| Derivatives and Hedging | 6. Derivatives and Hedging The Partnership’s objective is to profit from
speculative trading in Futures Interests. Therefore, the Trading
Advisors for the Partnership will take speculative positions in
Futures Interests where they feel the best profit opportunities
exist for their trading strategies. As such, the average number of
contracts outstanding in absolute quantities (the total of the open
long and open short positions) has been presented as a part of the
volume disclosure, as position direction is not an indicative
factor in such volume disclosures. With regard to foreign currency
forward trades, each notional quantity amount has been converted to
an equivalent contract based upon an industry convention. The following tables summarize the gross and net
amounts recognized relating to the assets and liabilities of the
Partnership’s derivative instruments and transactions
eligible for offset subject to master netting agreements or similar
agreements as of September 30, 2015, and December 31,
2014, respectively. Offsetting of Derivative Assets and Liabilities
as of September 30, 2015:
Gross Amounts Amounts
Gross Amounts not Offset in the
Gross Amounts
Statements of
Statements of Financial Cash Collateral
Net Amount
Assets
Futures $
5,256,807 $ (1,610,752) $
3,646,055 * $
- $ - $ 3,646,055
Forwards 1,071,027 (1,071,027)
-
-
-
-
Total assets 6,327,834 (2,681,779) 3,646,055
-
- 3,646,055
Liabilities
Futures (1,610,752)
1,610,752
-
-
-
-
Forwards (1,361,545) 1,071,027 (290,518) *
-
- (290,518)
Total liabilities (2,972,297) 2,681,779 (290,518)
-
- (290,518)
Net fair value $
3,355,537 **
Offsetting of Derivative Assets and Liabilities
as of December 31, 2014:
Gross Amounts Amounts Gross Amounts not Offset in the
Gross Amounts
Statements of
Statements of Financial
Cash Collateral
Net Amount
Assets
Futures $
7,228,527 $
(1,519,724) $
5,708,803 * $
- $
- $ 5,708,803
Forwards 2,346,025 (1,592,346) 753,679 *
-
- 753,679
Total assets 9,574,552 (3,112,070) 6,462,482
-
- 6,462,482
Liabilities
Futures (1,519,724) 1,519,724
-
-
-
-
Forwards (1,592,346) 1,592,346
-
-
-
-
Total liabilities (3,112,070) 3,112,070
-
-
-
-
Net fair value $ 6,462,482 **
*
Included as a component of “Net unrealized gain on
open contracts” on the Statements of Financial Condition.
**
In the event of default by the Partnership, MS&Co.,
the Partnership’s commodity futures broker and the sole
counterparty to the Partnership’s off exchange-traded
contracts, as applicable, has the right to offset the
Partnership’s obligation with the Partnership’s cash
held by MS&Co., thereby minimizing MS&Co.’s risk of
loss. There is no collateral posted by MS&Co. and as such, in
the event of default by MS&Co., the Partnership is exposed to
the amount shown on the Statements of Financial Condition. In the
case of exchange-traded contracts, the Partnership’s exposure
to counterparty risk may be reduced since the exchange’s
clearinghouse interposes its credit between buyer and seller and
the clearinghouse’s guarantee fund may be available in the
event of a default. The effect of Trading Activities on the Statements
of Financial Condition as of September 30, 2015:
Futures and Forward Contracts Long Long Short Short Net Average
Commodity $ 397,873 $ (942,962) $ 2,696,799 $ (964,993) $ 1,186,717 3,661
Equity 50,292 (162,155) 203,229 (31,852) 59,514 852
Foreign currency 94,346 (341,695) 536,058 (305,155) (16,446) 1,179
Interest rate 2,349,236 (70,752)
- (152,732) 2,125,752 4,440
Net unrealized gain (loss) on open contracts $
2,891,747 $
(1,517,564) $
3,436,086 $
(1,454,732) $
3,355,537
The effect of trading activities on the Statements of Financial
Condition as of December 31, 2014:
Futures and Forward Contracts Long Long Short Short Net Unrealized Average
Commodity $ 282,336 $ (2,191,868) $ 4,475,726 $ (216,133) $ 2,350,061 4,302
Equity 515,619 (278,910) 7,778 (105,700) 138,787 1,107
Foreign currency 161,381 (109,346) 1,083,928 (92,427) 1,043,536 1,707
Interest rate 3,045,534 (116,781) 2,250 (905) 2,930,098 4,621
Net unrealized gain (loss) on open contracts $
4,004,870 $
(2,696,905) $
5,569,682 $
(415,165) $
6,462,482
The following tables summarize the net trading
results of the Partnership for the three and nine months ended
September 30, 2015 and 2014, respectively. The effect of trading activities on the Statements
of Income and Expenses for the three and nine months ended
September 30, 2015 included in Total Trading Results:
Type of Instrument For the Three For the Nine
Commodity $ 2,165,636 $ (4,110,606)
Equity (3,442,268) (1,424,424)
Foreign currency 482,957 3,172,201
Interest rate 2,449,800 2,690,760
Total $
1,656,125 $
327,931
Line items on the Statements of Income and Expenses for the three
and nine months ended September 30, 2015:
Trading Results For the Three For the Nine
Net realized $ (4,865,629) $ 2,756,600
Net change in unrealized 6,521,754 (2,428,669)
Total Trading Results $
1,656,125 $
327,931
The effect of trading activities on the Statements
of Income and Expenses for the three and nine months ended
September 30, 2014 included in Total Trading Results:
Type of Instrument For the Three For the Nine
Commodity $ 4,004,766 $ 4,169,820
Equity 13,041 (1,899,782)
Foreign currency 4,508,660 1,527,221
Interest rate 1,113,909 2,536,244
Total $
9,640,376 $
6,333,503
Line items on the Statements of Income and Expenses
for the three and nine months ended September 30, 2014:
Trading Results For the Three For the Nine
Net realized $ 8,004,639 $ 5,594,451
Net change in unrealized 1,635,737 739,052
Total Trading Results $
9,640,376 $
6,333,503 |
