117,104 — — 117,104 Totals $ 54,400 $ — $ — $ 54,400 Effects of derivative instruments on the statement of operations for the three months ended March 31, 2017: Derivatives not Location of Gain (Loss) Net Realized Gain on Net Change in Foreign exchange contracts Net realized/unrealized gain (loss) on futures and forward contracts $ 39,987 $ (13,822 ) Futures contracts Net realized/unrealized gain on futures and forward contracts 341,554 72,594 Total $ 381,541 $ 58,772 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) Statement of Operations 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 Superfund Green, L.P. gross and net unrealized gains and losses by long and short positions as of March 31, 2017 and December 31, 2016: As of March 31, 2017 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 $ 3,031 0.0 * $ (15,436 ) (0.2 ) $ 9,087 0.1 $ (19,123 ) (0.2 ) $ (22,441 ) Currency 8,274 0.1 (2,334 ) (0.0 )* 1,975 0.0 * (41,920 ) (0.5 ) (34,005 ) Financial 50,422 0.6 (2,936 ) (0.0 )* — — — — 47,486 Food & Fiber 50 0.0 * (5,313 ) (0.1 ) 70,604 0.8 — — 65,341 Indices 107,500 1.3 (61,806 ) (0.7 ) 107 0.0 * (7,633 ) (0.1 ) 38,168 Metals 41,831 0.5 (36,767 ) (0.4 ) 13,700 0.2 (15,394 ) (0.2 ) 3,370 Livestock 9,040 0.1 (7,610 ) (0.1 ) — — — — 1,430 Energy 24,660 0.3 — — 841 0.0 * (11,680 ) (0.1 ) 13,821 Totals $ 244,808 2.9 $ (132,202 ) (1.5 ) $ 96,314 1.1 $ (95,750 ) (1.1 ) $ 113,170 * Due to rounding – amount is less than 0.05% 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 3.2 $ (226,087 ) (2.6 ) $ 176,981 1.9 $ (164,967 ) (1.8 ) $ 54,400 * Due to rounding – amount is less than 0.05% Superfund Green L.P. monthly contract volume: For the three months ended March 31, 2017, the monthly average futures and forward contracts bought was 1,636 and the monthly average futures and forward contracts sold was 741. For the three months ended March 31, 2016, the monthly average futures contracts bought was 1,591 and the monthly average futures contracts sold was 2,359. Superfund Green, L.P. trading results by market sector: For the Three Months Ended March 31, 2017 Net Realized Change in Net Net Trading Foreign Exchange $ 39,987 $ (13,822 ) 26,165 Currency (109,904 ) (14,494 ) (124,398 ) Financial (21,336 ) (19,083 ) (40,419 ) Food & Fiber (133,377 ) 74,987 (58,390 ) Indices 723,201 15,183 738,384 Metals 65,479 (23,976 ) 41,503 Livestock (58,560 ) 47,010 (11,550 ) Energy (123,949 ) (7,033 ) (130,982 ) Total net trading gains in Statement of Operations $ 381,541 $ 58,772 $ 440,313 For the Three Months Ended March 31, 2016 Net Realized Change in Net Net Trading 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 ) 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, 2017, is as follows: Type of Instrument Statement of Assets and Asset Derivatives at Liability Derivatives Net Foreign exchange contracts Unrealized appreciation $ 3,365 $ — $ 3,365 Foreign exchange contracts Unrealized depreciation — (6,734 ) (6,734 ) Futures contracts Futures contracts 64,298 (32,845 ) 31,453 Futures contracts Futures contracts sold 23,605 (19,539 ) 4,066 Totals $ 91,268 $ (59,118 ) $ 32,150 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 Asset Derivatives at Liability Derivatives Net Foreign exchange contracts Unrealized appreciation $ 4,792 $ — $ 4,792 Foreign exchange contracts Unrealized depreciation — (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 Fund’s financial assets, derivative assets and cash collateral held by counterparties as of March 31, 2017 is as follows: Gross Amounts Not Offset in the Statement of Counterparty Net Amount of Assets in Financial Instruments Cash Collateral Net Amount ADMIS $ 22,882 $ — $ — $ 22,882 Merrill Lynch 9,268 — — 9,268 Totals $ 32,150 $ — $ — $ 32,150 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 Counterparty Net Amount of Assets in Financial Instruments Cash Collateral Net Amount ADMIS $ (25,285 ) $ — $ — $ (25,285 ) Merrill Lynch 44,917 — — 44,917 Totals $ 19,632 $ — $ — $ 19,632 Effects of derivative instruments on the statement of operations for the three months ended March 31, 2017: Derivatives not Location of Gain on Net Realized Gain on Net Change in Foreign exchange contracts Net realized/unrealized gain on futures and forward contracts $ 10,315 $ 1,412 Futures contracts Net realized/unrealized gain on futures and forward contracts 119,286 11,107 Total $ 129,601 $ 12,519 Effects of derivative instruments on the statement of operations for the three months ended March 31, 2016: Derivatives not Location of Gain (Loss) 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 Superfund Green, L.P. – Series A gross and net unrealized gains and losses by long and short positions as of March 31, 2017 and December 31, 2016: As of March 31, 2017 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 $ 810 0.0 * $ (2,674 ) (0.1 ) $ 2,555 0.1 $ (4,060 ) (0.1 ) $ (3,369 ) Currency 1,970 0.1 — — — — (12,349 ) (0.4 ) (10,379 ) Financial 14,537 0.4 (1,486 ) (0.0 )* — — — — 13,051 Food & Fiber — — (1,775 ) (0.1 ) 20,830 0.6 — — 19,055 Indices 26,322 0.8 (17,906 ) (0.5 ) — — (1,623 ) (0.0 )* 6,793 Metals 12,130 0.4 (9,748 ) (0.3 ) 2,563 0.1 (4,088 ) (0.1 ) 857 Livestock 3,050 0.1 (1,930 ) (0.1 ) — — — — 1,120 Energy 6,289 0.2 — — 212 0.0 * (1,479 ) (0.0 )* 5,022 Totals $ 65,108 2.0 $ (35,519 ) (1.1 ) $ 26,160 0.8 $ (23,599 ) (0.6 ) $ 32,150 * Due to rounding – amount is less than 0.05% 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 $ 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% Series A monthly contract volume: For the three months ended March 31, 2017, the monthly average futures and forward contracts bought was 493 and the monthly average futures and forward contracts sold was 239. For the three months ended March 31, 2016, the monthly average futures contracts bought was 619 and the monthly average futures contracts sold was 929. Series A trading results by market sector: For the Three Months Ended March 31, 2017 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading Foreign Exchange $ 10,315 $ 1,412 $ 11,727 Currency (34,901 ) (1,718 ) (36,619 ) Financial (4,139 ) (12,009 ) (3,787 ) Food & Fiber (37,733 ) 20,852 (49,742 ) Indices 224,609 (9,424 ) 245,461 Metals 11,552 (6,226 ) 2,128 Livestock (20,300 ) 19,280 (1,020 ) Energy (19,802 ) 352 (26,028 ) Total net trading gains in Statement of Operations $ 129,601 $ 12,519 $ 142,120 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 ) 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, 2017, is as follows: Type of Instrument Statement of Assets and Asset Derivatives at Liability Derivatives Net Foreign exchange contracts Unrealized appreciation on open forward contracts $ 8,753 $ — $ 8,753 Foreign exchange contracts Unrealized depreciation on open forward contracts — (27,825 ) (27,825 ) Futures contracts Futures contracts purchased 177,479 (83,921 ) 93,558 Futures contracts Futures contracts sold 63,622 (57,088 ) 6,534 Totals $ 249,854 $ (168,834 ) $ 81,020 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 Asset Derivatives at 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 Fund’s financial assets, derivative assets and cash collateral held by counterparties as of March 31, 2017 is as follows: Gross Amounts Not Offset in the Statement of Counterparty Net Amount of Assets in Financial Instruments Cash Collateral Net Amount ADMIS $ 33,566 $ — $ — $ 33,566 Merrill Lynch 47,454 — — 47,454 Totals $ 81,020 $ — $ — $ 81,020 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 Counterparty Net Amount of Assets in Financial Instruments Cash Collateral Net Amount ADMIS $ (37,419 ) $ — $ — $ (37,419 ) Merrill Lynch 72,187 — — 72,187 Totals $ 34,768 $ — $ — $ 34,768 Effects of derivative instruments on the statement of operations for the three months ended March 31, 2017: Derivatives not Location of Gain (Loss) Net Realized Gain on Net Change in Foreign exchange contracts Net realized/unrealized gain (loss) on futures and forward contracts $ 29,672 $ (15,234 ) Futures contracts Net realized/unrealized gain on futures and 222,268 61,487 Total $ 251,940 $ 46,253 Effects of derivative instruments on the statement of operations for the three months ended March 31, 2016: Derivatives not Location of Gain (Loss) Net Realized Gain (Loss) Net Change in Foreign exchange contracts Net realized/unrealized $ 11,851 $ — Futures contracts Net realized/unrealized gain (loss) on futures and (18,682 ) 29,632 Total $ (6,831 ) $ 29,632 Series B gross and net unrealized gains and losses by long and short positions as of March 31, 2017 and December 31, 2016: As of March 31, 2017 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 Foreign Exchange $ 2,221 0.0 * $ (12,762 ) (0.3 ) $ 6,532 0.1 $ (15,063 ) (0.3 ) $ (19,072 ) Currency 6,304 0.1 (2,334 ) (0.0 )* 1,975 0.0 * (29,571 ) (0.6 ) (23,626 ) Financial 35,885 0.7 (1,450 ) (0.0 )* — — — — 34,435 Food & Fiber 50 0.0 * (3,538 ) (0.1 ) 49,774 1.0 — — 46,286 Indices 81,178 1.6 (43,900 ) (0.9 ) 107 0.0 * (6,010 ) (0.1 ) 31,375 Metals 29,701 0.6 (27,019 ) (0.5 ) 11,137 0.2 (11,306 ) (0.2 ) 2,513 Livestock 5,990 0.1 (5,680 ) (0.1 ) — — — — 310 Energy 18,371 0.4 — — 629 0.0 * (10,201 ) (0.2 ) 8,799 Totals $ 179,700 3.5 $ (96,683 ) (1.9 ) $ 70,154 1.3 $ (72,151 ) (1.4 ) $ 81,020 * Due to rounding – amount is less than 0.05% 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 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% Series B monthly contract volume: For the three months ended March 31, 2017, the monthly average futures and forward contracts bought was 1,143 and the monthly average futures and forward contracts sold was 502. For the three months ended March 31, 2016, the monthly average futures contracts bought was 972 and the monthly average futures contracts sold was 1,430. Series B trading results by market sector: For the Three Months Ended March 31, 2017 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading Foreign Exchange $ 29,672 $ (15,234 ) $ 14,438 Currency (75,003 ) (12,776 ) (87,779 ) Financial (17,197 ) (7,074 ) (24,271 ) Food & Fiber (95,644 ) 54,135 (41,509 ) Indices 498,592 24,607 523,199 Metals 53,927 (17,750 ) 36,177 Livestock (38,260 ) 27,730 (10,530 ) Energy (104,147 ) (7,385 ) (111,532 ) Total net trading gains in Statement of Operations $ 251,940 $ 46,253 $ 298,193 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 |