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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

 

 

FORM 10-Q

 

 

(Mark One)

x	QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended March 31, 2015

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  x    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 Regulation S-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  x    No  ¨

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See the definitions of “large accelerated filer,” “accelerated filer” and “smaller reporting 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		x

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).    Yes  ¨    No  x

 

 

 

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PART I - FINANCIAL INFORMATION

 

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 March 31, 2015 (unaudited) and December 31, 2014		3
Unaudited Condensed Schedule of Investments as of March 31, 2015		4
Condensed Schedule of Investments as of December 31, 2014		5
Unaudited Statements of Operations for the Three Months Ended March 31, 2015 and March 31, 2014		6
Unaudited Statements of Changes in Net Assets for the Three Months Ended March 31, 2015 and March  31, 2014		7
Unaudited Statements of Cash Flows for the Three Months Ended March 31, 2015 and March 31, 2014		8
Unaudited Financial Statements: Superfund Green, L.P. – Series A
Statements of Assets and Liabilities as of March 31, 2015 (unaudited) and December 31, 2014		9
Unaudited Condensed Schedule of Investments as of March 31, 2015		10
Condensed Schedule of Investments as of December 31, 2014		11
Unaudited Statements of Operations for the Three Months Ended March 31, 2015 and March 31, 2014		12
Unaudited Statements of Changes in Net Assets for the Three Months Ended March 31, 2015 and March  31, 2014		13
Unaudited Statements of Cash Flows for the Three Months Ended March 31, 2015 and March 31, 2014		14
Unaudited Financial Statements: Superfund Green, L.P. – Series B
Statements of Assets and Liabilities as of March 31, 2015 (unaudited) and December 31, 2014		15
Unaudited Condensed Schedule of Investments as of March 31, 2015		16
Condensed Schedule of Investments as of December 31, 2014		17
Unaudited Statements of Operations for the Three Months Ended March 31, 2015 and March 31, 2014		18
Unaudited Statements of Changes in Net Assets for the Three Months Ended March 31, 2015 and March  31, 2014		19
Unaudited Statements of Cash Flows for the Three Months Ended March 31, 2015 and March 31, 2014		20
Notes to Unaudited Financial Statements		21-38

 

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SUPERFUND GREEN, L.P.

STATEMENTS OF ASSETS AND LIABILITIES

as of March 31, 2015 and December 31, 2014

 

		March 31, 2015 (unaudited)				December 31, 2014
ASSETS
Due from brokers		$	7,833,015			$	8,221,595
Unrealized gain on futures contracts purchased			953,098				927,412
Unrealized gain on futures contracts sold			429,886				627,584
Cash			12,590,853				12,702,894
Total assets			21,806,852				22,479,485
LIABILITIES
Unrealized loss on futures contracts purchased			430,260				681,201
Unrealized loss on futures contracts sold			207,056				154,403
Redemptions payable			706,921				991,842
Management fees payable			32,724				33,459
Fees payable			16,107				16,069
Total liabilities			1,393,068				1,876,974
NET ASSETS		$	20,413,784			$	20,602,511

See accompanying notes to unaudited financial statements.

 

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SUPERFUND GREEN, L.P.

UNAUDITED CONDENSED SCHEDULE OF INVESTMENTS

as of March 31, 2015

 

		Percentage of Net Assets				Fair Value
Futures contracts purchased
Currency			(0.0	)**%		$	(5,368	)
Energy			(0.1	)			(20,816	)
Financial			1.9				388,384
Food & Fiber			(0.6	)			(120,155	)
Indices			1.5				302,611
Livestock			0.4				82,540
Metals			(0.5	)			(104,358	)
Total futures contracts purchased			2.6				522,838
Futures contracts sold
Currency			(0.5	)			(100,565	)
Energy			0.2				38,333
Food & Fiber			1.1				215,794
Indices			0.1				24,796
Livestock			(0.0	)**			(1,960	)
Metals			0.2				46,432
Total futures contracts sold			1.1				222,830
Total futures contracts, at fair value			3.7	%		$	745,668
Futures contracts by country composition
Australia			0.3	%		$	71,394
Canada			(0.2	)			(34,977	)
European Monetary Union			0.1				24,625
Great Britain			0.1				15,085
Japan			0.8				155,095
United States			1.7				349,820
Other			0.8				164,626
Total futures contracts by country composition			3.6	%		$	745,668

No individual contract position constituted one percent or greater of net assets, unless broken out above. 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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SUPERFUND GREEN, L.P.

CONDENSED SCHEDULE OF INVESTMENTS

as of December 31, 2014

 

		Percentage of Net Assets				Fair Value
Futures Contracts Purchased
Currency			0.0	**%		$	2,110
Energy			(0.7	)			(160,231	)
Financial			2.3				491,037
Food & Fiber			(0.2	)			(52,786	)
Indices			1.4				294,340
Livestock			(1.0	)			(210,110	)
Metals			(0.5	)			(118,149	)
Total futures contracts purchased			1.3				246,211
Futures Contracts Sold
Currency			0.4				79,639
Energy			1.0				217,842
Financial			(0.1	)			(12,202	)
Food & Fiber			0.3				74,642
Indices			(0.5	)			(101,301	)
Metals			1.0				214,561
Total futures contracts sold			2.1				473,181
Total futures contracts, at fair value			3.4	%		$	719,392
Futures contracts by country composition
Australia			0.2	%		$	44,422
Canada			0.4				90,868
European Monetary Union			0.0	**			353
Great Britain			0.4				77,698
Japan			0.9				188,896
United States			0.3				74,579
Other			1.1				242,576
Total futures contracts by country composition			3.3	%		$	719,392

No individual contract position constituted one percent or greater of net assets, unless broken out above. 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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SUPERFUND GREEN, L.P.

UNAUDITED STATEMENTS OF OPERATIONS

 

		Three Months Ended March 31,
		2015				2014
Investment income
Interest income		$	434			$	934
Other income (loss)			(320	)			7
Total investment income			114				941
Expenses
Brokerage commissions			69,658				186,007
Management fees			99,436				123,597
Selling commissions			214,997				267,238
Ongoing offering expenses			—				66,809
Operating expenses			8,064				10,022
Other			7,667				2,724
Total expenses			399,822				656,397
Net investment loss			(399,708	)			(655,456	)
Realized and unrealized gain (loss) on investments
Net realized gain on futures contracts			1,709,647				534,379
Net change in unrealized appreciation (depreciation) on futures contracts			26,276				(320,916	)
Net gain on investments			1,735,923				213,463
Net increase (decrease) in net assets from operations		$	1,336,215			$	(441,993	)

See accompanying notes to unaudited financial statements.

 

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SUPERFUND GREEN, L.P.

UNAUDITED STATEMENTS OF CHANGES IN NET ASSETS

 

		Three Months Ended March 31,
		2015				2014
Increase (decrease) in net assets from operations
Net investment loss		$	(399,708	)		$	(655,456	)
Net realized gain on futures contracts			1,709,647				534,379
Net change in unrealized appreciation (depreciation) on futures contracts			26,276				(320,916	)
Net increase (decrease) in net assets from operations			1,336,215				(441,993	)
Capital share transactions
Issuance of Units			166,938				211,812
Redemption of Units			(1,691,880	)			(2,418,264	)
Net decrease in net assets from capital share transactions			(1,524,942	)			(2,206,452	)
Net decrease in net assets			(188,727	)			(2,648,445	)
Net assets, beginning of period			20,602,511				27,758,351
Net assets, end of period		$	20,413,784			$	25,109,906

See accompanying notes to unaudited financial statements.

 

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SUPERFUND GREEN, L.P.

UNAUDITED STATEMENTS OF CASH FLOWS

 

		Three Months Ended March 31,
		2015				2014
Cash flows from operating activities
Net increase (decrease) in net assets from operations		$	1,336,215			$	(441,993	)
Adjustment to reconcile net increase (decrease) in net assets from operations to net cash provided by operating activities:
Changes in operating assets and liabilities:
Decrease in due from brokers			388,580				8,809,604
Increase in unrealized appreciation on open forward contracts			—				(18	)
Decrease (increase) in futures contracts purchased			(276,627	)			367,727
Increase (decrease) in unrealized depreciation on open forward contracts			—				466
Decrease (increase) in futures contracts sold			250,351				(47,259	)
Decrease in management fees payable			(735	)			(5,128	)
Increase (decrease) in fees payable			38				(11,790	)
Net cash provided by operating activities			1,697,822				8,671,609
Cash flows from financing activities
Subscriptions, net of change in advanced subscriptions			166,938				261,812
Redemptions, net of change in redemptions payable			(1,976,801	)			(3,076,428	)
Net cash used in financing activities			(1,809,863	)			(2,814,616	)
Net increase (decrease) in cash			(112,041	)			5,856,993
Cash, beginning of period			12,702,894				11,990,898
Cash, end of period		$	12,590,853			$	17,847,891

See accompanying notes to unaudited financial statements.

 

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SUPERFUND GREEN, L.P. – SERIES A

STATEMENTS OF ASSETS AND LIABILITIES

as of March 31, 2015 and December 31, 2014

 

		March 31, 2015 (unaudited)				December 31, 2014
ASSETS
Due from brokers		$	2,860,684			$	3,032,505
Unrealized gain on futures contracts purchased			345,952				341,117
Unrealized gain on futures contracts sold			154,930				237,325
Cash			6,867,558				7,217,637
Total assets			10,229,124				10,828,584
LIABILITIES
Unrealized loss on futures contracts purchased			151,055				251,096
Unrealized loss on futures contracts sold			74,599				58,750
Redemptions payable			246,594				591,594
Management fees payable			15,461				16,258
Fees payable			9,183				9,450
Total liabilities			496,892				927,148
NET ASSETS		$	9,732,232			$	9,901,436
Number of Units			7,276.417				7,713.806
Net Asset Value per Unit		$	1,337.50			$	1,283.60

See accompanying notes to unaudited financial statements.

 

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SUPERFUND GREEN, L.P. – SERIES A

UNAUDITED CONDENSED SCHEDULE OF INVESTMENTS

as of March 31, 2015

 

		Percentage of Net Assets				Fair Value
Futures contracts purchased
Currency			(0.0	)**%		$	(1,112	)
Energy			(0.1	)			(6,314	)
Financial			1.4				138,684
Food & Fiber			(0.4	)			(40,838	)
Indices			1.1				111,395
Livestock			0.3				31,321
Metals			(0.3	)			(38,239	)
Total futures contracts purchased			2.0				194,897
Futures contracts sold
Currency			(0.4	)			(39,445	)
Energy			0.1				11,999
Food & Fiber			0.8				77,386
Indices			0.1				11,452
Livestock			(0.0	)**			(820	)
Metals			0.2				19,759
Total futures contracts sold			0.8				80,331
Total futures contracts, at fair value			2.8	%		$	275,228
Futures contracts by country composition
Australia			0.3	%		$	25,465
Canada			(0.1	)			(14,536	)
European Monetary Union			0.1				8,961
Great Britain			0.1				6,617
Japan			0.5				53,917
United States			1.3				133,583
Other			0.6				61,221
Total futures contracts by country composition			2.8	%		$	275,228

No individual contract position constituted one percent or greater of net assets, unless broken out above. 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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SUPERFUND GREEN, L.P. – SERIES A

CONDENSED SCHEDULE OF INVESTMENTS

as of December 31, 2014

 

		Percentage of Net Assets				Fair Value
Futures contracts purchased
Energy			(0.6	)%		$	(57,916	)
Financial			1.8				184,415
Food & Fiber			(0.1	)			(13,355	)
Indices			0.9				102,150
Livestock			(0.7	)			(78,470	)
Metals			(0.4	)			(46,803	)
Total futures contracts purchased			0.9				90,021
Futures contracts sold
Currency			0.3				28,808
Energy			0.8				81,210
Financial			(0.0	)**			(4,331	)
Food & Fiber			0.2				27,541
Indices			(0.4	)			(37,750	)
Metals			0.8				83,097
Total futures contracts sold			1.7				178,575
Total futures contracts, at fair value			2.6	%		$	268,596
Futures contracts by country composition
Australia			0.1	%		$	12,933
Canada			0.3				31,434
European Monetary Union			(0.0	)**			(2,640	)
Great Britain			0.2				25,780
Japan			0.6				68,041
United States			0.5				37,619
Other			0.9				95,429
Total futures contracts by country composition			2.6	%		$	268,596

No individual contract position constituted one percent or greater of net assets, unless broken out above. 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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SUPERFUND GREEN, L.P. – SERIES A

UNAUDITED STATEMENTS OF OPERATIONS

 

		Three Months Ended March 31,
		2015				2014
Investment income
Interest income		$	162			$	369
Other income (loss)			(3	)			3
Total investment income			159				372
Expenses
Brokerage commissions			23,137				70,919
Management fees			47,067				58,459
Selling commissions			101,767				126,399
Ongoing offering expenses			—				31,599
Operating expenses			3,817				4,740
Other			3,072				1,031
Total expenses			178,860				293,147
Net investment loss			(178,701	)			(292,775	)
Realized and unrealized gain (loss) on investments
Net realized gain on futures contracts			586,995				155,815
Net change in unrealized appreciation (depreciation) on futures contracts			6,632				(97,223	)
Net gain on investments			593,627				58,592
Net increase (decrease) in net assets from operations		$	414,926			$	(234,183	)
Net increase (decrease) in net assets from operations per Unit (based upon weighted average number of units outstanding during period)*		$	55.20			$	(22.92	)
Net increase (decrease) in net assets from operations per Unit (based upon change in net asset value per unit during period)		$	53.90			$	(22.61	)

 

*	Weighted average number of Units outstanding for Series A for the Three Months Ended March 31, 2015 and March 31, 2014: 7,516.97 and 10,219.56, 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

 

		Three Months Ended March 31,
		2015				2014
Increase (decrease) in net assets from operations
Net investment loss		$	(178,701	)		$	(292,775	)
Net realized gain on futures contracts			586,995				155,815
Net change in unrealized appreciation (depreciation) on futures contracts			6,632				(97,223	)
Net increase (decrease) in net assets from operations			414,926				(234,183	)
Capital Share transactions
Issuance of Units			74,670				97,526
Redemption of Units			(658,800	)			(845,988	)
Net decrease in net assets from capital share transactions			(584,130	)			(748,462	)
Net decrease in net assets			(169,204	)			(982,645	)
Net assets, beginning of period			9,901,436				12,974,396
Net assets, end of period		$	9,732,232			$	11,991,751
Units, beginning of period			7,713.806				10,676.154
Issuance of Units			56.792				80.789
Redemption of Units			(494.181	)			(702.280	)
Units, end of period			7,276.417				10,054.663

See accompanying notes to unaudited financial statements.

 

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SUPERFUND GREEN, L.P. – SERIES A

UNAUDITED STATEMENTS OF CASH FLOWS

 

		Three Months Ended March 31,
		2015				2014
Cash flows from operating activities
Net increase (decrease) in net assets from operations		$	414,926			$	(234,183	)
Adjustment to reconcile net increase (decrease) in net assets from operations to net cash provided by operating activities:
Changes in operating assets and liabilities:
Decrease in due from brokers			171,821				4,227,066
Increase in unrealized appreciation on open forward contracts			—				(6	)
Decrease (increase) in futures contracts purchased			(104,876	)			120,402
Increase (decrease) in unrealized depreciation on open forward contracts			—				168
Decrease (increase) in futures contracts sold			98,244				(23,341	)
Decrease in management fees payable			(797	)			(2,067	)
Decrease in fees payable			(267	)			(4,794	)
Net cash provided by operating activities			579,051				4,083,245
Cash flows from financing activities
Subscriptions, net of change in advanced subscriptions			74,670				147,526
Redemptions, net of change in redemptions payable			(1,003,800	)			(1,195,942	)
Net cash used in financing activities			(929,130	)			(1,048,416	)
Net increase (decrease) in cash			(350,079	)			3,034,829
Cash, beginning of period			7,217,637				6,593,319
Cash, end of period		$	6,867,558			$	9,628,148

See accompanying notes to unaudited financial statements.

 

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SUPERFUND GREEN, L.P. – SERIES B

STATEMENTS OF ASSETS AND LIABILITIES

as of March 31, 2015 and December 31, 2014

 

		March 31, 2015 (unaudited)				December 31, 2014
ASSETS
Due from brokers		$	4,972,331			$	5,189,090
Unrealized gain on futures contracts purchased			607,146				586,295
Unrealized gain on futures contracts sold			274,956				390,259
Cash			5,723,295				5,485,257
Total assets			11,577,728				11,650,901
LIABILITIES
Unrealized loss on futures contracts purchased			279,205				430,105
Unrealized loss on futures contracts sold			132,457				95,653
Redemptions payable			460,327				400,248
Management fees payable			17,263				17,201
Fees payable			6,924				6,619
Total liabilities			896,176				949,826
NET ASSETS		$	10,681,552			$	10,701,075
Number of Units			6,719.778				7,316.097
Net Asset Value per Unit		$	1,589.57			$	1,462.68

See accompanying notes to unaudited financial statements.

 

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SUPERFUND GREEN, L.P. – SERIES B

UNAUDITED CONDENSED SCHEDULE OF INVESTMENTS

as of March 31, 2015

 

		Percentage of Net Assets				Fair Value
Futures contracts purchased
Currency			(0.0	)**%		$	(4,256	)
Energy			(0.1	)			(14,502	)
Financial			2.3				249,700
Food & Fiber			(0.7	)			(79,317	)
Indices			1.8				191,216
Livestock			0.5				51,219
Metals			(0.6	)			(66,119	)
Total futures contracts purchased			3.2				327,941
Futures contracts sold
Currency			(0.6	)			(61,120	)
Energy			0.2				26,334
Food & Fiber
ICE Sugar No. 11 expiring May 2015, United States			1.1				113,826
Other			0.2				24,582
Total Food & Fiber			1.3				138,408
Indices			0.1				13,344
Livestock			(0.0	)**			(1,140	)
Metals			0.2				26,673
Total futures contracts sold			1.2				142,499
Total futures contracts, at fair value			4.4	%		$	470,440
Futures contracts by country composition
Australia			0.4	%		$	45,929
Canada			(0.2	)			(20,441	)
European Monetary Union			0.1				15,664
Great Britain			0.1				8,468
Japan			1.0				101,178
United States			2.0				216,237
Other			1.0				103,405
Total futures contracts by country composition			4.4	%		$	470,440

No individual contract position constituted one percent or greater of net assets, unless broken out above. 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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SUPERFUND GREEN, L.P. – SERIES B

CONDENSED SCHEDULE OF INVESTMENTS

as of December 31, 2014

 

		Percentage of Net Assets				Fair Value
Futures contracts purchased
Currency			0.0	**%		$	2,110
Energy			(0.9	)			(102,315	)
Financial			2.8				306,622
Food & Fiber			(0.4	)			(39,431	)
Indices			1.7				192,190
Livestock			(1.2	)			(131,640	)
Metals			(0.6	)			(71,346	)
Total futures contracts purchased			1.4				156,190
Futures contracts sold
Currency			0.6				50,831
Energy			1.2				136,632
Financial			(0.1	)			(7,871	)
Food & Fiber			0.4				47,101
Indices			(0.6	)			(63,551	)
Metals			1.2				131,464
Total futures contracts sold			2.7				294,606
Total futures contracts, at fair value			4.1	%		$	450,796
Futures contracts by country composition
Australia			0.3	%		$	31,489
Canada			0.5				59,434
European Monetary Union			0.0	**			2,993
Great Britain			0.5				51,918
Japan			1.1				120,855
United States			0.3				36,960
Other			1.4				147,147
Total futures contracts by country composition			4.1	%		$	450,796

 

*	No individual contract position constituted one percent or greater of net assets, unless broken out above. 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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SUPERFUND GREEN, L.P. – SERIES B

UNAUDITED STATEMENTS OF OPERATIONS

 

		Three Months Ended March 31,
		2015				2014
Investment income
Interest income		$	272			$	565
Other income (loss)			(317	)			4
Total investment income			(45	)			569
Expenses
Brokerage commissions			46,521				115,088
Management fees			52,369				65,138
Selling commissions			113,230				140,839
Ongoing offering expenses			—				35,210
Operating expenses			4,247				5,282
Other			4,595				1,693
Total expenses			220,962				363,250
Net investment loss			(221,007	)			(362,681	)
Realized and unrealized gain (loss) on investments
Net realized gain on futures contracts			1,122,652				378,564
Net change in unrealized appreciation (depreciation) on futures contracts			19,644				(223,693	)
Net gain on investments			1,142,296				154,871
Net increase (decrease) in net assets from operations		$	921,289			$	(207,810	)
Net increase (decrease) in net assets from operations per Unit (based upon weighted average number of units outstanding during period)*		$	131.37			$	(19.87	)
Net increase (decrease) in net assets from operations per Unit (based upon change in net asset value per unit during period)		$	126.89			$	(18.67	)

 

*	Weighted average number of Units outstanding for Series B for the Three Months Ended March 31, 2015 and March 31, 2014: 7,013.14 and 10,459.23, respectively.

See accompanying notes to unaudited financial statements.

 

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SUPERFUND GREEN, L.P. – SERIES B

UNAUDITED STATEMENTS OF CHANGES IN NET ASSETS

 

		Three Months Ended March 31,
		2015				2014
Increase (decrease) in net assets from operations
Net investment loss		$	(221,007	)		$	(362,681	)
Net realized gain on futures contracts			1,122,652				378,564
Net change in unrealized appreciation (depreciation) on futures contracts			19,644				(223,693	)
Net increase (decrease) in net assets from operations			921,289				(207,810	)
Capital Share transactions
Issuance of Units			92,268				114,286
Redemption of Units			(1,033,080	)			(1,572,276	)
Net decrease in net assets from capital share transactions			(940,812	)			(1,457,990	)
Net decrease in net assets			(19,523	)			(1,665,800	)
Net assets, beginning of period			10,701,075				14,783,955
Net assets, end of period		$	10,681,552			$	13,118,155
Units, beginning of period			7,316.097				11,363.782
Issuance of Units			60.216				88.196
Redemption of Units			(656.535	)			(1,221.778	)
Units, end of period			6,719.778				10,230.200

See accompanying notes to unaudited financial statements.

 

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SUPERFUND GREEN, L.P. – SERIES B

UNAUDITED STATEMENTS OF CASH FLOWS

 

		Three Months Ended March 31,
		2015				2014
Cash flows from operating activities
Net increase (decrease) in net assets from operations		$	921,289			$	(207,810	)
Adjustment to reconcile net increase (decrease) in net assets from operations to net cash provided by operating activities:
Changes in operating assets and liabilities:
Decrease in due from brokers			216,759				4,582,538
Increase (decrease) in unrealized appreciation on open forward contracts			—				(12	)
Decrease (increase) in futures contracts purchased			(171,751	)			247,325
Increase (decrease) in unrealized depreciation on open forward contracts			—				298
Decrease (increase) in futures contracts sold			152,107				(23,918	)
Increase (decrease) in management fees payable			62				(3,061	)
Increase (decrease) in fees payable			305				(6,996	)
Net cash provided by operating activities			1,118,771				4,588,364
Cash flows from financing activities
Subscriptions, net of change in advanced subscriptions			92,268				114,286
Redemptions, net of change in redemptions payable			(973,001	)			(1,880,486	)
Net cash used in financing activities			(880,733	)			(1,766,200	)
Net increase in cash			238,038				2,822,164
Cash, beginning of period			5,485,257				5,397,579
Cash, end of period		$	5,723,295			$	8,219,743

See accompanying notes to unaudited financial statements.

 

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SUPERFUND GREEN, L.P., SUPERFUND GREEN, L.P. – SERIES A and SUPERFUND GREEN, L.P. – SERIES B

NOTES TO UNAUDITED FINANCIAL STATEMENTS

March 31, 2015

 

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 Form 10-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 Form 10-K for the year ended December 31, 2014.

Valuation of Investments in Futures Contracts and Forward Contracts

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 or at dealers’ quotes.

Translation of Foreign Currency

Assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at 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.

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.

 

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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 statements of operations as a net gain or loss, as there exists a right of offset of unrealized gains or losses in accordance with Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“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 March 31, 2015, the Fund had on deposit $3,049,978 at ADM Investor Services, Inc., $126,930 at Barclays Capital Inc. and $4,656,107 at Merrill Lynch, Pierce, Fenner & Smith. As of March 31, 2015, Series A had on deposit $1,063,171 at ADM Investor Services, Inc., $53,060 at Barclays Capital Inc. and $1,744,453 at Merrill Lynch, Pierce, Fenner & Smith. As of March 31, 2015, Series B had on deposit $1,986,807 at ADM Investor Services, Inc., $73,870 at Barclays Capital Inc. and $2,911,654 at Merrill Lynch, Pierce, Fenner & Smith.

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 2011 through 2014 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.

Recently Issued Accounting Pronouncements

ASU 2011-11

In December 2011, the FASB issued ASU No. 2011-11, Disclosures about Offsetting Assets and Liabilities (“ASU 2011-11”). ASU 2011-11 requires disclosures to make financial statements that are prepared under U.S. GAAP more comparable to those prepared under International Financial Reporting Standards. The new disclosure requirements mandate that entities disclose both gross and net information about instruments and transactions eligible for offset in the statement of assets and liabilities as well as instruments and transactions subject to an agreement similar to a master netting arrangement. In addition, ASU 2011-11 requires disclosure of collateral received and posted in connection with master netting agreements or similar arrangements.

 

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In January 2013, the FASB issued guidance to clarify the scope of disclosures about offsetting assets and liabilities. The amendments clarify that the scope of guidance issued in December 2011 to enhance disclosures around financial instrument and derivative instruments that are either (a) offset, or (b) subject to a master netting agreement or similar agreement, irrespective of whether they are offset, applies to derivatives, including bifurcated embedded derivatives, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions that are either offset or subject to an enforceable master netting arrangement or similar agreement. The amendments are effective for interim and annual periods beginning on or after January 1, 2013. Adoption did not have a material impact on the Fund’s 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.

Derivative Contracts. Derivative contracts can be exchange-traded or over-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. As of and for the quarter ended March 31, 2015 there were no forward or spot foreign currency contracts held by the Fund.

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. Subsequent to initial recognition, the Fund updates the Level 1 and Level 2 inputs to reflect observable market changes, with resulting gains and losses reflected within Level 3. 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 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 were no Level 3 holdings at March 31, 2015 or December 31, 2014 or during the periods then ended.

 

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The following table summarizes the valuation of the Fund’s assets and liabilities by the ASC 820 fair value hierarchy as of March 31, 2015 and December 31, 2014:

Superfund Green, L.P.

 

		Balance    March 31, 2015				Level 1				Level 2				Level 3
ASSETS
Futures contracts sold		$	429,886			$	429,886			$	—			$	—
Futures contracts purchased			953,098				953,098				—				—
Total Assets Measured at Fair Value		$	1,382,984			$	1,382,984			$	—			$	—
LIABILITIES
Futures contracts sold		$	207,056			$	207,056			$	—			$	—
Futures contracts purchased			430,260				430,260				—				—
Total Liabilities Measured at Fair Value		$	637,316			$	637,316			$	—			$	—

 

		Balance December 31, 2014				Level 1				Level 2				Level 3
ASSETS
Futures contracts sold		$	627,584			$	627,584			$	—			$	—
Futures contracts purchased			927,412				927,412				—				—
Total Assets Measured at Fair Value		$	1,554,996			$	1,554,996			$	—			$	—
LIABILITIES
Futures contracts sold		$	154,403			$	154,403			$	—			$	—
Futures contracts purchased			681,201				681,201				—				—
Total Liabilities Measured at Fair Value		$	835,604			$	835,604			$	—			$	—

Superfund Green, L.P. – Series A

 

		Balance    March 31, 2015				Level 1				Level 2				Level 3
ASSETS
Futures contracts sold		$	154,930			$	154,930			$	—			$	—
Futures contracts purchased			345,952				345,952				—				—
Total Assets Measured at Fair Value		$	500,882			$	500,882			$	—			$	—
LIABILITIES
Futures contracts sold		$	74,599			$	74,599			$	—			$	—
Futures contracts purchased			151,055				151,055				—				—
Total Liabilities Measured at Fair Value		$	225,654			$	225,654			$	—			$	—

 

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		Balance December 31, 2014				Level 1				Level 2				Level 3
ASSETS
Futures contracts sold		$	237,325			$	237,325			$	—			$	—
Futures contracts purchased			341,117				341,117				—				—
Total Assets Measured at Fair Value		$	578,442			$	578,442			$	—			$	—
LIABILITIES
Futures contracts sold		$	58,750			$	58,750			$	—			$	—
Futures contracts purchased			251,096				251,096				—				—
Total Liabilities Measured at Fair Value		$	309,846			$	309,846			$	—			$	—

Superfund Green, L.P. – Series B

 

		Balance    March 31, 2015				Level 1				Level 2				Level 3
ASSETS
Futures contracts sold		$	274,956			$	274,956			$	—			$	—
Futures contracts purchased			607,146				607,146				—				—
Total Assets Measured at Fair Value		$	882,102			$	882,102			$	—			$	—
LIABILITIES
Futures contracts sold		$	132,457			$	132,457			$	—			$	—
Futures contracts purchased			279,205				279,205				—				—
Total Liabilities Measured at Fair Value		$	411,662			$	411,662			$	—			$	—

 

		Balance December 31, 2014				Level 1				Level 2				Level 3
ASSETS
Futures contracts sold		$	390,259			$	390,259			$	—			$	—
Futures contracts purchased			586,295				586,295				—				—
Total Assets Measured at Fair Value		$	976,554			$	976,554			$	—			$	—
LIABILITIES
Futures contracts sold		$	95,653			$	95,653			$	—			$	—
Futures contracts purchased			430,105				430,105				—				—
Total Liabilities Measured at Fair Value		$	525,758			$	525,758			$	—			$	—

 

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 nonderivative instruments in the Statements of Operations.

The Fund engages in the speculative trading of futures contracts in a wide range of commodities, including equity markets, interest rates, food and fiber, energy, livestock, and metals. ASC 815 requires entities to recognize all derivatives instruments as either assets or liabilities at fair value in the statement of financial position. Investments in commodity futures contracts are recorded in

 

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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 unrealized gain (loss) on investments in the Statements of Operations.

Superfund Capital Management believes futures trading activity expressed as a percentage of net assets is indicative of trading activity. Information concerning the fair value of the Fund’s derivatives held long or sold short, as well as information related to the annual average volume of the Fund’s derivative activity, is as follows:

Superfund Green, L.P.

The fair value of the Fund’s derivatives by instrument type, as well as the location of those instruments on the statement of assets and liabilities, as of March 31, 2015, is as follows:

 

Type of Instrument		Statement of Assets and Liabilities Location		Asset Derivatives at March 31, 2015				Liability Derivatives at March 31, 2015				Net
Futures contracts		Futures contracts purchased		$	953,098			$	(430,260	)		$	522,838
Futures contracts		Futures contracts sold			429,886				(207,056	)			222,830
Totals				$	1,382,984			$	(637,316	)		$	745,668

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, 2014, is as follows:

 

Type of Instrument		Statement of Assets and Liabilities Location		Asset Derivatives at December 31, 2014				Liability Derivatives at December 31, 2014				Net
Futures contracts		Futures contracts purchased		$	927,412			$	(681,201	)		$	246,211
Futures contracts		Futures contracts sold			627,584				(154,403	)			473,181
Totals				$	1,554,996			$	(835,604	)		$	719,392

The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of March 31, 2015 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		$	175,893			$	—			$	—			$	175,893
Barclays Capital			604,567				—				—				604,567
Merrill Lynch			(34,792	)			—				—				(34,792	)
Totals		$	745,668			$	—			$	—			$	745,668

The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of December 31, 2014 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		$	74,729			$	—			$	—			$	74,729
Barclays Capital			594,459				—				—				594,459
Merrill Lynch			50,204				—				—				50,204
Totals		$	719,392			$	—			$	—			$	719,392

 

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Effects of derivative instruments on the statement of operations for the three months ended March 31, 2015:

 

Derivatives not Designated as Hedging Instruments under ASC 815		Location of Gain on Derivatives Recognized in Income		Net Realized Gain on Derivatives Recognized in Income				Net Change in Unrealized Appreciation on Derivatives Recognized in Income
Foreign exchange contracts		Net realized/unrealized gain on futures and forward contracts		$	48,083			$	—
Futures contracts		Net realized/unrealized gain on futures and forward contracts			1,661,564				26,276
Total				$	1,709,647			$	26,276

Effects of derivative instruments on the statement of operations for the three months ended March 31, 2014:

 

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		Net realized/unrealized loss on futures and forward contracts		$	(175,623	)		$	(448	)
Futures contracts		Net realized/unrealized gain (loss) on futures and forward contracts			710,002				(320,468	)
Total				$	534,379			$	(320,916	)

Superfund Green, L.P. gross and net unrealized gains and losses by long and short positions as of March 31, 2015 and December 31, 2014:

 

		As of March 31, 2015
		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		$	2,394				0.0	*		$	(7,762	)			(0.0	)*		$	740				0.0	*		$	(101,304	)			(0.5	)		$	(105,932	)
Financial			490,865				2.4				(102,483	)			(0.5	)			—				—				—				—				388,382
Food & Fiber			20,193				0.1				(140,347	)			(0.7	)			229,618				1.1				(13,825	)			(0.1	)			95,639
Indices			327,310				1.6				(24,699	)			(0.1	)			29,354				0.1				(4,558	)			(0.0	)*			327,407
Metals			11,312				0.1				(115,670	)			(0.6	)			113,329				0.6				(66,897	)			(0.3	)			(57,926	)
Energy			18,484				0.1				(39,299	)			(0.2	)			56,845				0.3				(18,512	)			(0.1	)			17,518
Livestock			82,541				0.4				—				—				—				—				(1,960	)			(0.0	)*			80,580
Totals		$	953,099				4.7			$	(430,260	)			(2.1	)		$	429,886				2.1			$	(207,056	)			(1.0	)		$	745,668

 

*	Due to rounding – amount is less than 0.05%

 

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		As of December 31, 2014
		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		$	2,110				0.0	*		$	—				—			$	79,895				0.4			$	(256	)			(0.0	)*		$	81,749
Financial			516,998				2.4				(25,961	)			(0.1	)			—				—				(12,202	)			(0.1	)			478,835
Food & Fiber			36,790				0.2				(89,576	)			(0.4	)			107,005				0.5				(32,364	)			(0.1	)			21,855
Indices			312,438				1.4				(18,098	)			(0.1	)			3,206				0.0	*			(104,507	)			(0.5	)			193,039
Metals			55,851				0.3				(174,000	)			(0.8	)			219,636				1.0				(5,075	)			(0.0	)*			96,412
Livestock			3,090				0.0	*			(213,200	)			(1.0	)			—				—				—				—				(210,110	)
Energy			134				0.0	*			(160,365	)			(0.7	)			217,843				1.0				—				—				57,612
Totals		$	927,411				4.3			$	(681,200	)			(3.2	)		$	627,585				2.9			$	154,404				(0.7	)		$	719,392

 

*	Due to rounding – amount is less than 0.05%

Superfund Green, L.P. average* monthly contract volume by market sector as of quarter ended March 31, 2015:

 

		Average Number of Long Contracts				Average Number of Short Contracts
Currency			17				120
Financial			1,802				14
Food & Fiber			305				295
Indices			822				174
Metals			285				159
Energy			94				89
Livestock			143				4
Total			3,468				855

 

*	Based on quarterly holdings

Superfund Green, L.P. average* monthly contract volume by market sector as of quarter ended March 31, 2014:

 

		Average Number of Long Contracts				Average Number of Short Contracts				Average Value of Long Positions				Average Value of Short Positions
Foreign Exchange			55				47			$	240			$	599

 

		Average Number of Long Contracts				Average Number of Short Contracts
Currency			701				345
Financial			4,085				1,135
Food & Fiber			193				99
Indices			2,391				681
Metals			616				445
Energy			518				200
Livestock			168				1
Total			8,727				2,953

 

*	Based on quarterly holdings

Superfund Green, L.P. trading results by market sector:

 

		For the Three Months Ended March 31, 2015
		Net Realized Gains (Losses)				Change in Net Unrealized Gains (Losses)				Net Trading Gains (Losses)
Foreign Exchange		$	48,083			$	—				48,083
Currency			561,266				(187,682	)			373,584
Financial			1,197,840				(90,451	)			1,107,389
Food & Fiber			(27,254	)			73,785				46,531
Indices			618,348				134,367				752,715
Metals			18,927				(154,338	)			(135,411	)
Livestock			(659,720	)			290,690				(369,030	)
Energy			(47,843	)			(40,095	)			(87,938	)
Total net trading gains		$	1,709,647			$	26,276			$	1,735,923

 

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		For the Three Months Ended March 31, 2014
		Net Realized Gains (Losses)				Change in Net Unrealized Gains (Losses)				Net Trading Gains (Losses)
Foreign Exchange		$	(175,623	)		$	(448	)		$	(176,071	)
Currency			8,137				(155,053	)			(146,916	)
Financial			1,028,518				(132,326	)			896,192
Food & Fiber			313,852				154,532				468,384
Indices			(51,209	)			(570,834	)			(622,043	)
Metals			(370,482	)			197,899				(172,583	)
Livestock			444,430				32,350				476,780
Energy			(663,244	)			152,964				(510,280	)
Total net trading gains (losses)		$	534,379			$	(320,916	)		$	213,463

Superfund Green, L.P. – Series A

The fair value of the Fund’s derivatives by instrument type, as well as the location of those instruments on the statement of assets and liabilities, as of March 31, 2015, is as follows:

 

Type of Instrument		Statement of Assets and Liabilities Location		Asset Derivatives at March 31, 2015				Liability Derivatives at March 31, 2015				Net
Futures contracts		Futures contracts purchased		$	345,952			$	(151,055	)		$	194,897
Futures contracts		Futures contracts sold			154,930				(74,599	)			80,331
Totals				$	500,882			$	(225,654	)		$	275,228

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, 2014, is as follows:

 

Type of Instrument		Statement of Assets and Liabilities Location		Asset Derivatives at December 31, 2014				Liability Derivatives at December 31, 2014				Net
Futures contracts		Futures contracts purchased		$	341,117			$	(251,096	)		$	90,021
Futures contracts		Futures contracts sold			237,325				(58,750	)			178,575
Totals				$	578,442			$	(309,846	)		$	268,596

The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of March 31, 2015 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		$	68,953			$	—			$	—			$	68,953
Barclays Capital			221,667				—				—				221,667
Merrill Lynch			(15,392	)			—				—				(15,392	)
Totals		$	275,228			$	—			$	—			$	275,228

 

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The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of December 31, 2014 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		$	29,364			$	—			$	—			$	29,364
Barclays Capital			221,708				—				—				221,708
Merrill Lynch			17,524				—				—				17,524
Totals		$	268,596			$	—			$	—			$	268,596

Effects of derivative instruments on the statement of operations for the three months ended March 31, 2015:

 

Derivatives not Designated as Hedging Instruments under ASC 815		Location of Gain on Derivatives Recognized in Income		Net Realized Gain on Derivatives Recognized in Income				Net Change in Unrealized Appreciation on Derivatives Recognized in Income
Foreign exchange contracts		Net realized/unrealized gain on futures and forward contracts		$	17,431			$	—
Futures contracts		Net realized/unrealized gain on futures and forward contracts			569,564				6,632
Total				$	586,995			$	6,632

Effects of derivative instruments on the statement of operations for the three months ended March 31, 2014:

 

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		Net realized/unrealized loss on futures and forward contracts		$	(67,082	)		$	(162	)
Futures contracts		Net realized/unrealized gain (loss) on futures and forward contracts			222,897				(97,061	)
Total				$	155,815			$	(97,223	)

Superfund Green, L.P. – Series A gross and net unrealized gains and losses by long and short positions as of March 31, 2015 and December 31, 2014:

 

		As of March 31, 2015
		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		$	1,175				0.0	*		$	(2,287	)			(0.0	)*		$	220				0.0	*		$	(39,665	)			(0.4	)		$	(40,557	)
Financial			177,231				1.8				(38,547	)			(0.4	)			—				—				—				—				138,684
Food & Fiber			7,318				0.1				(48,156	)			(0.5	)			83,023				0.9				(5,637	)			(0.1	)			36,548
Indices			118,975				1.2				(7,580	)			(0.1	)			12,934				0.1				(1,482	)			(0.0	)*			122,847
Metals			3,737				0.0	*			(41,976	)			(0.4	)			37,178				0.4				(17,419	)			(0.2	)			(18,480	)
Energy			6,196				0.1				(12,509	)			(0.1	)			21,575				0.2				(9,576	)			(0.1	)			5,686
Livestock			31,320				0.3				—				—				—				—				(820	)			(0.0	)*			30,500
Totals		$	345,952				3.5			$	(151,055	)			(1.5	)		$	154,930				1.6			$	(74,599	)			(0.8	)		$	275,228

 

*	Due to rounding – amount is less than 0.05%

 

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		As of December 31, 2014
		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		$	—				—			$	—				—			$	29,064				0.3			$	(256	)			(0.0	)*		$	28,808
Financial			194,235				1.9				(9,820	)			(0.1	)			—				—				(4,331	)			(0.0	)*			180,084
Food & Fiber			15,355				0.1				(28,710	)			(0.3	)			41,104				0.4				(13,563	)			(0.1	)			14,186
Indices			108,901				1.0				(6,751	)			(0.1	)			735				0.0	*			(38,485	)			(0.4	)			64,400
Metals			20,662				0.2				(67,465	)			(0.6	)			85,212				0.8				(2,115	)			(0.0	)*			36,294
Livestock			1,830				0.0	*			(80,300	)			(0.8	)			—				—				—				—				(78,470	)
Energy			134				0.0	*			(58,050	)			(0.6	)			81,210				0.8				—				—				23,294
Totals		$	341,117				3.2			$	(251,096	)			(2.5	)		$	237,325				2.3			$	(58,750	)			(0.5	)		$	268,596

 

*	Due to rounding – amount is less than 0.05%

Series A average* monthly contract volume by market sector as of quarter ended March 31, 2015:

 

		Average Number of Long Contracts				Average Number of Short Contracts
Currency			8				40
Financial			668				6
Food & Fiber			113				110
Indices			302				65
Metals			103				57
Energy			33				33
Livestock			54				2
Total			1,281				313

 

*	Based on quarterly holdings

Series A average* monthly contract volume by market sector as of quarter ended March 31, 2014:

 

		Average Number of Long Contracts				Average Number of Short Contracts				Average Value of Long Positions				Average Value of Short Positions
Foreign Exchange			27				23			$	90			$	201

 

		Average Number of Long Contracts				Average Number of Short Contracts
Currency			265				130
Financial			1,590				448
Food & Fiber			72				38
Indices			891				262
Metals			229				163
Energy			193				75
Livestock			63				1
Total			3,330				1,140

 

*	Based on quarterly holdings

 

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Series A trading results by market sector:

 

		For the Three Months Ended March 31, 2015
		Net Realized Gains (Losses)				Change in Net Unrealized Gains (Losses)				Net Trading Gains (Losses)
Foreign Exchange		$	17,431			$	—			$	17,431
Currency			211,238				(69,365	)			141,873
Financial			446,604				(41,400	)			405,204
Food & Fiber			(7,692	)			22,363				14,671
Indices			192,250				58,446				250,696
Metals			6,092				(54,774	)			(48,682	)
Livestock			(251,940	)			108,971				(142,969	)
Energy			(26,988	)			(17,609	)			(44,597	)
Total net trading gains		$	586,995			$	6,632			$	593,627

 

		For the Three Months Ended March 31, 2014
		Net Realized Gains (Losses)				Change in Net Unrealized Gains (Losses)				Net Trading Gains (Losses)
Foreign Exchange		$	(67,082	)		$	(162	)		$	(67,244	)
Currency			(170	)			(56,144	)			(56,314	)
Financial			379,664				(45,642	)			334,022
Food & Fiber			118,501				55,446				173,947
Indices			(10,876	)			(208,569	)			(219,445	)
Metals			(142,397	)			90,671				(51,726	)
Livestock			158,760				10,980				169,740
Energy			(280,585	)			56,197				(224,388	)
Total net trading gains (losses)		$	155,815			$	(97,223	)		$	58,592

Superfund Green, L.P. – Series B

The fair value of the Fund’s derivatives by instrument type, as well as the location of those instruments on the statement of assets and liabilities, as of March 31, 2015, is as follows:

 

Type of Instrument		Statement of Assets and Liabilities Location		Asset Derivatives at March 31, 2015				Liability Derivatives at March 31, 2015				Net
Futures contracts		Futures contracts purchased		$	607,146			$	(279,205	)		$	327,941
Futures contracts		Futures contracts sold			274,956				(132,457	)			142,499
Totals				$	882,102			$	(411,662	)		$	470,440

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, 2014, is as follows:

 

Type of Instrument		Statement of Assets and Liabilities Location		Asset Derivatives at December 31, 2014				Liability Derivatives at December 31, 2014				Net
Futures contracts		Futures contracts purchased		$	586,295			$	(430,105	)		$	156,190
Futures contracts		Futures contracts sold			390,259				(95,653	)			294,606
Totals				$	976,554			$	(525,758	)		$	450,796

 

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The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of March 31, 2015 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		$	106,940			$	—			$	—			$	106,940
Barclays Capital			382,900				—				—				382,900
Merrill Lynch			(19,400	)			—				—				(19,400	)
Totals		$	470,440			$	—			$	—			$	470,440

The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of December 31, 2014 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		$	45,365			$	—			$	—			$	45,365
Barclays Capital			372,751				—				—				372,751
Merrill Lynch			32,680				—				—				32,680
Totals		$	450,796			$	—			$	—			$	450,796

Effects of derivative instruments on the statement of operations for the three months ended March 31, 2015:

 

Derivatives not Designated as Hedging Instruments under ASC 815		Location of Gain on Derivatives Recognized in Income		Net Realized Gain on Derivatives Recognized in Income				Net Change in Unrealized Appreciation on Derivatives Recognized in Income
Foreign exchange contracts		Net realized/unrealized gain on futures and forward contracts		$	30,652			$	—
Futures contracts		Net realized/unrealized gain on futures and forward contracts			1,092,000				19,644
Total				$	1,122,652			$	19,644

Effects of derivative instruments on the statement of operations for the three months ended March 31, 2014:

 

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		Net realized/unrealized loss on futures and forward contracts		$	(108,541	)		$	(286	)
Futures contracts		Net realized/unrealized gain (loss) on futures and forward contracts			487,105				(223,407	)
Total				$	378,564			$	(223,693	)

 

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Series B gross and net unrealized gains and losses by long and short positions as of March 31, 2015 and December 31, 2014:

 

		As of March 31, 2015
		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		$	1,219				0.0	*		$	(5,475	)			(0.1	)		$	520				0.0	*		$	(61,640	)			(0.6	)		$	(65,376	)
Financial			313,634				2.9				(63,936	)			(0.6	)			—				—				—				—				249,698
Food & Fiber			12,874				0.1				(92,191	)			(0.9	)			146,595				1.4				(8,188	)			(0.1	)			59,090
Indices			208,335				2.0				(17,119	)			(0.2	)			16,420				0.2				(3,076	)			(0.0	)*			204,560
Metals			7,575				0.1				(73,694	)			(0.7	)			76,151				0.7				(49,478	)			(0.5	)			(39,446	)
Energy			12,288				0.1				(26,790	)			(0.3	)			35,270				0.3				(8,936	)			(0.1	)			11,832
Livestock			51,221				0.5				—				—				—				—				(1,139	)			(0.0	)*			50,082
Totals		$	607,146				5.7			$	(279,205	)			(2.8	)		$	274,956				2.6			$	(132,457	)			(1.3	)		$	470,440

 

*	Due to rounding – amount is less than 0.05%

 

		As of December 31, 2014
		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		$	2,110				0.0	*		$	—				—			$	50,831				0.5			$	—				—			$	52,941
Financial			322,763				2.9				(16,141	)			(0.1	)			—				—				(7,871	)			(0.1	)			298,751
Food & Fiber			21,435				0.2				(60,866	)			(0.5	)			65,901				0.6				(18,801	)			(0.2	)			7,669
Indices			203,537				1.8				(11,347	)			(0.1	)			2,471				0.0	*			(66,022	)			(0.6	)			128,639
Metals			35,189				0.3				(106,535	)			(1.0	)			134,424				1.2				(2,960	)			(0.0	)*			60,118
Livestock			1,260				0.0	*			(132,900	)			(1.2	)			—				—				—				—				(131,640	)
Energy			—				—				(102,315	)			(0.9	)			136,633				1.2				—				—				34,318
Totals		$	586,294				5.2			$	(430,104	)			(3.8	)		$	390,260				3.5			$	(95,654	)			(0.9	)		$	450,796

 

*	Due to rounding – amount is less than 0.05%

Series B average* monthly contract volume by market sector as of quarter ended March 31, 2015:

 

		Average Number of Long Contracts				Average Number of Short Contracts
Currency			9				80
Financial			1,134				8
Food & Fiber			192				185
Indices			520				109
Metals			182				102
Energy			61				56
Livestock			89				2
Total			2,187				542

 

*	Based on quarterly holdings

Series B average* monthly contract volume by market sector as of quarter ended March 31, 2014:

 

		Average Number of Long Contracts				Average Number of Short Contracts				Average Value of Long Positions				Average Value of Short Positions
Foreign Exchange			28				24			$	150			$	398

 

		Average Number of Long Contracts				Average Number of Short Contracts
Currency			436				215
Financial			2,495				687
Food & Fiber			121				61
Indices			1,500				419
Metals			387				282
Energy			325				125
Livestock			105				—
Total			5,397				1,813

 

*	Based on quarterly holdings

 

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Series B trading results by market sector:

 

		For the Three Months Ended March 31, 2015
		Net Realized Gains (Losses)				Change in Net Unrealized Gains (Losses)				Net Trading Gains (Losses)
Foreign Exchange		$	30,652			$	—			$	30,652
Currency			350,028				(118,317	)			231,711
Financial			751,236				(49,051	)			702,185
Food & Fiber			(19,562	)			51,422				31,860
Indices			426,098				75,921				502,019
Metals			12,835				(99,564	)			(86,729	)
Livestock			(407,780	)			181,719				(226,061	)
Energy			(20,855	)			(22,486	)			(43,341	)
Total net trading gains		$	1,122,652			$	19,644			$	1,142,296

 

		For the Three Months Ended March 31, 2014
		Net Realized Gains (Losses)				Change in Net Unrealized Gains (Losses)				Net Trading Gains (Losses)
Foreign Exchange		$	(108,541	)		$	(286	)		$	(108,827	)
Currency			8,307				(98,909	)			(90,602	)
Financial			648,854				(86,684	)			562,170
Food & Fiber			195,351				99,086				294,437
Indices			(40,333	)			(362,265	)			(402,598	)
Metals			(228,085	)			107,228				(120,857	)
Livestock			285,670				21,370				307,040
Energy			(382,659	)			96,767				(285,892	)
Total net trading gains (losses)		$	378,564			$	(223,693	)		$	154,871

 

5.	Due from/to brokers

Due from brokers consists of proceeds from securities sold. 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 March 31, 2015 and December 31, 2014, 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.

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.

 

7.	Related party transactions

Superfund Capital Management shall be paid a management fee equal to one-twelfth of 1.85% of month-end net assets (1.85% per annum), ongoing offering expenses equal to one-twelfth of 1% of month-end net assets (1% per annum), not to exceed the amount of actual expenses incurred, and monthly operating expenses equal 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

 

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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 commissions equal 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 Fund as 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 as of 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 March 31 are as follows:

 

		2015								2014
		Series A				Series B				Series A				Series B
Total Return*
Total return before incentive fees			4.3	%			8.9	%			(1.9	)%			(1.4	)%
Incentive fees			0.0				0.0				0.0				0.0	%
Total return after incentive fees			4.3	%			8.9	%			(1.9	)%			(1.4	)%
Ratios to average partners’ capital
Operating expenses before incentive fees			1.8	%			2.0	%			2.3	%			2.3	%
Incentive fees			0.0				0.0				0.0				0.0
Total expenses			1.8	%			2.0	%			2.3	%			2.3	%
Net investment loss			(1.8	)%			(2.0	)%			(2.3	)%			(2.3	)%
Net asset value per unit, beginning of period		$	1,283.60			$	1,462.68			$	1,215.27			$	1,300.97
Net investment loss			(23.82	)			(31.44	)			(27.85	)			(33.02	)
Net gain on investments			77.72				158.33				5.24				14.35
Net asset value per unit, end of period		$	1,337.50			$	1,589.57			$	1,192.66			$	1,282.30
Other per Unit information:
Net increase (decrease) in net assets from operations per Unit (based upon weighted average number of Units during period) upon weighted average number of Units during period)		$	55.20			$	131.37			$	(22.92	)		$	(19.87	)
Net increase (decrease) in net assets from operations per Unit (based upon change in net asset value per Unit) upon change in net asset value per Unit)		$	53.90			$	126.89			$	(22.61	)		$	(18.67	)

 

*	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.

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 with off-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

 

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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 $1,382,984 and $637,316, respectively, at March 31, 2015.

For Series A, gross unrealized gains and losses related to exchange-traded futures were $500,882 and $225,654, respectively, at March 31, 2015.

For Series B, gross unrealized gains and losses related to exchange-traded futures were $882,102 and $411,662, respectively, at March 31, 2015.

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 a 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 a 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., Barclays Capital Inc. and Merrill Lynch, Pierce, Fenner & Smith Inc.

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 mature within one year of March 31, 2015. 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 the prior year-end or the prior 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.

 

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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 filed and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements.

 

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 March 31, 2015, redemptions totaled $1,691,880. For the quarter ended March 31, 2015, redemptions totaled $658,800 in Series A and $1,033,080 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 March 31, 2015

Series A:

Net results for the quarter ended March 31, 2015, were a gain of 4.3% 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 $414,926. This increase consisted of investment income of $59, trading gains of $593,627 and total expenses of $178,860. Expenses included $47,067 in management fees, $3,817 in operating expenses, $101,767 in selling commissions, $23,137 in brokerage commissions and $3,072 in other expenses. At March 31, 2015 and December 31, 2014, the net asset value per Unit of Series A was $1,337.50 and $1,283.60, respectively.

Series B:

Net results for the quarter ended March 31, 2015, were a gain of 8.9% 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 $921,289. This decrease consisted of

 

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investment loss of $45, trading gains of $1,142,296 and total expenses of $220,962. Expenses included $52,369 in management fees, $4,247 in operating expenses, $113,230 in selling commissions, $46,521 in brokerage commissions and $4,595 in other expenses. At March 31, 2015 and December 31, 2014, the net asset value per Unit of Series B was $1,589.57 and $1,462.68 respectively.

Fund results for 1^st Quarter 2015:

In March, the Fund’s managed futures strategy produced flat results, with a negative return of 0.14% for Series A and 0.03% for Series B. The Fund’s long positions in cattle and short positions in soybean oil and sugar all produced positive returns. These gains were offset by losses resulting from the Fund’s long positions in indices, as the Nasdaq fell on speculation of increased interest rates by the U.S. Federal Reserve (the “Fed”) and a sell-off of biotech and technology stocks. The Fund’s long positions in Canadian bonds also produced negative results, as the Bank of Canada announced that it was maintaining its overnight rate targets.

In February, the Fund’s managed futures strategy produced positive results, primarily on its long positions in indices. In the U.S., the Nasdaq reached its highest level since March 2000. In Japan, both the Tokyo Stock Price Index and the Nikkei 225 both produced substantial gains in March. The Fund’s gains in indices where offset slightly by the Fund’s allocations to the energy sector, as the Fund’s short positions in oil lost ground. The Fund’s allocations to the metals markets also yielded negative returns.

In January, the Fund’s managed futures strategy yielded strong positive results. The Fund’s allocations to the bonds sector brought positive returns as the Bank of Canada lowered its overnight rate to counteract the effect of dropping oil prices on growth. The Fund’s positions in the Canadian dollar also performed positively as Canadian GDP figures contracted while the U.S. dollar strengthened on U.S. jobless claims. The Fund’s allocations to the agricultural sector produced negative results in January as hog futures fell on declining demand and cattle futures hit the lowest level since June 2014.

Three Months Ended March 31, 2014

Series A:

Net results for the quarter ended March 31, 2014, were a loss of 1.9% 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 $234,183. This decrease consisted of investment income of $372, trading gains of $58,592 and total expenses of $293,147. Expenses included $58,459 in management fees, $31,599 in ongoing offering expenses, $4,740 in operating expenses, $126,399 in selling commissions, $70,919 in brokerage commissions and $1,031 in other expenses. At March 31, 2014 and December 31, 2013, the net asset value per Unit of Series A was $1,192.66 and $1,215.27, respectively.

Series B:

Net results for the quarter ended March 31, 2014, were a loss of 1.4% 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 $207,810. This decrease consisted of investment income of $569, trading gains of $154,871 and total expenses of $363,250. Expenses included $65,138 in management fees, $35,210 in ongoing offering expenses, $5,282 in operating expenses, $140,839 in selling commissions, $115,088 in brokerage commissions and $1,693 in other expenses. At March 31, 2014 and December 31, 2013, the net asset value per Unit of Series B was $1,282.30 and $1,300.97 respectively.

Fund results for 1^st Quarter 2014:

In March, the Fund’s managed futures strategy underperformed. The Fund’s bond positions negatively impacted performance as treasuries fell amid hints from the U.S. government of rate increases in 2015. The Fund’s allocations to energy markets also posted losses, as crude fell modestly due to tensions in Ukraine and a drop in Libyan oil production. The Fund’s positions in the metals, grains and agricultural markets, however, yielded positive returns, helping to offset the losses in other sectors. Among these markets, the Fund’s short positions in London Metal Exchange copper profited on concerns that the rising debt in China will curb copper demand. The fund also benefited from long positions soybean meal and cocoa gained amid poor weather conditions in Brazil.

In February, the Fund’s managed futures strategy yielded positive returns in all market groups apart except for metals, currencies and money markets. The Fund’s positions in bonds sector produced positive results as U.S. stocks rallied amid earnings and jobless claims, while German bonds fell as the European Central Bank left interest rates unchanged and refrained from additional stimulus. The Fund’s short positions in silver and gold negatively affected performance as gold made experienced its largest monthly gain since July 2013 after investors and speculators chased prices higher on concerns about the pace of the U.S. economic recovery. The Fund’s long positions in crude oil and natural gas yielded profits as the markets continued to climb as cold weather demand pushed prices up in the first three weeks of the month.

 

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In January, the Fund managed futures strategy produced negative results in as positions in the indices and energy sectors underperformed. The Fund’s crude oil positions yielded losses amid speculation that the Fed would curb stimulus measures further following signs of improvement in the U.S. economy. The Fund’s positions in natural gas helped to minimize losses in the energies sector as it rallied throughout the second half of January due to a reported decrease in inventories to its lowest level in almost four years. The Fund’s positions in the metals markets performed poorly as gold and silver continued to rise on increased demand in Asia. The Fund’s allocations to indices also performed negatively as U.S. indices suffered the largest losses since 2012 on fears over emerging markets resulted in significant selloffs.

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 is therefore a party to financial instruments with elements of off-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 a margin-to-equity ratio in all but extreme instances not greater than 50%.

In addition to market risk, in entering into futures, there is a credit risk that a 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 the non-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 in off-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 March 31, 2015 and December 31, 2014.

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 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 2011-11

In December 2011, the FASB issued ASU No. 2011-11, Disclosures about Offsetting Assets and Liabilities (“ASU 2011-11”). ASU 2011-11 requires disclosures to make financial statements that are prepared under U.S. GAAP more comparable to those prepared under International Financial Reporting Standards. The new disclosure requirements mandate that entities disclose both gross and net information about instruments and transactions eligible for offset in the statement of assets and liabilities as well as instruments and transactions subject to an agreement similar to a master netting arrangement. In addition, ASU 2011-11 requires disclosure of collateral received and posted in connection with master netting agreements or similar arrangements.

 

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In January 2013, the FASB issued guidance to clarify the scope of disclosures about offsetting assets and liabilities. The amendments clarify that the scope of guidance issued in December 2011 to enhance disclosures around financial instrument and derivative instruments that are either (a) offset, or (b) subject to a master netting agreement or similar agreement, irrespective of whether they are offset, applies to derivatives, including bifurcated embedded derivatives, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions that are either offset or subject to an enforceable master netting arrangement or similar agreement. The amendments are effective for interim and annual periods beginning on or after January 1, 2013. Adoption did not have a material impact on the Fund’s 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 March 31, 2015 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.

The Rule 13a-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 March 31, 2015.

(c) 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 current month-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 March 31, 2015:

Series A:

 

Month		Units Redeemed				NAV per Unit ($)
January 31, 2015			156.803				1,322.36
February 28, 2015			152.983				1,339.38
March 31, 2015			184.395				1,337.50
			494.181

 

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Series B:

 

Month		Units Redeemed				NAV per Unit ($)
January 31, 2015			245.049				1,546.96
February 28, 2015			121.847				1,590.04
March 31, 2015			289.639				1,589.57
			656.535

 

ITEM 3.

DEFAULTS UPON SENIOR SECURITIES

Not applicable.

 

ITEM 4.

MINE SAFETY DISCLOSURE

Not applicable.

 

ITEM 5.

OTHER INFORMATION

None.

 

ITEM 6.

EXHIBITS

The following exhibits are included herewith:

 

31.1		Rule 13a-14(a)/15d-14(a) Certification of Principal Executive Officer
31.2		Rule 13a-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

 

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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.

 

 

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EXHIBIT INDEX

 

Exhibit Number		Description of Document		Page Number
31.1		Rule 13a-14(a)/15d-14(a) Certification of Principal Executive Officer			E-2
31.2		Rule 13a-14(a)/15d-14(a) Certification of Principal Financial Officer			E-3
32.1		Section 1350 Certification of Principal Executive Officer			E-4
32.2		Section 1350 Certification of Principal Financial Officer			E-5

 

E-1