Table of Contents
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM10-Q
(Mark One)
☒ | QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
For the quarterly period ended June 30, 2018
OR
☐ | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
For the transition period from to
Commission File number:000-51634
SUPERFUND GREEN, L.P.
(Exact name of registrant as specified in charter)
Delaware | 98-0375395 | |
(State or other jurisdiction of incorporation or organization) | (I.R.S. Employer Identification No.) |
Superfund Office Building P.O. Box 1479 Grand Anse St. George’s, Grenada West Indies | Not applicable | |
(Address of principal executive offices) | (Zip Code) |
(473)439-2418
(Registrant’s telephone number, including area code)
Not applicable
(Former name, former address and former fiscal year, if changed since last report)
Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes ☒ No ☐
Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of RegulationS-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files). Yes ☒ No ☐
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company,” and “emerging growth company” in Rule 12b-2 of the Exchange Act.
Large Accelerated Filer | ☐ | Accelerated Filer | ☐ | |||
Non-Accelerated Filer | ☐ (Do not check if a smaller reporting company) | Smaller Reporting Company | ☒ | |||
Emerging growth company | ☐ |
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐
Indicate by check mark whether the registrant is a shell company (as defined in Rule12b-2 of the Exchange Act). Yes ☐ No ☒
Table of Contents
ITEM 1. FINANCIAL STATEMENTS
The following unaudited financial statements of Superfund Green, L.P., Superfund Green, L.P. - Series A and Superfund Green, L.P. - Series B are included in Item 1:
Page | ||||
Unaudited Financial Statements: Superfund Green, L.P. |
| |||
Statements of Assets and Liabilities as of June 30, 2018 (unaudited) and December 31, 2017 | 3 | |||
Unaudited Condensed Schedule of Investments as of June 30, 2018 | 4 | |||
5 | ||||
6 | ||||
7 | ||||
Unaudited Statements of Cash Flows for the Six Months Ended June 30, 2018 and June 30, 2017 | 8 | |||
Unaudited Financial Statements: Superfund Green, L.P. – Series A | ||||
Statements of Assets and Liabilities as of June 30, 2018 (unaudited) and December 31, 2017 | 9 | |||
Unaudited Condensed Schedule of Investments as of June 30, 2018 | 10 | |||
11 | ||||
12 | ||||
13 | ||||
Unaudited Statements of Cash Flows for the Six Months Ended June 30, 2018 and June 30, 2017 | 14 | |||
Unaudited Financial Statements: Superfund Green, L.P. – Series B | ||||
Statements of Assets and Liabilities as of June 30, 2018 (unaudited) and December 31, 2017 | 15 | |||
Unaudited Condensed Schedule of Investments as of June 30, 2018 | 16 | |||
17 | ||||
18 | ||||
19 | ||||
Unaudited Statements of Cash Flows for the Six Months Ended June 30, 2018 and June 30, 2017 | 20 | |||
21-41 |
2
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SUPERFUND GREEN, L.P.
STATEMENTS OF ASSETS AND LIABILITIES
as of June 30, 2018 and December 31, 2017
June 30, 2018 (unaudited) | December 31, 2017 | |||||||
ASSETS |
| |||||||
Due from brokers | $ | 2,385,087 | $ | 3,146,140 | ||||
Unrealized gain on futures contracts purchased | 184,994 | 304,814 | ||||||
Unrealized gain on futures contracts sold | 125,793 | 111,436 | ||||||
Cash and cash equivalents | 4,532,058 | 5,559,722 | ||||||
Other assets | 3,043 | — | ||||||
|
|
|
| |||||
Total assets | 7,230,975 | 9,122,112 | ||||||
|
|
|
| |||||
LIABILITIES | ||||||||
Unrealized loss on futures contracts purchased | 136,043 | 103,106 | ||||||
Unrealized loss on futures contracts sold | 93,854 | 99,629 | ||||||
Redemptions payable | 28,053 | 166,865 | ||||||
Management fees payable | 10,829 | 13,794 | ||||||
Fees payable | 1,005 | 2,766 | ||||||
|
|
|
| |||||
Total liabilities | 269,784 | 386,160 | ||||||
|
|
|
| |||||
NET ASSETS | $ | 6,961,191 | $ | 8,735,952 | ||||
|
|
|
|
See accompanying notes to unaudited financial statements.
3
Table of Contents
SUPERFUND GREEN, L.P.
UNAUDITED CONDENSED SCHEDULE OF INVESTMENTS
as of June 30, 2018
Percentage of | ||||||||
Net Assets | Fair Value | |||||||
Futures contracts, at fair value | ||||||||
Futures contracts purchased | ||||||||
Currency | 0.3 | % | $ | 18,939 | ||||
Energy | 0.6 | 48,169 | ||||||
Financial | 1.2 | * | 85,657 | |||||
Food & Fiber | (0.2 | ) | (16,315 | ) | ||||
Indices | (0.8 | ) | (55,197 | ) | ||||
Livestock | 0.1 | 3,538 | ||||||
Metals | (0.5 | ) | (35,840 | ) | ||||
|
|
|
| |||||
Total futures contracts purchased | 0.7 | 48,951 | ||||||
|
|
|
| |||||
Futures contracts sold | ||||||||
Currency | — | ** | (1,321 | ) | ||||
Energy | (0.3 | ) | (20,308 | ) | ||||
Financial | (0.3 | ) | (20,133 | ) | ||||
Food & Fiber | 0.1 | 5,300 | ||||||
Indices | — | ** | (2,336 | ) | ||||
Livestock | (0.2 | ) | (11,560 | ) | ||||
Metals | 1.2 | * | 82,297 | |||||
|
|
|
| |||||
Total futures contracts sold | 0.5 | 31,939 | ||||||
|
|
|
| |||||
Total futures contracts, at fair value | 1.2 | % | $ | 80,890 | ||||
|
|
|
| |||||
Futures contracts by country composition | ||||||||
Australia | (0.2 | )% | $ | (10,556 | ) | |||
Canada | 0.1 | 9,136 | ||||||
European Monetary Union | — | ** | 2,381 | |||||
Great Britain | 0.1 | 4,351 | ||||||
Japan | 0.4 | 28,257 | ||||||
United States | 0.1 | 7,506 | ||||||
Other | 0.7 | 39,815 | ||||||
|
|
|
| |||||
Total futures contracts by country | 1.2 | % | $ | 80,890 | ||||
|
|
|
|
* | No individual contract position constituted one percent or greater of net assets. Accordingly, the number of contracts and expiration dates are not presented. |
** | Due to rounding – amount is less than 0.05% |
See accompanying notes to unaudited financial statements.
4
Table of Contents
SUPERFUND GREEN, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
as of December 31, 2017
Percentage of | ||||||||
Net Assets | Fair Value | |||||||
Futures contracts, at fair value | ||||||||
Futures contracts purchased | ||||||||
Currency | 0.6 | % | $ | 51,395 | ||||
Energy | 0.8 | 67,127 | ||||||
Financial | (0.6 | ) | (56,707 | ) | ||||
Food & Fiber | (0.2 | ) | (15,566 | ) | ||||
Indices | 0.9 | 77,999 | ||||||
Metals | 0.9 | 77,460 | ||||||
|
|
|
| |||||
Total futures contracts purchased | 2.4 | 201,708 | ||||||
|
|
|
| |||||
Futures contracts sold | ||||||||
Currency | 0.2 | 13,660 | ||||||
Energy | (0.4 | ) | (37,243 | ) | ||||
Financial | 0.3 | 25,499 | ||||||
Food & Fiber | 0.0 | ** | (816 | ) | ||||
Indices | 0.2 | 18,185 | ||||||
Livestock | 0.0 | ** | 340 | |||||
Metals | (0.1 | ) | (7,818 | ) | ||||
|
|
|
| |||||
Total futures contracts sold | 0.2 | 11,807 | ||||||
|
|
|
| |||||
Total futures contracts, at fair value | 2.6 | % | $ | 213,515 | ||||
|
|
|
| |||||
Futures contracts by country composition | ||||||||
Australia | 0.0 | **% | $ | (3,670 | ) | |||
Canada | 0.0 | ** | (2,885 | ) | ||||
European Monetary Union | 0.1 | 10,942 | ||||||
Great Britain | 0.3 | 26,052 | ||||||
Japan | 0.2 | 19,012 | ||||||
United States | 1.8 | * | 159,128 | |||||
Other | 0.1 | 4,936 | ||||||
|
|
|
| |||||
Total futures contracts by country | 2.5 | % | $ | 213,515 | ||||
|
|
|
|
* | No individual contract position constituted one percent or greater of net assets. Accordingly, the number of contracts and expiration dates are not presented. |
** | Due to rounding – amount is less than 0.05% |
See accompanying notes to unaudited financial statements.
5
Table of Contents
SUPERFUND GREEN, L.P.
UNAUDITED STATEMENTS OF OPERATIONS
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2018 | 2017 | 2018 | 2017 | |||||||||||||
Investment Income | ||||||||||||||||
Interest income | $ | 2,135 | $ | 6,674 | $ | 4,172 | $ | 10,394 | ||||||||
Other income | 289 | 535 | 307 | 6,151 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment income | 2,424 | 7,209 | 4,479 | 16,545 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses | ||||||||||||||||
Selling commission | 72,696 | 84,275 | 160,103 | 172,525 | ||||||||||||
Management fee | 33,622 | 38,977 | 74,048 | 79,793 | ||||||||||||
Operating expenses | 2,726 | 3,160 | 6,004 | 6,470 | ||||||||||||
Other | 201 | 6,316 | 884 | 12,720 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 109,245 | 132,728 | 241,039 | 271,508 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment loss | $ | (106,821 | ) | $ | (125,519 | ) | $ | (236,560 | ) | $ | (254,963 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
Realized and unrealized gain (loss) on investments | ||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Futures and forward contracts | $ | (373,172 | ) | $ | 434,156 | $ | (271,655 | ) | $ | 815,697 | ||||||
Investments in securities | 1,085 | — | 1,553 | — | ||||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||
Futures and forward contracts | (45,915 | ) | (320,204 | ) | (132,627 | ) | (261,432 | ) | ||||||||
Investments in securities | (375 | ) | — | — | — | |||||||||||
Brokerage commissions | (41,197 | ) | (34,550 | ) | (77,845 | ) | (74,266 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net gain (loss) on investments | $ | (459,574 | ) | $ | 79,402 | $ | (480,574 | ) | $ | 479,999 | ||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | $ | (566,395 | ) | $ | (46,117 | ) | $ | (717,134 | ) | $ | 225,036 | |||||
|
|
|
|
|
|
|
|
See accompanying notes to unaudited financial statements.
6
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SUPERFUND GREEN, L.P.
UNAUDITED STATEMENTS OF CHANGES IN NET ASSETS
Six Months Ended | ||||||||
June 30, | ||||||||
2018 | 2017 | |||||||
Increase (decrease) in net assets from operations | ||||||||
Net investment income (loss) | $ | (236,560 | ) | $ | (254,963 | ) | ||
Net realized gain (loss) on futures and forward contracts | (270,102 | ) | 815,697 | |||||
Net change in unrealized appreciation (depreciation) on futures and forward contracts | (132,627 | ) | (261,432 | ) | ||||
Brokerage commissions | (77,845 | ) | (74,266 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets from operations | (717,134 | ) | 225,036 | |||||
Capital share transactions | ||||||||
Issuance of Units | 156,415 | 161,681 | ||||||
Redemption of Units | (1,214,042 | ) | (1,195,266 | ) | ||||
|
|
|
| |||||
Net decrease in net assets from capital share transactions | (1,057,627 | ) | (1,033,585 | ) | ||||
Net decrease in net assets | (1,774,761 | ) | (808,549 | ) | ||||
|
|
|
| |||||
Net assets,beginning of period | 8,735,952 | 8,783,260 | ||||||
|
|
|
| |||||
Net assets, end of period | $ | 6,961,191 | $ | 7,974,711 | ||||
|
|
|
|
See accompanying notes to unaudited financial statements.
7
Table of Contents
SUPERFUND GREEN, L.P.
UNAUDITED STATEMENTS OF CASH FLOWS
Six Months Ended | ||||||||
June 30, | ||||||||
2018 | 2017 | |||||||
Cash flows from operating activities | ||||||||
Net increase (decrease) in net assets from operations | $ | (717,134 | ) | $ | 225,036 | |||
Adjustments to reconcile net increase (decrease) in net assets from operations to net cash provided by operating activities: | ||||||||
Changes in operating assets and liabilities: | ||||||||
Increase (decrease) in due from brokers | 761,053 | (149,154 | ) | |||||
Increase in unrealized appreciation on open forward contracts | — | 4,101 | ||||||
Increase in futures contracts purchased | 152,757 | 191,882 | ||||||
Decrease in unrealized depreciation on open forward contracts | — | (7,406 | ) | |||||
Increase (decrease) in futures contracts sold | (20,132 | ) | 72,856 | |||||
Increase in other assets | (3,043 | ) | — | |||||
Decrease in management fee payable | (2,965 | ) | (2,719 | ) | ||||
Decrease in fees payable | (1,761 | ) | (5,685 | ) | ||||
|
|
|
| |||||
Net cash and cash equivalent provided by (used in) operating activities | 168,775 | 328,911 | ||||||
|
|
|
| |||||
Cash flows from financing activities | ||||||||
Subscriptions | 156,415 | 161,681 | ||||||
Redemptions, net of change in redemptions payable | (1,352,854 | ) | (2,140,677 | ) | ||||
|
|
|
| |||||
Net cash and cash equivalent used in financing activities | (1,196,439 | ) | (1,978,996 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in cash and cash equivalent | (1,027,664 | ) | (1,650,085 | ) | ||||
Cash and cash equivalent, beginning of period | 5,559,722 | 4,768,586 | ||||||
|
|
|
| |||||
Cash and cash equivalent, end of period | $ | 4,532,058 | $ | 3,118,501 | ||||
|
|
|
| |||||
Supplemental cash flow disclosures | ||||||||
Redemption payable | $ | 28,053 | $ | 235,160 | ||||
|
|
|
|
See accompanying notes to unaudited financial statements.
8
Table of Contents
SUPERFUND GREEN, L.P. - SERIES A
STATEMENTS OF ASSETS AND LIABILITIES
as of June 30, 2018 and December 31, 2017
June 30, 2018 (unaudited) | December 31, 2017 | |||||||
ASSETS | ||||||||
Due from brokers | $ | 674,689 | $ | 1,224,817 | ||||
Unrealized gain on futures contracts purchased | 28,411 | 79,285 | ||||||
Unrealized gain on futures contracts sold | 30,641 | 28,065 | ||||||
Cash and cash equivalents | 1,679,244 | 2,058,246 | ||||||
Other assets | 3,043 | — | ||||||
|
|
|
| |||||
Total assets | 2,416,028 | 3,390,413 | ||||||
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LIABILITIES | ||||||||
Unrealized loss on futures contracts purchased | 19,163 | 25,178 | ||||||
Unrealized loss on futures contracts sold | 18,309 | 29,848 | ||||||
Redemptions payable | 3,342 | 27,170 | ||||||
Management fee payable | 3,679 | 5,159 | ||||||
Fees payable | 298 | 670 | ||||||
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|
|
| |||||
Total liabilities | 44,791 | 88,025 | ||||||
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| |||||
NET ASSETS | $ | 2,371,237 | $ | 3,302,388 | ||||
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|
| |||||
Number of Units | 2,315.349 | 3,002.761 | ||||||
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|
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| |||||
Net asset value per Unit | $ | 1,024.14 | $ | 1,099.78 | ||||
|
|
|
|
See accompanying notes to unaudited financial statements.
9
Table of Contents
SUPERFUND GREEN, L.P. - SERIES A
UNAUDITED CONDENSED SCHEDULE OF INVESTMENTS
as of June 30, 2018
Percentage of | ||||||||
Net Assets | Fair Value | |||||||
Futures contracts, at fair value | ||||||||
Futures contracts purchased | ||||||||
Currency | 0.2 | % | $ | 5,465 | ||||
Energy | 0.1 | 1,950 | ||||||
Financial | 0.7 | 15,852 | ||||||
Food & Fiber | (0.1 | ) | (3,363 | ) | ||||
Indices | (0.5 | ) | (10,321 | ) | ||||
Metals | — | ** | (335 | ) | ||||
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| |||||
Total futures contracts purchased | 0.4 | 9,248 | ||||||
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| |||||
Futures contracts sold | ||||||||
Currency | 0.1 | 1,376 | ||||||
Energy | (0.2 | ) | (5,096 | ) | ||||
Financial | (0.2 | ) | (4,207 | ) | ||||
Food & Fiber | 0.1 | 1,588 | ||||||
Indices | 0.2 | 3,601 | ||||||
Livestock | (0.1 | ) | (2,140 | ) | ||||
Metals | 0.6 | 17,210 | ||||||
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| |||||
Total futures contracts sold | 0.5 | 12,332 | ||||||
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Total futures contracts, at fair value | 0.9 | % | $ | 21,580 | ||||
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Futures contracts by country composition | ||||||||
Australia | (0.2 | )% | $ | (3,817 | ) | |||
Canada | 0.1 | 2,511 | ||||||
European Monetary Union | (0.1 | ) | (2,848 | ) | ||||
Great Britain | 0.1 | 1,776 | ||||||
Japan | 0.3 | 6,194 | ||||||
United States | 0.4 | 10,210 | ||||||
Other | 0.3 | 7,554 | ||||||
|
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|
| |||||
Total futures contracts by country | 0.9 | % | $ | 21,580 | ||||
|
|
|
|
* | No individual contract position constituted one percent or greater of net assets. Accordingly, the number of contracts and expiration dates are not presented. |
** | Due to rounding – amount is less than 0.05% |
See accompanying notes to unaudited financial statements.
10
Table of Contents
SUPERFUND GREEN, L.P. - SERIES A
CONDENSED SCHEDULE OF INVESTMENTS
as of December 31, 2017
Percentage of | ||||||||
Net Assets | Fair Value | |||||||
Futures Contracts, at fair value | ||||||||
Futures Contracts Purchased | ||||||||
Currency | 0.4 | % | $ | 14,668 | ||||
Energy | 0.5 | 16,418 | ||||||
Financial | (0.5 | ) | (15,601 | ) | ||||
Food & Fiber | (0.1 | ) | (4,093 | ) | ||||
Indices | 0.7 | 23,490 | ||||||
Metals | 0.6 | 19,225 | ||||||
|
|
|
| |||||
Total futures contracts purchased | 1.6 | 54,107 | ||||||
|
|
|
| |||||
Futures Contracts Sold | ||||||||
Currency | 0.1 | 3,866 | ||||||
Energy | (0.4 | ) | (12,562 | ) | ||||
Financial | 0.2 | 8,110 | ||||||
Food & Fiber | (0.1 | ) | (3,850 | ) | ||||
Indices | 0.3 | 5,018 | ||||||
Metals | (0.1 | ) | (2,365 | ) | ||||
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|
|
| |||||
Total futures contracts sold | 0.0 | (1,783 | ) | |||||
|
|
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| |||||
Total futures contracts, at fair value | 1.6 | % | $ | 52,324 | ||||
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| |||||
Futures contracts by country composition | ||||||||
Australian | 0.0 | **% | $ | (1,003 | ) | |||
Canada | 0.0 | ** | (409 | ) | ||||
European Monetary Union | 0.1 | 3,433 | ||||||
Great Britain | 0.2 | 6,115 | ||||||
Japan | 0.2 | 6,873 | ||||||
United States | 1.0 | * | 34,994 | |||||
Other | 0.1 | 2,321 | ||||||
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| |||||
Total futures contracts by country | 1.6 | % | $ | 52,324 | ||||
|
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|
|
* | No individual contract position constituted one percent or greater of net assets. Accordingly, the number of contracts and expiration dates are not presented. |
** | Due to rounding - amount is less than 0.05% |
See accompanying notes to unaudited financial statements.
11
Table of Contents
SUPERFUND GREEN, L.P. - SERIES A
UNAUDITED STATEMENTS OF OPERATIONS
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2018 | 2017 | 2018 | 2017 | |||||||||||||
Investment Income | ||||||||||||||||
Interest income | $ | 814 | $ | 2,525 | $ | 1,656 | $ | 4,147 | ||||||||
Other income | 77 | 501 | 81 | 3,500 | ||||||||||||
|
|
|
|
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|
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| |||||||||
Total investment income | 891 | 3,026 | 1,737 | 7,647 | ||||||||||||
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|
|
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| |||||||||
Expenses | ||||||||||||||||
Selling commission | 24,587 | 34,144 | 57,988 | 70,377 | ||||||||||||
Management fee | 11,371 | 15,792 | 26,819 | 32,550 | ||||||||||||
Operating expenses | 922 | 1,280 | 2,175 | 2,639 | ||||||||||||
Other | 199 | 2,033 | 338 | 4,887 | ||||||||||||
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| |||||||||
Total expenses | 37,079 | 53,249 | 87,320 | 110,453 | ||||||||||||
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|
| |||||||||
Net investment loss | $ | (36,188 | ) | $ | (50,223 | ) | $ | (85,583 | ) | $ | (102,806 | ) | ||||
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| |||||||||
Realized and unrealized gain (loss) on investments | ||||||||||||||||
Net change in realized gain (loss) on: | ||||||||||||||||
Futures and forward contracts | $ | (98,437 | ) | $ | 123,153 | $ | (45,663 | ) | $ | 252,754 | ||||||
Investments in securities | 310 | — | 443 | — | ||||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||
Futures and forward contracts | (18,729 | ) | (100,028 | ) | (30,745 | ) | (87,509 | ) | ||||||||
Investments in securities | (107 | ) | — | — | — | |||||||||||
Brokerage commissions | (10,002 | ) | (10,022 | ) | (19,593 | ) | (22,142 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net gain (loss) on investments | $ | (126,965 | ) | $ | 13,103 | $ | (95,558 | ) | $ | 143,103 | ||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | $ | (163,153 | ) | $ | (37,120 | ) | $ | (181,141 | ) | $ | 40,297 | |||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations per unit (based upon weighted average number of units outstanding during period)* | (69.78 | ) | (10.94 | ) | (70.71 | ) | 11.82 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations per unit (based upon changes in net assets value per unit during the period) | (69.95 | ) | (11.13 | ) | (75.64 | ) | 10.17 | |||||||||
|
|
|
|
|
|
|
|
* | Weighted average number of Units outstanding for Series A for the Three Months Ended June 30, 2018 and June 30, 2017: 2,338.25 and 3,393.11, respectively; and for the Six Months Ended June 30th 2018 and June 30th 2017: 2,561.59 and 3,407.81, respectively. |
See accompanying notes to unaudited financial statements.
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SUPERFUND GREEN, L.P. – SERIES A
UNAUDITED STATEMENTS OF CHANGES IN NET ASSETS
Six Months Ended | ||||||||
June 30, | ||||||||
2018 | 2017 | |||||||
Increase (decrease) in net assets from operations | ||||||||
Net investment loss | $ | (85,583 | ) | $ | (102,806 | ) | ||
Net realized gain (loss) on futures and forward contracts | (45,220 | ) | 252,754 | |||||
Net change in unrealized appreciation (depreciation) on futures and forward contracts | (30,745 | ) | (87,509 | ) | ||||
Brokerage commission | (19,593 | ) | (22,142 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets from operations | (181,141 | ) | 40,297 | |||||
Capital share transactions | ||||||||
Issuance of Units | 57,797 | 66,025 | ||||||
Redemption of Units | (807,807 | ) | (502,322 | ) | ||||
|
|
|
| |||||
Net decrease in net assets from capital share transactions | (750,010 | ) | (436,297 | ) | ||||
Net decrease in net assets | (931,151 | ) | (396,000 | ) | ||||
Net assets,beginning of period | 3,302,388 | 3,656,086 | ||||||
|
|
|
| |||||
Net assets, end of period | $ | 2,371,237 | $ | 3,260,086 | ||||
|
|
|
| |||||
Units, beginning of period | 3,002.761 | 3,694.882 | ||||||
Issuance of Units | 52.999 | 65.554 | ||||||
Redemption of Units | (740.411 | ) | (499.276 | ) | ||||
|
|
|
| |||||
Units,end of period | 2,315.349 | 3,261.160 | ||||||
|
|
|
|
See accompanying notes to unaudited financial statements.
13
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SUPERFUND GREEN, L.P. - SERIES A
UNAUDITED STATEMENTS OF CASH FLOWS
Six Months Ended | ||||||||
June 30, | ||||||||
2018 | 2017 | |||||||
Cash flows from operating activities | ||||||||
Net increase (decrease) in net assets from operations | $ | (181,141 | ) | $ | 40,297 | |||
Adjustments to reconcile net increase (decrease) in net assets from operations to net cash provided by (used in) operating activities: | ||||||||
Changes in operating assets and liabilities: | ||||||||
Increase in due from brokers | 550,128 | 262,899 | ||||||
Increase in unrealized appreciation on open forward contracts | — | 2,769 | ||||||
Increase in futures contracts purchased | 44,859 | 61,883 | ||||||
Decrease in unrealized depreciation on open forward contracts | — | (5,788 | ) | |||||
Increase (decrease) in futures contracts sold | (14,115 | ) | 28,645 | |||||
Increase in other assets | (3,043 | ) | — | |||||
Decrease in management fee payable | (1,480 | ) | (2,274 | ) | ||||
Decrease in fees payable | (372 | ) | (3,737 | ) | ||||
|
|
|
| |||||
Net cash and cash equivalent provided by (used in) operating activities | 394,836 | 384,694 | ||||||
|
|
|
| |||||
Cash flows from financing activities | ||||||||
Subscriptions | 57,797 | 66,025 | ||||||
Redemptions, net of change in redemptions payable | (831,635 | ) | (1,573,596 | ) | ||||
|
|
|
| |||||
Net cash and cash equivalent used in financing activities | (773,838 | ) | (1,507,571 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in cash equivalent | (379,002 | ) | (1,122,877 | ) | ||||
Cash and cash equivalent, beginning of period | 2,058,246 | 2,648,829 | ||||||
|
|
|
| |||||
Cash and cash equivalent, end of period | $ | 1,679,244 | $ | 1,525,952 | ||||
|
|
|
| |||||
Supplemental cash flow disclosures | ||||||||
Redemption payable | $ | 3,342 | $ | 79,400 | ||||
|
|
|
|
See accompanying notes to unaudited financial statements.
14
Table of Contents
SUPERFUND GREEN, L.P. - SERIES B
STATEMENTS OF ASSETS AND LIABILITIES
as of June 30, 2018 and December 31, 2017
June 30, 2018 (unaudited) | December 31, 2017 | |||||||
ASSETS |
| |||||||
Due from brokers | $ | 1,710,398 | $ | 1,921,323 | ||||
Unrealized gain on futures contracts purchased | 156,583 | 225,529 | ||||||
Unrealized gain on futures contracts sold | 95,152 | 83,371 | ||||||
Cash and cash equivalents | 2,852,814 | 3,501,476 | ||||||
|
|
|
| |||||
Total assets | 4,814,947 | 5,731,699 | ||||||
|
|
|
| |||||
LIABILITIES | ||||||||
Unrealized loss on futures contracts purchased | 116,880 | 77,928 | ||||||
Unrealized loss on futures contracts sold | 75,545 | 69,781 | ||||||
Redemptions payable | 24,711 | 139,695 | ||||||
Management fee payable | 7,150 | 8,635 | ||||||
Fees payable | 707 | 2,096 | ||||||
|
|
|
| |||||
Total liabilities | 224,993 | 298,135 | ||||||
|
|
|
| |||||
NET ASSETS | $ | 4,589,954 | $ | 5,433,564 | ||||
|
|
|
| |||||
Number of Units | 3,764.304 | 3,995.325 | ||||||
|
|
|
| |||||
Net asset value per Unit | $ | 1,219.34 | $ | 1,359.98 | ||||
|
|
|
|
See accompanying notes to unaudited financial statements.
15
Table of Contents
SUPERFUND GREEN, L.P. – SERIES B
UNAUDITED CONDENSED SCHEDULE OF INVESTMENTS
as of June 30, 2018
Percentage of | ||||||||
Net Assets | Fair Value | |||||||
Futures contracts, at fair value | ||||||||
Futures contracts purchased | ||||||||
Currency | 0.3 | % | $ | 13,474 | ||||
Energy | 1.0 | * | 46,219 | |||||
Financial | 1.6 | * | 69,805 | |||||
Food & Fiber | (0.3 | ) | (12,952 | ) | ||||
Indices | (1.0 | )* | (44,876 | ) | ||||
Livestock | 0.1 | 3,538 | ||||||
Metals | (0.8 | ) | (35,505 | ) | ||||
|
|
|
| |||||
Total futures contracts purchased | 0.9 | 39,703 | ||||||
|
|
|
| |||||
Futures contracts sold | ||||||||
Currency | (0.1 | ) | (2,697 | ) | ||||
Energy | (0.3 | ) | (15,212 | ) | ||||
Financial | (0.3 | ) | (15,926 | ) | ||||
Food & Fiber | 0.1 | 3,712 | ||||||
Indices | (0.1 | ) | (5,937 | ) | ||||
Livestock | (0.2 | ) | (9,420 | ) | ||||
Metals | 1.3 | * | 65,087 | |||||
|
|
|
| |||||
Total futures contracts sold | 0.4 | 19,607 | ||||||
|
|
|
| |||||
Total futures contracts, at fair value | 1.3 | % | $ | 59,310 | ||||
|
|
|
| |||||
Futures contracts by country composition | ||||||||
Australia | (0.1 | )% | $ | (6,739 | ) | |||
Canada | 0.1 | 6,625 | ||||||
European Monetary Union | 0.1 | 5,229 | ||||||
Great Britain | 0.1 | 2,575 | ||||||
Japan | 0.5 | 22,063 | ||||||
United States | (0.1 | ) | (2,704 | ) | ||||
Other | 0.7 | 32,261 | ||||||
|
|
|
| |||||
Total futures contracts by country | 1.3 | % | $ | 59,310 | ||||
|
|
|
|
* | No individual contract position constituted one percent or greater of net assets. Accordingly, the number of contracts and expiration dates are not presented. |
** | Due to rounding - amount is less than 0.05%. |
See accompanying notes to unaudited financial statements.
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Table of Contents
SUPERFUND GREEN, L.P. - SERIES B
CONDENSED SCHEDULE OF INVESTMENTS
as of December 31, 2017
Percentage of | ||||||||
Net Assets | Fair Value | |||||||
Futures contracts, at fair value | ||||||||
Futures contracts purchased | ||||||||
Currency | 0.7 | % | $ | 36,727 | ||||
Energy | 0.9 | 50,709 | ||||||
Financial | (0.8 | ) | (41,106 | ) | ||||
Food & Fiber | (0.2 | ) | (11,473 | ) | ||||
Indices | 1.0 | * | 54,509 | |||||
Metals | 1.1 | * | 58,235 | |||||
|
|
|
| |||||
Total futures contracts purchased | 2.7 | 147,601 | ||||||
|
|
|
| |||||
Futures contracts sold | ||||||||
Currency | 0.2 | 9,794 | ||||||
Energy | (0.4 | ) | (24,681 | ) | ||||
Financial | 0.3 | 17,389 | ||||||
Food & Fiber | 0.1 | 3,034 | ||||||
Indices | 0.2 | 13,167 | ||||||
Livestock | 0.0 | ** | 340 | |||||
Metals | (0.1 | ) | (5,453 | ) | ||||
|
|
|
| |||||
Total futures contracts sold | 0.3 | 13,590 | ||||||
|
|
|
| |||||
Total futures contracts, at fair value | 3.0 | % | $ | 161,191 | ||||
|
|
|
| |||||
Futures contracts by country composition | ||||||||
Australia | 0.0 | **% | $ | (2,667 | ) | |||
Canada | 0.0 | ** | (2,476 | ) | ||||
European Monetary Union | 0.1 | 7,509 | ||||||
Great Britain | 0.4 | 19,937 | ||||||
Japan | 0.2 | 12,139 | ||||||
United States | 2.3 | * | 124,134 | |||||
Other | 0.0 | ** | 2,615 | |||||
|
|
|
| |||||
Total futures contracts by country | 3.0 | % | $ | 161,191 | ||||
|
|
|
|
* | No individual contract position constituted one percent or greater of net assets. Accordingly, the number of contracts and expiration dates are not presented. |
** | Due to rounding – amount is less than 0.05% |
See accompanying notes to unaudited financial statements.
17
Table of Contents
SUPERFUND GREEN, L.P. - SERIES B
UNAUDITED STATEMENTS OF OPERATIONS
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2018 | 2017 | 2018 | 2017 | |||||||||||||
Investment Income | ||||||||||||||||
Interest income | $ | 1,321 | $ | 4,149 | $ | 2,516 | $ | 6,247 | ||||||||
Other income | 212 | 34 | 226 | 2,651 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment income | 1,533 | 4,183 | 2,742 | 8,898 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses | ||||||||||||||||
Selling commission | 48,109 | 50,131 | 102,115 | 102,148 | ||||||||||||
Management fee | 22,251 | 23,185 | 47,229 | 47,243 | ||||||||||||
Operating expenses | 1,804 | 1,880 | 3,829 | 3,831 | ||||||||||||
Other | 2 | 4,283 | 546 | 7,833 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 72,166 | 79,479 | 153,719 | 161,055 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment loss | $ | (70,633 | ) | $ | (75,296 | ) | $ | (150,977 | ) | $ | (152,157 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
Realized and unrealized gain (loss) on investments | ||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Futures and forward contracts | $ | (274,735 | ) | $ | 311,003 | $ | (225,992 | ) | $ | 562,943 | ||||||
Investments in securities | 775 | — | 1,110 | — | ||||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||
Futures and forward contracts | (27,186 | ) | (220,176 | ) | (101,882 | ) | (173,923 | ) | ||||||||
Investments in securities | (268 | ) | — | — | — | |||||||||||
Brokerage commissions | (31,195 | ) | (24,528 | ) | (58,252 | ) | (52,124 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net gain (loss) on investments | $ | (332,609 | ) | $ | 66,299 | $ | (385,016 | ) | $ | 336,896 | ||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | $ | (403,242 | ) | $ | (8,997 | ) | $ | (535,993 | ) | $ | 184,739 | |||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations per unit (based upon weighted average number of units outstanding during period)* | (105.59 | ) | (1.97 | ) | (139.67 | ) | 40.13 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations per unit (based upon change in the net asset value per unit during period) | (106.22 | ) | (2.50 | ) | (140.64 | ) | 37.76 | |||||||||
|
|
|
|
|
|
|
|
* | Weighted average number of Units outstanding for Series B for the Three Months Ended June 30, 2018 and June 30, 2017: 3,819.10 and 4,562.72, respectively; and for the Six Months Ended June 30th 2018 and June 30th 2017: 3,837.50 and 4,603.57, respectively. |
See accompanying notes to unaudited financial statements.
18
Table of Contents
SUPERFUND GREEN, L.P. - SERIES B
UNAUDITED STATEMENTS OF CHANGES IN NET ASSETS
Six Months Ended | ||||||||
June 30, | ||||||||
2018 | 2017 | |||||||
Increase (decrease) in net assets from operations | ||||||||
Net investment loss | $ | (150,977 | ) | $ | (152,157 | ) | ||
Net realized gain (loss) on futures and forward contracts | (224,882 | ) | 562,943 | |||||
Net change in unrealized appreciation (depreciation) on futures and forward contracts | (101,882 | ) | (173,923 | ) | ||||
Brokerage commissions | (58,252 | ) | (52,124 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets from operations | (535,993 | ) | 184,739 | |||||
Capital share transactions | ||||||||
Issuance of Units | 98,618 | 95,656 | ||||||
Redemption of Units | (406,235 | ) | (692,944 | ) | ||||
|
|
|
| |||||
Net decrease in net assets from capital share transactions | (307,617 | ) | (597,288 | ) | ||||
|
|
|
| |||||
Net decrease in net assets | (843,610 | ) | (412,549 | ) | ||||
Net assets,beginning of period | 5,433,564 | 5,127,174 | ||||||
|
|
|
| |||||
Net assets, end of period | $ | 4,589,954 | $ | 4,714,625 | ||||
|
|
|
| |||||
Units, beginning of period | 3,995.325 | 4,887.522 | ||||||
Issuance of Units | 73.753 | 88.691 | ||||||
Redemption of Units | (304.774 | ) | (638.002 | ) | ||||
|
|
|
| |||||
Units,end of period | 3,764.304 | 4,338.211 | ||||||
|
|
|
|
See accompanying notes to unaudited financial statements.
19
Table of Contents
SUPERFUND GREEN, L.P. - SERIES B
UNAUDITED STATEMENTS OF CASH FLOWS
Six Months Ended | ||||||||
June 30, | ||||||||
2018 | 2017 | |||||||
Cash flows from operating activities | ||||||||
Net increase (decrease) in net assets from operations | $ | (535,993 | ) | $ | 184,739 | |||
Adjustments to reconcile net increase (decrease) in net assets from operations to net cash provided by (used in) operating activities: | ||||||||
Changes in operating assets and liabilities: | ||||||||
Increase (decrease) in due from brokers | 210,925 | (412,053 | ) | |||||
Increase in unrealized appreciation on open forward contracts | — | 1,332 | ||||||
Increase in futures contracts purchased | 107,898 | 129,999 | ||||||
Decrease in unrealized depreciation on open forward contracts | — | (1,618 | ) | |||||
Increase (decrease) in futures contracts sold | (6,017 | ) | 44,211 | |||||
Decrease in management fee payable | (1,485 | ) | (445 | ) | ||||
Decrease in fees payable | (1,389 | ) | (1,948 | ) | ||||
|
|
|
| |||||
Net cash and cash equivalents provided by (used in) operating activities | (226,061 | ) | (55,783 | ) | ||||
|
|
|
| |||||
Cash flows from financing activities | ||||||||
Subscriptions | 98,618 | 95,656 | ||||||
Redemptions, net of change in redemptions payable | (521,219 | ) | (567,081 | ) | ||||
|
|
|
| |||||
Net cash and cash equivalent used in financing activities | (422,601 | ) | (471,425 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in cash equivalent | (648,662 | ) | (527,208 | ) | ||||
Cash and cash equivalent, beginning of period | 3,501,476 | 2,119,757 | ||||||
|
|
|
| |||||
Cash and cash equivalent, end of period | $ | 2,852,814 | $ | 1,592,549 | ||||
|
|
|
| |||||
Supplemental disclosure ofnon-cash financing activities | ||||||||
Redemption payable | $ | 24,711 | $ | 155,760 | ||||
|
|
|
|
See accompanying notes to unaudited financial statements.
20
Table of Contents
SUPERFUND GREEN, L.P., SUPERFUND GREEN, L.P. – SERIES A and SUPERFUND GREEN, L.P. – SERIES B
NOTES TO UNAUDITED FINANCIAL STATEMENTS
June 30, 2018
1. | Nature of operations |
Organization and Business
Superfund Green, L.P. (the “Fund”), a Delaware limited partnership, commenced operations on November 5, 2002. The Fund was organized to trade speculatively in the United States (“U.S.”) and international commodity futures and forward markets using a fully-automated computerized trading system. The Fund has issued two classes of units (“Units”), Series A and Series B (each, a “Series”). The two Series are traded and managed the same way except for the degree of leverage.
The terms of Series A and Series B each shall continue until December 31, 2050, unless the applicable Series is terminated earlier by the Fund’s general partner, Superfund Capital Management, Inc. (“Superfund Capital Management”) or by operation of law or a decline in the aggregate net assets of such Series to less than $500,000.
2. | Basis of presentation and significant accounting policies |
Basis of Presentation
The unaudited financial statements have been prepared in accordance with the rules and regulations of the Securities and Exchange Commission (“SEC”) and accounting principles generally accepted in the U.S. (“U.S. GAAP”) with respect to the Form10-Q and reflect all adjustments which in the opinion of management are normal and recurring, and which are necessary for a fair statement of the results of interim periods presented. It is suggested that these financial statements be read in conjunction with the financial statements and the related notes included in the Fund’s Annual Report on Form10-K for the year ended December 31, 2017.
Valuation of Investments in Futures Contracts, Forward Contracts, and U.S. Treasury Bills
All commodity interests (including derivative financial instruments and derivative commodity instruments) are used for trading purposes. The commodity interests are recorded on a trade date basis and open contracts are recorded in the statements of assets and liabilities at fair value on the last business day of the period, which represents market value for those commodity interests for which market quotes are readily available.
Exchange-traded futures contracts are valued at settlement prices published by the recognized exchange. Any spot and forward foreign currency contracts held by the Fund will be valued at published settlement prices from the recognized exchange. The Fund uses the fair value method for valuing its U.S. Treasury Bills; this portfolio is classified within Level 2 of the fair value hierarchy. We use quoted prices from active markets in valuing the U.S. Treasury Bills.
Cash Translation of Foreign Currency
The Fund maintains cash deposits with financial institutions in amounts that are in excess of the coverage limits adopted by the Federal Deposit Insurance Corporation. The Fund does not however, believe it is exposed to significant credit risk on these holdings.
Cash equivalents include short term highly liquid investments of sufficient credit quality such as treasury bills that are readily convertible to known amounts of cash and have original maturities of three months or less.
Assets and liabilities denominated in foreign currencies are translated into U.S. dollar amountsat the period-end exchange rates. Purchases and sales of investments and income and expenses that are denominated in foreign currencies are translated into U.S. dollar amounts on the transaction date. Adjustments arising from foreign currency transactions are reflected in the statements of operations.
21
Table of Contents
The Fund does not isolate that portion of the results of operations arising from the effect of changes in foreign exchange rates on investments from fluctuations from changes in market prices of investments held. Such fluctuations are included in net realized and unrealized gain (loss) on investments in the statements of operations.
Investment Transactions, Investment Income and Expenses
Investment transactions are accounted for on a trade-date basis. Interest income and expenses are recognized on the accrual basis. Operating expenses of the Fund are allocated to each Series in proportion to the net asset value of the Series at the beginning of each month. Expenses directly attributable to a particular Series are charged directly to that Series.
Gains or losses are realized when contracts are liquidated. Unrealized gains and losses on open contracts (the difference between contract trade price and market price) are reported in the statement of assets and liabilities as gross unrealized gain or loss, and any change in that amount from the prior period is reflected in the accompanying statement of operations. There exists a right of offset of unrealized gains or losses in accordance with Financial Accounting Standards Board (“FASB”) Accounting StandardsCodification (“ASC”) 210-20, Offsetting – Balance Sheet.
Set forth herein are instruments and transactions eligible for offset in the Statements of Assets and Liabilities and which are subject to derivative clearing agreements with the Fund’s futures commission merchants. Each futures commission merchant nets margin held on behalf of each Series of the Fund or payment obligations of the futures commission merchant to each Series against any payment obligations of that Series to the futures commission merchant. Each Series is required to deposit margin at each futures commission merchant to meet the original and maintenance requirements established by that futures commission merchant, and/or the exchange or clearinghouse associated with the exchange on which the instrument is traded. The derivative clearing agreements give each futures commission merchant a security interest in this margin to secure any liabilities owed to the futures commission merchant arising from a default by the Series.
As of December 31, 2017, Series A had on deposit $617,702 at ADM Investor Services, Inc., $3,238 at Merrill Lynch, Pierce, Fenner & Smith Inc. and $603,815 at INTL FC Stone International Inc. As of December 31, 2017, Series B had on deposit $901,753 at ADM Investor Services, Inc., $4,597 at Merrill Lynch, Pierce, Fenner & Smith Inc. and $1,014,782 at INTL FC Stone International Inc. As of June 30, 2018, the Fund had on deposit $1,269,193 at ADM Investor Services, Inc. and $1,115,894 at INTL FC Stone Financial Inc. As of June 30, 2018, Series A had on deposit $430,033 at ADM Investor Services, Inc. and $244,656 at INTL FC Stone Financial Inc. As of June 30, 2018, Series B had on deposit $839,160 at ADM Investor Services, Inc. and $871,238 at INTL FC Stone Financial Inc.
Income Taxes
The Fund does not record a provision for U.S. income taxes because the partners report their share of the Fund’s income or loss on their returns. The financial statements reflect the Fund’s transactions without adjustment, if any, required for income tax purposes.
Superfund Capital Management has evaluated the application of ASC Topic 740, Income Taxes (“ASC 740”), to the Fund, to determine whether or not there are uncertain tax positions that require financial statement recognition. Based on this evaluation, Superfund Capital Management has determined no reserves for uncertain tax positions are required to be recorded as a result of the application of ASC 740. Superfund Capital Management is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. As a result, no income tax liability or expense has been recorded in the accompanying financial statements. The Fund files federal and various state tax returns. The 2014 through 2017 tax years generally remain subject to examination by the U.S. federal and most state tax authorities.
Use of Estimates
The preparation of financial statements in conformity with U.S. GAAP requires Superfund Capital Management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
22
Table of Contents
Recently Issued Accounting Pronouncements
ASU 2016-01
In January 2016, FASB issued Accounting StandardUpdate No. 2016-01, Financial Instruments – Overall(Subtopic 825-10) Recognition and Measurement of Financial Assets andLiabilities (“ASU 2016-01”). The amendmentsin ASU 2016-01 affect any entity that holds financial assets or owes financial liabilities. The guidance is effective for fiscal years beginning after December 15, 2017. The Fundadopted ASU 2016-01 as of January 1, 2018, and the adoption did not have a material impact on its financial statements.
3. | Fair Value Measurements |
The Fund follows ASC 820,Fair Value Measurements and Disclosures, which establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The three levels of the fair value hierarchy under ASC 820 are described below:
Level 1: | Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities; | |
Level 2: | Quoted prices in markets that are not considered to be active or financial instruments for which all significant inputs are observable, either directly or indirectly; | |
Level 3: | Prices or valuations that require inputs that are both significant to the fair value measurement and unobservable. |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input that is significant to the fair value measurement. In determining fair value, the Fund separates its financial instruments into two categories: U.S. government securities and derivative contracts.
U.S. Government Securities. The Fund’s only market exposure in instruments held other than for trading is in its U.S. Treasury Bill portfolio. The Fund uses the fair value method for valuing its U.S. Treasury Bills; this portfolio is classified within Level 2 of the fair value hierarchy. We use quoted prices from active markets in valuing the U.S. Treasury Bills.
Derivative Contracts.Derivative contracts can be exchange-traded orover-the-counter (“OTC”). Exchange-traded derivatives typically fall within Level 1 or Level 2 of the fair value hierarchy depending on whether they are deemed to be actively traded or not. The Fund has exposure to exchange-traded derivative contracts through the Fund’s trading of exchange-traded futures contracts. The Fund’s exchange-traded futures contract positions are valued daily at settlement prices published by the applicable exchanges. In such cases, provided they are deemed to be actively traded, exchange-traded derivatives are classified within Level 1 of the fair value hierarchy. Less actively traded exchange-traded derivatives fall within Level 2 of the fair value hierarchy.
OTC derivatives are valued using market transactions and other market evidence whenever possible, including market-based inputs to models, model calibration to market-clearing transactions, broker or dealer quotations, or alternative pricing sources with reasonable levels of price transparency. Where models are used, the selection of a particular model to value an OTC derivative depends upon the contractual terms of, and specific risks inherent in, the instrument as well as the availability of pricing information in the market. For OTC derivatives that trade in liquid markets, such as generic forwards and swaps, model inputs can generally be verified and model selection does not involve significant management judgment. The OTC derivatives held by the Fund may include forwards and swaps. Spot and forward foreign currency contracts held by the Fund are valued at published daily settlement prices or at dealers’ quotes. The Fund’s forward and swap positions are typically classified within Level 2 of the fair value hierarchy.
Certain OTC derivatives trade in less liquid markets with limited pricing information, and the determination of fair value for these derivatives is inherently more difficult. Such instruments are classified within Level 3 of the fair value hierarchy. Where the Fund does not have corroborating market evidence to support significant model inputs and cannot verify the model to market transactions, transaction price is initially used as the best estimate of fair value. Accordingly, when a pricing model is used to value such an instrument, the model is adjusted so that the model value at inception equals the transaction price. The valuations of these less liquid OTC derivatives are typically based on Level 1 and/or Level 2 inputs that can be observed in the market, as well as unobservable Level 3 inputs. Level 3 inputs are changed only when corroborated by evidence such as similar market transactions, third-party pricing services and/or broker or dealer quotations, or other empirical market data. In
23
Table of Contents
circumstances in which the Fund cannot verify the model value to market transactions, it is possible that a different valuation model could produce a materially different estimate of fair value. The Fund attempts to avoid holding less liquid OTC derivatives. However, once held, the market for any particular derivative contract could become less liquid during the holding period. There was no Level 3 holdings at June 30, 2018 and December 31, 2017 or during the period then ended.
The following table summarizes the valuation of the Fund’s assets and liabilities by the ASC 820 fair value hierarchy as of June 30, 2018 and December 31, 2017:
Superfund Green, L.P.
Balance June 30, 2018 | Level 1 | Level 2 | Level 3 | |||||||||||||
ASSETS | ||||||||||||||||
Futures contracts sold | $ | 125,793 | $ | 125,793 | $ | — | $ | — | ||||||||
Futures contracts purchased | 184,994 | 184,994 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets Measured at Fair Value | $ | 310,787 | $ | 310,787 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES | ||||||||||||||||
Futures contracts sold | $ | 93,854 | $ | 93,854 | $ | — | $ | — | ||||||||
Futures contracts purchased | 136,043 | 136,043 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities Measured at Fair Value | $ | 229,897 | $ | 229,897 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Balance December 31, 2017 | Level 1 | Level 2 | Level 3 | |||||||||||||
ASSETS | ||||||||||||||||
Futures contracts sold | $ | 111,436 | $ | 111,436 | $ | — | $ | — | ||||||||
Futures contracts purchased | 304,814 | 304,814 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets Measured at Fair Value | $ | 416,250 | $ | 416,250 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES | ||||||||||||||||
Futures contracts sold | $ | 99,629 | $ | 99,629 | $ | — | $ | — | ||||||||
Futures contracts purchased | 103,106 | 103,106 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities Measured at Fair Value | $ | 202,735 | $ | 202,735 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
Superfund Green, L.P. - Series A
Balance June 30, 2018 | Level 1 | Level 2 | Level 3 | |||||||||||||
ASSETS | ||||||||||||||||
Futures contracts sold | $ | 30,641 | $ | 30,641 | $ | — | $ | — | ||||||||
Futures contracts purchased | 28,411 | 28,411 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets Measured at Fair Value | $ | 59,052 | $ | 59,052 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES | ||||||||||||||||
Futures contracts sold | $ | 18,309 | $ | 18,309 | $ | — | $ | — | ||||||||
Futures contracts purchased | 19,163 | 19,163 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities Measured at Fair Value | $ | 37,472 | $ | 37,472 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
24
Table of Contents
Balance December 31, 2017 | Level 1 | Level 2 | Level 3 | |||||||||||||
ASSETS | ||||||||||||||||
Futures contracts sold | $ | 28,065 | $ | 28,065 | $ | — | $ | — | ||||||||
Futures contracts purchased | 79,285 | 79,285 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets Measured at Fair Value | $ | 107,350 | $ | 107,350 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES | ||||||||||||||||
Futures contracts sold | $ | 29,848 | $ | 29,848 | $ | — | $ | — | ||||||||
Futures contracts purchased | 25,178 | 25,178 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities Measured at Fair Value | $ | 55,026 | $ | 55,026 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
Superfund Green, L.P. - Series B
Balance June 30, 2018 | Level 1 | Level 2 | Level 3 | |||||||||||||
ASSETS | ||||||||||||||||
Futures contracts sold | $ | 95,152 | $ | 95,152 | $ | — | $ | — | ||||||||
Futures contracts purchased | 156,583 | 156,583 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets Measured at Fair Value | $ | 251,735 | $ | 251,735 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES | ||||||||||||||||
Futures contracts sold | $ | 75,545 | $ | 75,545 | $ | — | $ | — | ||||||||
Futures contracts purchased | 116,880 | 116,880 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities Measured at Fair Value | $ | 192,425 | $ | 192,425 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Balance December 31, 2017 | Level 1 | Level 2 | Level 3 | |||||||||||||
ASSETS | ||||||||||||||||
Futures contracts sold | $ | 83,371 | $ | 83,371 | $ | — | $ | — | ||||||||
Futures contracts purchased | 225,529 | 225,529 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets Measured at Fair Value | $ | 308,900 | $ | 308,900 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES | ||||||||||||||||
Futures contracts sold | $ | 69,781 | $ | 69,781 | $ | — | $ | — | ||||||||
Futures contracts purchased | 77,928 | 77,928 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities Measured at Fair Value | $ | 147,709 | $ | 147,709 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
4. | Disclosure of derivative instruments and hedging activities |
The Fund follows ASC 815, Disclosures about Derivative Instruments and Hedging Activities (“ASC 815”). ASC 815 is intended to improve financial reporting for derivative instruments by requiring enhanced disclosure that enables investors to understand how and why an entity uses derivatives, how derivatives are accounted for, and how derivative instruments affect an entity’s results of operations and financial position.
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.
25
Table of Contents
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 June 30, 2018, is as follows:
Type of Instrument | Statement of Assets and Liabilities Location | Asset Derivatives at June 30, 2018 | Liability Derivatives at June 30, 2018 | Net | ||||||||||
Futures contracts | Futures contracts purchased | $ | 184,994 | $ | (136,043 | ) | $ | 48,951 | ||||||
Futures contracts | Futures contracts sold | 125,793 | (93,854 | ) | 31,939 | |||||||||
|
|
|
|
|
| |||||||||
Totals | $ | 310,787 | $ | (229,897 | ) | $ | 80,890 | |||||||
|
|
|
|
|
|
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 December 31, 2017 | Liability Derivatives at December 31, 2017 | 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 Fund’s financial assets, derivative assets and cash collateral held by counterparties as of June 30, 2018 is as follows:
Gross Amounts Not Offset in the Statement of Assets and Liabilities | ||||||||||||||||
Counterparty | Net Amount of Assets in the Statement of Assets and Liabilities | Financial Instruments Pledged | Cash Collateral Received | Net Amount | ||||||||||||
ADMIS | $ | 73,339 | $ | — | $ | — | $ | 73,339 | ||||||||
INTL FCStone | 7,551 | — | — | 7,551 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Totals | $ | 80,890 | $ | — | $ | — | $ | 80,890 | ||||||||
|
|
|
|
|
|
|
|
26
Table of Contents
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 the Statement of Assets and Liabilities | Financial Instruments Pledged | Cash Collateral Received | 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 June 30, 2018:
Derivatives not Designated as Hedging Instruments under ASC 815 | Location of Gain (Loss) on Derivatives Recognized in Income | Net Realized Gain (Loss) on Derivatives Recognized in Income | Net Change in Unrealized Depreciation on Derivatives Recognized in Income | |||||||
Foreign exchange contracts | Realized and change in unrealized gain (loss) on futures and forward contracts | $ | (28,115 | ) | $ | — | ||||
Futures contracts | Realized and change in unrealized loss on futures and forward contracts | (345,057 | ) | (45,915 | ) | |||||
|
|
|
| |||||||
Total | $ | (373,172 | ) | $ | (45,915 | ) | ||||
|
|
|
|
Effects of Derivative Instruments on the Statement of Operations for the six months ended June 30, 2018:
Derivatives not Designated as Hedging Instruments under ASC 815 | Location of Gain (Loss) on Derivatives Recognized in Income | Net Realized Gain (Loss) on Derivatives Recognized in Income | Net Change in Unrealized Depreciation on Derivatives Recognized in Income | |||||||
Foreign exchange contracts | Realized and change in unrealized loss on futures and forward contracts | $ | (26,428 | ) | $ | — | ||||
Futures contracts | Realized and change in unrealized gain (loss) on futures and forward contracts | (245,227 | ) | (132,627 | ) | |||||
|
|
|
| |||||||
Total | $ | (271,655 | ) | $ | (132,627 | ) | ||||
|
|
|
|
27
Table of Contents
Effects of Derivative Instruments on the Statement of Operations for the three months ended June 30, 2017:
Derivatives not Designated as Hedging Instruments under ASC 815 | Location of Gain (Loss) on Derivatives Recognized in Income | Net Realized Gain (Loss) on Derivatives Recognized in Income | Net Change in Unrealized Depreciation on Derivatives Recognized in Income | |||||||
Foreign exchange contracts | Realized and change in unrealized gain (loss) on futures and forward contracts | $ | (40,183 | ) | $ | 17,128 | ||||
Futures contracts | Realized and change in unrealized loss on futures and forward contracts | 474,339 | (337,332 | ) | ||||||
|
|
|
| |||||||
Total | $ | 434,156 | $ | (320,204 | ) | |||||
|
|
|
|
Effects of Derivative Instruments on the Statement of Operations for the six months ended June 30, 2017:
Derivatives not Designated as Hedging Instruments under ASC 815 | Location of Gain (Loss) on Derivatives Recognized in Income | Net Realized Gain (Loss) on Derivatives Recognized in Income | Net Change in Unrealized Depreciation on Derivatives Recognized in Income | |||||||
Foreign exchange contracts | Realized and change in unrealized loss on futures and forward contracts | $ | (196 | ) | $ | 3,306 | ||||
Futures contracts | Realized and change in unrealized gain (loss) on futures and forward contracts | 815,893 | (264,738 | ) | ||||||
|
|
|
| |||||||
Total | $ | 815,697 | $ | (261,432 | ) | |||||
|
|
|
|
Superfund Green, L.P. gross and net unrealized gains and losses by long and short positions as of June 30, 2018 and December 31, 2017:
As of June 30, 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 | $ | 20,470 | 0.3 | $ | (1,531 | ) | 0.0 | * | $ | 7,319 | 0.1 | $ | (8,640 | ) | (0.1 | ) | $ | 17,618 | ||||||||||||||||||
Financial | 86,037 | 1.2 | (380 | ) | 0.0 | * | 8,648 | 0.1 | (28,781 | ) | (0.4 | ) | 65,524 | |||||||||||||||||||||||
Food & Fiber | 15,436 | 0.2 | (31,751 | ) | (0.5 | ) | 12,698 | 0.2 | (7,398 | ) | (0.1 | ) | (11,015 | ) | ||||||||||||||||||||||
Indices | 11,344 | 0.2 | (66,541 | ) | (1.0 | ) | 12,344 | 0.2 | (14,680 | ) | (0.2 | ) | (57,533 | ) | ||||||||||||||||||||||
Metals | — | — | (35,840 | ) | (0.5 | ) | 82,684 | 1.2 | (387 | ) | 0.0 | * | 46,457 | |||||||||||||||||||||||
Livestock | 3,538 | 0.1 | — | — | — | — | (11,560 | ) | (0.2 | ) | (8,022 | ) | ||||||||||||||||||||||||
Energy | 48,169 | 0.7 | — | — | 2,100 | 0.0 | * | (22,408 | ) | (0.3 | ) | 27,861 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Totals | $ | 184,994 | 2.7 | $ | (136,043 | ) | (2.0 | ) | $ | 125,793 | 1.8 | $ | (93,854 | ) | (1.3 | ) | $ | 80,890 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* | Due to rounding – amount is less than 0.05% |
28
Table of Contents
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 June 30, 2018, the monthly average futures and forward contracts bought were 1,419 and the monthly average futures and forward contracts sold were 973. For the six months ended June 30, 2018, the monthly average futures and forward contracts bought were 1,419 and the monthly average futures and forward contracts sold were 844. For the three months ended June 30, 2017, the monthly average futures contracts bought was 1,757 and the monthly average futures contracts sold was 324. For the six months ended June 30, 2017 the monthly average futures contracts bought was 1,696 and the monthly average futures and forward contracts sold were 533.
Superfund Green, L.P. trading results by market sector:
For the Three Months Ended June 30, 2018 | ||||||||||||
Net Realized Gains (Losses) | Change in Net Unrealized Gains (Losses) | Net Trading Gains (Losses) | ||||||||||
Foreign Exchange | $ | (28,115 | ) | $ | — | $ | (28,115 | ) | ||||
Currency | (226,717 | ) | 62,181 | (164,536 | ) | |||||||
Energy | (26,941 | ) | 28,017 | 1,076 | ||||||||
Financial | 159,348 | (95,599 | ) | 63,749 | ||||||||
Food & Fiber | (125,846 | ) | (48,656 | ) | (174,502 | ) | ||||||
Indices | (48,045 | ) | (41,709 | ) | (89,754 | ) | ||||||
Livestock | 20,670 | (32,962 | ) | (12,292 | ) | |||||||
Metals | (97,526 | ) | 82,813 | (14,713 | ) | |||||||
|
|
|
|
|
| |||||||
Total net trading gains | $ | (373,172 | ) | $ | (45,915 | ) | $ | (419,087 | ) | |||
|
|
|
|
|
| |||||||
For the Six Months Ended June 30, 2018 | ||||||||||||
Net Realized Gains (Losses) | Change in Net Unrealized Gains (Losses) | Net Trading Gains (Losses) | ||||||||||
Foreign Exchange | $ | (26,428 | ) | $ | — | $ | (26,428 | ) | ||||
Currency | (78,106 | ) | (47,438 | ) | (125,544 | ) | ||||||
Energy | 2,280 | (2,021 | ) | 259 | ||||||||
Financial | 357,676 | 96,731 | 454,407 | |||||||||
Food & Fiber | (300,622 | ) | 5,366 | (295,256 | ) | |||||||
Indices | (186,213 | ) | (153,717 | ) | (339,930 | ) | ||||||
Livestock | 18,730 | (8,362 | ) | 10,368 | ||||||||
Metals | (58,972 | ) | (23,186 | ) | (82,158 | ) | ||||||
|
|
|
|
|
| |||||||
Total net trading losses | $ | (271,655 | ) | $ | (132,627 | ) | $ | (404,282 | ) | |||
|
|
|
|
|
|
29
Table of Contents
For the Three Months Ended June 30, 2017 | ||||||||||||
Net Realized Gains (Losses) | Change in Net Unrealized Gains (Losses) | Net Trading Gains (Losses) | ||||||||||
Foreign Exchange | $ | (40,183 | ) | $ | 17,128 | $ | (23,055 | ) | ||||
Currency | (79,773 | ) | 75,760 | (4,013 | ) | |||||||
Energy | (183,631 | ) | (49,869 | ) | (233,500 | ) | ||||||
Financial | 37,159 | (154,468 | ) | (117,309 | ) | |||||||
Food & Fiber | 101,616 | (95,904 | ) | 5,712 | ||||||||
Indices | 697,066 | (127,678 | ) | 569,388 | ||||||||
Livestock | 43,380 | 1,720 | 45,100 | |||||||||
Metals | (141,478 | ) | 13,107 | (128,371 | ) | |||||||
|
|
|
|
|
| |||||||
Total net trading gains | $ | 434,156 | $ | (320,204 | ) | $ | 113,952 | |||||
|
|
|
|
|
| |||||||
For the Six Months Ended June 30, 2017 | ||||||||||||
Net Realized Gains (Losses) | Change in Net Unrealized Gains (Losses) | Net Trading Gains (Losses) | ||||||||||
Foreign Exchange | $ | (196 | ) | $ | 3,306 | $ | 3,110 | |||||
Currency | (189,677 | ) | 61,266 | (128,411 | ) | |||||||
Financial | 15,823 | (173,551 | ) | (157,728 | ) | |||||||
Food & Fiber | (31,761 | ) | (20,917 | ) | (52,678 | ) | ||||||
Indices | 1,420,267 | (112,495 | ) | 1,307,772 | ||||||||
Metals | (75,999 | ) | (10,869 | ) | (86,868 | ) | ||||||
Livestock | (15,180 | ) | 48,730 | 33,550 | ||||||||
Energy | (307,580 | ) | (56,902 | ) | (364,482 | ) | ||||||
|
|
|
|
|
| |||||||
Total net trading losses | $ | 815,697 | $ | (261,432 | ) | $ | 554,265 | |||||
|
|
|
|
|
|
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 June 30, 2018, is as follows:
Type of Instrument | Statement of Assets and Liabilities Location | Asset Derivatives at June 30, 2018 | Liability Derivatives at June 30, 2018 | Net | ||||||||||
Futures contracts | Futures contracts purchased | $ | 28,411 | $ | (19,163 | ) | $ | 9,248 | ||||||
Futures contracts | Futures contracts sold | 30,641 | (18,309 | ) | 12,332 | |||||||||
|
|
|
|
|
| |||||||||
Totals | $ | 59,052 | $ | (37,472 | ) | $ | 21,580 | |||||||
|
|
|
|
|
|
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 | Asset Derivatives at December 31, 2017 | Liability Derivatives at December 31, 2017 | 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 | |||||||
|
|
|
|
|
|
30
Table of Contents
The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of June 30, 2018 is as follows:
Gross Amounts Not Offset in the Statement of Assets and Liabilities | ||||||||||||||||
Counterparty | Net Amount of Assets in the Statement of Assets and Liabilities | Financial Instruments Pledged | Cash Collateral Received | Net Amount | ||||||||||||
ADMIS | $ | 18,158 | $ | — | $ | — | $ | 18,158 | ||||||||
INTL FCStone | 3,422 | — | — | 3,422 | ||||||||||||
|
|
|
|
|
| |||||||||||
Totals | $ | 21,580 | $ | — | $ | — | $ | 21,580 | ||||||||
|
|
|
|
|
|
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 the Statement of Assets and Liabilities | Financial Instruments Pledged | Cash Collateral Received | 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 June 30, 2018:
Derivatives not Designated as Hedging Instruments under ASC 815 | Location of Gain (Loss) on Derivatives Recognized in Income | Net Realized Gain (Loss) on Derivatives Recognized in Income | Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | |||||||
Foreign exchange contracts | Realized and change in unrealized loss on futures and forward contracts | $ | (6,182 | ) | $ | — | ||||
Futures contracts | Realized and change in unrealized gain on futures and forward contracts | (92,255 | ) | (18,729 | ) | |||||
|
|
|
| |||||||
Total | $ | (98,437 | ) | $ | (18,729 | ) | ||||
|
|
|
|
31
Table of Contents
Effects of Derivative Instruments on the Statement of Operations for the six months ended June 30, 2018:
Derivatives not Designated as Hedging Instruments under ASC 815 | Location of Gain (Loss) on Derivatives Recognized in Income | Net Realized Gain (Loss) on Derivatives Recognized in Income | Net Change in Unrealized Depreciation on Derivatives Recognized in Income | |||||||
Foreign exchange contracts | Realized and change in unrealized gain (loss) on futures and forward contracts | $ | (6,753 | ) | $ | |||||
Futures contracts | Realized and change in unrealized loss on futures and forward contracts | (38,910 | ) | (30,745 | ) | |||||
|
|
|
| |||||||
Total | $ | (45,663 | ) | $ | (30,745 | ) | ||||
|
|
|
|
Effects of Derivative Instruments on the Statement of Operations for the three months ended June 30, 2017:
Derivatives not Designated as Hedging Instruments under ASC 815 | Location of Gain (Loss) on Derivatives Recognized in Income | Net Realized Gain (Loss) on Derivatives Recognized in Income | Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | |||||||
Foreign exchange contracts | Realized and change in unrealized loss on futures and forward contracts | $ | (7,805 | ) | $ | 1,607 | ||||
Futures contracts | Realized and change in unrealized gain on futures and forward contracts | 130,958 | (101,635 | ) | ||||||
|
|
|
| |||||||
Total | $ | 123,153 | $ | (100,028 | ) | |||||
|
|
|
|
Effects of Derivative Instruments on the Statement of Operations for the six months ended June 30, 2017:
Derivatives not Designated as Hedging Instruments under ASC 815 | Location of Gain (Loss) on Derivatives Recognized in Income | Net Realized Gain (Loss) on Derivatives Recognized in Income | Net Change in Unrealized Depreciation on Derivatives Recognized in Income | |||||||
Foreign exchange contracts | Realized and change in unrealized gain (loss) on futures and forward contracts | $ | 2,510 | $ | 3,019 | |||||
Futures contracts | Realized and change in unrealized loss on futures and forward contracts | 250,244 | (90,528 | ) | ||||||
|
|
|
| |||||||
Total | $ | 252,754 | $ | (87,509 | ) | |||||
|
|
|
|
32
Table of Contents
Superfund Green, L.P. – Series A gross and net unrealized gains and losses by long and short positions as of June 30, 2018 and December 31, 2017:
As of June 30, 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 | $ | 5,465 | 0.2 | $ | — | — | $ | 2,150 | 0.1 | $ | (774 | ) | 0.0 | * | $ | 6,841 | ||||||||||||||||||||
Financial | 15,852 | 0.7 | — | — | 2,250 | 0.1 | (6,457 | ) | (0.3 | ) | 11,645 | |||||||||||||||||||||||||
Food & Fiber | 3,978 | 0.2 | (7,341 | ) | (0.3 | ) | 3,098 | 0.1 | (1,510 | ) | (0.1 | ) | (1,775 | ) | ||||||||||||||||||||||
Indices | 1,166 | 0.0 | * | (11,487 | ) | (0.5 | ) | 5,233 | 0.2 | (1,632 | ) | (0.1 | ) | (6,720 | ) | |||||||||||||||||||||
Metals | — | — | (335 | ) | 0.0 | * | 17,210 | 0.7 | — | — | 16,875 | |||||||||||||||||||||||||
Energy | 1,950 | 0.1 | — | — | 700 | 0.0 | * | (5,796 | ) | (0.2 | ) | (3,146 | ) | |||||||||||||||||||||||
Livestock | — | — | — | — | — | — | (2,140 | ) | (0.1 | ) | (2,140 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Totals | $ | 28,411 | 1.2 | $ | (19,163 | ) | (0.8 | ) | $ | 30,641 | 1.2 | $ | (18,309 | ) | (0.8 | ) | $ | 21,580 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* | 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 June 30, 2018, the monthly average futures and forward contracts bought were 350 and the monthly average futures and forward contracts sold were 234. For the six months ended June 30, 2018, the monthly average futures and forward contracts bought were 356 and the monthly average futures and forward contracts sold were 216. For the three months ended June 30, 2017, the monthly average futures and forward contracts bought were 517 and the monthly average futures and forward contracts sold were 91. For the six months ended June 30, 2017, the monthly average futures and forward contracts bought were 505 and the monthly average futures and forward contracts sold were 165.
Series A trading results by market sector:
For the Three Months Ended June 30, 2018 | ||||||||||||
Net Realized Gains (Losses) | Change in Net Unrealized Gains (Losses) | Net Trading Gains (Losses) | ||||||||||
Foreign Exchange | $ | (6,182 | ) | $ | — | $ | (6,182 | ) | ||||
Currency | (52,355 | ) | 15,256 | (37,099 | ) | |||||||
Energy | (24,431 | ) | (678 | ) | (25,109 | ) | ||||||
Financial | 45,650 | (25,789 | ) | 19,861 | ||||||||
Food & Fiber | (30,358 | ) | (14,131 | ) | (44,489 | ) | ||||||
Indices | (20,301 | ) | (10,878 | ) | (31,179 | ) | ||||||
Livestock | 6,280 | (6,640 | ) | (360 | ) | |||||||
Metals | (16,740 | ) | 24,131 | 7,391 | ||||||||
|
|
|
|
|
| |||||||
Total net trading gains (losses) | $ | (98,437 | ) | $ | (18,729 | ) | $ | (117,166 | ) | |||
|
|
|
|
|
|
33
Table of Contents
For the Six Months Ended June 30, 2018 | ||||||||||||
Net Realized Gain (Losses) | Change in Net Unrealized Gain (Losses) | Net Trading Gains (Losses) | ||||||||||
Foreign Exchange | $ | (6,753 | ) | $ | — | $ | (6,753 | ) | ||||
Currency | (5,998 | ) | (11,694 | ) | (17,692 | ) | ||||||
Energy | (18,318 | ) | (7,000 | ) | (25,318 | ) | ||||||
Financial | 97,962 | 19,136 | 117,098 | |||||||||
Food & Fiber | (83,417 | ) | 6,167 | (77,250 | ) | |||||||
Indices | (27,849 | ) | (35,228 | ) | (63,077 | ) | ||||||
Livestock | 6,640 | (2,140 | ) | 4,500 | ||||||||
Metals | (7,930 | ) | 14 | (7,916 | ) | |||||||
|
|
|
|
|
| |||||||
Total net trading gains (losses) | $ | (45,663 | ) | $ | (30,745 | ) | $ | (76,408 | ) | |||
|
|
|
|
|
| |||||||
For the Three Months Ended June 30, 2017 | ||||||||||||
Net Realized Gains (Losses) | Change in Net Unrealized Gains (Losses) | Net Trading Gains (Losses) | ||||||||||
Foreign Exchange | $ | (7,805 | ) | $ | 1,607 | $ | (6,198 | ) | ||||
Currency | (23,574 | ) | 19,213 | (4,361 | ) | |||||||
Energy | (32,183 | ) | (15,656 | ) | (47,839 | ) | ||||||
Financial | 5,223 | (42,165 | ) | (36,942 | ) | |||||||
Food & Fiber | 28,295 | (32,456 | ) | (4,161 | ) | |||||||
Indices | 175,206 | (31,076 | ) | 144,130 | ||||||||
Livestock | 12,730 | (390 | ) | 12,340 | ||||||||
Metals | (34,739 | ) | 895 | (33,844 | ) | |||||||
|
|
|
|
|
| |||||||
Total net trading gains (losses) | $ | 123,153 | $ | (100,028 | ) | $ | 23,125 | |||||
|
|
|
|
|
| |||||||
For the Six Months Ended June 30, 2017 | ||||||||||||
Net Realized Gain (Losses) | Change in Net Unrealized Gain (Losses) | Net Trading Gains (Losses) | ||||||||||
Foreign Exchange | $ | 2,510 | $ | 3,019 | $ | 5,529 | ||||||
Currency | (58,475 | ) | 17,495 | (40,980 | ) | |||||||
Financial | 1,084 | (54,174 | ) | (53,090 | ) | |||||||
Food & Fiber | (9,438 | ) | (11,604 | ) | (21,042 | ) | ||||||
Indices | 399,815 | (40,500 | ) | 359,315 | ||||||||
Metals | (23,187 | ) | (5,331 | ) | (28,518 | ) | ||||||
Livestock | (7,570 | ) | 18,890 | 11,320 | ||||||||
Energy | (51,985 | ) | (15,304 | ) | (67,289 | ) | ||||||
|
|
|
|
|
| |||||||
Total net trading gains (losses) | $ | 252,754 | $ | (87,509 | ) | $ | 165,245 | |||||
|
|
|
|
|
|
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 June 30, 2018, is as follows:
Type of Instrument | Statement of Assets and Liabilities Location | Asset Derivatives at March 31, 2018 | Liability Derivatives at March 31, 2018 | Net | ||||||||||
Futures contracts | Futures contracts purchased | $ | 156,583 | $ | (116,880 | ) | $ | 39,703 | ||||||
Futures contracts | Futures contracts sold | 95,152 | (75,545 | ) | 19,607 | |||||||||
|
|
|
|
|
| |||||||||
Totals | $ | 251,735 | $ | (192,425 | ) | $ | 59,310 | |||||||
|
|
|
|
|
|
34
Table of Contents
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 December 31, 2017 | Liability Derivatives at December 31, 2017 | 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 June 30, 2018 is as follows:
Gross Amounts Not Offset in the Statement of Assets and Liabilities | ||||||||||||||||
Counterparty | Net Amount of Assets in the Statement of Assets and Liabilities | Financial Instruments Pledged | Cash Collateral Received | Net Amount | ||||||||||||
ADMIS | $ | 55,181 | $ | — | $ | — | $ | 55,181 | ||||||||
INTL FCStone | 4,129 | — | — | 4,129 | ||||||||||||
|
|
|
|
|
| |||||||||||
Totals | $ | 59,310 | $ | — | $ | — | $ | 59,310 | ||||||||
|
|
|
|
|
|
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 the Statement of Assets and Liabilities | Financial Instruments Pledged | Cash Collateral Received | 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 June 30, 2018:
Derivatives not Designated as Hedging Instruments under ASC 815 | Location of Gain (Loss) on Derivatives Recognized in Income | Net Realized Gain (Loss) on Derivatives Recognized in Income | Net Change in Unrealized Depreciation on Derivatives Recognized in Income | |||||||
Foreign exchange contracts | Realized and change in unrealized loss on futures and forward contracts | $ | (21,933 | ) | $ | — | ||||
Futures contracts | Realized and change in unrealized gain (loss) on futures and forward contracts | (252,802 | ) | (27,186 | ) | |||||
|
|
|
| |||||||
Total | $ | (274,735 | ) | $ | (27,186 | ) | ||||
|
|
|
|
35
Table of Contents
Effects of Derivative Instruments on the Statement of Operations for the six months ended June 30, 2018:
Derivatives Not Accounted for as Hedging Instruments under ASC 815 | Location of Gain (Loss) on Derivatives Recognized in Income | Net Realized Gain (Loss) on Derivatives Recognized in Income | Net Change in Unrealized Depreciation on Derivatives Recognized in Income | |||||||
Foreign exchange contracts | Realized and change in unrealized loss on futures and forward contracts | $ | (19,675 | ) | $ | — | ||||
Futures contracts | Realized and change in unrealized gain (loss) on futures and forward contracts | (206,317 | ) | (101,882 | ) | |||||
|
|
|
| |||||||
Total | $ | (225,992 | ) | $ | (101,882 | ) | ||||
|
|
|
|
Effects of Derivative Instruments on the Statement of Operations for the three months ended June 30, 2017:
Derivatives not Designated as Hedging Instruments under ASC 815 | Location of Gain (Loss) on Derivatives Recognized in Income | Net Realized Gain (Loss) on Derivatives Recognized in Income | Net Change in Unrealized Depreciation on Derivatives Recognized in Income | |||||||
Foreign exchange contracts | Realized and change in unrealized loss on futures and forward contracts | $ | (32,378 | ) | $ | 15,521 | ||||
Futures contracts | Realized and change in unrealized gain (loss) on futures and forward contracts | 343,381 | (235,697 | ) | ||||||
|
|
|
| |||||||
Total | $ | 311,003 | $ | (220,176 | ) | |||||
|
|
|
|
Effects of Derivative Instruments on the Statement of Operations for the six months ended June 30, 2017:
Derivatives Not Accounted for as Hedging Instruments under ASC 815 | Location of Gain (Loss) on Derivatives Recognized in Income | Net Realized Gain (Loss) on Derivatives Recognized in Income | Net Change in Unrealized Depreciation on Derivatives Recognized in Income | |||||||
Foreign exchange contracts | Realized and change in unrealized loss on futures and forward contracts | $ | (2,706 | ) | $ | 287 | ||||
Futures contracts | Realized and change in unrealized gain (loss) on futures and forward contracts | 565,649 | (174,210 | ) | ||||||
|
|
|
| |||||||
Total | $ | 562,943 | $ | (173,923 | ) | |||||
|
|
|
|
36
Table of Contents
Superfund Green, L.P. – Series B gross and net unrealized gains and losses by long and short positions as of June 30, 2018 and December 30, 2017:
As of June 30, 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 | $ | 15,005 | 0.3 | $ | (1,531 | ) | 0.0 | * | $ | 5,169 | 0.1 | $ | (7,866 | ) | (0.2 | ) | $ | 10,777 | ||||||||||||||||||
Financial | 70,185 | 1.5 | (380 | ) | 0.0 | * | 6,398 | 0.1 | (22,324 | ) | (0.5 | ) | 53,879 | |||||||||||||||||||||||
Food & Fiber | 11,458 | 0.2 | (24,410 | ) | (0.5 | ) | 9,600 | 0.2 | (5,888 | ) | (0.1 | ) | (9,240 | ) | ||||||||||||||||||||||
Indices | 10,178 | 0.2 | (55,054 | ) | (1.2 | ) | 7,111 | 0.2 | (13,048 | ) | (0.3 | ) | (50,813 | ) | ||||||||||||||||||||||
Metals | — | — | (35,505 | ) | (0.8 | ) | 65,474 | 1.4 | (387 | ) | 0.0 | * | 29,582 | |||||||||||||||||||||||
Energy | 46,219 | 1.0 | — | — | 1,400 | 0.0 | * | (16,612 | ) | (0.4 | ) | 31,007 | ||||||||||||||||||||||||
Livestock | 3,538 | 0.1 | — | — | — | — | (9,420 | ) | (0.2 | ) | (5,882 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Totals | $ | 156,583 | 3.3 | $ | (116,880 | ) | (2.5 | ) | $ | 95,152 | 2.0 | $ | (75,545 | ) | (1.7 | ) | $ | 59,310 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* | 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 | ||||||||||||||||||||||||
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Totals | $ | 225,529 | 4.2 | $ | (77,928 | ) | (1.4 | ) | $ | 83,371 | 1.5 | $ | (69,781 | ) | (1.4 | ) | $ | 161,191 | ||||||||||||||||||
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* | Due to rounding – amount is less than 0.05% |
Series B monthly contract volume: For the three months ended June 30, 2018, the monthly average futures and forward contracts bought were 1,069 and the monthly average futures and forward contracts sold were 739. For the six months ended June 30, 2018, the monthly average futures and forward contracts bought were 1,063 and the monthly average futures and forward contracts sold were 628. For the three months ended June 30, 2017, the monthly average futures and forward contracts bought were 1,240 and the monthly average futures and forward contracts sold were 233. For the six months ended June 30, 2017, the monthly average futures and forward contracts bought were 1,191 and the monthly average futures and forward contracts sold were 368.
Series B trading results by market sector:
For the Three Months Ended June 30, 2018 | ||||||||||||
Net Realized Gains (Losses) | Change in Net Unrealized Gains (Losses) | Net Trading Gains (Losses) | ||||||||||
Foreign Exchange | $ | (21,933 | ) | $ | — | $ | (21,933 | ) | ||||
Currency | (174,362 | ) | 46,925 | (127,437 | ) | |||||||
Energy | (2,510 | ) | 28,695 | 26,185 | ||||||||
Financial | 113,698 | (69,810 | ) | 43,888 | ||||||||
Food & Fiber | (95,488 | ) | (34,525 | ) | (130,013 | ) | ||||||
Indices | (27,744 | ) | (30,831 | ) | (58,575 | ) | ||||||
Livestock | 14,390 | (26,322 | ) | (11,932 | ) | |||||||
Metals | (80,786 | ) | 58,682 | (22,104 | ) | |||||||
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| |||||||
Total net trading gains (losses) | $ | (274,735 | ) | $ | (27,186 | ) | $ | (301,921 | ) | |||
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Table of Contents
For the Six Months Ended June 30, 2018 | ||||||||||||
Net Realized Gains (Losses) | Change in Net Unrealized Gains (Losses) | Net Trading Gains (Losses) | ||||||||||
Foreign Exchange | $ | (19,675 | ) | $ | — | $ | (19,675 | ) | ||||
Currency | (72,108 | ) | (35,744 | ) | (107,852 | ) | ||||||
Energy | 20,598 | 4,979 | 25,577 | |||||||||
Financial | 259,714 | 77,595 | 337,309 | |||||||||
Food & Fiber | (217,205 | ) | (801 | ) | (218,006 | ) | ||||||
Indices | (158,364 | ) | (118,489 | ) | (276,853 | ) | ||||||
Livestock | 12,090 | (6,222 | ) | 5,868 | ||||||||
Metals | (51,042 | ) | (23,200 | ) | (74,242 | ) | ||||||
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Total net trading gains (losses) | $ | (225,992 | ) | $ | (101,882 | ) | $ | (327,874 | ) | |||
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| |||||||
For the Three Months Ended June 30, 2017 | ||||||||||||
Net Realized Gains (Losses) | Change in Net Unrealized Gains (Losses) | Net Trading Gains (Losses) | ||||||||||
Foreign Exchange | $ | (32,378 | ) | $ | 15,521 | $ | (16,857 | ) | ||||
Currency | (56,199 | ) | 56,547 | 348 | ||||||||
Energy | (151,448 | ) | (34,213 | ) | (185,661 | ) | ||||||
Financial | 31,936 | (112,303 | ) | (80,367 | ) | |||||||
Food & Fiber | 73,321 | (63,448 | ) | 9,873 | ||||||||
Indices | 521,860 | (96,602 | ) | 425,258 | ||||||||
Livestock | 30,650 | 2,110 | 32,760 | |||||||||
Metals | (106,739 | ) | 12,212 | (94,527 | ) | |||||||
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| |||||||
Total net trading gains (losses) | $ | 311,003 | $ | (220,176 | ) | $ | 90,827 | |||||
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For the Six Months Ended June 30, 2017 | ||||||||||||
Net Realized Gains (Losses) | Change in Net Unrealized Gains (Losses) | Net Trading Gains (Losses) | ||||||||||
Foreign Exchange | $ | (2,706 | ) | $ | 287 | $ | (2,419 | ) | ||||
Currency | (131,202 | ) | 43,771 | (87,431 | ) | |||||||
Financial | 14,739 | (119,377 | ) | (104,638 | ) | |||||||
Food & Fiber | (22,323 | ) | (9,313 | ) | (31,636 | ) | ||||||
Indices | 1,020,452 | (71,995 | ) | 948,457 | ||||||||
Metals | (52,812 | ) | (5,538 | ) | (58,350 | ) | ||||||
Livestock | (7,610 | ) | 29,840 | 22,230 | ||||||||
Energy | (255,595 | ) | (41,598 | ) | (297,193 | ) | ||||||
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Total net trading gains (losses) | $ | 562,943 | $ | (173,923 | ) | $ | 389,020 | |||||
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5. | Due from/to brokers |
Due from brokers consists of proceeds from cash and unsettled trades. Amounts due from brokers may be restricted to the extent that they serve as deposits for securities sold short. Amounts due to brokers, if any, represent margin borrowings that are collateralized by certain securities. As of June 30, 2018 and December 31, 2017, there were no amounts due to brokers.
In the normal course of business, all of the Fund’s marketable securities transactions, money balances and marketable security positions are transacted with brokers. The Fund is subject to credit risk to the extent any broker with whom it conducts business is unable to fulfill contractual obligations on its behalf.
6. | Allocation of net profits and losses |
In accordance with the Fund’s Sixth Amended and Restated Limited Partnership Agreement, net profits and losses of the Fund are allocated to partners according to their respective interests in the Fund as of the beginning of each month.
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7. | Related party transactions |
Superfund Capital Management shall be paid a management feeequal to one-twelfth of 1.85% of month-end net assets (1.85% per annum), and monthly operating expensesequal to one-twelfth of 0.15% of month-end net assets (0.15% per annum), not to exceed the amount of actual expenses incurred. Superfund Capital Management will also be paid a monthly performance/incentive fee equal to 25% of the new appreciation without respect to interest income. Trading losses will be carried forward and no further performance/incentive fee may be paid until the prior losses have been recovered. In addition, Superfund Brokerage Services, Inc., an affiliate of Superfund Capital Management, serves as the introducing broker for the Fund’s futures transactions and receives a portion of the brokerage commissions paid by the Fund in connection with its futures trading. Superfund USA, LLC, an entity related to Superfund Capital Management by common ownership, shall be paid monthly selling commissionsequal to one-twelfth of 4% (4% per annum)of the month-end net asset value of the Fund. However, the maximum cumulative selling commission per Unit is limited to 10% of the initial public offering price of Units sold. Selling commissions charged as of the end of each month in excess of 10% of the initial public offering price of Units sold shall not be paid out to any selling agent but shall instead be held in a separate account. Accrued monthly performance fees, if any, will then be charged against both net assets of the Fundas of month-end, as well as against amounts held in the separate account. Any increase or decrease in net assets and any accrued interest will then be credited or charged to each investor (a “Limited Partner”) on a pro rata basis. The remainder of the amounts held in the separate account, if any, shall then be reinvested in Units asof such month-end, at the current net asset value, for the benefit of the appropriate Limited Partner. The amount of any distribution to a Limited Partner, any amount paid to a Limited Partner on redemption of Units and any redemption fee paid to Superfund Capital Management upon the redemption of Units will be charged to that Limited Partner. Selling commissions are shown gross on the statements of operations and amounts over the 10% selling commission threshold are rebated to the Limited Partner by purchasing Units of the Fund.
8. | Financial highlights |
Financial highlights for the period January 1 through June 30 are as follows:
2018 | 2017 | |||||||||||||||
Series A | Series B | Series A | Series B | |||||||||||||
Total return before incentive fees* | (6.6 | )% | (10.5 | )% | 1.1 | % | 3.7 | % | ||||||||
Incentive fees | 0.0 | % | 0.0 | % | 0.0 | % | 0.0 | % | ||||||||
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Total return after incentive fees | (6.6 | )% | (10.5 | )% | 1.1 | % | 3.7 | % | ||||||||
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Ratios to average partners’ capital** | ||||||||||||||||
Operating expenses before incentive fees | (6.2 | )% | (6.1 | )% | (6.4 | )% | (6.5 | )% | ||||||||
Incentive fees | 0.0 | % | 0.0 | % | 0.0 | % | 0.0 | % | ||||||||
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Total expenses | (6.2 | )% | (6.1 | )% | (6.4 | )% | (6.5 | )% | ||||||||
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Net investment loss | (6.1 | )% | (6.0 | )% | (6.0 | ))% | (6.1 | )% | ||||||||
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Net asset value per unit, beginning of period | $ | 1,099.78 | $ | 1,359.98 | $ | 989.50 | $ | 1,049.01 | ||||||||
Net investment loss | (32.74 | ) | (39.31 | ) | (29.96 | ) | (32.93 | ) | ||||||||
Net gain on investments | (42.90 | ) | (101.33 | ) | 40.13 | 70.69 | ||||||||||
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Total income (loss) from operations | (75.64 | ) | (140.64 | ) | 10.17 | 37.76 | ||||||||||
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Net asset value per unit, end of period | $ | 1,024.14 | $ | 1,219.34 | $ | 999.67 | $ | 1,086.77 | ||||||||
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Other per Unit information: | ||||||||||||||||
Net increase (decrease) in net assets from operations per Unit (based upon weighted average number of Units during period) | $ | (70.71 | ) | $ | (139.67 | ) | $ | 11.82 | $ | 40.13 | ||||||
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Net increase (decrease) in net assets from operations per Unit (based upon change in net asset value per Unit) | $ | (75.64 | ) | $ | (140.64 | ) | $ | 10.17 | $ | 37.76 | ||||||
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39
Table of Contents
Financial highlights for the period April 1 through June 30 are as follows:
2018 | 2017 | |||||||||||||||
Series A | Series B | Series A | Series B | |||||||||||||
Total return before incentive fees* | (6.4 | )% | (8.1 | )% | (1.1 | )% | (0.2 | )% | ||||||||
Incentive fees | 0.0 | % | 0.0 | % | 0.0 | % | 0.0 | % | ||||||||
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Total return after incentive fees | (6.4 | )% | (8.1 | )% | (1.1 | )% | (0.2 | )% | ||||||||
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Ratios to average partners’ capital** | ||||||||||||||||
Operating expenses before incentive fees | (6.0 | )% | (6.0 | )% | (6.3 | )% | (6.5 | )% | ||||||||
Incentive fees | 0.0 | % | 0.0 | % | 0.0 | % | 0.0 | % | ||||||||
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Total expenses | (6.0 | )% | (6.0 | )% | (6.3 | )% | (6.5 | )% | ||||||||
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Net investment loss | (5.9 | )% | (5.9 | )% | (6.0 | )% | (6.1 | )% | ||||||||
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Net asset value per unit, beginning of period | $ | 1,094.09 | $ | 1,325.56 | $ | 1,010.80 | $ | 1,089.27 | ||||||||
Net investment loss | (15.57 | ) | (18.69 | ) | (15.05 | ) | (16.76 | ) | ||||||||
Net gain on investments | (54.38 | ) | (87.53 | ) | 3.92 | 14.26 | ||||||||||
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Total income (loss) from operations | (69.95 | ) | (106.22 | ) | (11.13 | ) | (2.50 | ) | ||||||||
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Net asset value per unit, end of period | $ | 1,024.14 | $ | 1,219.34 | $ | 999.67 | $ | 1,086.77 | ||||||||
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Other per Unit information: | ||||||||||||||||
Net increase (decrease) in net assets from operations per Unit (based upon weighted average number of Units during period) | $ | (69.78 | ) | $ | (105.59 | ) | $ | (10.94 | ) | $ | (1.97 | ) | ||||
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Net increase (decrease) in net assets from operations per Unit (based upon change in net asset value per Unit) | $ | (69.95 | ) | $ | (106.22 | ) | $ | (11.13 | ) | $ | (2.50 | ) | ||||
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* | Total return is calculated for each Series of the Fund taken as a whole. An individual’s return may vary from these returns based on the timing of capital transactions. |
** | Annualized for periods less than a year. |
Financial highlights are calculated for each series taken as a whole. An individual partner’s return, per unit data, and ratios may vary based on the timing of capital transactions.
9. | Financial instrument risk |
In the normal course of its business, the Fund is party to financial instruments withoff-balance sheet risk, including derivative financial instruments and derivative commodity instruments. The term“off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in a future obligation or loss. These financial instruments may include forwards, futures and options, whose values are based upon an underlying asset, index, or reference rate, and generally represent future commitments to exchange currencies or cash flows, to purchase or sell other financial instruments at specific terms at specific future dates, or, in the case of derivative commodity instruments, to have a reasonable possibility to be settled in cash, through physical delivery or with another financial instrument. These instruments may be traded on an exchange or OTC. Exchange-traded instruments are standardized and include futures and certain option contracts. OTC contracts are negotiated between contracting parties and include forwards and certain options. Each of these instruments is subject to various risks similar to those related to the underlying financial instruments including market and credit risk. In general, the risks associated with OTC contracts are greater than those associated with exchange-traded instruments because of the greater risk of default by the counterparty to an OTC contract.
For the Fund, gross unrealized gains and losses related to exchange-traded futures were $310,787 and $229,897, respectively, at June 30, 2018.
For Series A, gross unrealized gains and losses related to exchange-traded futures were $59,052 and $37,472, respectively, at June 30, 2018.
For Series B, gross unrealized gains and losses related to exchange-traded futures were $251,735 and $192,425, respectively, at June 30, 2018.
40
Table of Contents
Market risk is the potential for changes in the value of the financial instruments traded by the Fund due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity or security prices. In entering into these contracts, there exists a market risk that such contracts may be significantly influenced by conditions such as interest rate volatility, resulting in such contracts being less valuable. If the markets should move against all of the futures interest positions at the same time, and Superfund Capital Management was unable to offset such positions, the Fund could experience substantial losses.
Credit risk is the possibility that a loss may occur due to the failure of counterparty to perform according to the terms of a contract. Credit risk with respect to exchange-traded instruments is reduced to the extent that an exchange or clearing organization acts as counterparty to the transactions. The Fund’s risk of loss in the event of counterparty default is typically limited to the amounts recognized in the statements of assets and liabilities and not represented by the contract or notional amounts of the instruments. As the Fund’s assets are held in segregated accounts with futures commission merchants, the Fund has credit risk and concentration risk. The Fund’s futures commission merchants are currently ADM Investor Services, Inc. and INTL FC Stone International.
Superfund Capital Management monitors and attempts to control the Fund’s risk exposure on a daily basis through financial, credit, and risk management monitoring systems, and accordingly believes that it has effective procedures for evaluating and limiting the credit and market risks to which the Fund is subject. These monitoring systems allow Superfund Capital Management to statistically analyze actual trading results with risk adjusted performance indicators and correlation statistics. In addition,on-line monitoring systems provide account analysis of futures and forward positions by sector, margin requirements, gain and loss transactions, and collateral positions.
The majority of these futures and forwards mature within one year of June 30, 2018. However, due to the nature of the Fund’s business, these instruments may not be held to maturity.
10. | Subscriptions and redemptions |
Effective May 1, 2014, the Fund no longer accepts subscriptions.
A Limited Partner may request any or all of his investment in such Series be redeemed by such Series at the net asset value of a Unit within such Series as of the end of each month, subject to a minimum redemption of $1,000 and subject further to such Limited Partner having an investment in such Series, after giving effect to the requested redemption, at least equal to the minimum initial investment amount of $10,000. Limited Partners must transmit a written request of such redemption to Superfund Capital Management not less than five business days prior to the end of the month (or such shorter period as permitted by Superfund Capital Management) as of which the redemption is to be effective. Redemptions will generally be paid within twenty days after the effective date of the redemption. However, in special circumstances, including, but not limited to, inability to liquidate dealers’ positions as of a redemption date or default or delay in payments due to each Series from clearing brokers, banks or other persons or entities, each Series may in turn delay payment to persons requesting redemption of the proportionate part of the net assets of each Series represented by the sums that are subject of such default or delay. As provided in the Partnership Agreement, if the net asset value per Unit within a Series as of the end of any business day declines by 50% or more from either theprior year-end or theprior month-end Unit value of such Series, Superfund Capital Management will suspend trading activities, notify all Limited Partners within such Series of the relevant facts within seven business days and declare a special redemption period.
Subscriptions received in advance, if any, represent cash received prior to the balance sheet date for subscriptions of the subsequent month and do not participate in the earnings of the Fund until the following month.
11. | Indemnification |
In the normal course of business, the Fund enters into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is dependent on future claims that may be made against the Fund, and therefore cannot be established; however, based on experience, the risk of loss from such claims is considered remote.
12. | Subsequent events |
Superfund Capital Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements.
41
Table of Contents
ITEM 2. | MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS |
INTRODUCTION
The Fund commenced the offering of its Units on October 22, 2002. The initial offering terminated on October 31, 2002 and the Fund commenced operations on November 5, 2002. The continuing offering period commenced at the termination of the initial offering period and ended May 1, 2014. Subscription and redemption data is presented for both the Fund, as the SEC registrant, and for Series A and Series B, individually. For the quarter ended June 30, 2018, redemptions totaled $139,746. For the quarter ended June 30, 2018, redemptions totaled $70,239 in Series A and $69,507 in Series B.
LIQUIDITY
Most U.S. commodity exchanges limit fluctuations in futures contracts prices during a single day by regulations referred to as “daily price fluctuation limits” or “daily limits.” During a single trading day, no trades may be executed at prices beyond the daily limit. This may affect the Fund’s ability to initiate new positions or close existing ones or may prevent it from having orders executed. Futures prices have occasionally moved the daily limit for several consecutive days with little or no trading. Similar occurrences could prevent the Fund from promptly liquidating unfavorable positions and subject the Fund to substantial losses, which could exceed the margin initially committed to such trades. In addition, even if futures prices have not moved the daily limit, the Fund may not be able to execute futures trades at favorable prices if little trading in such contracts is taking place.
Other than these limitations on liquidity, which are inherent in the Fund’s futures and forward trading operations, the Fund’s assets are expected to be highly liquid.
CAPITAL RESOURCES
The Fund will raise additional capital only through the sale of Units offered pursuant to the continuing offering and does not intend to raise any capital through borrowings. Due to the nature of the Fund’s business, it will make no capital expenditures and will have no capital assets which are not operating capital or assets.
RESULTS OF OPERATIONS
Three Months Ended June 30, 2018
Series A:
Net results for the quarter ended June 30, 2018, were a loss of (6.4)% in net asset value compared to the preceding quarter end. In this period, Series A experienced a net decrease in net assets from operations of $163,153. This decrease consisted of investment income of $891, trading loss of $116,963 and total expenses of $47,081. Expenses included $11,371 in management fees, $922 in operating expenses, $24,587 in selling commissions, $10,002 in brokerage commissions and $199 in other expenses. At June 30, 2018 and December 31, 2017, the net asset value per Unit of Series A was $1,024.14 and $1,099.78, respectively.
Series B:
Net results for the quarter ended March 31, 2018, were a loss of (8.1)% in net asset value compared to the preceding quarter end. In this period, Series B experienced a net decrease in net assets from operations of $403,242 This decrease consisted of investment income of $1,533, trading loss of $301,414 and total expenses of $103,361 . Expenses included $22,251 in management fees, $1,804 in operating expenses, $48,109 in selling commissions, $31,195 in brokerage commissions and $2 in other expenses. At June 30, 2018 and December 31, 2017, the net asset value per Unit of Series B was $1,219.34 and $1,359.98 respectively.
42
Table of Contents
Fund results for 2nd Quarter 2018:
In April, the fund ended the month down-1.86%, as all major sectors except Grains exhibited losses. Amongst these sectors, Currencies weighted the most on the fund’s aggregate total, with returns of-0.79%, as market movements due to the decisions of major world economies created volatility in global currencies. The US Dollar Index, one of the fund’s bottom 3 performers at-0.21%, suffered as changes in the rhetoric from the Federal Reserve reiterated that the Fed was in no rush to raise their interest rates. Global energies flourished in anticipation of a tightening in the supply due to the U.S. president Donald Trump’s decision to abandon the 2015 Iran nuclear deal. This resulted in rising equity prices as they piggybacked off the decision, and the subsequent rise in oil prices. The fund however was not able to capture market movements, the fund’s Energy and Stock Indices sectors generated returns of-0.39% and-0.26% respectively. Amongst all sectors the sole outlier, Grains, reported gains of 0.25%. However, this performance was not strong enough to mitigate the fund’s negative overall returns.
In May, the fund lost ground during May, as it generated overall returns-2.62%. The performance of the Currencies sector hit the fund the hardest this month, as it was the fund’s worst performer at-0.88%. In currencies, the US dollar performed strongly against a basket of its major peers, the pound declined in absence of a rate hike from the Bank of England, and the yen ended the month down, despite a rally for the latter part of the month due to rising stock prices. Grains and Agricultural Markets were other negative performers for the fund, ended the month at combined returns of-1.34%, and housed the worst performing market of the month; CME Rough Rice at-0.44%, whose price fluctuated throughout the month based on weather patterns. Despite global equities advancing in May, the fund generated returns of-0.66% in its Stock Indices sector as its positions were heavily hit during volatile events of the month, such as political uncertainty in the Euro zone, and cancellation of the meeting between President Donald Trump and North Korean leader KimJong-Un. Bonds, the strongest performing sector this month at 0.63%, also housed three of the fund’s top performing markets the Euro Schatz, Euro Bund, and the Euro BOBL, which had combined returns of 1.37%. European bond markets rose this month, as political developments in Italy created tensions in the Euro zone region.
In June, the fund returned performance of-2.05% for the month of June, with poor performances in the Grains sector weighing heaviest on the fund at-1.25%. Soybeans, China’s top imported agricultural commodity from the US, generated the least returns at-0.44%, with wheat following closely behind at-0.37%, asUS-China trade tensions reached newer heights this month. Positions in energy markets set the fund back-0.54%, as OPEC’s decision to increase crude production resulted in falling prices. Positions in Stock indices generated-0.46% as trade war worries gained, on political upheavals in the EU concerning Theresa May’s Brexit Plan, and on the prospect of big spending policies from Italy’s new government resulted in markets retreating on anticipated risks. Bonds and Metals were the only sectors which gave the fund relief this month. High global uncertainty over trade tensions did bond markets well and the sector saw returns of 0.18%. Returns of 0.17% were generated in our metals sector, with short positions held in TOCOM Gold and Platinum contributing most to the fund’s performance. Metals were pressured downward due to a stronger US dollar amidst a positive economic outlook for the US, despite global disputes between the US and its larger trading partners.
Three Months Ended March 31, 2018
Series A:
Net results for the quarter ended March 31, 2018, were a loss of (0.1)% in net asset value compared to the preceding quarter end. In this period, Series A experienced a net decrease in net assets from operations of $17,988. This decrease consisted of investment income of $846, trading gains of $31,407 and total expenses of $50,241. Expenses included $15,448 in management fees, $1,253 in operating expenses, $33,401 in selling commissions and $139 in other expenses. At March 31, 2018 and December 31, 2017, the net asset value per Unit of Series A was $1,094.09 and $1,099.78, respectively.
Series B:
Net results for the quarter ended March 31, 2018, were a loss of (2.7)% in net asset value compared to the preceding quarter end. In this period, Series B experienced a net decrease in net assets from operations of $132,751. This decrease consisted of investment income of $1,209, trading loss of $52,407 and total expenses of $81,553. Expenses included $24,978 in management fees, $2,025 in operating expenses, $54,006 in selling commissions and $544 in other expenses. At March 31, 2018 and December 31, 2017, the net asset value per Unit of Series B was $1,325.56 and $1,359.98 respectively.
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Fund results for 1st Quarter 2018:
In March, the Fund’s managed futures strategy produced positive returns largely backed by compelling performance in bonds. The fund ‘s exposure in European bonds helped contribute to a notable +1.81% gain, as exponential growth in the Eurozone combined with heightened anxieties surrounding trade war fears pushed bond prices up through most of the month. Agricultural markets were up 0.45% mainly due to performance of short positions in Live Cattle which was driven down by liquidation pressures and later tumbled with Feeder Cattle as a result of classic supply and demand fundamental data. The currency sector managed to end performance up at 0.01% with help from the Yen which strengthened against the Dollar after US attempts to exercise harsh tariffs against China was met with measured retaliation. Stock indices came in as the fund’s worst performerat -0.28% as a result of heightened volatility aided in large part by the hard protectionist measures called forth to be put in place by US President Donald Trump.
In February, the Fund’s managed futures strategy produced negative returns as it underperformed in all major sectors except bonds, to generate overall returnsof -5.52%. The fund’s biggest pull-back was in stock indices which ended the monthat -4.08%, as global equities dipped after a long-winning run on Wall Street came to an end early in the month. Grains, energy, metals and agriculture markets struggled to makeany head-way for the fund with combined returnsof -1.97%. Metals prices in particular struggled during the final week of trading, as higher treasury yields propped up the dollar, and erased much of the gains procured during the month. The performance of currencies wasdown -1.03% this month, with the U.S dollar weighed down on concerns of a weak strategy by Washington, and the strengthening of the yen after news came out that Haruhiko Kuroda’s nomination as BoJ Governor was finally confirmed. Although bonds performed fairly well at 1.56% as its short positions in US Treasuries took advantage of falling prices in the wake of increased government borrowing, it was not enough to move the fund’s performance into positive territory.
In January, the Fund’s managed futures strategy produced positive returns with Stock Indices proving to be the strongest performing sector with returns of 2.90%. From Stock Indices, the Nasdaq and Dow Jones Industrial Average were the strongest performing markets for the fund with returns of 0.80% and 0.75% respectively, as the fund’s positions took advantage in the equity rally due to strong corporate earnings during the holiday season. Currencies, Agricultural Markets, and Energy sectors, all contributed positively to the fund’s performance, with combined returns of 2.05%. The Bonds, Metals, and Grains sectors struggled, as their combined returnsof -1.33% eroded some of the funds gains. Of these sectors, positions in the Euro BOBL suffered from declining bond prices on the back of hawkish messages from the ECB. Soybean Meal and NYMEX Platinum faltered, ranking within the bottom performing markets, as the fund’s positions in these markets were adversely affected by their bullish performance in January.
Three Months Ended June 30, 2017
Series A:
Net results for the quarter ended June 30, 2017, were a loss of 1.1% in net asset value compared to the preceding quarter end. In this period, Series A experienced a net decrease in net assets from operations of $37,120. This decrease consisted of investment income of $3,026, trading gains of $13,103 and total expenses of $53,249. Expenses included $15,792 in management fees, $1,280 in operating expenses, $34,144 in selling commissions, and $2,033 in other expenses. At June 30, 2017 and December 31, 2016, the net asset value per Unit of Series A was $999.67 and $989.50, respectively.
Series B:
Net results for the quarter ended June 30, 2017, were a loss of 0.2% in net asset value compared to the preceding quarter end. In this period, Series B experienced a net decrease in net assets from operations of $8,997. This decrease consisted of investment income of $4,183, trading gains of $66,299 and total expenses of $79,479. Expenses included $23,185 in management fees, $1,880 in operating expenses, $50,131 in selling commissions, and $4,283 in other expenses. At June 30, 2017 and December 31, 2016, the net asset value per Unit of Series B was $1,086.77 and $1,049.01 respectively.
Fund results for 2nd Quarter 2017:
In June, the Fund’s managed futures strategy yielded negative performance. The Fund’s long positions in the bonds sector produced the largest losses for the Fund, as global bond prices fell on higher interest rates and hints of a reduction in quantitative easing programs. The Fund’s positions in Euro-BOBL and the Canadian10-year bond contributed the most to these losses. The Fund’s allocation to stock indices and currencies markets helped to lessen the Fund’s negative performance. In particular, the Fund’s positions in the MSCI Taiwan, KSE Kospi and CME Australian dollar all yielded positive returns.
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In May, the Fund’s managed futures strategy produced strong positive returns. The Fund’s positions in equity markets delivered the highest gains for the Fund as a result of the bullish trend in global equities. In particular, the Fund’s positions in CME Nasdaq, KSE Kospi nd FTSE China A50 all produced strong returns. The Fund’s allocations to the bonds and agricultural sectors also produced positive results. Losses attributed to the Fund’s positions in the currencies, energy and metals sectors offset some of the Fund’s gains.
In April, the Fund’s managed futures strategy produced negative results. The Fund’s allocations to the metals, energy, grains and currency sectors underperformed. The Fund’s positions in Comex silver, Euro-Bund and Euro-BOBL produced the largest negative yield as decreased demand for base metals and political movements in Europe placed a strain on performance. The Fund’s allocation to stock indices, bonds and agricultural markets helped to offset some of these losses. The Fund’s long Nasdaq 100 positions yielded positive returns the global outlook on equity markets improved. Similarly, the Fund’s long positions in CME live cattle resulted in gains for the Fund as prices surged on increased demand and higher grain prices.
Three Months Ended March 31, 2017
Series A:
Net results for the quarter ended March 31, 2017, were a gain of 2.2% in net asset value compared to the preceding quarter end. In this period, Series A experienced a net increase in net assets from operations of $77,417. This increase consisted of investment income of $4,621, trading gains of $130,000 and total expenses of $57,204. Expenses included $16,758 in management fees, $1,359 in operating expenses, $36,233 in selling commissions, and $2,854 in other expenses. At March 31, 2017 and December 31, 2016, the net asset value per Unit of Series A was $1,010.80 and $989.50, respectively.
Series B:
Net results for the quarter ended March 31, 2017, were a gain of 3.9% in net asset value compared to the preceding quarter end. In this period, Series B experienced a net increase in net assets from operations of $193,736. This increase consisted of investment income of $4,715, trading gains of $270,597 and total expenses of $81,576. Expenses included $24,058 in management fees, $1,951 in operating expenses, $52,017 in selling commissions, and $3,550 in other expenses. At March 31, 2017 and December 31, 2016, the net asset value per Unit of Series B was $1,089.27 and $1,049.01 respectively.
Fund results for 1st Quarter 2017:
In March, the Fund’s managed futures strategy produced negative results. The Fund’s positions in the metals sector contributed significantly to negative performance for the month. The Fund’s positions in Comex gold suffered as a result of unfavorable movements in the U.S. dollar. The Fund’s allocation to the bonds sector also yielded negative returns. The Fund’s positions in stock indices helped to offset some of these losses as global stock markets continued to rally.
In February, the Fund’s managed futures strategy yielded strong positive returns, as positions in stock indices and bonds proved to be top performers. The funds long positions in stock indices produced strong gains as U.S. stock indices surged amid investor optimism on tax cuts and regulatory reform. The Fund’s positions in bonds, particularly the Eurex Euro BOBL, benefitted from rising bond prices as geopolitical concerns led investors to safer assets.
In January, the Fund’s managed futures strategy produced positive results. The stock indices sector, particularly long positions in the Nasdaq index, was the strongest performing sector for the Fund. The Fund’s positions in the CBOE Volatility Index and LME Aluminum also yielded strong positive returns. The Fund’s allocation to the bonds sector yielded negative results, as did its positions in NYMEX Rbob Gas and NYMEX Platinum.
OFF-BALANCE SHEET RISK
The term“off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in a future obligation or loss. The Fund trades in futures and forward contracts and is therefore a party to financial instruments with elements ofoff-balance sheet market and credit risk. In entering into these contracts, there exists a market risk that such contracts may be significantly influenced by conditions, such as interest rate volatility, resulting in such contracts being less valuable. If the markets should move against all of the futures interests positions of the Fund at the same time, and if Superfund Capital Management was unable to offset such positions, the Fund could experience substantial losses. Superfund Capital Management attempts to minimize market risk through real-time monitoring of open positions, diversification of the portfolio and maintenance of amargin-to-equity ratio in all but extreme instances not greater than 50%.
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In addition to market risk, in entering into futures and forward contracts, there is a credit risk that counterparty will not be able to meet its obligations to the Fund. The counterparty for futures contracts traded in the U.S. and on most foreign exchanges is the clearinghouse associated with such exchange. In general, clearinghouses are backed by the corporate members of the clearinghouse who are required to share any financial burden resulting from thenon-performance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearinghouse is not backed by the clearing members, like some foreign exchanges, it is normally backed by a consortium of banks or other financial institutions.
OFF-BALANCE SHEET ARRANGEMENTS
The Fund does not engage inoff-balance sheet arrangements.
CONTRACTUAL OBLIGATIONS
The Fund does not enter into contractual obligations or commercial commitments to make future payments of a type that would be typical for an operating company. The Fund’s sole business is trading futures, currency, forward and certain swap contracts, both long (contracts to buy) and short (contracts to sell). All such contracts are settled by offset, not delivery. Substantially all such contracts are for settlement within four months of the trade date and substantially all such contracts are held by the Fund for less than four months before being offset or rolled over into new contracts with similar maturities. The financial statements of Series A and Series B each present a condensed schedule of investments setting forth net unrealized appreciation (depreciation) of such Series’ open forward contracts as well as the fair value of the futures contracts purchased and sold by each Series at June 30, 2018 and December 31, 2017.
CRITICAL ACCOUNTING POLICIES – VALUATION OF THE FUND’S POSITIONS
Superfund Capital Management believes that the accounting policies that will be most critical to the Fund’s financial condition and results of operations relate to the valuation of the Fund’s positions. The Fund uses the amortized cost method for valuing U.S. Treasury Bills. Superfund Capital Management believes the cost of securities plus accreted discount, or minus amortized premium, approximates fair value. The majority of the Fund’s positions will be exchange-traded futures contracts, which will be valued daily at settlement prices published by the exchanges. Any spot and forward foreign currency or swap contracts held by the Fund will also be valued at published daily settlement prices or at dealers’ quotes. Thus, Superfund Capital Management expects that under normal circumstances substantially all of the Fund’s assets will be valued on a daily basis using objective measures.
RECENTLY ISSUED ACCOUNTING PRONOUNCEMENTS
ASU 2016-01
In January 2016, FASBissued ASU No. 2016-01, Financial Instruments – Overall(Subtopic 825-10) Recognition and Measurement of Financial Assets andLiabilities (“ASU 2016-01”). The amendmentsin ASU 2016-01 affect any entity that holds financial assets or owes financial liabilities. The guidance is effective for fiscal years beginning after December 15, 2017. The fundadopted ASU 2016-01 as of January 1, 2018, and the adoption did not have a material impact on its financial statements.
ITEM 3. | QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK |
Not required.
ITEM 4. | CONTROLS AND PROCEDURES |
Superfund Capital Management, the Fund’s general partner, with the participation of Superfund Capital Management’s principal executive officer and principal financial officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures with respect to each Series individually, as well as the Fund as a whole, as of the end of the period covered by this quarterly report, and, based on their evaluation, have concluded that these disclosure controls and procedures are effective. There were no formal changes in Superfund Capital Management’s internal controls over financial reporting during the quarter ended June 30, 2018 that have materially affected, or are reasonably likely to materially affect, Superfund Capital Management’s internal control over financial reporting with respect to each Series individually, as well as the Fund as a whole.
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The Rule13a-14(a)/15d-14(a) certifications of the principal executive officer and the principal financial officer included as Exhibits 31.1 and 31.2, respectively, are certifying as to each Series individually, as well as the Fund as a whole.
PART II - OTHER INFORMATION
ITEM 1. | LEGAL PROCEEDINGS |
Superfund Capital Management is not aware of any pending legal proceedings to which either the Fund is a party or to which any of its assets are subject. The Fund has no subsidiaries.
ITEM 1A. | RISK FACTORS |
Not required.
ITEM 2. | UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS |
(a) There were no sales of unregistered securities during the quarter ended June 30, 2018.
(b) Pursuant to the Fund’s Sixth Amended and Restated Limited Partnership Agreement, investors may redeem their Units at the end of each calendar month at the then currentmonth-end Net Asset Value per Unit. The redemption of Units has no impact on the value of Units that remain outstanding, and Units are not reissued once redeemed.
The following tables summarize the redemptions by investors during the three months ended June 30, 2018:
Series A: | ||||||||
Month | Units Redeemed | NAV per Unit ($) | ||||||
April 30, 2018 | 55.046 | 1,073.80 | ||||||
May 31, 2018 | 7.448 | 1,045.61 | ||||||
June 30, 2018 | 3.264 | 1,024.14 | ||||||
|
| |||||||
65.758 | ||||||||
|
|
Series B: | ||||||||
Month | Units Redeemed | NAV per Unit ($) | ||||||
April 30, 2018 | 0.0000 | 1,302.26 | ||||||
May 31, 2018 | 35.519 | 1,261.19 | ||||||
June 30, 2018 | 20.265 | 1,219.34 | ||||||
|
| |||||||
55.784 | ||||||||
|
|
ITEM 3. | DEFAULTS UPON SENIOR SECURITIES |
Not applicable.
ITEM 4. | MINE SAFETY DISCLOSURE |
Not applicable.
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ITEM 5. | OTHER INFORMATION |
None.
ITEM 6. | EXHIBITS |
The following exhibits are included herewith:
31.1 | Rule13a-14(a)/15d-14(a) Certification of Principal Executive Officer | |
31.2 | Rule13a-14(a)/15d-14(a) Certification of Principal Financial Officer | |
32.1 | Section 1350 Certification of Principal Executive Officer | |
32.2 | Section 1350 Certification of Principal Financial Officer | |
101.INS* | XBRL Instance Document | |
101.SCH* | XBRL Taxonomy Extension Schema Document | |
101.CAL* | XBRL Taxonomy Extension Calculation Linkbase Document | |
101.DEF* | XBRL Taxonomy Extension Definition Linkbase Document | |
101.LAB* | XBRL Taxonomy Extension Labe Linkbase Document | |
101.PRE* | XBRL Taxonomy Extension Presentation Linkbase Document |
* | XBRL information is furnished and not filed for purposes of Sections 11 and 12 of the Securities Act of 1933 and Section 18 of the Securities Exchange Act of 1934, and is not subject to liability under those sections, is not part of any registration statement or prospectus to which it relates and is not incorporated or deemed to be incorporated by reference into any registration statement, prospectus or other document. |
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EXHIBIT INDEX
Exhibit Number | Description of Document | Page Number | ||||
31.1 | Rule13a-14(a)/15d-14(a) Certification of Principal Executive Officer | E-1 | ||||
31.2 | Rule13a-14(a)/15d-14(a) Certification of Principal Financial Officer | E-2 | ||||
32.1 | Section 1350 Certification of Principal Executive Officer | E-3 | ||||
32.2 | Section 1350 Certification of Principal Financial Officer | E-4 |
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.
Date: August 13, 2018 | SUPERFUND GREEN, L.P. | |||
(Registrant) | ||||
By: Superfund Capital Management, Inc. | ||||
General Partner | ||||
By: | /s/ Craig Lucas | |||
Craig Lucas | ||||
Managing Director and Principal Executive Officer | ||||
By: | /s/ Jim Douglas | |||
Jim Douglas | ||||
Vice Head of Back Office and Principal Financial Officer |
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