Attached files

file filename
EX-32.2 - EX-32.2 - SUPERFUND GREEN, L.P.d630692dex322.htm
EX-32.1 - EX-32.1 - SUPERFUND GREEN, L.P.d630692dex321.htm
EX-31.2 - EX-31.2 - SUPERFUND GREEN, L.P.d630692dex312.htm
EX-31.1 - EX-31.1 - SUPERFUND GREEN, L.P.d630692dex311.htm
Table of Contents

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

 

 

FORM 10-Q

 

 

(Mark One)

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

For the quarterly period ended September 30, 2018

OR

 

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

For the transition period from                      to                     

Commission File number: 000-51634

 

 

SUPERFUND GREEN, L.P.

(Exact name of registrant as specified in charter)

 

 

 

Delaware   98-0375395

(State or other jurisdiction of

incorporation or organization)

 

(I.R.S. Employer

Identification No.)

Superfund Office Building

P.O. Box 1479

Grand Anse

St. George’s, Grenada

West Indies

  Not applicable
(Address of principal executive offices)   (Zip Code)

(473) 439-2418

(Registrant’s telephone number, including area code)

Not applicable

(Former name, former address and former fiscal year, if changed since last report)

 

 

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.    Yes  ☒    No  ☐

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted 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 such files).    Yes  ☒    No  ☐

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company” and “emerging growth company” in Rule 12b-2 of the Exchange Act.

 

Large Accelerated Filer      Accelerated Filer  
Non-Accelerated Filer      Smaller Reporting Company  
     Emerging growth company  

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.  ☐

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

 

 

 


Table of Contents

PART I - FINANCIAL INFORMATION

 

ITEM 1.

FINANCIAL STATEMENTS

The following 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  

Financial Statements: Superfund Green, L.P.

  

Unaudited Statements of Assets and Liabilities in Liquidation as of September 30, 2018

     4  

Statements of Assets and Liabilities as of December 31, 2017

     5  

Unaudited Condensed Schedule of Investments in Liquidation as of September 30, 2018

     6  

Condensed Schedule of Investments as of December 31, 2017

     7  

Unaudited Statements of Operations for the Two and Eight Months Ended August 31, 2018 and Three and Nine Months Ended September 30, 2017

     8  

Unaudited Statements of Changes in Net Assets for the Eight Months Ended August 31, 2018 and Nine Months Ended September 30, 2017

     9  

Unaudited Statement of Changes in Net Assets in Liquidation for September 1 through September 30, 2018

     10  

Unaudited Statements of Cash Flows for the Eight Months Ended August  31, 2018 and Nine Months Ended September 30, 2017

     11  

Financial Statements: Superfund Green, L.P. – Series A

  

Unaudited Statements of Assets and Liabilities in Liquidation as of September 30, 2018

     12  

Statement of Assets and Liabilities as of December 31, 2017

     13  

Unaudited Condensed Schedule of Investments in Liquidation as of September 30, 2018

     14  

Condensed Schedule of Investments as of December 31, 2017

     15  

Unaudited Statements of Operations for the Two and Eight Months Ended August 31, 2018 and Three and Nine Months Ended September 30, 2017

     16  

Unaudited Statements of Changes in Net Assets for the Eight Months Ended August 31, 2018 and Nine Months Ended September 30, 2017

     17  

Unaudited Statement of Changes in Net Assets in Liquidation for September 1 through September 30, 2018

     18  

Unaudited Statements of Cash Flows for the Eight Months Ended August  31, 2018 and Nine Months Ended September 30, 2017

     19  

Financial Statements: Superfund Green, L.P. – Series B

  

Unaudited Statements of Assets and Liabilities in Liquidation as of September 30, 2018

     20  

Statement of Assets and Liabilities as of December 31, 2017

     21  

Unaudited Condensed Schedule of Investments in Liquidation as of September 30, 2018

     22  

Condensed Schedule of Investments as of December 31, 2017

     23  

 

2


Table of Contents


Table of Contents

SUPERFUND GREEN, L.P.

STATEMENTS OF ASSETS AND LIABILITIES IN LIQUIDATION

as of September 30, 2018

 

     September 30, 2018
(unaudited)
 

ASSETS

  

Due from brokers

   $ 2,266,695  

Unrealized gain on futures contracts purchased

     155,226  

Unrealized gain on futures contracts sold

     148,307  

Cash and cash equivalents

     4,001,485  

Other assets

     3,449  
  

 

 

 

Total assets

     6,575,162  
  

 

 

 

LIABILITIES

  

Unrealized loss on futures contracts purchased

     155,493  

Unrealized loss on futures contracts sold

     117,943  

Redemptions payable

     1,841,072  

Management fees payable

     9,749  

Fees payable

     —    
  

 

 

 

Total liabilities

     2,124,257  
  

 

 

 

NET ASSETS IN LIQUIDATION

   $ 4,450,905  
  

 

 

 

See accompanying notes to financial statements.    

 

4


Table of Contents

SUPERFUND GREEN, L.P.

STATEMENTS OF ASSETS AND LIABILITIES

as of December 31, 2017

 

     December 31, 2017  

ASSETS

  

Due from brokers

   $ 3,146,140  

Unrealized gain on futures contracts purchased

     304,814  

Unrealized gain on futures contracts sold

     111,436  

Cash and cash equivalents

     5,559,722  

Other assets

     —    
  

 

 

 

Total assets

     9,122,112  
  

 

 

 

LIABILITIES

  

Unrealized loss on futures contracts purchased

     103,106  

Unrealized loss on futures contracts sold

     99,629  

Redemptions payable

     166,865  

Management fees payable

     13,794  

Fees payable

     2,766  
  

 

 

 

Total liabilities

     386,160  
  

 

 

 

NET ASSETS

   $ 8,735,952  
  

 

 

 

See accompanying notes to financial statements.    

 

5


Table of Contents

SUPERFUND GREEN, L.P.

UNAUDITED CONDENSED SCHEDULE OF INVESTMENTS IN LIQUIDATION

as of September 30, 2018    

 

     Percentage of
Net Assets in
Liquidation
    Fair Value  

Futures contracts, at fair value

    

Futures contracts purchased

    

Currency

     0.2   $ 8,605  

Energy

     1.1     47,084  

Financial

     (1.3 )*      (58,227

Food & Fiber

     (0.9     (39,286

Indices

     1.1     50,805  

Livestock

     0.1       2,850  

Metals

     (0.3     (12,098
  

 

 

   

 

 

 

Total futures contracts purchased

     0.0       (267
  

 

 

   

 

 

 

Futures contracts sold

    

Currency

     0.5       22,260  

Energy

     (0.9     (38,278

Financial

     0.7       33,121  

Food & Fiber

     0.5       20,689  

Indices

     (0.1     (6,154

Livestock

     (0.2     (7,113

Metals

     0.1       5,839  
  

 

 

   

 

 

 

Total futures contracts sold

     0.6       30,364  
  

 

 

   

 

 

 

Total futures contracts, at fair value

     0.6   $ 30,097  
  

 

 

   

 

 

 

Futures contracts by country composition

    

Australia

     —   %**    $ (2,022

Canada

     (0.1     (5,665

European Monetary Union

     (0.2     (9,727

Great Britain

     (0.1     (5,799

Japan

     0.2       9,494  

United States

     1.6     78,196  

Other

     (0.8     (34,380
  

 

 

   

 

 

 

Total futures contracts by country

     0.6   $ 30,097  
  

 

 

   

 

 

 

 

*

No individual contract position constituted one percent or greater of net assets. Accordingly, the number of contracts and expiration dates are not presented.

**

Due to rounding – amount is less than 0.05%    

See accompanying notes to financial statements.    

 

6


Table of Contents

SUPERFUND GREEN, L.P.

CONDENSED SCHEDULE OF INVESTMENTS

as of December 31, 2017    

 

     Percentage of
Net Assets
    Fair Value  

Futures contracts, at fair value

    

Futures contracts purchased

    

Currency

     0.6   $ 51,395  

Energy

     0.8       67,127  

Financial

     (0.6     (56,707

Food & Fiber

     (0.2     (15,566

Indices

     0.9       77,999  

Metals

     0.9       77,460  
  

 

 

   

 

 

 

Total futures contracts purchased

     2.4       201,708  
  

 

 

   

 

 

 

Futures contracts sold

    

Currency

     0.2       13,660  

Energy

     (0.4     (37,243

Financial

     0.3       25,499  

Food & Fiber

     0.0 **      (816

Indices

     0.2       18,185  

Livestock

     0.0 **      340  

Metals

     (0.1     (7,818
  

 

 

   

 

 

 

Total futures contracts sold

     0.2       11,807  
  

 

 

   

 

 

 

Total futures contracts, at fair value

     2.6   $ 213,515  
  

 

 

   

 

 

 

Futures contracts by country composition

    

Australia

     0.0 **%    $ (3,670

Canada

     0.0 **      (2,885

European Monetary Union

     0.1       10,942  

Great Britain

     0.3       26,052  

Japan

     0.2       19,012  

United States

     1.8     159,128  

Other

     0.1       4,936  
  

 

 

   

 

 

 

Total futures contracts by country

     2.5   $ 213,515  
  

 

 

   

 

 

 

 

*

No individual contract position constituted one percent or greater of net assets. Accordingly, the number of contracts and expiration dates are not presented.

**

Due to rounding – amount is less than 0.05%    

See accompanying notes to financial statements.    

 

7


Table of Contents

SUPERFUND GREEN, L.P.

UNAUDITED STATEMENTS OF OPERATIONS

 

     Period from
July 1, 2018
through August 31,
2018
    Three Months
Ended
September 30,
2017
    Period from
January 1,
2018 through
August 31,
2018
    Nine months
ended
September 30,
2017
 

Investment Income

        

Interest income

   $ 2,053     $ 8,170     $ 6,225     $ 18,564  

Other income

     1       2       308       6,153  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total investment income

     2,054       8,172       6,533       24,717  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Selling commission

     46,862       82,077       206,965       254,602  

Management fee

     21,674       37, 960       95,722       117,753  

Operating expenses

     1,757       3, 078       7,761       9,548  

Other

     172       4,275       1,056       16,995  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     70,465       127,390       311,504       398,898  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment loss

   $ (68,411   $ (119,218   $ (304,971   $ (374,181
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investments

        

Net realized gain (loss) on:

        

Futures and forward contracts

   $ 28,281     $ 180,927     $ (243,374   $ 996,624  

Investments in securities

     —         —         1,553       —    

Net change in unrealized appreciation (depreciation) on:

        

Futures and forward contracts

     (23,374     330,726       (156,001     69,294  

Investments in securities

     —         —         —         —    

Brokerage commissions

     (21,276     (24,960     (99,121     (99,226
  

 

 

   

 

 

   

 

 

   

 

 

 

Net gain (loss) on investments

   $ (16,369   $ 486,693     $ (496,943   $ 966,692  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets from operations

   $ (84,780   $ 367,475     $ (801,914   $ 592,511  
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

8


Table of Contents

SUPERFUND GREEN, L.P.

UNAUDITED STATEMENTS OF CHANGES IN NET ASSETS

 

     Period from
January 1,
2018 through

August 31,
2018
    Nine months
ended

September 30,
2017
 

Increase (decrease) in net assets from operations

    

Net investment income (loss)

   $ (304,971   $ (374,181

Net realized gain (loss) on futures and forward contracts and investments in securities

     (241,821     996,624  

Net change in unrealized appreciation (depreciation) on futures and forward contracts

     (156,001     69,294  

Brokerage commissions

     (99,121     (99,226
  

 

 

   

 

 

 

Net increase (decrease) in net assets from operations

     (801,914     592,511  

Capital share transactions

    

Issuance of Units

     201,814       239,536  

Redemption of Units

     (1,536,695     (1,684,322
  

 

 

   

 

 

 

Net decrease in net assets from capital share transactions

     (1,334,881     (1,444,786

Net decrease in net assets

     (2,136,795     (852,275

Net assets, beginning of period

     8,735,952       8,783,260  
  

 

 

   

 

 

 

Net assets, end of period

   $ 6,599,157     $ 7,930,985  
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

9


Table of Contents

SUPERFUND GREEN, L.P.

UNAUDITED STATEMENT OF CHANGES IN NET ASSETS IN LIQUIDATION

 

     Period from
September 1,
2018 through
September 30,
2018
 

Increase (decrease) in net assets from operations

  

Net investment income (loss)

   $ (30,570

Net realized gain (loss) on futures and forward contracts

     (256,492

Net change in unrealized appreciation (depreciation) on futures and forward contracts

     (27,418

Brokerage commissions

     (14,068
  

 

 

 

Net increase (decrease) in net assets from operations

     (328,548

Capital share transactions

  

Issuance of Units

     21,367  

Redemption of Units

     (1,841,071
  

 

 

 

Net decrease in net assets from capital share transactions

     (1,819,704
  

 

 

 

Net decrease in net assets in liquidation

     (2,148,252
  

 

 

 

Net assets in liquidation, beginning of period

     6,599,157  
  

 

 

 

Net assets in liquidation, end of period

   $ 4,450,905  
  

 

 

 

See accompanying notes to financial statements.

 

10


Table of Contents

SUPERFUND GREEN, L.P.

UNAUDITED STATEMENTS OF CASH FLOWS

 

     Period
January 1,
2018 through
August 31,
2018
    Nine Months
Ended
September 30,
2017
 

Cash flows from operating activities

    

Net increase (decrease) in net assets from operations

   $ (801,914   $ 592,511  

Adjustments 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

     751,995       969,510  

Increase in unrealized appreciation on open forward contracts

     —         25,475  

Increase (decrease) in futures contracts purchased

     238,082       (54,141

Decrease in unrealized depreciation on open forward contracts

     —         (34,093

Decrease in futures contracts sold

     (82,081     (6,535

Increase in other assets

     (2,941     (680

Decrease in management fee payable

     (3,087     (3,018

Decrease in fees payable

     (1,559     (4,961
  

 

 

   

 

 

 

Net cash and cash equivalents provided by (used in) operating activities

     98,495       1,484,068  
  

 

 

   

 

 

 

Cash flows from financing activities

    

Subscriptions

     201,814       239,536  

Redemptions, net of change in redemptions payable

     (1,392,046     (2,779,288
  

 

 

   

 

 

 

Net cash and cash equivalents used in financing activities

     (1,190,232     (2,539,752
  

 

 

   

 

 

 

Net increase (decrease) in cash and cash equivalents

     (1,091,737     (1,055,684

Cash and cash equivalents, beginning of period

     5,559,722       4,768,586  
  

 

 

   

 

 

 

Cash and cash equivalents, end of period

   $ 4,467,985     $ 3,712,902  
  

 

 

   

 

 

 

Supplemental cash flow disclosures

    

Redemption payable

   $ 311,514     $ 85,605  
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

11


Table of Contents

SUPERFUND GREEN, L.P. – SERIES A

STATEMENTS OF ASSETS AND LIABILITIES IN LIQUIDATION

as of September 30, 2018

 

     September 30,
2018

(unaudited)
 

ASSETS

  

Due from brokers

   $ 624,490  

Unrealized gain on futures contracts purchased

     7,927  

Unrealized gain on futures contracts sold

     29,737  

Cash and cash equivalents

     1,510,623  

Other assets

     3,341  
  

 

 

 

Total assets

     2,176,118  
  

 

 

 

LIABILITIES

  

Unrealized loss on futures contracts purchased

     28,352  

Unrealized loss on futures contracts sold

     22,810  

Redemptions payable

     634,828  

Management fee payable

     3,287  

Fees payable

     —    
  

 

 

 

Total liabilities

     689,277  
  

 

 

 

NET ASSETS IN LIQUIDATION

   $ 1,486,841  
  

 

 

 

Number of Units

     1,532.255  
  

 

 

 

Net asset value per Unit

   $ 970.36  
  

 

 

 

See accompanying notes to financial statements.

 

12


Table of Contents

SUPERFUND GREEN, L.P. – SERIES A

STATEMENTS OF ASSETS AND LIABILITIES

as of December 31, 2017

 

     December 31,
2017
 

ASSETS

  

Due from brokers

   $ 1,224,817  

Unrealized gain on futures contracts purchased

     79,285  

Unrealized gain on futures contracts sold

     28,065  

Cash and cash equivalents

     2,058,246  

Other assets

     —    
  

 

 

 

Total assets

     3,390,413  
  

 

 

 

LIABILITIES

  

Unrealized loss on futures contracts purchased

     25,178  

Unrealized loss on futures contracts sold

     29,848  

Redemptions payable

     27,170  

Management fees payable

     5,159  

Fees payable

     670  
  

 

 

 

Total liabilities

     88,025  
  

 

 

 

NET ASSETS

   $ 3,302,388  
  

 

 

 

Number of Units

   $ 3,002.761  
  

 

 

 

Net asset value per Unit

   $ 1,099.78  
  

 

 

 

See accompanying notes to financial statements.

 

13


Table of Contents

SUPERFUND GREEN, L.P. - SERIES A

CONDENSED SCHEDULE OF INVESTMENTS IN LIQUIDATION

as of September 30, 2018

 

     Percentage
of Net
Assets in
liquidation
    Fair
Value
 

Futures Contracts, at fair value

    

Futures Contracts Purchased

    

Currency

     0.2   $ 3,300  

Financial

     (0.8     (11,310

Food & Fiber

     (0.6     (8,418

Indices

     (0.1     (1,272

Metals

     (0.2     (2,725
  

 

 

   

 

 

 

Total futures contracts purchased

     (1.5     (20,425
  

 

 

   

 

 

 

Futures Contracts Sold

    

Currency

     0.4       6,179  

Energy

     (0.5     (7,322

Financial

     0.6       8,220  

Food & Fiber

     0.3       3,890  

Indices

     (0.1     (1,123

Livestock

     (0.1     (1,365

Metals

     (0.1     (1,552
  

 

 

   

 

 

 

Total futures contracts sold

     0.5       6,927  
  

 

 

   

 

 

 

Total futures contracts, at fair value

     (1.0 )%    $ (13,498
  

 

 

   

 

 

 

Futures contracts by country composition

    

Australian

     (0.1 )%    $ (1,129

Canada

     (0.1     (1,181

European Monetary Union

     (0.1     (1,465

Great Britain

     —   **      (147

Japan

     (0.7     (10,405

United States

     0.7       11,018  

Other

     (0.7     (10,189
  

 

 

   

 

 

 

Total futures contracts by country

     (1.0 )%    $ (13,498
  

 

 

   

 

 

 

 

*

No individual contract position constituted one percent or greater of net assets. Accordingly, the number of contracts and expiration dates are not presented.

**

Due to rounding - amount is less than 0.05%

See accompanying notes to financial statements.

 

14


Table of Contents

SUPERFUND GREEN, L.P. - SERIES A    

CONDENSED SCHEDULE OF INVESTMENTS    

as of December 31, 2017    

 

     Percentage of        
     Net Assets     Fair Value  

Futures Contracts, at fair value

    

Futures Contracts Purchased

    

Currency

     0.4   $ 14,668  

Energy

     0.5       16,418  

Financial

     (0.5     (15,601

Food & Fiber

     (0.1     (4,093

Indices

     0.7       23,490  

Metals

     0.6       19,225  
  

 

 

   

 

 

 

Total futures contracts purchased

     1.6       54,107  
  

 

 

   

 

 

 

Futures Contracts Sold

    

Currency

     0.1       3,866  

Energy

     (0.4     (12,562

Financial

     0.2       8,110  

Food & Fiber

     (0.1     (3,850

Indices

     0.3       5,018  

Metals

     (0.1     (2,365
  

 

 

   

 

 

 

Total futures contracts sold

     0.0       (1,783
  

 

 

   

 

 

 

Total futures contracts, at fair value

     1.6   $ 52,324  
  

 

 

   

 

 

 

Futures contracts by country composition

    

Australian

     0.0 **%    $ (1,003

Canada

     0.0 **      (409

European Monetary Union

     0.1       3,433  

Great Britain

     0.2       6,115  

Japan

     0.2       6,873  

United States

     1.0     34,994  

Other

     0.1       2,321  
  

 

 

   

 

 

 

Total futures contracts by country

     1.6   $ 52,324  
  

 

 

   

 

 

 

 

*

No individual contract position constituted one percent or greater of net assets. Accordingly, the number of contracts and expiration dates are not presented.

**

Due to rounding - amount is less than 0.05%

See accompanying notes to financial statements.

 

15


Table of Contents

SUPERFUND GREEN, L.P. - SERIES A

UNAUDITED STATEMENTS OF OPERATIONS

 

     Period from
July 1, 2018
through
August 31,
2018
    Three months
Ended
September 30,
2017
    Period from
January 1,
2018 through
August 31,
2018
    Nine
Months
Ended
September

30, 2017
 

Investment Income

        

Interest income

   $ 766     $ 2,952     $ 2,422     $ 7,099  

Other income

     —         —         81       3,500  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total investment income

     766       2,952       2,503       10,599  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Selling commission

     15,917       32,404       73,905       102,781  

Management fee

     7,362       14,987       34,181       47,537  

Operating expenses

     597       1,215       2,772       3,854  

Other

     172       1,302       510       6,189  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     24,048       49,908       111,368       160,361  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment loss

   $ (23,282   $ (46,956   $ (108,865   $ (149,762
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investments

        

Net change in realized gain (loss) on:

        

Futures and forward contracts

   $ 9,886     $ 20,316     $ (35,777   $ 273,070  

Investments in securities

     —         —         443       —    

Net change in unrealized appreciation (depreciation) on:

        

Futures and forward contracts

     (19,819     96,810       (50,564     9,301  

Investments in securities

     —         —         —         —    

Brokerage commissions

     (5,221     (6,961     (24,814     (29,103
  

 

 

   

 

 

   

 

 

   

 

 

 

Net gain (loss) on investments

   $ (15,154   $ 110,165     $ (110,712   $ 253,268  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets from operations

   $ (38,436   $ 63,209     $ (219,577   $ 103,506  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets from operations per unit (based upon weighted average number of units outstanding during period)*

     (16.80     20.26       (88.45     31.37  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets from operations per unit (based upon changes in net assets value per unit during the period)

     (16.46     19.42       (92.10     29.59  
  

 

 

   

 

 

   

 

 

   

 

 

 

 

*

Weighted average number of Units outstanding for Series A for the Two Months Ended August 31, 2018 and three months ended September 30, 2017: 2,288.47 and 3,120.43, respectively; and for the Eight Months Ended August 31, 2018 and nine months ended September 30, 2017: 2,482.38 and 3,299.02, respectively.

See accompanying notes to financial statements.

 

16


Table of Contents

SUPERFUND GREEN, L.P. - SERIES A

UNAUDITED STATEMENTS OF CHANGES IN NET ASSETS

 

     Period from
January 1,
2018 through

August 31,
2018
    Nine months
ended

September 30,
2017
 

Increase (decrease) in net assets from operations

    

Net investment income (loss)

   $ (108,865   $  (149,762

Net realized gain (loss) on futures and forward contracts and investments in securities

     (35,334     273,070  

Net change in unrealized appreciation (depreciation) on futures and forward contracts

     (50,564     9,301  

Brokerage commissions

     (24,814     (29,103
  

 

 

   

 

 

 

Net increase (decrease) in net assets from operations

     (219,577     103,506  

Capital share transactions

    

Issuance of Units

     73,600       97,830  

Redemption of Units

     (960,441     (751,783
  

 

 

   

 

 

 

Net decrease in net assets from capital share transactions

     (886,841     (653,953

Net decrease in net assets

     (1,106,418     (550,447

Net assets, beginning of period

     3,302,388       3,656,086  
  

 

 

   

 

 

 

Net assets, end of period

   $ 2,195,970     $ 3,105,639  
  

 

 

   

 

 

 

Units beginning of period

     3,002.761       3,694.882  

Issuance of Units

     68.354       96.993  

Redemption of Units

     (891.881     (744.411
  

 

 

   

 

 

 

Units end of period

     2,179.234       3,047.464  
  

 

 

   

 

 

 

See accompanying notes to financial statements.    

 

17


Table of Contents

SUPERFUND GREEN, L.P. - SERIES A

UNAUDITED STATEMENT OF CHANGES IN NET ASSETS IN LIQUIDATION

 

     Period from
September 1, 2018
through
September 30, 2018
 

Increase (decrease) in net assets from operations

  

Net investment income (loss)

   $ (10,303

Net realized gain (loss) on futures and forward contracts and investments in securities

     (52,802

Net change in unrealized appreciation (depreciation) on futures and forward contracts

     (15,259

Brokerage commissions

     (3,236
  

 

 

 

Net increase (decrease) in net assets from operations

     (81,600

Capital share transactions

  

Issuance of Units

     7,297  

Redemption of Units

     (634,826
  

 

 

 

Net increase (decrease) in net assets from capital share transactions

     (627,529
  

 

 

 

Net increase (decrease) in net assets in liquidation

     (709,129
  

 

 

 

Net assets in liquidation, beginning of period

     2,195,970  
  

 

 

 

Net assets in liquidation, end of period

   $  1,486,841  
  

 

 

 

Units beginning of period

     2,179.234  

Issuance of Units

     7.241  

Redemption of Units

     (654.220
  

 

 

 

Units end of period

     1,532.255  
  

 

 

 

See accompanying notes to financial statements.

 

18


Table of Contents

SUPERFUND GREEN, L.P. - SERIES A    

UNAUDITED STATEMENTS OF CASH FLOWS    

 

     Period from
January 1, 2018
through August 31,

2018
    Nine Months
Ended September

30, 2017
 

Cash flows from operating activities

    

Net increase (decrease) in net assets from operations

   $ (219,577   $ 103,506  

Adjustments to reconcile net increase (decrease) in net assets from operations to net cash provided by (used in) operating activities:

    

Changes in operating assets and liabilities:

    

Decrease in due from brokers

     544,697       905,455  

Increase in unrealized appreciation on open forward contracts

     —         4,792  

Increase (decrease) in futures contracts purchased

     47,347       (5,807

Decrease in unrealized depreciation on open forward contracts

     —         (9,573

Increase in futures contracts sold

     3,218       1,286  

Increase in other assets

     (2,941     (680

Decrease in management fee payable

     (1,520     (2,592

Decrease in fees payable

     (375     (3,490
  

 

 

   

 

 

 

Net cash and cash equivalents provided by (used in) operating activities

     370,849       992,897  
  

 

 

   

 

 

 

Cash flows from financing activities

    

Subscriptions

     73,600       97,830  

Redemptions, net of change in redemptions payable

     (834,977     (1,874,234
  

 

 

   

 

 

 

Net cash and cash equivalents used in financing activities

     (761,377     (1,776,404
  

 

 

   

 

 

 

Net increase (decrease) in cash equivalent

     (390,528     (783,507

Cash and cash equivalents, beginning of period

     2,058,246       2,648,829  
  

 

 

   

 

 

 

Cash and cash equivalents, end of period

   $ 1,667,718     $ 1,865,322  
  

 

 

   

 

 

 

Supplemental cash flow disclosures

    

Redemption payable

   $ 152,634     $ 28,223  
  

 

 

   

 

 

 

See accompanying notes to financial statements.    

 

19


Table of Contents

SUPERFUND GREEN, L.P. - SERIES B

STATEMENTS OF ASSETS AND LIABILITIES IN LIQUIDATION

as of September 30, 2018

 

     September 30,
2018

(unaudited)
 

ASSETS

  

Due from brokers

   $ 1,642,205  

Unrealized gain on futures contracts purchased

     147,299  

Unrealized gain on futures contracts sold

     118,570  

Cash and cash equivalents

     2,490,862  

Other Assets

     108  
  

 

 

 

Total assets

     4,399,044  
  

 

 

 

LIABILITIES

  

Unrealized loss on futures contracts purchased

     127,141  

Unrealized loss on futures contracts sold

     95,133  

Redemptions payable

     1,206,244  

Management fee payable

     6,462  

Fees payable

     —    
  

 

 

 

Total liabilities

     1,434,980  
  

 

 

 

NET ASSETS IN LIQUIDATION

   $ 2,964,064  
  

 

 

 

Number of Units

     2,600.959  
  

 

 

 

Net asset value per Unit

   $ 1,139.604  
  

 

 

 

See accompanying notes to financial statements.

 

20


Table of Contents

SUPERFUND GREEN, L.P. - SERIES B

STATEMENTS OF ASSETS AND LIABILITIES

as of December 31, 2017

 

     December 31,
2017
 

ASSETS

  

Due from brokers

   $ 1,921,323  

Unrealized gain on futures contracts purchased

     225,529  

Unrealized gain on futures contracts sold

     83,371  

Cash and cash equivalents

     3,501,476  

Other assets

     —    
  

 

 

 

Total assets

     5,731,699  
  

 

 

 

LIABILITIES

  

Unrealized loss on futures contracts purchased

     77,928  

Unrealized loss on futures contracts sold

     69,781  

Redemptions payable

     139,695  

Management fees payable

     8,635  

Fees payable

     2,096  
  

 

 

 

Total liabilities

     298,135  
  

 

 

 

NET ASSETS

   $ 5,433,564  
  

 

 

 

Number of units

   $  3,995.325  
  

 

 

 

Net assets value per unit

   $ 1,359.98  
  

 

 

 

See accompanying notes to unaudited financial statements.    

 

21


Table of Contents

SUPERFUND GREEN, L.P. – SERIES B

UNAUDITED CONDENSED SCHEDULE OF INVESTMENTS IN LIQUIDATION

as of September 30, 2018

 

     Percentage of
Net Assets in
liquidation
    Fair Value  

Futures contracts, at fair value

    

Futures contracts purchased

    

Currency

     0.2   $ 5,305  

Energy

     1.6     47,084  

Financial

     (1.6 )*      (46,917

Food & Fiber

     (1.0 )*      (30,868

Indices

     1.8     52,077  

Livestock

     0.1       2,850  

Metals

     (0.3     (9,373
  

 

 

   

 

 

 

Total futures contracts purchased

     0.8       20,158  
  

 

 

   

 

 

 

Futures contracts sold

    

Currency

     0.5       16,081  

Energy

     (1.0 )*      (30,956

Financial

     0.8       24,901  

Food & Fiber

     0.6       16,799  

Indices

     (0.2     (5,031

Livestock

     (0.2     (5,748

Metals

     0.2       7,391  
  

 

 

   

 

 

 

Total futures contracts sold

     0.7       23,437  
  

 

 

   

 

 

 
Total futures contracts, at fair value      1.5   $ 43,595  
  

 

 

   

 

 

 
Futures contracts by country composition     

Australia

     —   %**    $ (893

Canada

     (0.2     (4,484

European Monetary Union

     (0.3     (8,262

Great Britain

     (0.2     (5,652

Japan

     0.7       19,899  

United States

     2.3     67,178  

Other

     (0.8     (24,191
  

 

 

   

 

 

 
Total futures contracts by country      1.5   $ 43,595  
  

 

 

   

 

 

 

 

*

No individual contract position constituted one percent or greater of net assets. Accordingly, the number of contracts and expiration dates are not presented.

**

Due to rounding - amount is less than 0.05%.

See accompanying notes to financial statements.

 

22


Table of Contents

SUPERFUND GREEN L.P. – SERIES B

CONDENSED SCHEDULE OF INVESTMENTS

as of December 30, 2017

 

     Percentage of
Net Assets in
liquidation
    Fair Value  

Futures contracts, at fair value

    

Futures contracts purchased

    

Currency

     0.7   $ 36,727  

Energy

     0.9       50,709  

Financial

     (0.8     (41,106

Food & Fiber

     (0.2     (11,473

Indices

     1.0     54,509  

Metals

     1.1     58,235  
  

 

 

   

 

 

 

Total futures contracts purchased

     2.7       147,601  
  

 

 

   

 

 

 

Futures contracts sold

    

Currency

     0.2       9,794  

Energy

     (0.4     (24,681

Financial

     0.3       17,389  

Food & Fiber

     0.1       3,034  

Indices

     0.2       13,167  

Livestock

     0.0 **      340  

Metals

     (0.1     (5,453
  

 

 

   

 

 

 

Total futures contracts sold

     0.3       13,590  
  

 

 

   

 

 

 

Total futures contracts, at fair value

     3.0   $ 161,191  
  

 

 

   

 

 

 

Futures contracts by country composition

    

Australia

     0.0 **%    $ (2,667

Canada

     0.0 **      (2,476

European Monetary Union

     0.1       7,509  

Great Britain

     0.4       19,937  

Japan

     0.2       12,139  

United States

     2.3     124,134  

Other

     0.0 **      2,615  
  

 

 

   

 

 

 

Total futures contracts by country

     3.0   $ 161,191  
  

 

 

   

 

 

 

 

*

No individual contract position constituted one percent or greater of net assets. Accordingly, the number of contracts and expiration dates are not presented.

**

Due to rounding – amount is less than 0.05%

See accompanying notes to financial statements.

 

23


Table of Contents

SUPERFUND GREEN, L.P. - SERIES B

UNAUDITED STATEMENTS OF OPERATIONS

 

     Period from
July 1, 2018
through
August 31,
2018
    Three
Months
Ended
September 30,
2017
    Period from
January 1,
2018 through
August 31,
2018
    Nine Months
Ended
September 30,
2017
 

Investment Income

        

Interest income

   $ 1,287     $ 5,218     $ 3,803     $ 11,465  

Other income

     1       2       227       2,653  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total investment income

     1,288       5,220       4,030       14,118  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Selling commission

     30,945       49,673       133,060       151,821  

Management fee

     14,312       22,973       61,541       70,216  

Operating expenses

     1,160       1,863       4,989       5,694  

Other

     —         2,973       546       10,806  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     46,417       77,482       200,136       238,537  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment loss

   $ (45,129   $ (72,262   $ (196,106   $ (224,419
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investments

        

Net realized gain (loss) on:

        

Futures and forward contracts

   $ 18,395     $ 160,611     $ (207,597   $ 723,554  

Investments in securities

     —         —         1,110       —    

Net change in unrealized appreciation (depreciation) on:

        

Futures and forward contracts

     (3,555     233,916       (105,437     59,993  

Investments in securities

     —         —         —         —    

Brokerage commissions

     (16,055     (17,999     (74,307     (70,123
  

 

 

   

 

 

   

 

 

   

 

 

 

Net gain (loss) on investments

   $ (1,215   $ 376,528     $ (386,231   $ 713,424  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets from operations

   $ (46,344   $ 304,266     $ (582,337   $ 489,005  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets from operations per unit (based upon weighted average number of units outstanding during period)*

     (12.30     71.23       (153.07     109.25  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets from operations per unit (based upon change in the net asset value per unit during period)

     (12.25     70.05       (152.89     107.81  
  

 

 

   

 

 

   

 

 

   

 

 

 

 

*

Weighted average number of Units outstanding for Series B for the Two months Ended August 31, 2018 and Three months ended September 30, 2017: 3,768.26 and 4,271.66, respectively; and for the Eight months Ended August 31,2018 and Nine months ended September 30, 2017: 3,804.34 and 4,475.83, respectively.

See accompanying notes to financial statements.

 

24


Table of Contents

SUPERFUND GREEN, L.P. - SERIES B

UNAUDITED STATEMENTS OF CHANGES IN NET ASSETS

 

     Period from
January 1,
2018 through

August 31,
2018
    Nine Months
Ended

September 30,
2017
 

Increase (decrease) in net assets from operations

    

Net investment income (loss)

   $ (196,106   $ (224,419

Net realized gain (loss) on futures and forward contracts and investments in securities

     (206,487     723,554  

Net change in unrealized appreciation (depreciation) on futures and forward contracts

     (105,437     59,993  

Brokerage commissions

     (74,307     (70,123
  

 

 

   

 

 

 

Net increase (decrease) in net assets from operations

     (582,337     489,005  

Capital share transactions

    

Issuance of Units

     128,214       141,706  

Redemption of Units

     (576,254     (932,539
  

 

 

   

 

 

 

Net decrease in net assets from capital share transactions

     (448,040     (790,833

Net decrease in net assets

     (1,030,377     (301,828

Net assets, beginning of period

     5,433,564       5,127,174  
  

 

 

   

 

 

 

Net assets, end of period

   $ 4,403,187     $ 4,825,346  
  

 

 

   

 

 

 

Units beginning of period

     3,995.325       4,887.522  

Issuance of units

     97.838       129.531  

Redemption of units

     (445.392     (845.851
  

 

 

   

 

 

 

Units end of period

     3,647.771       4,171.202  
  

 

 

   

 

 

 

See accompanying notes to financial statements

 

25


Table of Contents

SUPERFUND GREEN, L.P. - SERIES B

UNAUDITED STATEMENT OF CHANGES IN NET ASSETS

 

     Period from September
1, 2018 through
September 30, 2018
 

Increase (decrease) in net assets from operations

  

Net investment income loss

   $ (20,267

Net realized gain (loss) on futures and forward contracts

     (203,690

Net change in unrealized appreciation (depreciation) on futures and forward contracts

     (12,159

Brokerage commissions

     (10,832
  

 

 

 

Net decrease in net assets from operations

     (246,948

Capital share transactions

  

Issuance of Units

     14,070  

Redemption of Units

     (1,206,245
  

 

 

 

Net decrease in net assets from capital share transactions

     (1,192,175
  

 

 

 

Net decrease in net assets in liquidation

     (1,439,123
  

 

 

 

Net assets in liquidation, beginning of period

     4,403,187  
  

 

 

 

Net assets in liquidation, end of period

   $ 2,964,064  
  

 

 

 

Units, beginning of period

     3,647.771  

Issuance of Units

     11.657  

Redemption of Units

     (1,058.469
  

 

 

 

Units, end of period

     2,600.959  
  

 

 

 

See accompanying notes to financial statements.

 

26


Table of Contents

SUPERFUND GREEN, L.P. - SERIES B

UNAUDITED STATEMENTS OF CASH FLOWS

 

     Period from
January 1, 2018
through August
31, 2018
    Nine Months
Ended September
30, 2017
 

Cash flows from operating activities

    

Net increase (decrease) in net assets from operations

   $ (582,337   $ 489,005  

Adjustments to reconcile net increase (decrease) in net assets from operations to net cash provided by (used in) operating activities:

    

Changes in operating assets and liabilities:

    

Decrease in due from brokers

     207,298       64,055  

Increase in unrealized appreciation on open forward contracts

     —         20,683  

Increase (decrease) in futures contracts purchased

     190,735       (48,334

Decrease in unrealized depreciation on open forward contracts

     —         (24,520

Decrease in futures contracts sold

     (85,299     (7,821

Decrease in management fee payable

     (1,567     (426

Decrease in fees payable

     (1,184     (1,471
  

 

 

   

 

 

 

Net cash and cash equivalents provided by (used in) operating activities

     (272,354     491,171  
  

 

 

   

 

 

 

Cash flows from financing activities

    

Subscriptions

     128,214       141,706  

Redemptions, net of change in redemptions payable

     (557,069     (905,054
  

 

 

   

 

 

 

Net cash and cash equivalents used in financing activities

     (428,855     (763,348
  

 

 

   

 

 

 

Net decrease in cash equivalents

     (701,209     (272,177

Cash and cash equivalents, beginning of period

     3,501,476       2,119,757  
  

 

 

   

 

 

 

Cash and cash equivalents, end of period

   $ 2,800,267     $ 1,847,580  
  

 

 

   

 

 

 

Supplemental disclosure of non-cash financing activities

   $ 158,880     $ 57,382  
  

 

 

   

 

 

 

Redemption payable

See accompanying notes to financial statements.

 

27


Table of Contents

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

NOTES TO FINANCIAL STATEMENTS

September 30, 2018

1. Nature of operations

Organization and Business

Superfund Green, L.P. (the “Fund”), a Delaware limited partnership, commenced operations on November 5, 2002. The Fund was organized to trade speculatively in the United States (“U.S.”) and international commodity futures and forward markets using a fully-automated computerized trading system. The Fund has issued two classes of units (“Units”), Series A and Series B (each, a “Series”). The two Series are traded and managed the same way except for the degree of leverage.

The terms of Series A and Series B each shall continue until December 31, 2050, unless the applicable Series is terminated earlier by the Fund’s general partner, Superfund Capital Management, Inc. (“Superfund Capital Management”) or by operation of law or a decline in the aggregate net assets of such Series to less than $500,000.

On August 28, 2018, the liquidation determination date, Superfund Capital Management Inc. (General Partner), announced that Superfund Green L.P. will be closed effective December 31, 2018, the liquidation date. The decision was made due to the decline in aggregated assets under management (AUM) which resulted in the General Partner absorbing some of the Funds expenses. All investors were encouraged to redeem their investments from the Fund prior to November 26, 2018. After the liquidation determination date it became eminent for the Fund to adopt the liquidation basis of accounting, whereby assets are measured at the estimated amount of cash or other consideration that the Fund expects to collect in settling or disposing of those assets. Liabilities are measured at their estimated settlement amounts including costs the Fund expects to incur through the end of its liquidation. These estimated amounts are undiscounted and are recorded to the extent the Fund has a reasonable basis for estimation.

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, 2017.

As a result of the liquidation plan by the General Partner, the Fund adopted the liquidation basis of accounting as of September 1, 2018 and for subsequent periods in accordance with U.S. GAAP. The Fund measures its investments at the liquidation value that it would expect to receive upon sale of assets or settlement of liabilities. In determining the liquidation value of investments, the Fund, in consultation with the Investment Manager, has determined that fair value under the accounting guidance for fair value measurement under U.S. GAAP best approximates the amounts at September 30, 2018 that the Fund expects to collect on its investments. Any reference hereinafter to fair value is synonymous with liquidation value. The methods and assumptions are therefore the same that would be used to establish the fair value of the investments. As a result of the change to liquidation basis of accounting the Fund no longer presents a statement of operations or cash flows. These statements are only presented for periods prior to the adoption of liquidation basis of accounting.

 

28


Table of Contents

Valuation of Investments in Futures Contracts, Forward Contracts, and U.S. Treasury Bills

All commodity interests (including derivative financial instruments and derivative commodity instruments) are used for trading purposes. The commodity interests are recorded on a trade date basis and open contracts are recorded in the statements of assets and liabilities at fair value on the last business day of the period, which represents market value for those commodity interests for which market quotes are readily available.

Exchange-traded futures contracts are valued at settlement prices published by the recognized exchange. Any spot and forward foreign currency contracts held by the Fund will be valued at published settlement prices from the recognized exchange. The Fund uses the fair value method for valuing its U.S. Treasury Bills; this portfolio is classified within Level 2 of the fair value hierarchy. We use quoted prices from active markets in valuing the U.S. Treasury Bills.

Cash Translation of Foreign Currency

The Fund maintains cash deposits with financial institutions in amounts that are in excess of the coverage limits adopted by the Federal Deposit Insurance Corporation. The Fund does not however, believe it is exposed to significant credit risk on these holdings.

Cash equivalents include short term highly liquid investments of sufficient credit quality such as treasury bills that are readily convertible to known amounts of cash and have original maturities of three months or less.

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

Investment Transactions, Investment Income and Expenses

Investment transactions are accounted for on a trade-date basis. Interest income and expenses are recognized on the accrual basis. Operating expenses of the Fund are allocated to each Series in proportion to the net asset value of the Series at the beginning of each month. Expenses directly attributable to a particular Series are charged directly to that Series.

Gains or losses are realized when contracts are liquidated. Unrealized gains and losses on open contracts (the difference between contract trade price and market price) are reported in the statement of assets and liabilities as gross unrealized gain or loss, and any change in that amount from the prior period is reflected in the accompanying statement of operations. There exists a right of offset of unrealized gains or losses in accordance with Financial Accounting Standards Board (“FASB”) Accounting 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 December 31, 2017 the Fund had on deposit $1,519,455 at ADM Investor Services, Inc., 7,835 at Merrill Lynch, Pierce, Fenner & Smith Inc., and $1,618,597 at INTL FC Stone International inc. As of December 31, 2017, Series A had on deposit $617,702 at ADM Investor Services, Inc., $3,238 at Merrill Lynch, Pierce, Fenner & Smith Inc. and $603,815 at INTL FC Stone International Inc. As of December 31, 2017, Series B had on deposit $901,753 at ADM Investor Services, Inc., $4,597 at Merrill Lynch, Pierce, Fenner & Smith Inc. and $1,014,782 at INTL FC Stone International Inc. As of September 30, 2018, the Fund had on deposit $1,249,369 at ADM Investor Services, Inc. and $1,017,326 at INTL FC Stone Financial Inc. As of September 30, 2018, Series A had on deposit $388,984 at ADM Investor Services, Inc. and $235,506 at INTL FC Stone Financial Inc. As of September 30, 2018, Series B had on deposit $860,385 at ADM Investor Services, Inc. and $781,820 at INTL FC Stone Financial Inc.

 

29


Table of Contents

Income Taxes

The Fund does not record a provision for U.S. income taxes because the partners report their share of the Fund’s income or loss on their returns. The financial statements reflect the Fund’s transactions without adjustment, if any, required for income tax purposes.

Superfund Capital Management has evaluated the application of ASC Topic 740, Income Taxes (“ASC 740”), to the Fund, to determine whether or not there are uncertain tax positions that require financial statement recognition. Based on this evaluation, Superfund Capital Management has determined no reserves for uncertain tax positions are required to be recorded as a result of the application of ASC 740. Superfund Capital Management is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. As a result, no income tax liability or expense has been recorded in the accompanying financial statements. The Fund files federal and various state tax returns. The 2014 through 2017 tax years generally remain subject to examination by the U.S. federal and most state tax authorities.

Use of Estimates

The preparation of financial statements in conformity with U.S. GAAP requires Superfund Capital Management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Recently Issued Accounting Pronouncements

ASU 2016-01

In January 2016, FASB issued Accounting Standard Update No. 2016-01, Financial Instruments – Overall (Subtopic 825-10) Recognition and Measurement of Financial Assets and Liabilities (“ASU 2016-01”). The amendments in ASU 2016-01 affect any entity that holds financial assets or owes financial liabilities. The guidance is effective for fiscal years beginning after December 15, 2017. The Fund adopted ASU 2016-01 as of January 1, 2018, and the adoption did not have a material impact on its financial statements.

3. Fair Value Measurements

The Fund follows ASC 820, Fair Value Measurements and Disclosures, which establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The three levels of the fair value hierarchy under ASC 820 are described below:

 

Level 1:    Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
Level 2:    Quoted prices in markets that are not considered to be active or financial instruments for which all significant inputs are observable, either directly or indirectly;
Level 3:    Prices or valuations that require inputs that are both significant to the fair value measurement and unobservable.

A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input that is significant to the fair value measurement. In determining fair value, the Fund separates its financial instruments into two categories: U.S. government securities and derivative contracts.

U.S. Government Securities. The Fund’s only market exposure in instruments held other than for trading is in its U.S. Treasury Bill portfolio. The Fund uses the fair value method for valuing its U.S. Treasury Bills; this portfolio is classified within Level 2 of the fair value hierarchy. We use quoted prices from active markets in valuing the U.S. Treasury Bills.

 

30


Table of Contents

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. The Fund’s forward and swap positions are typically classified within Level 2 of the fair value hierarchy.

Certain OTC derivatives trade in less liquid markets with limited pricing information, and the determination of fair value for these derivatives is inherently more difficult. Such instruments are classified within Level 3 of the fair value hierarchy. Where the Fund does not have corroborating market evidence to support significant model inputs and cannot verify the model to market transactions, transaction price is initially used as the best estimate of fair value. Accordingly, when a pricing model is used to value such an instrument, the model is adjusted so that the model value at inception equals the transaction price. The valuations of these less liquid OTC derivatives are typically based on Level 1 and/or Level 2 inputs that can be observed in the market, as well as unobservable Level 3 inputs. Level 3 inputs are changed only when corroborated by evidence such as similar market transactions, third-party pricing services and/or broker or dealer quotations, or other empirical market data. In circumstances in which the Fund cannot verify the model value to market transactions, it is possible that a different valuation model could produce a materially different estimate of fair value. The Fund attempts to avoid holding less liquid OTC derivatives. However, once held, the market for any particular derivative contract could become less liquid during the holding period. There was no Level 3 holdings at September 30, 2018 and December 31, 2017 or during the periods then ended.

The following table summarizes the valuation of the Fund’s assets and liabilities by the ASC 820 fair value hierarchy as of September 30, 2018 and December 31, 2017:

Superfund Green, L.P.

 

     Balance
September 30,
2018
     Level 1      Level 2      Level 3  

ASSETS

           

Futures contracts sold

   $  148,307      $  148,307      $  —        $  —    

Futures contracts purchased

     155,226        155,226        —          —    
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Assets Measured at Fair Value

   $ 303,533      $ 303,533      $ —        $ —    
  

 

 

    

 

 

    

 

 

    

 

 

 

LIABILITIES

           

Futures contracts sold

   $ 117,943      $ 117,943      $ —        $ —    

Futures contracts purchased

     155,493        155,493        —          —    
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Liabilities Measured at Fair Value

   $ 273,436      $ 273,436      $ —        $ —    
  

 

 

    

 

 

    

 

 

    

 

 

 

 

31


Table of Contents
     Balance
December 31,
2017
     Level 1      Level 2      Level 3  

ASSETS

           

Futures contracts sold

   $  111,436      $  111,436      $  —        $ —    

Futures contracts purchased

     304,814        304,814        —          —    
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Assets Measured at Fair Value

   $ 416,250      $ 416,250      $ —        $ —    
  

 

 

    

 

 

    

 

 

    

 

 

 

LIABILITIES

           

Futures contracts sold

   $ 99,629      $ 99,629      $ —        $ —    

Futures contracts purchased

     103,106        103,106        —          —    
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Liabilities Measured at Fair Value

   $ 202,735      $ 202,735      $ —        $ —    
  

 

 

    

 

 

    

 

 

    

 

 

 

Superfund Green, L.P. - Series A

 

     Balance
September 30,
2018
     Level 1      Level 2      Level 3  

ASSETS

           

Futures contracts sold

   $  29,737      $  29,737      $  —        $ —    

Futures contracts purchased

     7,927        7,927        —          —    
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Assets Measured at Fair Value

   $ 37,664      $ 37,664      $ —        $ —    
  

 

 

    

 

 

    

 

 

    

 

 

 

LIABILITIES

           

Futures contracts sold

   $ 22,810      $ 22,810      $ —        $  —    

Futures contracts purchased

     28,352        28,352        —          —    
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Liabilities Measured at Fair Value

   $ 51,162      $ 51,162      $ —        $ —    
  

 

 

    

 

 

    

 

 

    

 

 

 
     Balance
December 31,
2017
     Level 1      Level 2      Level 3  

ASSETS

           

Futures contracts sold

   $ 28,065      $ 28,065      $  —        $  —    

Futures contracts purchased

     79,285        79,285        —          —    
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Assets Measured at Fair Value

   $ 107,350      $ 107,350      $ —        $ —    
  

 

 

    

 

 

    

 

 

    

 

 

 

LIABILITIES

           

Futures contracts sold

   $ 29,848      $ 29,848      $ —        $ —    

Futures contracts purchased

     25,178        25,178        —          —    
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Liabilities Measured at Fair Value

   $ 55,026      $ 55,026      $ —        $ —    
  

 

 

    

 

 

    

 

 

    

 

 

 

 

32


Table of Contents

Superfund Green, L.P. - Series B

 

     Balance
September 30,
2018
     Level 1      Level 2      Level 3  

ASSETS

           

Futures contracts sold

   $  118,570      $  118,570      $  —        $  —    

Futures contracts purchased

     147,299        147,299        —          —    
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Assets Measured at Fair Value

   $ 265,869      $ 265,869      $ —        $ —    
  

 

 

    

 

 

    

 

 

    

 

 

 

LIABILITIES

           

Futures contracts sold

   $ 95,133      $ 95,133      $ —        $ —    

Futures contracts purchased

     127,141        127,141        —          —    
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Liabilities Measured at Fair Value

   $ 222,274      $ 222,274      $ —        $ —    
  

 

 

    

 

 

    

 

 

    

 

 

 
     Balance
December 31,
2017
     Level 1      Level 2      Level 3  

ASSETS

           

Futures contracts sold

   $ 83,371      $ 83,371      $ —        $ —    

Futures contracts purchased

     225,529        225,529        —          —    
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Assets Measured at Fair Value

   $ 308,900      $ 308,900      $ —        $ —    
  

 

 

    

 

 

    

 

 

    

 

 

 

LIABILITIES

           

Futures contracts sold

   $ 69,781      $ 69,781      $ —        $ —    

Futures contracts purchased

     77,928        77,928        —          —    
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Liabilities Measured at Fair Value

   $ 147,709      $ 147,709      $ —        $ —    
  

 

 

    

 

 

    

 

 

    

 

 

 

4. Disclosure of derivative instruments and hedging activities

The Fund follows ASC 815, Disclosures about Derivative Instruments and Hedging Activities (“ASC 815”). ASC 815 is intended to improve financial reporting for derivative instruments by requiring enhanced disclosure that enables investors to understand how and why an entity uses derivatives, how derivatives are accounted for, and how derivative instruments affect an entity’s results of operations and financial position.

Derivative instruments held by the Fund do not qualify as derivative instruments held as hedging instruments, as defined in ASC 815. Instead, the Fund includes derivative instruments in its trading activity. Per the requirements of ASC 815, the Fund discloses the gains and losses on its trading activities for both derivative and non derivative instruments in the Statements of Operations.

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 derivative instruments as either assets or liabilities at fair value in the statement of financial position. Investments in commodity futures contracts are recorded in the statements of assets and liabilities as unrealized appreciation or depreciation on futures contracts purchased and futures contracts sold. Since the derivatives held or sold by the Fund are for speculative trading purposes, the derivative instruments are not designated as hedging instruments under the provisions of ASC 815. Accordingly, all realized gains and losses, as well as any change in net unrealized gains or losses on open positions from the preceding period, are recognized as part of the Fund’s realized and change in unrealized gain (loss) on investments in the Statements of Operations.

Information concerning the fair value of the Fund’s derivatives held long or sold short, as well as information related to the annual average volume of the Fund’s derivative activity, is as follows:

 

33


Table of Contents

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 in liquidation, as of September 30, 2018, is as follows:

 

Type of Instrument

  

Statement of Assets and

Liabilities Location

   Asset Derivatives at
September 30, 2018
     Liability Derivatives
at September 30, 2018
     Net  

Futures contracts

   Futures contracts purchased    $  155,226      $  (155,493    $ (267

Futures contracts

   Futures contracts sold      148,307        (117,943      30,364  
     

 

 

    

 

 

    

 

 

 

Totals

      $ 303,533      $  (273,436    $  30,097  
     

 

 

    

 

 

    

 

 

 

The fair value of the Fund’s derivatives by instrument type, as well as the location of those instruments on the Statement of Assets and Liabilities, as of December 31, 2017, is as follows:

 

Type of Instrument

  

Statement of Assets and

Liabilities Location

   Asset Derivatives at
December 31, 2017
     Liability Derivatives
at December 31, 2017
     Net  

Futures contracts

   Futures contracts purchased    $  304,814      $  (103,106    $  201,708  

Futures contracts

   Futures contracts sold      111,436        (99,629      11,807  
     

 

 

    

 

 

    

 

 

 

Totals

      $ 416,250      $ (202,735    $ 213,515  
     

 

 

    

 

 

    

 

 

 

The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of September 30, 2018 is as follows:

 

            Gross Amounts Not Offset in the Statement of
Assets and Liabilities
 

Counterparty

   Net Amount of Assets in
the Statement of Assets
and Liabilities
     Financial Instruments
Pledged
     Cash Collateral
Received
     Net Amount  

ADMIS

   $ 56,073      $ —        $ —        $ 56,073  

INTL FCStone

     (25,976      —          —          (25,976
  

 

 

    

 

 

    

 

 

    

 

 

 

Totals

   $ 30,097      $ —        $ —        $ 30,097  
  

 

 

    

 

 

    

 

 

    

 

 

 

The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of December 31, 2017 is as follows:

 

            Gross Amounts Not Offset in the Statement of
Assets and Liabilities
 

Counterparty

   Net Amount of Assets in
the Statement of Assets
and Liabilities
     Financial Instruments
Pledged
     Cash Collateral
Received
     Net Amount  

ADMIS

   $ 98,331      $ —        $ —        $ 98,331  

INTL FCStone

     115,184        —          —          115,184  
  

 

 

    

 

 

    

 

 

    

 

 

 

Totals

   $ 213,515      $ —        $ —        $ 213,515  
  

 

 

    

 

 

    

 

 

    

 

 

 

 

34


Table of Contents

Effects of Derivative Instruments on the Statement of Operations for the two months ended August 31, 2018:

 

Derivatives not

Designated as Hedging

Instruments under ASC

815

  

Location of Gain (Loss) on

Derivatives Recognized in

Income

   Net Realized Gain (Loss)
on Derivatives Recognized
in Income
     Net Change in
Unrealized Depreciation
on Derivatives
Recognized in Income
 

Foreign exchange contracts

   Realized and change in unrealized gain (loss) on futures and forward contracts    $  (10,042    $ —    

Futures contracts

   Realized and change in unrealized loss on futures and forward contracts      38,323        (23,374
     

 

 

    

 

 

 

Total

      $  28,281      $  (23,374
     

 

 

    

 

 

 

Effects of Derivative Instruments on the Statement of Operations for the eight months ended August 31, 2018:

 

Derivatives not

Designated as Hedging

Instruments under ASC

815

  

Location of Gain (Loss) on
Derivatives Recognized in

Income

   Net Realized Gain (Loss)
on Derivatives Recognized
in Income
     Net Change in
Unrealized Depreciation
on Derivatives
Recognized in Income
 

Foreign exchange contracts

   Realized and change in unrealized loss on futures and forward contracts    $  (36,470    $ —    

Futures contracts

   Realized and change in unrealized gain (loss) on futures and forward contracts      (206,904      (156,001
     

 

 

    

 

 

 

Total

      $  (243,374    $  (156,001
     

 

 

    

 

 

 

Effects of Derivative Instruments on the Statement of Operations for the three months ended September 30, 2017:

 

Derivatives not

Designated as Hedging

Instruments under ASC

815

  

Location of Gain (Loss) on

Derivatives Recognized in

Income

   Net Realized Gain (Loss)
on Derivatives Recognized
in Income
     Net Change in
Unrealized Depreciation
on Derivatives
Recognized in Income
 

Foreign exchange contracts

   Realized and change in unrealized gain (loss) on futures and forward contracts    $  (13,560    $ 5,313  

Futures contracts

   Realized and change in unrealized loss on futures and forward contracts      194,487        325,413  
     

 

 

    

 

 

 

Total

      $ 180,927      $ 330,726  
     

 

 

    

 

 

 

 

35


Table of Contents

Effects of Derivative Instruments on the Statement of Operations for the Nine months ended September 30, 2017:

 

Derivatives not

Designated as Hedging

Instruments under ASC

815

  

Location of Gain (Loss)

on Derivatives Recognized

in Income

   Net Realized Gain (Loss)
on Derivatives Recognized
in Income
     Net Change in
Unrealized Depreciation

on Derivatives
Recognized in Income
 

Foreign exchange contracts

   Realized and change in unrealized loss on futures and forward contracts    $  (13,756    $ 8,619  

Futures contracts

   Realized and change in unrealized gain (loss) on futures and forward contracts      1,010,380        60,675  
     

 

 

    

 

 

 

Total

      $ 996,624      $  69,294  
     

 

 

    

 

 

 

Superfund Green, L.P. gross and net unrealized gains and losses by long and short positions as of September 30, 2018 and December 31, 2017:

 

     As of September 30, 2018  
     Long Positions Gross Unrealized     Short Positions Gross Unrealized        
     Gains      % of
Net
Assets
     Losses     % of
Net
Assets
    Gains      % of
Net
Assets
    Losses     % of
Net
Assets
    Net Unrealized
Gains (Losses) on
Open Positions
 

Currency

   $ 11,305        0.3      $ (2,700     (0.1   $ 38,475        0.9     $  (16,215)       (0.4   $ 30,865  

Energy

     47,084        1.1        —         —         —          —         (38,278     (0.9     8,806  

Financial

     4,611        0.1        (62,840     (1.4     38,219        0.9       (5,100     (0.1     (25,110

Food & fiber

     5,009        0.1        (44,294     (1.0     38,028        0.9       (17,338     (0.4     (18,595

Indices

     78,399        1.8        (27,593     (0.6     4,380        0.1       (10,533     (0.2     44,653  

Livestock

     2,850        0.1        —         —         75        0.0     (7,188     (0.2     (4,263

Metals

     5,968        0.1        (18,066     (0.4     29,130        0.7       (23,291     (0.5     (6,259
  

 

 

    

 

 

    

 

 

   

 

 

   

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Totals

   $  155,226        3.6      $  (155,493     (3.5   $  148,307        3.5     $  (117,943)       (2.7   $ 30,097  
  

 

 

    

 

 

    

 

 

   

 

 

   

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

 

*

Due to rounding – amount is less than 0.05%

 

     As of December 31, 2017  
     Long Positions Gross Unrealized     Short Positions Gross Unrealized        
     Gains      % of
Net
Assets
    Losses     % of
Net
Assets
    Gains      % of
Net
Assets
    Losses     % of
Net
Assets
    Net Unrealized
Gain (Loss) on
Open Positions
 

Currency

   $ 51,395        0.6     $ —         —       $ 18,884        0.2     $ (5,224)       (0.1   $ 65,055  

Financial

     5,595        0.1       (62,302     (0.7     29,936        0.3       (4,437     (0.1     (31,208

Food & Fiber

     713        0.0     (16,279     (0.2     36,826        0.4       (37,642     (0.4     (16,382

Indices

     102,526        1.2       (24,527     (0.3     23,260        0.3       (5,075     (0.1     96,184  

Metals

     77,460        0.9       —         —         463        0.0     (8,281     (0.1     69,642  

Livestock

     —          —         —         —         340        0.0     —         —         340  

Energy

     67,127        0.8       —         —         1,730        0.0     (38,973     (0.4     29,884  
  

 

 

    

 

 

   

 

 

   

 

 

   

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Totals

   $  304,816        3.5     $  (103,108)       (1.2   $  111,439        1.3     $  (99,632)       (1.2   $  213,515  
  

 

 

    

 

 

   

 

 

   

 

 

   

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

 

*

Due to rounding – amount is less than 0.05%

 

36


Table of Contents

Superfund Green L.P. monthly contract volume: For the two months ended August 31, 2018, the monthly average futures and forward contracts bought were 908 and the monthly average futures and forward contracts sold were 936. For the eight months ended August 31, 2018, the monthly average futures and forward contracts bought were 1,291 and the monthly average futures and forward contracts sold were 866. For the three months ended September 30, 2017, the monthly average futures contracts bought was 1,209 and the monthly average futures contracts sold was 259. For the nine months ended September 30, 2017 the monthly average futures contracts bought was 1,534 and the monthly average futures and forward contracts sold were 442.

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

 

     For the Two Months Ended August 31, 2018  
     Net Realized
Gains (Losses)
     Change in Net
Unrealized
Gains (Losses)
     Net Trading
Gains (Losses)
 

Foreign Exchange

   $  (10,042    $ —        $  (10,042

Currency

     (6,575      (7,893      (14,468

Energy

     (19,183      (40,553      (59,736

Financial

     9,702        (29,706      (20,004

Food & Fiber

     9,200        39,298        48,498  

Indices

     (16,970      74,256        57,286  

Livestock

     (17,730      6,047        (11,683

Metals

     79,879        (64,823      15,056  
  

 

 

    

 

 

    

 

 

 

Total net trading gains

   $ 28,281      $  (23,374    $ 4,907  
  

 

 

    

 

 

    

 

 

 

 

     For the Eight Months Ended August 31, 2018  
     Net Realized
Gains (Losses)
     Change in Net
Unrealized
Gains (Losses)
     Net Trading
Gains (Losses)
 

Foreign Exchange

   $  (36,470    $ —        $  (36,470

Currency

     (84,681      (55,331      (140,012

Energy

     (16,903      (42,574      (59,477

Financial

     367,378        67,025        434,403  

Food & Fiber

     (291,422      44,664        (246,758

Indices

     (203,183      (79,461      (282,644

Livestock

     1,000        (2,315      (1,315

Metals

     20,907        (88,009      (67,102
  

 

 

    

 

 

    

 

 

 

Total net trading losses

   $  (243,374    $  (156,001    $  (399,375
  

 

 

    

 

 

    

 

 

 

 

     For the Three Months Ended September 30, 2017  
     Net Realized
Gains (Losses)
     Change in Net
Unrealized
Gains (Losses)
     Net Trading
Gains (Losses)
 

Foreign Exchange

   $  (13,560    $ 5,313      $ (8,247

Currency

     118,747        (50,341      68,406  

Energy

     42,851        80,072        122,923  

Financial

     (18,462      97,338        78,876  

Food & Fiber

     (20,038      20,394        356  

Indices

     49,370        189,166        238,536  

Livestock

     (37,820      (2,930      (40,750

Metals

     59,839        (8,286      51,553  
  

 

 

    

 

 

    

 

 

 

Total net trading gains

   $ 180,927      $  330,726      $  511,653  
  

 

 

    

 

 

    

 

 

 

 

37


Table of Contents
     For the Nine Months Ended September 30, 2017  
     Net Realized
Gains (Losses)
     Change in Net
Unrealized
Gains (Losses)
     Net Trading
Gains (Losses)
 

Foreign Exchange

   $ (13,756    $ 8,619      $ (5,137

Currency

     (70,930      10,925        (60,005

Financial

     (2,639      (76,213      (78,852

Food & Fiber

     (51,799      (523      (52,322

Indices

     1,469,637        76,671        1,546,308  

Metals

     (16,160      (19,155      (35,315

Livestock

     (53,000      45,800        (7,200

Energy

     (264,729      23,170        (241,559
  

 

 

    

 

 

    

 

 

 

Total net trading losses

   $ 996,624      $ 69,294      $ 1,065,918  
  

 

 

    

 

 

    

 

 

 

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 in liquidation, as of September 30, 2018, is as follows:

 

Type of Instrument

   Statement of Assets and
Liabilities Location
     Asset Derivatives at
September 30, 2018
     Liability Derivatives at
September 30, 2018
     Net  

Futures contracts

     Futures contracts purchased      $ 7,927      $ (28,352    $ (20,425

Futures contracts

     Futures contracts sold        29,737        (22,810      6,927  
     

 

 

    

 

 

    

 

 

 

Totals

      $ 37,664      $ (51,162    $ (13,498
     

 

 

    

 

 

    

 

 

 

The fair value of the Fund’s derivatives by instrument type, as well as the location of those instruments on the Statement of Assets and Liabilities, as of December 31, 2017, is as follows:

 

Type of Instrument

   Statement of Assets and
Liabilities Location
     Asset Derivatives at
December 31, 2017
     Liability Derivatives at
December 31, 2017
     Net  

Futures contracts

     Futures contracts purchased      $ 79,285      $ (25,178    $ 54,107  

Futures contracts

     Futures contracts sold        28,065        (29,848      (1,783
     

 

 

    

 

 

    

 

 

 

Totals

      $ 107,350      $ (55,026    $ 52,324  
     

 

 

    

 

 

    

 

 

 

The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of September 30, 2018 is as follows:

 

            Gross Amounts Not Offset in the Statement of
Assets and Liabilities
        

Counterparty

   Net Amount of Assets in
the Statement of Assets
and Liabilities
     Financial Instruments
Pledged
     Cash Collateral
Received
     Net Amount  

ADMIS

   $ (330    $ —      $ —      $ (330

INTL FCStone

     (13,168      —          —          (13,168
  

 

 

    

 

 

    

 

 

    

 

 

 

Totals

   $ (13,498    $ —      $ —      $ (13,498
  

 

 

    

 

 

    

 

 

    

 

 

 

 

38


Table of Contents

The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of December 31, 2017 is as follows:

 

            Gross Amounts Not Offset in the Statement of
Assets and Liabilities
        

Counterparty

   Net Amount of Assets in
the Statement of Assets
and Liabilities
     Financial Instruments
Pledged
     Cash Collateral
Received
     Net Amount  

ADMIS

   $ 19,389      $ —      $ —      $ 19,389  

INTL FCStone

     32,935        —          —          32,935  
  

 

 

    

 

 

    

 

 

    

 

 

 

Totals

   $ 52,324      $ —      $ —      $ 52,324  
  

 

 

    

 

 

    

 

 

    

 

 

 

Effects of Derivative Instruments on the Statement of Operations for the two months ended August 31, 2018:

 

Derivatives not

Designated as Hedging

Instruments under ASC

815

  

Location of Gain (Loss) on
Derivatives Recognized in
Income

   Net Realized Gain (Loss)
on Derivatives Recognized
in Income
     Net Change in
Unrealized Appreciation
(Depreciation) on
Derivatives Recognized
in Income
 

Foreign exchange contracts

   Realized and change in unrealized gain (loss) on futures and forward contracts    $ (2,572    $ —  

Futures contracts

   Realized and change in unrealized gain (loss) on futures and forward contracts      12,458        (19,819
     

 

 

    

 

 

 

Total

      $ 9,886      $ (19,819
     

 

 

    

 

 

 

Effects of Derivative Instruments on the Statement of Operations for the eight months ended August 31, 2018:

 

Derivatives not

Designated as Hedging

Instruments under ASC

815

  

Location of Gain (Loss) on
Derivatives Recognized in
Income

   Net Realized Gain (Loss)
on Derivatives Recognized
in Income
     Net Change in
Unrealized Depreciation
on Derivatives
Recognized in Income
 

Foreign exchange contracts

   Realized and change in unrealized gain (loss) on futures and forward contracts    $ (9,325    $ —    

Futures contracts

   Realized and change in unrealized gain (loss) on futures and forward contracts      (26,452      (50,564
     

 

 

    

 

 

 

Total

      $ (35,777    $ (50,564
     

 

 

    

 

 

 

 

39


Table of Contents

Effects of Derivative Instruments on the Statement of Operations for the three months ended September 30, 2017:

 

Derivatives not

Designated as Hedging

Instruments under ASC

815

  

Location of Gain (Loss) on
Derivatives Recognized in
Income

   Net Realized Gain (Loss)
on Derivatives Recognized
in Income
     Net Change in
Unrealized Appreciation
(Depreciation) on
Derivatives Recognized
in Income
 

Foreign exchange contracts

   Realized and change in unrealized gain (loss) on futures and forward contracts    $ (5,288    $ 1,762  

Futures contracts

   Realized and change in unrealized gain (loss) on futures and forward contracts      25,604        95,048  
     

 

 

    

 

 

 

Total

      $ 20,316      $ 96,810  
     

 

 

    

 

 

 

Effects of Derivative Instruments on the Statement of Operations for the nine months ended September 30, 2017:

 

Derivatives not

Designated as Hedging

Instruments under ASC

815

  

Location of Gain (Loss) on
Derivatives Recognized in

Income

   Net Realized Gain (Loss)
on Derivatives Recognized

in Income
     Net Change in
Unrealized Depreciation

on Derivatives
Recognized in Income
 

Foreign exchange contracts

   Realized and change in unrealized gain (loss) on futures and forward contracts    $ (2,778    $ 4,781  

Futures contracts

   Realized and change in unrealized gain ( loss) on futures and forward contracts      275,848        4,520  
     

 

 

    

 

 

 

Total

      $ 273,070      $ 9,301  
     

 

 

    

 

 

 

Superfund Green, L.P. – Series A gross and net unrealized gains and losses by long and short positions as of September 30, 2018 and December 31, 2017:

 

     As of September 30, 2018  
     Long Positions Gross Unrealized     Short Positions Gross Unrealized        
     Gains      % of
Net
Assets
    Losses     % of
Net
Assets
    Gains      % of
Net
Assets
    Losses     % of
Net
Assets
    Net Unrealized
Gains (Losses) on
Open Positions
 

Currency

   $ 3,300        0.2     $ —         —       $ 9,900        0.7     $ (3,721     (0.3   $ 9,479  

Energy

     —          —         —         —         —          —         (7,322     (0.5     (7,322

Financial

     469        0.0     (11,780     (0.8     9,469        0.6       (1,251     (0.1     (3,093

Food & Fiber

     587        0.0     (9,004     (0.6     8,310        0.6       (4,419     (0.3     (4,526

Indices

     3,571        0.2       (4,843     (0.3     455        0.0     (1,577     (0.1     (2,394

Livestock

     —          —         —         —         75        0.0     (1,440     (0.1     (1,365

Metal

     —          —         (2,725     (0.2     1,528        0.1       (3,080     (0.2     (4,277
  

 

 

    

 

 

   

 

 

   

 

 

   

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Totals

   $ 7,927        0.4     $ (28,352     (1.9   $ 29,737        2.0     $ (22,810     (1.6   $ (13,498
  

 

 

    

 

 

   

 

 

   

 

 

   

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

 

*

Due to rounding – amount is less than 0.05%

 

40


Table of Contents
     As of December 31, 2017  
     Long Positions Gross Unrealized     Short Positions Gross Unrealized        
     Gains      % of
Net
Assets
    Losses     % of
Net
Assets
    Gains      % of
Net
Assets
     Losses     % of
Net
Assets
    Net Unrealized
Gains (Losses) on
Open Positions
 

Currency

   $ 14,668        0.4     $ —         —       $ 4,979        0.2      $ (1,113     (0.0 )*    $ 18,534  

Financial

     1,865        0.1       (17,466     (0.5     8,110        0.2        —         —         (7,491

Food & Fiber

     237        0.0     (4,330     (0.1     8,673        0.3        (12,523     (0.4     (7,943

Indices

     26,872        0.8       (3,382     (0.1     6,303        0.2        (1,285     (0.0 )*      28,508  

Metals

     19,225        0.6       —         —         —          —          (2,365     (0.1     16,860  

Energy

     16,418        0.5       —         —         —          —          (12,562     (0.4     3,856  
  

 

 

    

 

 

   

 

 

   

 

 

   

 

 

    

 

 

    

 

 

   

 

 

   

 

 

 

Totals

   $ 79,285        2.4     $ (25,178     (0.7   $ 28,065        0.9      $ (29,848     (0.9   $ 52,324  
  

 

 

    

 

 

   

 

 

   

 

 

   

 

 

    

 

 

    

 

 

   

 

 

   

 

 

 

 

*

Due to rounding – amount is less than 0.05%

Series A monthly contract volume: For the two months ended August 31, 2018, the monthly average futures and forward contracts bought were 223 and the monthly average futures and forward contracts sold were 233. For the eight months ended August 31, 2018, the monthly average futures and forward contracts bought were 323 and the monthly average futures and forward contracts sold were 220. For the three months ended September 30, 2017, the monthly average futures and forward contracts bought were 341 and the monthly average futures and forward contracts sold were 68. For the nine months ended September 30, 2017, the monthly average futures and forward contracts bought were 450 and the monthly average futures and forward contracts sold were 133.

Series A trading results by market sector:

 

     For the Two Months Ended August 31, 2018  
     Net Realized
Gains (Losses)
     Change in Net
Unrealized
Gains (Losses)
     Net Trading
Gains (Losses)
 

Foreign Exchange

   $ (2,572    $ —        $ (2,572

Currency

     2,738        (5,069      (2,331

Energy

     (9,806      (340      (10,146

Financial

     (4,747      (9,294      (14,041

Food & Fiber

     1,844        10,064        11,908  

Indices

     (6,212      5,487        (725

Livestock

     (2,520      2,680        160  

Metals

     31,161        (23,347      7,814  
  

 

 

    

 

 

    

 

 

 

Total net trading gains (losses)

   $ 9,886      $ (19,819    $ (9,933
  

 

 

    

 

 

    

 

 

 
     For the Eight Months Ended August 31, 2018  
     Net Realized
Gain (Losses)
     Change in Net
Unrealized
Gain (Losses)
     Net Trading
Gains (Losses)
 

Foreign Exchange

   $ (9,325    $ —        $ (9,325

Currency

     (3,260      (16,763      (20,023

Energy

     (28,124      (7,340      (35,464

Financial

     93,215        9,842        103,057  

Food & Fiber

     (81,573      16,231        (65,342

Indices

     (34,061      (29,741      (63,802

Livestock

     4,120        540        4,660  

Metals

     23,231        (23,333      (102
  

 

 

    

 

 

    

 

 

 

Total net trading gains (losses)

   $ (35,777    $ (50,564    $ (86,341
  

 

 

    

 

 

    

 

 

 

 

41


Table of Contents
     For the Three Months Ended September 30, 2017  
     Net Realized
Gains (Losses)
     Change in Net
Unrealized
Gains (Losses)
     Net Trading
Gains (Losses)
 

Foreign Exchange

   $ (5,288    $ 1,762      $ (3,526

Currency

     26,426        (11,112      15,314  

Energy

     10,216        15,127        25,343  

Financial

     (2,945      26,117        23,172  

Food & Fiber

     (8,944      9,083        139  

Indices

     2,802        47,511        50,313  

Livestock

     (8,920      (730      (9,650

Metals

     6,969        9,052        16,021  
  

 

 

    

 

 

    

 

 

 

Total net trading gains (losses)

   $ 20,316      $ 96,810      $ 117,126  
  

 

 

    

 

 

    

 

 

 
     For the Nine Months Ended September 30, 2017  
     Net Realized
Gain (Losses)
     Change in Net
Unrealized
Gain (Losses)
     Net Trading
Gains (Losses)
 

Foreign Exchange

   $ (2,778    $ 4,781      $ 2,003  

Currency

     (32,049      6,383        (25,666

Financial

     (1,861      (28,057      (29,918

Food & Fiber

     (18,382      (2,521      (20,903

Indices

     402,617        7,011        409,628  

Metals

     (16,218      3,721        (12,497

Livestock

     (16,490      18,160        1,670  

Energy

     (41,769      (177      (41,946
  

 

 

    

 

 

    

 

 

 

Total net trading gains (losses)

   $ 273,070      $ 9,301      $ 282,371  
  

 

 

    

 

 

    

 

 

 

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 in liquidation, as of September 30, is as follows:

 

Type of Instrument

  

Statement of Assets and

Liabilities Location

   Asset Derivatives at
September 30, 2018
     Liability Derivatives at
September 30, 2018
     Net  

Futures contracts

   Futures contracts purchased    $ 147,299      $ (127,141    $ 20,158  

Futures contracts

   Futures contracts sold      118,570        (95,133      23,437  
     

 

 

    

 

 

    

 

 

 

Totals

      $ 265,869      $ (222,274    $ 43,595  
     

 

 

    

 

 

    

 

 

 

The fair value of the Fund’s derivatives by instrument type, as well as the location of those instruments on the Statement of Assets and Liabilities, as of December 31, 2017, is as follows:

 

Type of Instrument

  

Statement of Assets and

Liabilities Location

   Asset Derivatives at
December 31, 2017
     Liability Derivatives at
December 31, 2017
     Net  

Futures contracts

   Futures contracts purchased    $ 225,529      $ (77,928    $ 147,601  

Futures contracts

   Futures contracts sold      83,371        (69,781      13,590  
     

 

 

    

 

 

    

 

 

 

Totals

      $ 308,900      $ (147,709    $ 161,191  
     

 

 

    

 

 

    

 

 

 

 

42


Table of Contents

The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of September 30, 2018 is as follows:

 

            Gross Amounts Not Offset in the Statement of
Assets and Liabilities
        

Counterparty

   Net Amount of Assets in
the Statement of Assets
and Liabilities
     Financial Instruments
Pledged
     Cash Collateral
Received
     Net Amount  

ADMIS

   $ 56,402      $ —      $ —      $ 56,402  

INTL FCStone

     (12,807      —          —          (12,807
  

 

 

    

 

 

    

 

 

    

 

 

 

Totals

   $ 43,595      $ —      $ —      $ 43,595  
  

 

 

    

 

 

    

 

 

    

 

 

 

The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of December 31, 2017 is as follows:

 

            Gross Amounts Not Offset in the Statement of
Assets and Liabilities
        

Counterparty

   Net Amount of Assets in
the Statement of Assets
and Liabilities
     Financial Instruments
Pledged
     Cash Collateral
Received
     Net Amount  

ADMIS

   $ 78,942      $ —      $ —      $ 78,942  

INTL FCStone

     82,249        —          —          82,249  
  

 

 

    

 

 

    

 

 

    

 

 

 

Totals

   $ 161,191      $ —      $ —      $ 161,191  
  

 

 

    

 

 

    

 

 

    

 

 

 

Effects of Derivative Instruments on the Statement of Operations for the two months ended August 31, 2018:

 

Derivatives not

Designated as Hedging

Instruments under ASC

815

  

Location of Gain (Loss) on

Derivatives Recognized in

Income

   Net Realized Gain (Loss)
on Derivatives Recognized
in Income
     Net Change in
Unrealized Depreciation
on Derivatives
Recognized in Income
 

Foreign exchange contracts

   Realized and change in unrealized gain (loss) on futures and forward contracts    $ (7,470    $ —    

Futures contracts

   Realized and change in unrealized gain (loss) on futures and forward contracts      25,865        (3,555
     

 

 

    

 

 

 

Total

      $ 18,395      $ (3,555
     

 

 

    

 

 

 

 

43


Table of Contents

Effects of Derivative Instruments on the Statement of Operations for the eight months ended August 31, 2018:

 

Derivatives Not

Accounted for as

Hedging Instruments

under ASC 815

  

Location of Gain (Loss) on
Derivatives Recognized in
Income

   Net Realized Gain (Loss)
on Derivatives Recognized
in Income
     Net Change in
Unrealized Depreciation
on Derivatives
Recognized in Income
 

Foreign exchange contracts

   Realized and change in unrealized gain (loss) on futures and forward contracts    $ (27,145    $ —    

Futures contracts

   Realized and change in unrealized gain (loss) on futures and forward contracts      (180,452      (105,437
     

 

 

    

 

 

 

Total

      $ (207,597    $ (105,437
     

 

 

    

 

 

 

Effects of Derivative Instruments on the Statement of Operations for the three months ended September 30, 2017:

 

Derivatives not

Designated as Hedging

Instruments under ASC

815

  

Location of Gain (Loss) on
Derivatives Recognized in
Income

   Net Realized Gain (Loss)
on Derivatives Recognized
in Income
     Net Change in
Unrealized Depreciation
on Derivatives
Recognized in Income
 

Foreign exchange contracts

   Realized and change in unrealized gain (loss) on futures and forward contracts    $ (8,272    $ 3,551  

Futures contracts

   Realized and change in unrealized gain (loss) on futures and forward contracts      168,883        230,365  
     

 

 

    

 

 

 

Total

      $ 160,611      $ 233,916  
     

 

 

    

 

 

 

Effects of Derivative Instruments on the Statement of Operations for the nine months ended September 30, 2017:

 

Derivatives Not

Accounted for as

Hedging Instruments

under ASC 815

  

Location of Gain (Loss) on
Derivatives Recognized in
Income

   Net Realized Gain (Loss)
on Derivatives Recognized

in Income
     Net Change in
Unrealized Depreciation
on Derivatives
Recognized in Income
 

Foreign exchange contracts

   Realized and change in unrealized gain (loss) on futures and forward contracts    $ (10,978    $ 3,838  

Futures contracts

   Realized and change in unrealized gain (loss) on futures and forward contracts      734,532        56,155  
     

 

 

    

 

 

 

Total

      $ 723,554      $ 59,993  
     

 

 

    

 

 

 

 

44


Table of Contents

Superfund Green, L.P. – Series B gross and net unrealized gains and losses by long and short positions as of September 30, 2018 and December 30, 2017:

 

     As of September 30, 2018  
     Long Positions Gross Unrealized     Short Positions Gross Unrealized        
     Gains      % of
Net
Assets
     Losses     % of
Net
Assets
    Gains      % of
Net
Assets
     Losses     % of
Net
Assets
    Net Unrealized
Gains (Losses) on
Open Positions
 

Currency

   $ 8,005        0.3      $ (2,700     (0.1   $ 28,575        1.0      $ (12,494     (0.4   $ 21,386  

Energy

     47,083        1.6        —         —         —          —          (30,956     (1.0     16,127  

Financial

     4,143        0.1        (51,060     (1.7     28,750        1.0        (3,849     (0.1     (22,016

Food & Fiber

     4,422        0.1        (35,290     (1.2     29,718        1.0        (12,919     (0.4     (14,069

Indices

     74,828        2.5        (22,750     (0.8     3,925        0.1        (8,956     (0.3     47,047  

Livestock

     2,850        0.1        —         —         —          —          (5,748     (0.2     (2,898

Metals

     5,968        0.2        (15,341     (0.5     27,602        0.9        (20,211     (0.7     (1,982
  

 

 

    

 

 

    

 

 

   

 

 

   

 

 

    

 

 

    

 

 

   

 

 

   

 

 

 

Totals

   $ 147,299        4.9      $ (127,141     (4.3   $ 118,570        4.0      $ (95,133     (3.1   $ 43,595  
  

 

 

    

 

 

    

 

 

   

 

 

   

 

 

    

 

 

    

 

 

   

 

 

   

 

 

 

 

*

Due to rounding – amount is less than 0.05%

 

     As of December 31, 2017  
     Long Positions Gross Unrealized     Short Positions Gross Unrealized        
     Gains      % of
Net
Assets
    Losses     % of
Net
Assets
    Gains      % of
Net
Assets
    Losses     % of
Net
Assets
    Net Unrealized
Gains (Losses) on
Open Positions
 

Currency

   $ 36,727        0.7     $ —         —       $ 13,905        0.3     $ (4,111     (0.1   $ 46,521  

Financial

     3,730        0.1       (44,836     (0.8     21,826        0.4       (4,437     (0.1     (23,717

Food & Fiber

     474        0.0     (11,947     (0.2     28,150        0.5       (25,116     (0.5     (8,439

Indices

     75,654        1.4       (21,145     (0.4     16,957        0.3       (3,790     (0.1     67,676  

Metals

     58,235        1.1       —         —         463        0.0     (5,916     (0.1     52,782  

Livestock

     —          —         —         —         340        0.0     —         —         340  

Energy

     50,709        0.9       —         —         1,730        0.0     (26,411     (0.5     26,028  
  

 

 

    

 

 

   

 

 

   

 

 

   

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Totals

   $ 225,529        4.2     $ (77,928     (1.4   $ 83,371        1.5     $ (69,781     (1.4   $ 161,191  
  

 

 

    

 

 

   

 

 

   

 

 

   

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

 

*

Due to rounding – amount is less than 0.05%

Series B monthly contract volume: For the two months ended August 31, 2018, the monthly average futures and forward contracts bought were 685 and the monthly average futures and forward contracts sold were 703. For the eight months ended August 31, 2018, the monthly average futures and forward contracts bought were 968 and the monthly average futures and forward contracts sold were 646. For the three months ended September 30, 2017, the monthly average futures and forward contracts bought were 867 and the monthly average futures and forward contracts sold were 191. For the nine months ended September 30, 2017, the monthly average futures and forward contracts bought were 1,083 and the monthly average futures and forward contracts sold were 309.

Series B trading results by market sector:

 

     For the Two Months Ended August 31, 2018  
     Net Realized
Gains (Losses)
     Change in Net
Unrealized
Gains (Losses)
     Net Trading
Gains (Losses)
 

Foreign Exchange

   $ (7,470    $ —        $ (7,470

Currency

     (9,313      (2,824      (12,137

Energy

     (9,377      (40,213      (49,590

Financial

     14,449        (20,412      (5,963

Food & Fiber

     7,356        29,234        36,590  

Indices

     (10,758      68,769        58,011  

Livestock

     (15,210      3,367        (11,843

Metals

     48,718        (41,476      7,242  
  

 

 

    

 

 

    

 

 

 

Total net trading gains (losses)

   $ 18,395      $ (3,555    $ 14,840  
  

 

 

    

 

 

    

 

 

 

 

45


Table of Contents
     For the Eight Months Ended August 31, 2018  
     Net Realized
Gains (Losses)
     Change in Net
Unrealized
Gains (Losses)
     Net Trading
Gains (Losses)
 

Foreign Exchange

   $ (27,145    $ —        $ (27,145

Currency

     (81,421      (38,568      (119,989

Energy

     11,221        (35,234      (24,013

Financial

     274,163        57,183        331,346  

Food & Fiber

     (209,849      28,433        (181,416

Indices

     (169,122      (49,720      (218,842

Livestock

     (3,120      (2,855      (5,975

Metals

     (2,324      (64,676      (67,000
  

 

 

    

 

 

    

 

 

 

Total net trading gains (losses)

   $ (207,597    $ (105,437    $ (313,034
  

 

 

    

 

 

    

 

 

 
     For the Three Months Ended September 30, 2017  
     Net Realized
Gains (Losses)
     Change in Net
Unrealized
Gains (Losses)
     Net Trading
Gains (Losses)
 

Foreign Exchange

   $ (8,272    $ 3,551      $ (4,721

Currency

     92,321        (39,229      53,092  

Energy

     32,635        64,945        97,580  

Financial

     (15,517      71,221        55,704  

Food & Fiber

     (11,094      11,311        217  

Indices

     46,568        141,655        188,223  

Livestock

     (28,900      (2,200      (31,100

Metals

     52,870        (17,338      35,532  
  

 

 

    

 

 

    

 

 

 

Total net trading gains (losses)

   $ 160,611      $ 233,916      $ 394,527  
  

 

 

    

 

 

    

 

 

 
     For the Nine Months Ended September 30, 2017  
     Net Realized
Gains (Losses)
     Change in Net
Unrealized
Gains (Losses)
     Net Trading
Gains (Losses)
 

Foreign Exchange

   $ (10,978    $ 3,838      $ (7,140

Currency

     (38,881      4,542        (34,339

Financial

     (778      (48,156      (48,934

Food & Fiber

     (33,417      1,998        (31,419

Indices

     1,067,020        69,660        1,136,680  

Metals

     58        (22,876      (22,818

Livestock

     (36,510      27,640        (8,870

Energy

     (222,960      23,347        (199,613
  

 

 

    

 

 

    

 

 

 

Total net trading gains (losses)

   $ 723,554      $ 59,993      $ 783,547  
  

 

 

    

 

 

    

 

 

 

5. Due from/to brokers

Due from brokers consists of proceeds from cash and unsettled trades. Amounts due from brokers may be restricted to the extent that they serve as deposits for securities sold short. Amounts due to brokers, if any, represent margin borrowings that are collateralized by certain securities. As of September 30, 2018 and December 31, 2017, there were no amounts due to brokers.

In the normal course of business, all of the Fund’s marketable securities transactions, money balances and marketable security positions are transacted with brokers. The Fund is subject to credit risk to the extent any broker with whom it conducts business is unable to fulfill contractual obligations on its behalf.

6. Allocation of net profits and losses

In accordance with the Fund’s Sixth Amended and Restated Limited Partnership Agreement, net profits and losses of the Fund are allocated to partners according to their respective interests in the Fund as of the beginning of each month.

 

46


Table of Contents

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), 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 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 August 31, 2018 and January 1 through September 30, 2017 are as follows:

 

     January 1 through
August 31, 2018
    January 1 Through
September 30, 2017
 
     Series A     Series B     Series A     Series B  

Total return before incentive fees*

     (8.2 )%      (11.5 )%      3.1     10.5

Incentive fees

     0.0     0.0     0.0     0.0
  

 

 

   

 

 

   

 

 

   

 

 

 

Total return after incentive fees

     (8.2 )%      (11.5 )%      3.1     10.5
  

 

 

   

 

 

   

 

 

   

 

 

 

Ratios to average partners’ capital**

        

Operating expenses before incentive fees

     (6.2 )%      (6.1 )%      (6.4 )%      (6.4 )% 

Incentive fees

     0.0     0.0     0.0     0.0
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     (6.2 )%      (6.1 )%      (6.4 )%      (6.4 )% 
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment loss

     (6.0 )%      (5.9 )%      (5.9 )%      (6.0 )% 
  

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value per unit, beginning of period

   $ 1,099.78     $ 1,359.98     $ 989.50     $ 1,049.01  

Net investment loss

     (42.97     (51.45     (45.01     (49.85

Net gain on investments

     (49.13     (101.44     74.60       157.66  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total income (loss) from operations

     (92.10     (152.89     29.59       107.81  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value per unit, end of period

   $ 1,007.68     $ 1,207.09     $ 1,019.09     $ 1,156.82  
  

 

 

   

 

 

   

 

 

   

 

 

 

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)

   $ (88.45   $ (153.07   $ 31.37     $ 109.25  
  

 

 

   

 

 

   

 

 

   

 

 

 

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)

   $ (92.10   $ (152.89   $ 29.59     $ 107.81  
  

 

 

   

 

 

   

 

 

   

 

 

 

 

47


Table of Contents

Financial highlights for the period July 1 through August 31, 2018 and July 1 through September 30, 2017 are as follows:

 

     July 1 Through
August 31, 2018
    July 1 Through
September 30, 2017
 
     Series A     Series B     Series A     Series B  

Total return before incentive fees*

     (1.8 )%      (1.1 )%      2.0     6.6

Incentive fees

     0.0     0.0     0.0     0.0
  

 

 

   

 

 

   

 

 

   

 

 

 

Total return after incentive fees

     (1.8 )%      (1.1 )%      2.0     6.6
  

 

 

   

 

 

   

 

 

   

 

 

 

Ratios to average partners’ capital**

        

Operating expenses before incentive fees

     (6.2 )%      (6.1 )%      (6.3 )%      (6.4 )% 

Incentive fees

     0.0     0.0     0.0     0.0
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     (6.2 )%      (6.1 )%      (6.3 )%      (6.4 )% 
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment loss

     (6.0 )%      (5.9 )%      (5.9 )%      (6.0 )% 
  

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value per unit, beginning of period

   $ 1,024.14     $ 1,219.34     $ 999.67     $ 1,086.77  

Net investment loss

     (10.24     (12.11     (15.01     (16.99

Net gain on investments

     (6.22     (0.14     34.43       87.04  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total income (loss) from operations

     (16.46     (12.25     19.42       70.05  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value per unit, end of period

   $ 1,007.68     $ 1,207.09     $ 1,019.09     $ 1,156.82  
  

 

 

   

 

 

   

 

 

   

 

 

 

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)

   $ (16.80   $ (12.30   $ 20.26     $ 71.23  
  

 

 

   

 

 

   

 

 

   

 

 

 

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)

   $ (16.46   $ (12.25   $ 19.42     $ 70.05  
  

 

 

   

 

 

   

 

 

   

 

 

 

 

*

Total return is calculated for each Series of the Fund taken as a whole. An individual’s return may vary from these returns based on the timing of capital transactions.

**

Annualized for periods less than a year.

Financial highlights are calculated for each series taken as a whole. An individual partner’s return, per unit data, and ratios may vary based on the timing of capital transactions.

9. Financial instrument risk

In the normal course of its business, the Fund is party to financial instruments 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 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 $356,356 and $298,842, respectively, at August 31, 2018.

For Series A, gross unrealized gains and losses related to exchange-traded futures were $44,942 and $43,183, respectively, at August 31, 2018.

For Series B, gross unrealized gains and losses related to exchange-traded futures were $311,414 and $255,659, respectively, at August 31, 2018.

 

48


Table of Contents

Market risk is the potential for changes in the value of the financial instruments traded by the Fund due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity or security prices. In entering into these contracts, there exists a market risk that such contracts may be significantly influenced by conditions such as interest rate volatility, resulting in such contracts being less valuable. If the markets should move against all of the futures interest positions at the same time, and Superfund Capital Management was unable to offset such positions, the Fund could experience substantial losses.

Credit risk is the possibility that a loss may occur due to the failure of counterparty to perform according to the terms of a contract. Credit risk with respect to exchange-traded instruments is reduced to the extent that an exchange or clearing organization acts as counterparty to the transactions. The Fund’s risk of loss in the event of counterparty default is typically limited to the amounts recognized in the statements of assets and liabilities and not represented by the contract or notional amounts of the instruments. As the Fund’s assets are held in segregated accounts with futures commission merchants, the Fund has credit risk and concentration risk. The Fund’s futures commission merchants are currently ADM Investor Services, Inc. and INTL FC Stone International.

Superfund Capital Management monitors and attempts to control the Fund’s risk exposure on a daily basis through financial, credit, and risk management monitoring systems, and accordingly believes that it has effective procedures for evaluating and limiting the credit and market risks to which the Fund is subject. These monitoring systems allow Superfund Capital Management to statistically analyze actual trading results with risk adjusted performance indicators and correlation statistics. In addition, on-line monitoring systems provide account analysis of futures and forward positions by sector, margin requirements, gain and loss transactions, and collateral positions.

The majority of these futures and forwards mature within one year of September 30, 2018. However, due to the nature of the Fund’s business, these instruments may not be held to maturity.

10. Subscriptions and redemptions

Effective May 1, 2014, the Fund no longer accepts subscriptions.

A Limited Partner may request any or all of his investment in such Series be redeemed by such Series at the net asset value of a Unit within such Series as of the end of each month, subject to a minimum redemption of $1,000 and subject further to such Limited Partner having an investment in such Series, after giving effect to the requested redemption, at least equal to the minimum initial investment amount of $10,000. Limited Partners must transmit a written request of such redemption to Superfund Capital Management not less than five business days prior to the end of the month (or such shorter period as permitted by Superfund Capital Management) as of which the redemption is to be effective. Redemptions will generally be paid within twenty days after the effective date of the redemption. However, in special circumstances, including, but not limited to, inability to liquidate dealers’ positions as of a redemption date or default or delay in payments due to each Series from clearing brokers, banks or other persons or entities, each Series may in turn delay payment to persons requesting redemption of the proportionate part of the net assets of each Series represented by the sums that are subject of such default or delay. As provided in the Partnership Agreement, if the net asset value per Unit within a Series as of the end of any business day declines by 50% or more from either 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.

Subscriptions received in advance, if any, represent cash received prior to the balance sheet date for subscriptions of the subsequent month and do not participate in the earnings of the Fund until the following month.

11. Indemnification

In the normal course of business, the Fund enters into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is dependent on future claims that may be made against the Fund, and therefore cannot be established; however, based on experience, the risk of loss from such claims is considered remote.

12. Subsequent events

Superfund Capital Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements.

 

49


Table of Contents
ITEM 2.

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS

INTRODUCTION

The Fund commenced the offering of its Units on October 22, 2002. The initial offering terminated on October 31, 2002 and the Fund commenced operations on November 5, 2002. The continuing offering period commenced at the termination of the initial offering period and ended May 1, 2014. Subscription and redemption data is presented for both the Fund, as the SEC registrant, and for Series A and Series B, individually. For the quarter ended September 30, 2018, redemptions totaled $2,163,724. For the quarter ended September 30, 2018, redemption totaled $787,460 in Series A and $1,376,264 in Series B.

On August 28, 2018, the liquidation determination date, Superfund Capital Management Inc. (General Partner), announced that Superfund Green L.P. will be closed effective December 31, 2018, the liquidation date. The decision was made due to the decline in aggregated assets under management (AUM) which resulted in the General Partner absorbing some of the Funds expenses. All investors were encouraged to redeem their investments from the Fund prior to November 26, 2018. After the liquidation determination it became eminent for the Fund to adopt the liquidation basis of accounting, whereby assets are measured at the estimated amount of cash or other consideration that the Fund expects to collect in settling or disposing of those assets. Liabilities are measured at their estimated settlement amounts including costs the Fund expects to incur through the end of its liquidation. These estimated amounts are undiscounted and are recorded to the extent the Fund has a reasonable basis for estimation.

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

Two Months Ended August 31, 2018

In light of the adoption of liquidation basis of accounting as of the August 28, 2018 (liquidation determination date), the results of operations for the current period is not comparable to the prior period. The Fund reports its result of operations for the two months period ended on August 31, 2018 for this quarter.

Series A:

Net results for the quarter ended August 31, 2018, were a loss of (1.8)% 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 $38,436. This decrease consisted of investment income of $766, trading loss of $9,933 and total expenses of $29,269. Expenses included $7,362 in management fees, $597 in operating expenses, $15,917 in selling commissions, $5,221 in brokerage commissions and $172 in other expenses. At September 30, 2018 and December 31, 2017, the net asset value per Unit of Series A was $970.36 and $1,099.78, respectively.

 

50


Table of Contents

Series B:

Net results for the quarter ended August 31, 2018, were a loss of (1.1)% in net asset value compared to the preceding quarter end. In this period, Series B experienced a net decrease in net assets from operations of $46,344. This decrease consisted of investment income of $1,288, trading gain of $14,840 and total expenses of $62,472 . Expenses included $14,312 in management fees, $1,160 in operating expenses, $30,945 in selling commissions, and $16,055 in brokerage commissions. At September 30, 2018 and December 31, 2017, the net asset value per Unit of Series B was $1,139.61 and $1,359.98 respectively.

Fund results for 3rd Quarter 2018:

In September, the fund experienced subpar performance with overall returns of -3.70%. These returns were primarily due to positions held in the Energy sector, which attributed -1.21% to the aggregate total. Amongst energy markets, NYMEX Natural Gas and TOCOM Gasoline contributed the most to the fund’s negative returns at -0.78% and -0.27% respectively, as oil prices fell in response to rising U.S. inventories and concerns with demand from emerging markets. Agricultural markets proved to be the second largest negative contributor for the fund with returns of -0.78%, after ample supply in most agricultural markets caused prices to decline. Furthermore, Grains reported a performance of -0.72 % due to bearish correction in markets, caused by the ongoing trade dispute between the U.S. and China. The Bond sector also created downward pressure of -0.47 % on the fund’s performance, following the announcement of the U.S interest rate hike which sent global bond prices lower and treasury yield higher. Subsequently, the fund’s two top performers were the CBT 5-Year Treasury Note and CBT 10-Year Treasury Note. Amongst all the sectors Metals was the only outlier with small gains of 0.02%.

In August, the fund ended the month with returns of -2.57%, as all invested sectors except Agricultural Markets performed unsatisfactory. Amongst these sectors, Stock Indices weighed the most on the fund’s performance with returns of -0.70%. The Eurex DJEurostox proved to be the second worst performing market with returns of -0.3046%, as its long positions suffered with the poor performance of the EuroStoxx, which experienced returns of approximately -3.80% in August on a strengthening of separatist movements in major European countries. LME Aluminum at -0.33% was the fund’s lowest performing market, as metals prices proved volatile throughout the month on the continued tariff war between the US and China. Despite the poor overall performance of the Stock Indices sector this month, the CME_mRussel2k_IX was a top performing market at 0.28%, as the US stocks remain on the path to enter its longest ever bull-market, which can be attributed to strong US economic growth and renewed strength in corporate earnings.

In July, buoyed by strong returns in the Metals and Stock Indices sector the Fund saw moderate gains of 0.99% for the month of July 2018. Short position held in December Comex Gold benefited as Gold prices hit 1-year low after hawkish comments from Fed’s Powell indicated that the central bank will continue to raise borrowing costs gradually, pushing the Dollar higher while diminishing the appeal of non-interest-bearing assets like bullions. Strong US second quarter Gross domestic product (GDP) growth of 4.1 percent, together with impressive strength of corporate earnings saw many global indices jumping to new heights allowing long stock positions to capitalize on the upswing in indices prices. Not to be outdone both the Grains and Agricultural Market sectors provided strong support of 0.39 and 0.28% respectively helping to neutralize the negative performance realized in the Bonds and Energy Sectors. Long positions held in the Eurex EuroSchatz suffered most as yields dipped as expectations for rate hikes were pushed back until at least summer 2019.

Three Months Ended June 30, 2018

Series A:

Net results for the quarter ended June 30, 2018, were a loss of (0.1)% in net asset value compared to the preceding quarter end. In this period, Series A experienced a net decrease in net assets from operations of $17,988. This decrease consisted of investment income of $846, trading gains of $31,407 and total expenses of $50,241. Expenses included $15,448 in management fees, $1,253 in operating expenses, $33,401 in selling commissions and $139 in other expenses. At March 31, 2018 and December 31, 2017, the net asset value per Unit of Series A was $1,094.09 and $1,099.78, respectively.

Series B:

Net results for the quarter ended June 30, 2018, were a loss of (2.7)% in net asset value compared to the preceding quarter end. In this period, Series B experienced a net decrease in net assets from operations of $132,751. This decrease consisted of investment income of $1,209, trading loss of $52,407 and total expenses of $81,553. Expenses included $24,978 in management fees, $2,025 in operating expenses, $54,006 in selling commissions and $544 in other expenses. At March 31, 2018 and December 31, 2017, the net asset value per Unit of Series B was $1,325.56 and $1,359.98 respectively.

 

51


Table of Contents

Fund results for 2nd Quarter 2018:

In April, the fund ended the month down -1.86%, as all major sectors except Grains exhibited losses. Amongst these sectors, Currencies weighted the most on the fund’s aggregate total, with returns of -0.79%, as market movements due to the decisions of major world economies created volatility in global currencies. The US Dollar Index, one of the fund’s bottom 3 performers at -0.21%, suffered as changes in the rhetoric from the Federal Reserve reiterated that the Fed was in no rush to raise their interest rates. Global energies flourished in anticipation of a tightening in the supply due to the U.S. president Donald Trump’s decision to abandon the 2015 Iran nuclear deal. This resulted in rising equity prices as they piggybacked off the decision, and the subsequent rise in oil prices. The fund however was not able to capture market movements, the fund’s Energy and Stock Indices sectors generated returns of -0.39% and -0.26% respectively. Amongst all sectors the sole outlier, Grains, reported gains of 0.25%. However, this performance was not strong enough to mitigate the fund’s negative overall returns.

In May, the fund lost ground during May, as it generated overall returns -2.62%. The performance of the Currencies sector hit the fund the hardest this month, as it was the fund’s worst performer at -0.88%. In currencies, the US dollar performed strongly against a basket of its major peers, the pound declined in absence of a rate hike from the Bank of England, and the yen ended the month down, despite a rally for the latter part of the month due to rising stock prices. Grains and Agricultural Markets were other negative performers for the fund, ended the month at combined returns of -1.34%, and housed the worst performing market of the month; CME Rough Rice at -0.44%, whose price fluctuated throughout the month based on weather patterns. Despite global equities advancing in May, the fund generated returns of -0.66% in its Stock Indices sector as its positions were heavily hit during volatile events of the month, such as political uncertainty in the Euro zone, and cancellation of the meeting between President Donald Trump and North Korean leader Kim Jong-Un. Bonds, the strongest performing sector this month at 0.63%, also housed three of the fund’s top performing markets the Euro Schatz, Euro Bund, and the Euro BOBL, which had combined returns of 1.37%. European bond markets rose this month, as political developments in Italy created tensions in the Euro zone region.

In June, the fund returned performance of -2.05% for the month of June, with poor performances in the Grains sector weighing heaviest on the fund at -1.25%. Soybeans, China’s top imported agricultural commodity from the US, generated the least returns at -0.44%, with wheat following closely behind at -0.37%, as US-China trade tensions reached newer heights this month. Positions in energy markets set the fund back -0.54%, as OPEC’s decision to increase crude production resulted in falling prices. Positions in Stock indices generated -0.46% as trade war worries gained, on political upheavals in the EU concerning Theresa May’s Brexit Plan, and on the prospect of big spending policies from Italy’s new government resulted in markets retreating on anticipated risks. Bonds and Metals were the only sectors which gave the fund relief this month. High global uncertainty over trade tensions did bond markets well and the sector saw returns of 0.18%. Returns of 0.17% were generated in our metals sector, with short positions held in TOCOM Gold and Platinum contributing most to the fund’s performance. Metals were pressured downward due to a stronger US dollar amidst a positive economic outlook for the US, despite global disputes between the US and its larger trading partners.

Three Months Ended March 31, 2018

Series A:

Net results for the quarter ended March 31, 2018, were a loss of (0.1)% in net asset value compared to the preceding quarter end. In this period, Series A experienced a net decrease in net assets from operations of $17,988. This decrease consisted of investment income of $846, trading gains of $31,407 and total expenses of $50,241. Expenses included $15,448 in management fees, $1,253 in operating expenses, $33,401 in selling commissions and $139 in other expenses. At March 31, 2018 and December 31, 2017, the net asset value per Unit of Series A was $1,094.09 and $1,099.78, respectively.

Series B:

Net results for the quarter ended March 31, 2018, were a loss of (2.7)% in net asset value compared to the preceding quarter end. In this period, Series B experienced a net decrease in net assets from operations of $132,751. This decrease consisted of investment income of $1,209, trading loss of $52,407 and total expenses of $81,553. Expenses included $24,978 in management fees, $2,025 in operating expenses, $54,006 in selling commissions and $544 in other expenses. At March 31, 2018 and December 31, 2017, the net asset value per Unit of Series B was $1,325.56 and $1,359.98 respectively.

 

52


Table of Contents

Fund results for 1st Quarter 2018:

In March, the Fund’s managed futures strategy produced positive returns largely backed by compelling performance in bonds. The fund ‘s exposure in European bonds helped contribute to a notable +1.81% gain, as exponential growth in the Eurozone combined with heightened anxieties surrounding trade war fears pushed bond prices up through most of the month. Agricultural markets were up 0.45% mainly due to performance of short positions in Live Cattle which was driven down by liquidation pressures and later tumbled with Feeder Cattle as a result of classic supply and demand fundamental data. The currency sector managed to end performance up at 0.01% with help from the Yen which strengthened against the Dollar after US attempts to exercise harsh tariffs against China was met with measured retaliation. Stock indices came in as the fund’s worst performer at -0.28% as a result of heightened volatility aided in large part by the hard protectionist measures called forth to be put in place by US President Donald Trump.

In February, the Fund’s managed futures strategy produced negative returns as it underperformed in all major sectors except bonds, to generate overall returns of -5.52%. The fund’s biggest pull-back was in stock indices which ended the month at -4.08%, as global equities dipped after a long-winning run on Wall Street came to an end early in the month. Grains, energy, metals and agriculture markets struggled to make any head-way for the fund with combined returns of -1.97%. Metals prices in particular struggled during the final week of trading, as higher treasury yields propped up the dollar, and erased much of the gains procured during the month. The performance of currencies was down -1.03% this month, with the U.S dollar weighed down on concerns of a weak strategy by Washington, and the strengthening of the yen after news came out that Haruhiko Kuroda’s nomination as BoJ Governor was finally confirmed. Although bonds performed fairly well at 1.56% as its short positions in US Treasuries took advantage of falling prices in the wake of increased government borrowing, it was not enough to move the fund’s performance into positive territory.

In January, the Fund’s managed futures strategy produced positive returns with Stock Indices proving to be the strongest performing sector with returns of 2.90%. From Stock Indices, the Nasdaq and Dow Jones Industrial Average were the strongest performing markets for the fund with returns of 0.80% and 0.75% respectively, as the fund’s positions took advantage in the equity rally due to strong corporate earnings during the holiday season. Currencies, Agricultural Markets, and Energy sectors, all contributed positively to the fund’s performance, with combined returns of 2.05%. The Bonds, Metals, and Grains sectors struggled, as their combined returns of -1.33% eroded some of the funds gains. Of these sectors, positions in the Euro BOBL suffered from declining bond prices on the back of hawkish messages from the ECB. Soybean Meal and NYMEX Platinum faltered, ranking within the bottom performing markets, as the fund’s positions in these markets were adversely affected by their bullish performance in January.

Three Months Ended September 30, 2017

Series A:

Net results for the quarter ended September 30, 2017, were a loss of 1.1% in net asset value compared to the preceding quarter end. In this period, Series A experienced a net decrease in net assets from operations of $37,120. This decrease consisted of investment income of $3,026, trading gains of $13,103 and total expenses of $53,249. Expenses included $15,792 in management fees, $1,280 in operating expenses, $34,144 in selling commissions, and $2,033 in other expenses. At June 30, 2017 and December 31, 2016, the net asset value per Unit of Series A was $999.67 and $989.50, respectively.

Series B:

Net results for the quarter ended September 30, 2017, were a loss of 0.2% in net asset value compared to the preceding quarter end. In this period, Series B experienced a net decrease in net assets from operations of $8,997. This decrease consisted of investment income of $4,183, trading gains of $66,299 and total expenses of $79,479. Expenses included $23,185 in management fees, $1,880 in operating expenses, $50,131 in selling commissions, and $4,283 in other expenses. At June 30, 2017 and December 31, 2016, the net asset value per Unit of Series B was $1,086.77 and $1,049.01 respectively.

Fund results for 3rd Quarter 2017:

In September, the Fund’s managed futures strategy yielded slightly negative returns. The Fund’s allocation to the metals sector, particularly its long positions in Comex gold, produced negative results as gold experienced its worst performing month of 2017. Other negatively performing sectors for the Fund included the bonds, currencies, grains, and agricultural markets sectors as markets proved volatile on geopolitical tensions and economic announcements. Helping to partially offset these returns, the Fund’s positions in stock indices and energy produced positive results. The Fund’s long positions in stock indices took advantage of the bullish trend experienced by almost all major indices this month.

 

53


Table of Contents

In August, the Fund’s managed futures strategy produced positive results, relying on strong performance in the bonds sector as prices gained amid increased tensions between the U.S. and North Korea and unchanging interest rates from major global players. The Fund’s allocation to the metals sector, particularly positions in LME copper and aluminum, also yielded positive returns as base metals rallied on stronger demand from China. The Fund’s positions in stock indices, currencies and energy produced negative returns.

In July, the Fund’s managed futures strategy produced strong positive returns, led by the Fund’s allocations to stock indices. In particular, the Fund’s long positions in the Hang Seng Index yielded strong results as positive economic news in China, coupled with decreased restrictions on investments on the mainland, benefited Chinese equity markets. The Fund’s positions in the currencies sector also performed positively. The Fund’s long positions in the Australian dollar yielded positive results on the back of a strengthening local economy and a weakening U.S. dollar. The Fund’s long positions in the energy sector also produced positive returns amid a decrease in global oil supply. The Fund’s positions in the bonds, grains, metals, and agricultural markets all produced negative results, but were not enough to offset the Fund’s positive performance.

Three Months Ended June 30, 2017

Series A:

Net results for the quarter ended June 30, 2017, were a loss of 1.1% in net asset value compared to the preceding quarter end. In this period, Series A experienced a net decrease in net assets from operations of $37,120. This decrease consisted of investment income of $3,026, trading gains of $23,125 and total expenses of $63,271. Expenses included $15,792 in management fees, $1,280 in operating expenses, $34,144 in selling commissions, $10,022 in brokerage commissions and $2,033 in other expenses. At June 30, 2017 and December 31, 2016, the net asset value per Unit of Series A was $999.67 and $989.50, respectively.

Series B:

Net results for the quarter ended June 30, 2017, were a loss of 0.2% in net asset value compared to the preceding quarter end. In this period, Series B experienced a net decrease in net assets from operations of $8,997. This decrease consisted of investment income of $4,183, trading gains of $90,827 and total expenses of $104,007. Expenses included $23,185 in management fees, $1,880 in operating expenses, $50,131 in selling commissions, $24,528 in brokerage commissions and $4,283 in other expenses. At June 30, 2017 and December 31, 2016, the net asset value per Unit of Series B was $1,086.77 and $1,049.01 respectively.

Fund results for 2nd Quarter 2017:

In June, the Fund’s managed futures strategy yielded negative performance. The Fund’s long positions in the bonds sector produced the largest losses for the Fund, as global bond prices fell on higher interest rates and hints of a reduction in quantitative easing programs. The Fund’s positions in Euro-BOBL and the Canadian 10-year bond contributed the most to these losses. The Fund’s allocation to stock indices and currencies markets helped to lessen the Fund’s negative performance. In particular, the Fund’s positions in the MSCI Taiwan, KSE Kospi and CME Australian dollar all yielded positive returns.

In May, the Fund’s managed futures strategy produced strong positive returns. The Fund’s positions in equity markets delivered the highest gains for the Fund as a result of the bullish trend in global equities. In particular, the Fund’s positions in CME Nasdaq, KSE Kospi nd FTSE China A50 all produced strong returns. The Fund’s allocations to the bonds and agricultural sectors also produced positive results. Losses attributed to the Fund’s positions in the currencies, energy and metals sectors offset some of the Fund’s gains.

In April, the Fund’s managed futures strategy produced negative results. The Fund’s allocations to the metals, energy, grains and currency sectors underperformed. The Fund’s positions in Comex silver, Euro-Bund and Euro-BOBL produced the largest negative yield as decreased demand for base metals and political movements in Europe placed a strain on performance. The Fund’s allocation to stock indices, bonds and agricultural markets helped to offset some of these losses. The Fund’s long Nasdaq 100 positions yielded positive returns the global outlook on equity markets improved. Similarly, the Fund’s long positions in CME live cattle resulted in gains for the Fund as prices surged on increased demand and higher grain prices.

 

54


Table of Contents

Three Months Ended March 31, 2017

Series A:

Net results for the quarter ended March 31, 2017, were a gain of 2.2% in net asset value compared to the preceding quarter end. In this period, Series A experienced a net increase in net assets from operations of $77,417. This increase consisted of investment income of $4,621, trading gains of $130,000 and total expenses of $57,204. Expenses included $16,758 in management fees, $1,359 in operating expenses, $36,233 in selling commissions, and $2,854 in other expenses. At March 31, 2017 and December 31, 2016, the net asset value per Unit of Series A was $1,010.80 and $989.50, respectively.

Series B:

Net results for the quarter ended March 31, 2017, were a gain of 3.9% in net asset value compared to the preceding quarter end. In this period, Series B experienced a net increase in net assets from operations of $193,736. This increase consisted of investment income of $4,715, trading gains of $270,597 and total expenses of $81,576. Expenses included $24,058 in management fees, $1,951 in operating expenses, $52,017 in selling commissions, and $3,550 in other expenses. At March 31, 2017 and December 31, 2016, the net asset value per Unit of Series B was $1,089.27 and $1,049.01 respectively.

Fund results for 1st Quarter 2017:

In March, the Fund’s managed futures strategy produced negative results. The Fund’s positions in the metals sector contributed significantly to negative performance for the month. The Fund’s positions in Comex gold suffered as a result of unfavorable movements in the U.S. dollar. The Fund’s allocation to the bonds sector also yielded negative returns. The Fund’s positions in stock indices helped to offset some of these losses as global stock markets continued to rally.

In February, the Fund’s managed futures strategy yielded strong positive returns, as positions in stock indices and bonds proved to be top performers. The funds long positions in stock indices produced strong gains as U.S. stock indices surged amid investor optimism on tax cuts and regulatory reform. The Fund’s positions in bonds, particularly the Eurex Euro BOBL, benefitted from rising bond prices as geopolitical concerns led investors to safer assets.

In January, the Fund’s managed futures strategy produced positive results. The stock indices sector, particularly long positions in the Nasdaq index, was the strongest performing sector for the Fund. The Fund’s positions in the CBOE Volatility Index and LME Aluminum also yielded strong positive returns. The Fund’s allocation to the bonds sector yielded negative results, as did its positions in NYMEX Rbob Gas and NYMEX Platinum.

OFF-BALANCE SHEET RISK

The term “off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in a future obligation or loss. The Fund trades in futures and forward contracts and is therefore a party to financial instruments with elements 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 and forward contracts, 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.

 

55


Table of Contents

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 September 30, 2018 and December 31, 2017.

CRITICAL ACCOUNTING POLICIES – VALUATION OF THE FUND’S POSITIONS

Superfund Capital Management believes that the accounting policies that will be most critical to the Fund’s financial condition and results of operations relate to the valuation of the Fund’s positions. The Fund uses the amortized cost method for valuing U.S. Treasury Bills. Superfund Capital Management believes the cost of securities plus accreted discount, or minus amortized premium, approximates fair value. The majority of the Fund’s positions will be exchange-traded futures contracts, which will be valued daily at settlement prices published by the exchanges. Any spot and forward foreign currency or swap contracts held by the Fund will also be valued at published daily settlement prices or at dealers’ quotes. Thus, Superfund Capital Management expects that under normal circumstances substantially all of the Fund’s assets will be valued on a daily basis using objective measures.

LIQUIDATION BASIS OF ACCOUNTING

As a result of the liquidation plan by the General Partner, the Fund adopted the liquidation basis of accounting as of September 1, 2018 and for subsequent periods in accordance to U.S. GAAP. The Fund measures its investments at the liquidation value that it would expect to receive upon sale of assets or settlement of liabilities. In determining the liquidation value of investments, the Fund, in consultation with the Investment Manager, has determined that fair value under the accounting guidance for fair value measurement under U.S. GAAP best approximates the amounts at September 30, 2018 that the Fund expects to collect on its investments. Any reference hereinafter to fair value is synonymous with liquidation value. The methods and assumptions are therefore the same that would be used to establish the fair value of the investments. As a result of the change to liquidation basis of accounting the Fund no longer presents a statement of operations or cash flows. These statements are only presented for periods prior to the adoption of liquidation basis of accounting.

RECENTLY ISSUED ACCOUNTING PRONOUNCEMENTS

ASU 2016-01

In January 2016, FASB issued ASU No. 2016-01, Financial Instruments – Overall (Subtopic 825-10) Recognition and Measurement of Financial Assets and Liabilities (“ASU 2016-01”). The amendments in ASU 2016-01 affect any entity that holds financial assets or owes financial liabilities. The guidance is effective for fiscal years beginning after December 15, 2017. The fund adopted ASU 2016-01 as of January 1, 2018, and the adoption did not have a material impact on its financial statements.

“RULE 3-10 AND 3-16 AMENDMENTS OF REGULATION S-X”

In August 2018, the Securities and Exchange Commission amended rules 3-10 and 3-16 of Regulation S-X to simplify and update disclosure requirements in light of other Commission disclosure requirements, U.S. Generally Accepted Accounting Principles (“U.S. GAAP”) and changes in information environment. The amendment is intended to facilitate the disclosure of information to investors and simplify compliance without significantly altering the total mix of information currently provided to investors. This guidance is effective on November 5, 2018. The Fund adopted these amendments as of November 5, 2018 and the adoption did not have a material impact on its financial statements.

 

ITEM 3.

QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

Not required.

 

ITEM 4.

CONTROLS AND PROCEDURES

Superfund Capital Management, the Fund’s general partner, with the participation of Superfund Capital Management’s principal executive officer and principal financial officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures with respect to each Series individually, as well as the Fund as a whole, as of the end of the period covered by this quarterly report, and, based on their evaluation, have concluded that these disclosure controls and procedures are effective. There were no formal changes in Superfund Capital Management’s internal controls over financial reporting during the quarter ended September 30, 2018 that have materially affected, or are reasonably likely to materially affect, Superfund Capital Management’s internal control over financial reporting with respect to each Series individually, as well as the Fund as a whole.

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.

 

56


Table of Contents

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 September 30, 2018.

(b) Pursuant to the Fund’s Sixth Amended and Restated Limited Partnership Agreement, investors may redeem their Units at the end of each calendar month at the then 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 two months ended August 31, 2018:

 

Series A:

     

Month

  

Units Redeemed

    

NAV per Unit ($)

 

July 31, 2018

     0.000        1,034.23  

August 31, 2018

     151.471        1,007.68  
  

 

 

    
     151.471     
  

 

 

    

Series B:

     

Month

  

Units Redeemed

    

NAV per Unit ($)

 

July 31, 2018

     8.998        1,237.97  

August 31, 2018

     131.622        1,207.09  
  

 

 

    
     140.620     
  

 

 

    

 

57


Table of Contents
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

 

*

XBRL information is furnished and not filed for purposes of Sections 11 and 12 of the Securities Act of 1933 and Section 18 of the Securities Exchange Act of 1934, and is not subject to liability under those sections, is not part of any registration statement or prospectus to which it relates and is not incorporated or deemed to be incorporated by reference into any registration statement, prospectus or other document.

 

58


Table of Contents


Table of Contents

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

 

Date: November 14, 2018     SUPERFUND GREEN, L.P.
   

(Registrant)

    By: Superfund Capital Management, Inc.
    General Partner
    By:  

/s/ Craig Lucas

    Craig Lucas
    Managing Director and Principal Executive Officer
    By:  

/s/ Jim Douglas

    Jim Douglas
    Vice Head of Back Office and Principal Financial Officer

 

60