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 non derivative 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 change in 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, 2018, is as follows: Type of Instrument Statement of Assets and Asset Derivatives at Liability Derivatives Net Futures contracts Futures contracts $ 246,837 $ (212,254 ) $ 34,583 Futures contracts Futures contracts 144,977 (52,757 ) 92,220 Totals $ 391,814 $ (265,011 ) $ 126,803 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 Asset Derivatives at Liability Derivatives at Net Futures contracts Futures contracts $ 304,814 $ (103,106 ) $ 201,708 Futures contracts Futures contracts 111,436 (99,629 11,807 Totals $ 416,250 $ (202,735 ) $ 213,515 The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of March 31, 2018 is as follows: Gross Amounts Not Offset in the Statement of Counterparty Net Amount of Assets in Financial Instruments Cash Collateral Net Amount ADMIS $ 133,181 $ — $ — $ 133,181 INTL FCStone (6,378 ) — — (6,378 ) Totals $ 126,803 $ — $ — $ 126,803 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 Effects of Derivative Instruments on the Statement of Operations for the three months ended March 31, 2018: Derivatives not Designated as Hedging Instruments under ASC 815 Location of Gain (Loss) on Derivatives Net Realized Gain (Loss) on Net Change in Unrealized Depreciation Foreign exchange contracts Realized and change in $ 1,687 $ — Futures contracts Realized and change in 99,830 (86,712 ) Total $ 101,517 $ (86,712 ) Effects of Derivative Instruments on the Statement of Operations for the three months ended March 31, 2017: Derivatives not Designated as Hedging Instruments under ASC 815 Location of Gain (Loss) on Net Realized Gain (Loss) on Net Change in Unrealized Depreciation Foreign exchange contracts Realized and change in $ 39,987 $ (13,822 ) Futures contracts Realized and change in 341,554 72,594 Total $ 381,541 $ 58,772 Superfund Green, L.P. gross and net unrealized gains and losses by long and short positions as of March 31, 2018 and December 31, 2017: As of March 31, 2018 Long Positions Gross Unrealized Short Positions Gross Unrealized Gains % of Net Assets Losses % of Net Assets Gains % of Net Assets Losses % of Net Assets Net Unrealized Gains (Losses) on Open Positions Currency $ 24,407 0.3 $ (42,790 ) (0.6 ) $ 2,025 0.0 * $ (4,999 ) (0.1 ) $ (21,357 ) Financial 161,992 2.1 (13,608 ) (0.2 ) — — (10,469 ) (0.1 ) 137,915 Food & Fiber 21,137 0.3 (112 ) (0.0 )* 29,103 0.4 (12,487 ) (0.2 ) 37,641 Indices 19,713 0.3 (70,038 ) (0.9 ) 38,194 0.5 (3,693 ) (0.0 )* (15,824 ) Metals 9 0.0 * (85,686 ) (1.1 ) 50,715 0.7 (1,394 ) (0.0 )* (36,356 ) Livestock — — — — 24,940 0.3 — — 24,940 Energy 19,579 0.3 (20 ) (0.0 )* — 0.0 * (19,715 ) (0.3 ) (156 ) Totals $ 246,837 3.3 $ (212,254 ) (2.8 ) $ 144,977 1.9 $ (52,757 ) (0.7 ) $ 126,803 * Due to rounding – amount is less than 0.05% As of December 31, 2017 Long Positions Gross Unrealized Short Positions Gross Unrealized Gains % of Net Assets Losses % of Net Assets Gains % of Net Assets Losses % of Net Assets Net Unrealized Gain (Loss) on Open Positions 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 ) (1.2 ) $ 213,515 * Due to rounding – amount is less than 0.05% Superfund Green L.P. monthly contract volume: For the three months ended March 31, 2018, the monthly average futures and forward contracts bought were 1,418 and the monthly average futures and forward contracts sold were 714. For the three months ended March 31, 2017, the monthly average futures contracts bought was 1,636 and the monthly average futures contracts sold was 741. Superfund Green, L.P. trading results by market sector: For the Three Months Ended March 31, 2018 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading Gains (Losses) Foreign Exchange $ 1,687 $ — $ 1,687 Currency 148,611 (86,412 ) 62,199 Energy 29,221 (30,038 ) (817 ) Financial 198,328 169,123 367,451 Food & Fiber (174,776 ) 54,022 (120,754 ) Indices (138,168 ) (112,008 ) (250,176 ) Livestock (1,940 ) 24,600 22,660 Metals 38,554 (105,999 ) (67,445 ) Total net trading gains $ 101,517 $ (86,712 ) $ 14,805 For the Three Months Ended March 31, 2017 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading Gains (Losses) 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 losses $ 381,541 $ 58,772 $ 440,313 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, 2018, is as follows: Type of Instrument Statement of Assets and Asset Derivatives at Liability Derivatives Net Futures contracts Futures contracts $ 52,767 $ (48,842 ) $ 3,925 Futures contracts Futures contracts 48,522 (12,139 ) 36,383 Totals $ 101,289 $ (60,981 ) $ 40,308 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 Fund’s financial assets, derivative assets and cash collateral held by counterparties as of March 31, 2018 is as follows: Gross Amounts Not Offset in the Statement of Counterparty Net Amount of Assets in Financial Instruments Cash Collateral Net Amount ADMIS $ 36,509 $ — $ — $ 36,509 INTL FCStone 3,799 — — 3,799 Totals $ 40,308 $ — $ — $ 40,308 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 $ 19,389 $ — $ — $ 19,389 INTL FCStone 32,935 — — 32,935 Totals $ 52,324 $ — $ — $ 52,324 Effects of Derivative Instruments on the Statement of Operations for the three months ended March 31, 2018: Derivatives not Designated as Hedging Instruments under ASC 815 Location of Gain (Loss) on Derivatives Recognized in Income Net Realized Gain (Loss) Net Change in Foreign exchange contracts Realized and change in unrealized loss on futures and forward contracts $ (571 ) $ — Futures contracts Realized and change in unrealized gain on futures and forward contracts 53,345 (12,016 ) Total $ 52,774 $ (12,016 ) Effects of Derivative Instruments on the Statement of Operations for the three months ended March 31, 2017: Derivatives not Designated as Hedging Instruments under ASC 815 Location of Gain (Loss) on Derivatives Recognized in Income Net Realized Gain (Loss) Net Change in Foreign exchange contracts Realized and change in unrealized gain (loss) on futures and forward contracts $ 10,315 $ 1,412 Futures contracts Realized and change in unrealized loss on futures and forward contracts 119,286 11,107 Total $ 129,601 $ 12,519 Superfund Green, L.P. – Series A gross and net unrealized gains and losses by long and short positions as of March 31, 2018 and December 31, 2017: As of March 31, 2018 Long Positions Gross Unrealized Short Positions Gross Unrealized Gains % of Net Assets Losses % of Net Assets Gains % of Net Assets Losses % of Net Assets Net Unrealized Gains (Losses) on Open Positions Currency $ 2,087 0.1 $ (9,901 ) (0.4 ) $ 2,025 0.1 $ (827 ) (0.0 )* $ (6,616 ) Financial 39,275 1.5 — (0.0 )* — — (3,641 ) (0.1 ) 35,634 Food & Fiber 5,274 0.2 (112 ) (0.0 )* 9,152 0.4 (1,958 ) (0.1 ) 12,356 Indices 3,989 0.2 (12,403 ) (0.5 ) 13,081 0.5 (509 ) (0.0 )* 4,158 Metals — 0.0 * (26,426 ) (1.0 ) 19,764 0.8 (594 ) (0.0 )* (7,256 ) Energy 2,142 0.1 — (0.0 )* — — (4,610 ) (0.2 ) (2,468 ) Livestock — — — — 4,500 0.2 — (0.0 )* 4,500 Totals $ 52,767 2.1 $ (48,843 ) (2.0 ) $ 48,522 1.9 $ (12,139 ) (0.4 ) $ 40,308 * Due to rounding – amount is less than 0.05% As of December 31, 2017 Long Positions Gross Unrealized Short Positions Gross Unrealized Gains % of Net Assets Losses % of Net Assets Gains % of Net Assets Losses % of Net Assets Net Unrealized Gains (Losses) 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% Series A monthly contract volume: For the three months ended March 31, 2018, the monthly average futures and forward contracts bought was 362 and the monthly average futures and forward contracts sold was 198. For the three months ended March 31, 2017, the monthly average futures contracts bought was 493 and the monthly average futures contracts sold was 239. Series A trading results by market sector: For the Three Months Ended March 31, 2018 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading Gains (Losses) Foreign Exchange $ (571 ) $ — $ (571 ) Currency 46,357 (25,150 ) 21,207 Energy 6,113 (6,322 ) (209 ) Financial 52,312 43,125 95,437 Food & Fiber (53,059 ) 20,298 (32,761 ) Indices (7,548 ) (24,350 ) (31,898 ) Livestock 360 4,500 4,860 Metals 8,810 (24,117 ) (15,307 ) Total net trading gains $ 52,774 $ (12,016 ) $ 40,758 For the Three Months Ended March 31, 2017 Net Realized Gain (Losses) Change in Net Unrealized Gain (Losses) Net Trading Gains (Losses) 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 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, 2018, is as follows: Type of Instrument Statement of Assets and Liabilities Location Asset Derivatives at Liability Derivatives Net Futures contracts Futures contracts purchased $ 194,070 $ (163,412 ) $ 30,658 Futures contracts Futures contracts sold 96,455 (40,618 ) 55,837 Totals $ 290,525 $ (204,030 ) $ 86,495 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 at 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 Fund’s financial assets, derivative assets and cash collateral held by counterparties as of March 31, 2018 is as follows: Gross Amounts Not Offset in the Statement of Counterparty Net Amount of Assets in Financial Instruments Cash Collateral Net Amount ADMIS $ 96,672 $ — $ — $ 96,672 INTL FCStone (10,177 ) — — (10,177 ) Totals $ 86,495 $ — $ — $ 86,495 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 Effects of Derivative Instruments on the Statement of Operations for the three months ended March 31, 2018: Derivatives not Designated as Hedging Instruments under ASC 815 Location of Gain (Loss) on Derivatives Recognized in Income Net Realized Gain (Loss) Net Change in Foreign exchange contracts Realized and change in unrealized loss on futures and forward contracts $ 2,258 $ — Futures contracts Realized and change in unrealized gain (loss) on futures and forward contracts 46,485 (74,696 ) Total $ 48,743 $ (74,696 ) Effects of Derivative Instruments on the Statement of Operations for the three months ended March 31, 2017: Derivatives Not Accounted for as Hedging Instruments under ASC 815 Location of Gain (Loss) on Derivatives Recognized in Income Net Realized Gain (Loss) Net Change in Foreign exchange contracts Realized and change in unrealized loss on futures and forward contracts $ 29,672 $ (15,234 ) Futures contracts Realized and change in unrealized gain (loss) on futures and forward contracts 222,268 61,487 Total $ 251,940 $ 46,253 Superfund Green, L.P. – Series B gross and net unrealized gains and losses by long and short positions as of March 31, 2018 and December 30, 2017: As of March 31, 2018 Long Positions Gross Unrealized Short Positions Gross Unrealized Gains % of Net Assets Losses % of Net Assets Gains % of Net Assets Losses % of Net Assets Net Unrealized Gains (Losses) on Open Positions Currency $ 22,320 0.4 $ (32,889 ) (0.7 ) $ — — $ (4,172 ) (0.1 ) $ (14,741 ) Financial 122,717 2.4 (13,608 ) (0.3 ) — — (6,828 ) (0.1 ) 102,281 Food & Fiber 15,863 0.3 — — 19,951 0.4 (10,529 ) (0.2 ) 25,285 Indices 15,724 0.3 (57,635 ) (1.1 ) 25,113 0.5 (3,184 ) (0.1 ) (19,982 ) Metals 9 0.0 * (59,260 ) (1.2 ) 30,951 0.6 (800 ) (0.0 )* (29,100 ) Energy 17,437 0.3 (20 ) (0.0 )* — — (15,105 ) (0.3 ) 2,312 Livestock — — — — 20,440 0.4 — — 20,440 Totals $ 194,070 3.7 $ (163,412 ) (3.3 ) $ 96,455 1.9 $ (40,618 ) (0.8 ) $ 86,495 * Due to rounding – amount is less than 0.05% As of December 31, 2017 Long Positions Gross Unrealized Short Positions Gross Unrealized Gains % of Net Assets Losses % of Net Assets Gains % of Net Assets Losses % of Net Assets Net Unrealized Gains (Losses) on Open Positions 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% Series B monthly contract volume: For the three months ended March 31, 2018, the monthly average futures and forward contracts bought were 1,056 and the monthly average futures and forward contracts sold were 516. For the three months ended March 31, 2017, the monthly average futures contracts bought was 1,143 and the monthly average futures contracts sold was 502. Series B trading results by market sector: For the Three Months Ended March 31, 2018 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading Gains (Losses) Foreign Exchange $ 2,258 $ — $ 2,258 Currency 102,254 (61,262 ) 40,992 Energy 23,108 (23,716 ) (608 ) Financial 146,016 125,998 272,014 Food & Fiber (121,717 ) 33,724 (87,993 ) Indices (130,620 ) (87,658 ) (218,278 ) Livestock (2,300 ) 20,100 17,800 Metals 29,744 (81,882 ) (52,138 ) Total net trading gains $ 48,743 $ (74,696 ) $ (25,953 ) For the Three Months Ended March 31, 2017 Net Realized Gains (Losses) Change in Net Unrealized Gains (Losses) Net Trading Gains (Losses) 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 Operation $ 251,940 $ 46,253 $ 298,193 |