| TRADING ACTIVITIES AND RELATED RISKS | Note 11. TRADING ACTIVITIES AND RELATED RISKS The Fund engages in the speculative trading of U.S. and foreign futures contracts, forward currency contracts and centrally cleared
swap contracts (collectively, “derivatives”). Specifically, the Fund trades a portfolio focused on futures, forward, credit default index swap and interest rate swap contracts, which are instruments designed to hedge changes in interest rates,
currency exchange rates, stock index values, metals, energy, agriculture values, and credit risks. The Fund is exposed to both market risk, the risk arising from changes in the fair value of the contracts, and credit risk, the risk of failure by
another party to perform according to the terms of a contract. Market Risk For derivatives, risks arise from changes in the fair value of the contracts. Market movements result in frequent changes in the
fair value of the Fund’s open positions and, consequently, in its earnings and cash flow. The Fund’s market risk is influenced by a wide variety of factors, including the level and volatility of exchange rates, interest rates, equity price levels,
the fair value of financial instruments and contracts, the diversification effects among the Fund’s open positions and the liquidity of the markets in which it trades. Theoretically, the Fund is exposed to a market risk equal to the notional
contract value of futures and forward currency contracts purchased and unlimited liability on such contracts sold short. The value of an interest rate swap will change as market interest rates rise and fall in conjunction with whether the contract
is to receive or pay a fixed interest rate. As a purchaser of credit default index swaps, the Fund’s risk of loss is limited to any cash payments required under the swap contracts. Written credit default contracts (i.e., sell protection) expose the
Fund to a market risk equal to the notional value of such swap contracts and any cash payments required under the swap contracts. See Note 1.C. for an explanation of how the Fund determines its valuation for derivatives as well as the netting of
derivatives. The Fund following tables summarize quantitative information required by ASC 815, Derivatives and Hedging, (“ASC 815”). ASC 815
provides enhanced disclosures about how and why an entity uses derivative instruments, how derivative instruments are accounted for, and how derivative instruments affect an entity’s financial position, financial performance and cash flows. The fair value of the Fund’s derivatives by instrument type, as well as the location of those instruments on the Statements of
Financial Condition, as of March 31, 2023 and December 31, 2022 is as follows:
Type of Instrument *
Statements of Financial Condition Location
Asset Derivatives at March 31, 2023
Liability Derivatives at March 31, 2023 Fair Value
Net
Agriculture Contracts
Net unrealized gain (loss) on open futures contracts
$
2,445,624
$
(1,917,534
)
$
528,090
Energy Contracts
Net unrealized gain (loss) on open futures contracts
769,953
(283,536
)
486,417
Metal Contracts
Net unrealized gain (loss) on open futures contracts
2,697,924
(1,561,554
)
1,136,370
Stock Indices Contracts
Net unrealized gain (loss) on open futures contracts
2,104,552
(824,159
)
1,280,393
Short-Term Interest Rate Contracts
Net unrealized gain (loss) on open futures contracts
318,823
(64,218
)
254,605
Long-Term Interest Rate Contracts
Net unrealized gain (loss) on open futures contracts
483,483
(474,233
)
9,250
Forward Currency Contracts
Net unrealized gain (loss) on open forward currency contracts
14,172,952
(13,719,810
)
453,142
Credit Default Index Swap Contracts**
Credit default index swaps
502,035
(1,003,579
)
(501,544)
Interest Rate Swap Contracts**
Interest rate swaps
862,387
(1,990,005
)
(1,127,618)
Total
$
24,357,733
$
(21,838,628
)
$
2,519,105
*
Derivatives not designated as hedging instruments under ASC 815
**
Amount of centrally cleared swap contracts is not reconciled with the
statements of financial condition due to variation margin amount included within cash at swaps broker in the statements of financial condition.
Type of Instrument *
Statements of Financial Condition Location
Asset Derivatives at December 31, 2022 Fair Value
Liability Derivatives at December 31, 2022 Fair Value
Net
Agriculture Contracts
Net unrealized gain (loss) on open futures contracts
$
834,397
$
(1,584,948
)
$
(750,551)
Energy Contracts
Net unrealized gain (loss) on open futures contracts
979,387
(96,944
)
882,443
Metal Contracts
Net unrealized gain (loss) on open futures contracts
2,320,449
(1,619,732
)
700,717
Stock Indices Contracts
Net unrealized gain (loss) on open futures contracts
648,552
(1,403,355
)
(754,803)
Short-Term Interest Rate Contracts
Net unrealized gain (loss) on open futures contracts
777,755
(133,443
)
644,312
Long-Term Interest Rate Contracts
Net unrealized gain (loss) on open futures contracts
2,190,165
(1,953,629
)
236,536
Forward Currency Contracts
Net unrealized gain (loss) on open forward currency contracts
8,245,050
(7,553,616
)
691,434
Credit Default Index Swap Contracts**
Credit default index swaps
178,418
(44,492
)
133,926
Interest Rate Swap Contracts**
Interest rate swaps 1,745,960 (594,935) 1,151,025
Total
$
17,920,133
$
(14,985,094
)
$
2,935,039
*
Derivatives not designated as hedging instruments under ASC 815
**
Amount of centrally cleared swap contracts is not reconciled the statements of financial condition due to variation margin amount included within cash at swaps broker in the statements
of financial condition. The trading gains and losses of the Fund’s derivatives by instrument type, as well as the location of those gains and losses on the
Statements of Operations, for the three months ended March 31, 2023 and 2022 is as follows:
Type of Instrument
Trading Gains (Losses) for the Three Months Ended
Trading Gains (Losses) for the Three Months Ended
Agriculture Contracts
$
(162,878)
$
2,265,300
Energy Contracts
184,505
8,349,202
Metal Contracts
1,527,509
2,888,176
Stock Indices Contracts
185,728
428,964
Short-Term Interest Rate Contracts
397,258
2,079,017
Long-Term Interest Rate Contracts
443,584
4,669,849
Forward Currency Contracts
4,596,066
7,509,616
Credit Default Index Swap Contracts
(84,998
)
(611,673)
Interest Rate Swap Contracts
(88,019)
804,476
Total
$
6,998,755
$
28,382,927
Line Item in the Statements of Operations
Trading Gains (Losses) for the Three Months Ended
Trading Gains (Losses) for the Three Months Ended
Futures trading gains (losses):
Realized**
$
(160,765)
$
18,034,874
Change in unrealized
2,736,471
2,645,634
Forward currency trading gains (losses):
Realized**
4,834,358
3,212,003
Change in unrealized
(238,292)
4,297,613
Swap trading gains (losses):
Realized
1,050,410
(279,046
)
Change in unrealized
(1,223,427)
471,849
Total
$
6,998,755
$
28,382,927
**
For the three months ended March 31, 2023 and 2022, the amounts above include
gains (losses) on foreign currency cash balances at the futures brokers of $5,210 and $13,961, respectively, and gains (losses) on spot trades in connection with forward currency trading at the interbank market makers of $(169,294) and $467,927,
respectively. For the three months ended March 31, 2023 and 2022, the monthly average of futures contracts bought and sold was
approximately 17,500 and 12,700,
respectively, the monthly average of notional value of centrally cleared swap contracts was approximately $1,311,100,000 and $578,200,000, respectively, and the monthly average of notional value of forward currency contracts was $1,830,800,000 and $1,387,400,000, respectively. Open contracts generally mature within three months; as of March 31, 2023, the latest maturity date for open futures contracts is June 2024 June 2023 June 2028 Credit Risk The Fund trades futures contracts on exchanges that require margin deposits with the futures brokers and centrally cleared swap
contracts that require margin deposits with the swaps broker. Additional deposits may be necessary for any loss on contract value. The Commodity Exchange Act requires a futures broker or swaps broker to segregate all customer transactions and
assets from such future s broker’s or swaps broker’s proprietary activities. A customer’s cash and other property (for example, U.S. Treasury Bills) deposited with a futures broker or swaps broker are considered commingled with all other customer
funds subject to the futures broker’s or swaps broker’s segregation requirements. In the event of a futures broker’s or swaps broker’s insolvency, recovery may be limited to a pro rata share of segregated funds available. It is possible that the
recovered amount could be less than total cash and other property deposited. The Fund trades forward currency contracts in unregulated markets between principals and assumes the risk of loss from counterparty
nonperformance. Accordingly, the risks associated with forward currency contracts are generally greater than those associated with exchange traded contracts because of the greater risk of counterparty default. Additionally, the trading of forward
currency contracts typically involves delayed cash settlement. The Fund has a portion of its assets on deposit with PNC Bank. In the event of a financial institution’s insolvency, recovery of the
Fund’s assets on deposit may be limited to account insurance or other protection afforded such deposits. The Fund has entered into ISDA Agreements with UBS AG and NatWest. Under the terms of each ISDA Agreement, upon the designation of
an Event of Default, as defined in each ISDA Agreement, the non-defaulting party may set-off any sum or obligation owed by the defaulting party to the non-defaulting party against any sum or obligation owed by the non-defaulting party to the
defaulting party. If any sum or obligation is unascertained, the non-defaulting party may in good faith estimate that sum or obligation and set-off in respect to that estimate, accounting to the other party when such sum or obligation is
ascertained. Under the terms of each master netting agreement with UBS Securities LLC and Goldman, Sachs & Co., upon occurrence of a default
by the Fund, as defined in respective account documents, UBS Securities LLC and Goldman, Sachs & Co. have the right to close out any or all open contracts held in the Fund’s account; sell any or all of the securities held; and borrow or buy any
securities, contracts or other property for the Fund’s account. The Fund would be liable for any deficiency in its account resulting from such transactions. The amount of required margin and good faith deposits with the futures brokers and interbank market makers usually range from 10% to 30% of Net Asset Value. The fair
value of securities held to satisfy such requirements at March 31, 2023 and December 31, 2022 was $18,520,696 and $18,539,186, respectively, which equals approximately 11%
and 11% of Net Asset Value, respectively. Included in cash deposits with the futures brokers, swaps broker and interbank market makers
at March 31, 2023 and December 31, 2022
was restricted cash for margin requirements of $28,161,153 and $24,254,313, respectively, which equals approximately 17% and 15% of Net Asset Value, respectively. There were no
cash deposits held at UBS Securities LLC or UBS AG, a futures broker and interbank market maker, respectively, at March 31, 2023 and
December 31, 2022. Set forth below are tables which disclose both gross information and net information about instruments and transactions eligible for
offset in the Statements of Financial Condition and instruments and transactions that are subject to a master netting agreement as well as amounts related to financial collateral (including U.S. Treasury Bills and cash collateral) held at clearing
brokers and counterparties. Margin reflected in the collateral tables is limited to the net amount of unrealized loss at each counterparty. Actual margin amounts required at each counterparty are based on the notional amounts or the number of
contracts outstanding and may exceed the margin presented in the collateral tables.
Offsetting of Derivative Assets by Counterparty
As of March 31, 2023
Type of Instrument
Counterparty
Gross Amounts of Recognized Assets
Gross Amounts Offset in the Statements of Financial Condition
Net Amounts of Unrealized Gain Statements of Financial Condition
Futures contracts
Goldman, Sachs & Co.
$
8,820,359
$
(5,125,234
)
$
3,695,125
Forward currency contracts
NatWest Markets Plc
14,172,952
(13,719,810
)
453,142
Centrally cleared swap contracts
Centrally Cleared
1,364,422
(1,364,422
)
0
Total derivatives
$
24,357,733
$
(20,209,466
)
$
4,148,267
Derivative Assets and Collateral Received by Counterparty
As of March 31, 2023
Net Amounts of Unrealized Gain Presented in the
Gross Amounts Not Offset in the Statements of Financial Condition
Counterparty
Statements of
Financial Instruments
Cash Collateral
Net Amount
Goldman, Sachs & Co.
$
3,695,125
$
0
$
0
$
3,695,125
NatWest Markets Plc
453,142
0
0
453,142
Centrally Cleared
0
0
0
0
Total
$
4,148,267
$
0
$
0
$
4,148,267
Offsetting of Derivative Liabilities by Counterparty
As of March 31, 2023
Type of Instrument
Counterparty
Gross Amounts of Recognized Liabilities
Gross Amounts Offset in the Statements of Financial Condition
Net Amounts of Unrealized Loss Presented in the Statements of Financial Condition
Futures contracts
Goldman, Sachs & Co.
$
5,125,234
$
(5,125,234
)
$
0
Forward currency contracts
NatWest Markets Plc
13,719,810
(13,719,810
)
0
Centrally cleared swap contracts*
Centrally Cleared
2,993,584
(1,364,422
)
1,629,162
Total derivatives
$
21,838,628
$
(20,209,466
)
$
1,629,162
*
Amount of centrally cleared swap contracts is not reconciled with the statements of financial condition due to variation margin amount included
within cash at swaps broker in the statements of financial condition.
Derivative Liabilities and Collateral Pledged by Counterparty
As of March 31, 2023
Net Amounts of Presented in the
Gross Amounts Not Offset in the Statements of Financial Condition
Counterparty
Statements of
Financial Instruments
Cash Collateral
Net Amount
Goldman, Sachs & Co.
$
0
$
0
$
0
$
0
NatWest Markets Plc
0
0
0
0
Centrally Cleared
1,629,162
0
(1,629,162)
0
Total
$
1,629,162
$
0
$
(1,629,162)
$
0
Offsetting of Derivative Assets by Counterparty
As of December 31, 2022
Type of Instrument
Counterparty
Gross Amounts of Recognized Assets
Gross Amounts Offset in the Statements of Financial Condition
Net Amounts of Unrealized Gain Presented in the Statements of Financial Condition
Futures contracts
Goldman, Sachs & Co.
$
7,750,705 $ (6,792,051 ) $ 958,654
Forward currency contracts
NatWest Markets Plc
8,245,050
(7,553,616
)
691,434
Centrally cleared swap contracts*
Centrally Cleared
1,924,378
(639,427
)
1,284,951
Total derivatives
$
17,920,133
$
(14,985,094
)
$
2,935,039
*
Amount of centrally cleared swap contracts is not reconciled with the statements of financial condition due to variation margin amount included within cash at swaps broker in the statements of financial
condition.
Derivative Assets and Collateral Received by Counterparty
As of December 31, 2022
Net Amounts of Unrealized Gain Presented in the
Gross Amounts Not Offset in the Statements of Financial Condition
Counterparty
Statements of
Financial Instruments
Cash Collateral
Net Amount
Goldman, Sachs & Co.
$
958,654
$
0
$
0
$
958,654
NatWest Markets Plc
691,434
0
0
691,434
Centrally Cleared
1,284,951
0
0
1,284,951
Total
$
2,935,039
$
0
$
0
$
2,935,039
Offsetting of Derivative Liabilities by Counterparty
As of December 31, 2022
Type of Instrument
Counterparty
Gross Amounts of Recognized Liabilities
Gross Amounts Offset in the Financial Condition
Net Amounts of Unrealized Loss Presented in the Financial Condition
Futures contracts
Goldman, Sachs & Co.
$
6,792,051
$
(6,792,051
)
$
0
Forward currency contracts
NatWest Markets Plc
7,553,616
(7,553,616
)
0
Centrally cleared swap contracts
Centrally Cleared
639,427
(639,427
)
0
Total derivatives
$
14,985,094
$
(14,985,094
)
$
0
Derivative Liabilities and Collateral Pledged by Counterparty
As of December 31, 2022
Net Amounts of Unrealized Loss Presented in the
Gross Amounts Not Offset in the Statements of Financial Condition
Counterparty
Statements of Financial Condition
Financial
Cash Collateral
Net Amount
Goldman, Sachs & Co.
$
0
$
0
$
0
$
0
NatWest Markets Plc
0
0
0
0
Centrally Cleared
0
0
0
0
Total
$
0
$
0
$
0
$
0
Campbell & Company has established procedures to actively monitor market risk and minimize credit risk, although there can be no
assurance that it will, in fact, succeed in doing so. Campbell & Company’s basic market risk control procedures consist of continuously monitoring open positions, diversification of the portfolio and maintenance of a margin-to-equity ratio that
rarely exceeds 30%. Campbell & Company’s attempt to manage the risk of the Fund’s open positions is essentially the same in all
market categories traded. Campbell & Company applies risk management policies to its trading which generally limit the total exposure that may be taken per “risk unit” of assets under management. In addition, Campbell & Company follows
diversification guidelines (often formulated in terms of the balanced volatility between markets and correlated groups), as well as reducing position sizes dynamically in response to trading losses. Campbell & Company controls the risk of the
Fund’s non-trading fixed income instruments by limiting the duration of such instruments and requiring a minimum credit quality of the issuers of those instruments. Campbell & Company seeks to minimize credit risk primarily by depositing and maintaining the Fund’s assets at financial
institutions and brokers which Campbell & Company believes to be credit worthy. The limited partners bear the risk of loss only to the extent of the market value of their respective investments and, in certain specific circumstances,
distributions and redemptions received. |
