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 assets and liabilities. 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, 2017, is as follows: Type of Instrument Statement of Assets and Liabilities Location Asset Derivatives at Liability Derivatives Net Futures contracts Futures contracts purchased $ 304,814 $ (103,106 ) 201,708 Futures contracts Futures contracts sold 111,436 (99,629 ) 11,807 Totals $ 416,250 $ (202,735 ) $ 213,515 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 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 December 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 $ 98,331 $ — $ — $ 98,331 INTL FCStone 115,184 — — 115,184 Totals $ 213,515 $ — $ — $ 213,515 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 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 Year Ended December 31, 2017: Derivatives not Designated as Hedging Instruments under ASC 815 Location of Gain on Derivatives in Statement of Operations Net Realized Gain on Derivatives in Statement of Operations Net Change in Unrealized Appreciation on Derivatives in Statement of Operations Foreign exchange contracts Net realized/unrealized gain (loss) on futures and forward contracts $ 23,848 $ 8,619 Futures contracts Net realized/unrealized gain (loss) on futures and forward contracts 2,143,061 150,498 Total $ 2,166,909 $ 159,117 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 ) Superfund Green, L.P. gross and net unrealized gains and losses by long and short positions as of December 31, 2017: As of December 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 Currency $ 51,395 0.6 $ — — $ 18,884 0.2 $ (5,224 ) (0.1 ) $ 65,055 Financial 5,595 0.1 (62,302 ) (0.7 ) 29,936 0.3 (4,437 ) (0.1 ) (31,208 ) Food & Fiber 713 0.0 * (16,279 ) (0.2 ) 36,826 0.4 (37,642 ) (0.4 ) (16,382 ) Indices 102,526 1.2 (24,527 ) (0.3 ) 23,260 0.3 (5,075 ) (0.1 ) 96,184 Metals 77,460 0.9 — — 463 0.0 * (8,281 ) (0.1 ) 69,642 Livestock — — — — 340 0.0 * — — 340 Energy 67,127 0.8 — — 1,730 0.0 * (38,973 ) (0.4 ) 29,884 Totals $ 304,816 3.5 $ (103,108 ) (1.2 ) $ 111,439 1.3 $ (99,632 ) (1.1 ) $ 213,515 * 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, 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. monthly contract volume: For the twelve months ended December 31, 2017, the monthly average futures and forward contracts bought was 1,658 and the monthly average futures and forward contracts sold was 493. For the twelve months ended December 31, 2016, the monthly average futures contracts bought was 1,826 and the monthly average futures contracts sold was 1,602. Superfund Green, L.P. trading results by market sector: For the Year Ended December 31, 2017 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading Foreign Exchange $ 23,848 $ 8,619 $ 32,467 Currency (133,277 ) 84,566 (48,711 ) Financial 145,055 (97,777 ) 47,278 Food & Fiber (53,465 ) (6,737 ) (60,202 ) Indices 2,372,538 73,198 2,445,736 Metals (129,164 ) 42,296 (86,868 ) Livestock (52,720 ) 45,920 (6,800 ) Energy (5,906 ) 9,032 3,126 Total net trading gains in Statement of Operations $ 2,166,909 $ 159,117 $ 2,326,026 For the Year Ended December 31, 2016 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading 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 ) 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, 2017, is as follows: Type of Instrument Statement of Assets and Liabilities Location Asset Derivatives at Liability Derivatives Net Futures contracts Futures contracts purchased $ 79,285 $ (25,178 ) $ 54,107 Futures contracts Futures contracts sold 28,065 (29,848 ) (1,783 ) Totals $ 107,350 $ (55,026 ) $ 52,324 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 Fund’s financial assets, derivative assets and cash collateral held by counterparties as of December 31, 2017 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 $ 19,389 $ — $ — $ 19,389 INTL FCStone 32,935 — — 32,935 Totals $ 52,324 $ — $ — $ 52,324 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 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 Year Ended December 31, 2017: Derivatives not Designated as Hedging Instruments under ASC 815 Location of Gain on Derivatives in Statement of Operations Net Realized Gain on Derivatives in Statement of Operations Net Change in Unrealized Appreciation on Derivatives in Statement of Operations Foreign exchange contracts Net realized/unrealized gain (loss) on futures and forward contracts $ 7,153 $ 4,781 Futures contracts Net realized/unrealized gain (loss) on futures and forward contracts 548,433 27,912 Total $ 555,586 $ 32,693 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 Derivatives in Statement of Operations Net Change in Unrealized Depreciation on Derivatives in Statement of Operations Foreign exchange contracts Net realized/unrealized loss on futures and forward contracts $ (22,124 ) $ (4,782 ) Futures contracts Net realized/unrealized loss on futures and forward contracts (787,124 ) (36,512 ) Total $ (809,248 ) $ (41,294 ) Superfund Green, L.P. – Series A gross and net unrealized gains and losses by long and short positions as of December 31, 2017: As of December 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 Open Positions Currency $ 14,668 0.4 $ — — $ 4,979 0.2 $ (1,113 ) (0.0 )* $ 18,534 Financial 1,865 0.1 (17,466 ) (0.5 ) 8,110 0.2 — — (7,491 ) Food & Fiber 237 0.0 * (4,330 ) (0.1 ) 8,673 0.3 (12,523 ) (0.4 ) (7,943 ) Indices 26,872 0.8 (3,382 ) (0.1 ) 6,303 0.2 (1,285 ) (0.0 )* 28,508 Metals 19,225 0.6 — — — — (2,365 ) (0.1 ) 16,860 Energy 16,418 0.5 — — — — (12,562 ) (0.4 ) 3,856 Totals $ 79,285 2.4 $ (25,178 ) (0.7 ) $ 28,065 0.9 $ (29,848 ) (0.9 ) $ 52,324 * 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, 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 $ 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 twelve months ended December 31, 2017, the monthly average futures and forward contracts bought was 475 and the monthly average futures and forward contracts sold was 146. For the twelve months ended December 31, 2016, the monthly average futures contracts bought was 705 and the monthly average futures contracts sold was 627. Series A trading results by market sector: For the Year Ended December 31, 2017 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading Foreign Exchange $ 7,153 $ 4,781 $ 11,934 Currency (47,014 ) 27,195 (19,819 ) Financial 28,548 (32,551 ) (4,003 ) Food & Fiber (20,388 ) (6,148 ) (26,536 ) Indices 624,562 12,291 636,853 Metals (39,560 ) 9,777 (29,783 ) Livestock (15,690 ) 18,160 2,470 Energy 17,975 (812 ) 17,163 Total net trading gains in Statement of Operations $ 555,586 $ 32,693 $ 588,279 For the Year Ended December 31, 2016 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading 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 ) 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, 2017, is as follows: Type of Instrument Statement of Assets and Liabilities Location Asset Derivatives at Liability Derivatives Net Futures contracts Futures contracts purchased $ 225,529 $ (77,928 ) $ 147,601 Futures contracts Futures contracts sold 83,371 (69,781 ) 13,590 Totals $ 308,900 $ (147,709 ) $ 161,191 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 $ 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 December 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 $ 78,942 $ — $ — $ 78,942 INTL FCStone 82,249 — — 82,249 Totals $ 161,191 $ — $ — $ 161,191 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 Year Ended December 31, 2017: Derivatives not Designated as Hedging Instruments under ASC 815 Location of Gain on Derivatives in Statement Operations Net Realized Gain on Net Change in Foreign exchange contracts Net realized/unrealized gain (loss) on futures and forward contracts $ 16,695 $ 3,838 Futures contracts Net realized/unrealized gain (loss) on futures and forward contracts 1,594,628 122,586 Total $ 1,611,323 $ 126,424 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 Net Change in 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 ) Superfund Green, L.P. – Series B gross and net unrealized gains and losses by long and short positions as of December 31, 2017: As of December 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 Currency $ 36,727 0.7 $ — — $ 13,905 0.3 $ (4,111 ) (0.1 ) $ 46,521 Financial 3,730 0.1 (44,836 ) (0.8 ) 21,826 0.4 (4,437 ) (0.1 ) (23,717 ) Food & Fiber 474 0.0 * (11,947 ) (0.2 ) 28,150 0.5 (25,116 ) (0.5 ) (8,439 ) Indices 75,654 1.4 (21,145 ) (0.4 ) 16,957 0.3 (3,790 ) (0.1 ) 67,676 Metals 58,235 1.1 — — 463 0.0 * (5,916 ) (0.1 ) 52,782 Livestock — — — — 340 0.0 * — — 340 Energy 50,709 0.9 — — 1,730 0.0 * (26,411 ) (0.5 ) 26,028 Totals $ 225,529 4.2 $ (77,928 ) (1.4 ) $ 83,371 1.5 % $ (69,781 ) (1.4 ) $ 161,191 * 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, 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 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 twelve months ended December 31, 2017, the monthly average futures and forward contracts bought was 1,183 and the monthly average futures and forward contracts sold was 347. For the twelve months ended December 31, 2016, the monthly average futures contracts bought was 1,121 and the monthly average futures contracts sold was 975. Series B trading results by market sector: For the Year Ended December 31, 2017 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading Foreign Exchange $ 16,695 $ 3,838 $ 20,533 Currency (86,263 ) 57,371 (28,892 ) Financial 116,507 (65,226 ) 51,281 Food & Fiber (33,077 ) (589 ) (33,666 ) Indices 1,747,976 60,907 1,808,883 Metals (89,604 ) 32,519 (57,085 ) Livestock (37,030 ) 27,760 (9,270 ) Energy (23,881 ) 9,844 (14,037 ) Total net trading gains in Statement of Operations $ 1,611,323 $ 126,424 $ 1,737,747 For the Year Ended December 31, 2016 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading 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 ) |