UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 10-Q
(Mark One)
x | QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
For the quarterly period ended September 30, 2014
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. Georges, Grenada West Indies |
Not applicable | |
(Address of principal executive offices) | (Zip Code) |
(473) 439-2418
(Registrants telephone number, including area code)
Not applicable
(Former name, former address and former fiscal year, if changed since last report)
Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes x No ¨
Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files). Yes x No ¨
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See the definitions of large accelerated filer, accelerated filer and smaller reporting company in Rule 12b-2 of the Exchange Act.
Large Accelerated Filer | ¨ | Accelerated Filer | ¨ | |||
Non-Accelerated Filer | ¨ (Do not check if a smaller reporting company) | Smaller Reporting Company | x |
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes ¨ No x
PART I - FINANCIAL INFORMATION
ITEM 1. | FINANCIAL STATEMENTS |
The following unaudited financial statements of Superfund Green, L.P., Superfund Green, L.P. Series A and Superfund Green, L.P. Series B are included in Item 1:
Page | ||||
Financial Statements: Superfund Green, L.P. |
||||
Statements of Assets and Liabilities as of September 30, 2014 (unaudited) and December 31, 2013 |
3 | |||
Unaudited Condensed Schedule of Investments as of September 30, 2014 |
4 | |||
5 | ||||
6 | ||||
7 | ||||
8 | ||||
Financial Statements: Superfund Green, L.P. Series A |
||||
Statements of Assets and Liabilities as of September 30, 2014 (unaudited) and December 31, 2013 |
9 | |||
Unaudited Condensed Schedule of Investments as of September 30, 2014 |
10 | |||
11 | ||||
12 | ||||
13 | ||||
14 | ||||
Financial Statements: Superfund Green, L.P. Series B |
||||
Statements of Assets and Liabilities as of September 30, 2014 (unaudited) and December 31, 2013 |
15 | |||
Unaudited Condensed Schedule of Investments as of September 30, 2014 |
16 | |||
17 | ||||
18 | ||||
19 | ||||
20 | ||||
21-41 |
2
STATEMENTS OF ASSETS AND LIABILITIES
as of September 30, 2014 and December 31, 2013
September 30, 2014 (unaudited) |
December 31, 2013 | |||||||
ASSETS |
||||||||
Due from brokers |
$ | 8,229,591 | $ | 16,073,812 | ||||
Unrealized gain on futures contracts purchased |
222,589 | 1,125,807 | ||||||
Unrealized gain on futures contracts sold |
566,715 | 567,289 | ||||||
Cash |
13,492,187 | 11,990,898 | ||||||
|
|
|
|
|||||
Total assets |
22,511,082 | 29,757,806 | ||||||
|
|
|
|
|||||
LIABILITIES |
||||||||
Unrealized depreciation on open forward contracts |
| 44 | ||||||
Unrealized loss on futures contracts purchased |
364,776 | 447,541 | ||||||
Unrealized loss on futures contracts sold |
27,029 | 427,711 | ||||||
Redemptions payable |
458,543 | 1,026,822 | ||||||
Management fees payable |
34,189 | 44,638 | ||||||
Fees payable |
19,183 | 52,699 | ||||||
|
|
|
|
|||||
Total liabilities |
903,720 | 1,999,455 | ||||||
|
|
|
|
|||||
NET ASSETS |
$ | 21,607,362 | $ | 27,758,351 | ||||
|
|
|
|
See accompanying notes to unaudited financial statements.
3
UNAUDITED CONDENSED SCHEDULE OF INVESTMENTS
as of September 30, 2014
Percentage of Net Assets |
Fair Value | |||||||
Futures contracts purchased |
||||||||
Currency |
(0.1 | )% | $ | (17,175 | ) | |||
Energy |
(0.2 | ) | (37,497 | ) | ||||
Financial |
0.3 | 69,641 | ||||||
Food & Fiber |
(0.0 | )* | (2,355 | ) | ||||
Indices |
(0.6 | ) | (122,734 | ) | ||||
Livestock |
0.2 | 42,770 | ||||||
Metals |
(0.3 | ) | (74,837 | ) | ||||
|
|
|
|
|||||
Total futures contracts purchased |
(0.7 | ) | (142,187 | ) | ||||
|
|
|
|
|||||
Futures contracts sold |
||||||||
Currency |
0.5 | 108,817 | ||||||
Energy |
0.3 | 70,305 | ||||||
Financial |
0.0 | * | 3,156 | |||||
Food & Fiber |
0.6 | 119,603 | ||||||
Indices |
0.1 | 24,337 | ||||||
Metals |
1.0 | 213,468 | ||||||
|
|
|
|
|||||
Total futures contracts sold |
2.5 | 539,686 | ||||||
|
|
|
|
|||||
Total futures contracts, at fair value |
1.8 | % | $ | 397,499 | ||||
|
|
|
|
|||||
Futures contracts by country composition |
||||||||
Australia |
(0.1 | )% | $ | (11,688 | ) | |||
Canada |
(0.2 | ) | (41,712 | ) | ||||
European Monetary Union |
0.0 | * | 4,434 | |||||
Great Britain |
0.1 | 18,035 | ||||||
Japan |
(0.0 | )* | (59 | ) | ||||
United States |
1.7 | 370,572 | ||||||
Other |
0.3 | 57,917 | ||||||
|
|
|
|
|||||
Total futures contracts by country composition |
1.8 | % | $ | 397,499 | ||||
|
|
|
|
* | Due to rounding amount is less than 0.05% |
See accompanying notes to unaudited financial statements.
4
CONDENSED SCHEDULE OF INVESTMENTS
as of December 31, 2013
Percentage of Net Assets |
Fair Value | |||||||
Forward contracts, at fair value |
||||||||
Unrealized depreciation on open forward contracts |
||||||||
Currency |
(0.0 | )*% | $ | (44 | ) | |||
|
|
|
|
|||||
Total unrealized depreciation on open forward contracts |
(0.0 | )* | (44 | ) | ||||
|
|
|
|
|||||
Total forward contracts, at fair value |
(0.0 | )*% | $ | (44 | ) | |||
|
|
|
|
|||||
Futures contracts purchased |
||||||||
Currency |
0.1 | % | $ | 38,556 | ||||
Energy |
(0.5 | ) | (141,489 | ) | ||||
Financial |
(0.0 | )* | (10,479 | ) | ||||
Food & Fiber |
(0.3 | ) | (78,391 | ) | ||||
Indices |
2.2 | 611,530 | ||||||
Livestock |
(0.1 | ) | (17,370 | ) | ||||
Metals |
1.0 | 275,909 | ||||||
|
|
|
|
|||||
Total futures contracts purchased |
2.4 | 678,266 | ||||||
|
|
|
|
|||||
Futures contracts sold |
||||||||
Currency |
0.4 | 114,493 | ||||||
Financial |
0.6 | 157,642 | ||||||
Food & Fiber |
0.4 | 121,987 | ||||||
Indices |
(0.1 | ) | (18,565 | ) | ||||
Metals |
(0.9 | ) | (235,979 | ) | ||||
|
|
|
|
|||||
Total futures contracts sold |
0.4 | 139,578 | ||||||
|
|
|
|
|||||
Total futures contracts, at fair value |
2.8 | % | $ | 817,844 | ||||
|
|
|
|
|||||
Futures and forward contracts by country composition |
||||||||
Australia |
(0.1 | )% | $ | (20,634 | ) | |||
Canada |
0.3 | 74,452 | ||||||
European Monetary Union |
0.0 | * | 2,487 | |||||
Great Britain |
0.0 | * | 1,637 | |||||
Japan |
0.4 | 103,732 | ||||||
United States |
2.1 | 591,287 | ||||||
Other |
0.2 | 64,839 | ||||||
|
|
|
|
|||||
Total futures and forward contracts by country composition |
2.9 | % | $ | 817,800 | ||||
|
|
|
|
* | Due to rounding amount is less than 0.05% |
See accompanying notes to unaudited financial statements.
5
UNAUDITED STATEMENTS OF OPERATIONS
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2014 | 2013 | 2014 | 2013 | |||||||||||||
Investment Income |
||||||||||||||||
Interest income |
$ | 576 | $ | 669 | $ | 2,114 | $ | 2,492 | ||||||||
Other income |
7 | 1 | 14 | 6 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total investment income |
583 | 670 | 2,128 | 2,498 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Expenses |
||||||||||||||||
Selling commission |
222,965 | 311,161 | 735,446 | 1,023,135 | ||||||||||||
Brokerage commissions |
110,951 | 133,370 | 436,376 | 537,319 | ||||||||||||
Management fee |
103,122 | 143,912 | 340,144 | 473,202 | ||||||||||||
Ongoing offering expenses |
| 77,790 | 66,809 | 255,785 | ||||||||||||
Operating expenses |
8,361 | 11,668 | 27,581 | 38,369 | ||||||||||||
Other |
5,807 | 3,389 | 10,478 | 15,476 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total expenses |
451,206 | 681,290 | 1,616,834 | 2,343,286 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment loss |
$ | (450,623 | ) | $ | (680,620 | ) | $ | (1,614,706 | ) | $ | (2,340,788 | ) | ||||
|
|
|
|
|
|
|
|
|||||||||
Realized and unrealized gain (loss) on investments |
||||||||||||||||
Net realized gain (loss) on futures and forward contracts |
$ | 1,645,756 | $ | (350,857 | ) | $ | 2,895,900 | $ | 5,864,091 | |||||||
Net change in unrealized appreciation (depreciation) on futures and forward contracts |
164,519 | (903,997 | ) | (420,301 | ) | (1,586,798 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Net gain (loss) on investments |
$ | 1,810,275 | $ | (1,254,854 | ) | $ | 2,475,599 | $ | 4,277,293 | |||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) in net assets from operations |
$ | 1,359,652 | $ | (1,935,474 | ) | $ | 860,893 | $ | 1,936,505 | |||||||
|
|
|
|
|
|
|
|
See accompanying notes to unaudited financial statements.
6
UNAUDITED STATEMENTS OF CHANGES IN NET ASSETS
Nine Months Ended September 30, |
||||||||
2014 | 2013 | |||||||
Increase (decrease) in net assets from operations |
||||||||
Net investment loss |
$ | (1,614,706 | ) | $ | (2,340,788 | ) | ||
Net realized gain on futures and forward contracts |
2,895,900 | 5,864,091 | ||||||
Net change in unrealized depreciation on futures and forward contracts |
(420,301 | ) | (1,586,798 | ) | ||||
|
|
|
|
|||||
Net increase in net assets from operations |
860,893 | 1,936,505 | ||||||
Capital share transactions |
||||||||
Issuance of Units |
811,597 | 1,008,292 | ||||||
Redemption of Units |
(7,823,479 | ) | (8,616,176 | ) | ||||
|
|
|
|
|||||
Net decrease in net assets from capital share transactions |
(7,011,882 | ) | (7,607,884 | ) | ||||
|
|
|
|
|||||
Net decrease in net assets |
(6,150,989 | ) | (5,671,379 | ) | ||||
Net assets, beginning of period |
27,758,351 | 34,414,298 | ||||||
|
|
|
|
|||||
Net assets, end of period |
$ | 21,607,362 | $ | 28,742,919 | ||||
|
|
|
|
See accompanying notes to unaudited financial statements.
7
UNAUDITED STATEMENTS OF CASH FLOWS
Nine Months Ended September 30, |
||||||||
2014 | 2013 | |||||||
Cash flows from operating activities |
||||||||
Net increase in net assets from operations |
$ | 860,893 | $ | 1,936,505 | ||||
Adjustment to reconcile net increase in net assets from operations to net cash provided by operating activities: |
||||||||
Changes in operating assets and liabilities: |
||||||||
Decrease in due from brokers |
7,844,221 | 4,197,186 | ||||||
Decrease in due from affiliate |
| 187 | ||||||
Decrease in unrealized appreciation on open forward contracts |
| 299,541 | ||||||
Decrease in futures contracts purchased |
820,453 | 1,229,303 | ||||||
Decrease in unrealized depreciation on open forward contracts |
(44 | ) | (176,651 | ) | ||||
Increase (decrease) in futures contracts sold |
(400,108 | ) | 234,605 | |||||
Decrease in management fees payable |
(10,449 | ) | (10,516 | ) | ||||
Decrease in fees payable |
(33,516 | ) | (18,525 | ) | ||||
|
|
|
|
|||||
Net cash provided by operating activities |
9,081,450 | 7,691,635 | ||||||
|
|
|
|
|||||
Cash flows from financing activities |
||||||||
Subscriptions, net of change in advanced subscriptions |
811,597 | 1,043,292 | ||||||
Redemptions, net of change in redemptions payable |
(8,391,758 | ) | (9,803,729 | ) | ||||
|
|
|
|
|||||
Net cash used in financing activities |
(7,580,161 | ) | (8,760,437 | ) | ||||
|
|
|
|
|||||
Net increase (decrease) in cash |
1,501,289 | (1,068,802 | ) | |||||
Cash, beginning of period |
11,990,898 | 18,965,187 | ||||||
|
|
|
|
|||||
Cash, end of period |
$ | 13,492,187 | $ | 17,896,385 | ||||
|
|
|
|
See accompanying notes to unaudited financial statements.
8
SUPERFUND GREEN, L.P. SERIES A
STATEMENTS OF ASSETS AND LIABILITIES
as of September 30, 2014 and December 31, 2013
September 30, 2014 (unaudited) |
December 31, 2013 | |||||||
ASSETS |
||||||||
Due from brokers |
$ | 3,211,643 | $ | 6,653,002 | ||||
Unrealized gain on futures contracts purchased |
75,362 | 419,557 | ||||||
Unrealized gain on futures contracts sold |
199,479 | 217,928 | ||||||
Cash |
7,385,266 | 6,593,319 | ||||||
|
|
|
|
|||||
Total assets |
10,871,750 | 13,883,806 | ||||||
|
|
|
|
|||||
LIABILITIES |
||||||||
Unrealized depreciation on open forward contracts |
| 12 | ||||||
Unrealized loss on futures contracts purchased |
134,204 | 177,312 | ||||||
Unrealized loss on futures contracts sold |
10,650 | 167,110 | ||||||
Redemptions payable |
158,502 | 516,586 | ||||||
Management fees payable |
16,576 | 20,921 | ||||||
Fees payable |
11,975 | 27,469 | ||||||
|
|
|
|
|||||
Total liabilities |
331,907 | 909,410 | ||||||
|
|
|
|
|||||
NET ASSETS |
$ | 10,539,843 | $ | 12,974,396 | ||||
|
|
|
|
|||||
Number of Units outstanding |
8,465.232 | 10,676.154 | ||||||
Net Asset Value per Unit |
$ | 1,245.07 | $ | 1,215.27 | ||||
|
|
|
|
See accompanying notes to unaudited financial statements.
9
SUPERFUND GREEN, L.P. SERIES A
UNAUDITED CONDENSED SCHEDULE OF INVESTMENTS
as of September 30, 2014
Percentage of Net Assets |
Fair Value | |||||||
Futures contracts purchased |
||||||||
Currency |
(0.1 | )% | $ | (6,488 | ) | |||
Energy |
(0.2 | ) | (18,791 | ) | ||||
Financial |
0.2 | 23,541 | ||||||
Food & Fiber |
0.0 | * | 405 | |||||
Indices |
(0.4 | ) | (41,716 | ) | ||||
Livestock |
0.2 | 16,480 | ||||||
Metals |
(0.3 | ) | (32,273 | ) | ||||
|
|
|
|
|||||
Total futures contracts purchased |
(0.5 | ) | (58,842 | ) | ||||
|
|
|
|
|||||
Futures contracts sold |
||||||||
Currency |
0.3 | 32,284 | ||||||
Energy |
0.2 | 24,918 | ||||||
Financial |
0.0 | * | 1,459 | |||||
Food & Fiber |
0.4 | 43,328 | ||||||
Indices |
0.1 | 9,967 | ||||||
Metals |
0.7 | 76,873 | ||||||
|
|
|
|
|||||
Total futures contracts sold |
1.6 | 188,829 | ||||||
|
|
|
|
|||||
Total futures contracts, at fair value |
1.1 | % | $ | 129,987 | ||||
|
|
|
|
|||||
Futures contracts by country composition |
||||||||
Australia |
(0.0 | )*% | $ | (4,929 | ) | |||
Canada |
(0.1 | ) | (15,606 | ) | ||||
European Monetary Union |
0.0 | * | 1,636 | |||||
Great Britain |
0.1 | 7,000 | ||||||
Japan |
(0.0 | )* | (4,400 | ) | ||||
United States |
1.0 | 119,556 | ||||||
Other |
0.3 | 26,730 | ||||||
|
|
|
|
|||||
Total futures contracts by country composition |
1.1 | % | $ | 129,987 | ||||
|
|
|
|
* | Due to rounding amount is less than 0.05% |
See accompanying notes to unaudited financial statements.
10
SUPERFUND GREEN, L.P. SERIES A
CONDENSED SCHEDULE OF INVESTMENTS
as of December 31, 2013
Percentage of Net Assets |
Fair Value | |||||||
Forward contracts, at fair value |
||||||||
Unrealized depreciation on open forward contracts |
||||||||
Currency |
(0.0 | )*% | $ | (12 | ) | |||
|
|
|
|
|||||
Total unrealized depreciation on open forward contracts |
(0.0 | )* | (12 | ) | ||||
|
|
|
|
|||||
Total forward contracts, at fair value |
(0.0 | )*% | $ | (12 | ) | |||
|
|
|
|
|||||
Futures contracts purchased |
||||||||
Currency |
0.1 | % | $ | 14,519 | ||||
Energy |
(0.4 | ) | (58,373 | ) | ||||
Financial |
(0.0 | )* | (5,977 | ) | ||||
Food & Fiber |
(0.2 | ) | (30,616 | ) | ||||
Indices |
1.7 | 225,088 | ||||||
Livestock |
(0.1 | ) | (6,620 | ) | ||||
Metals |
0.8 | 104,224 | ||||||
|
|
|
|
|||||
Total futures contracts purchased |
1.9 | 242,245 | ||||||
|
|
|
|
|||||
Futures contracts sold |
||||||||
Currency |
0.3 | 40,617 | ||||||
Financial |
0.5 | 68,053 | ||||||
Food & Fiber |
0.4 | 48,543 | ||||||
Indices |
(0.0 | )* | (5,775 | ) | ||||
Metals |
(0.8 | ) | (100,620 | ) | ||||
|
|
|
|
|||||
Total futures contracts sold |
0.4 | 50,818 | ||||||
|
|
|
|
|||||
Total futures contracts, at fair value |
2.3 | % | $ | 293,063 | ||||
|
|
|
|
|||||
Futures and forward contracts by country composition |
||||||||
Australia |
(0.1 | )% | $ | (10,603 | ) | |||
Canada |
0.2 | 24,170 | ||||||
European Monetary Union |
0.0 | * | 1,333 | |||||
Great Britain |
0.0 | * | 3,148 | |||||
Japan |
0.2 | 31,374 | ||||||
United States |
1.8 | 219,921 | ||||||
Other |
0.2 | 23,708 | ||||||
|
|
|
|
|||||
Total futures and forward contracts by country composition |
2.3 | % | $ | 293,051 | ||||
|
|
|
|
* | Due to rounding amount is less than 0.05% |
See accompanying notes to unaudited financial statements.
11
SUPERFUND GREEN, L.P. SERIES A
UNAUDITED STATEMENTS OF OPERATIONS
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2014 | 2013 | 2014 | 2013 | |||||||||||||
Investment Income |
||||||||||||||||
Interest income |
$ | 207 | $ | 259 | $ | 801 | $ | 1,013 | ||||||||
Other income |
| | 3 | 2 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total investment income |
207 | 259 | 804 | 1,015 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Expenses |
||||||||||||||||
Selling commission |
107,380 | 146,996 | 351,673 | 483,336 | ||||||||||||
Brokerage commissions |
42,697 | 48,968 | 167,583 | 201,711 | ||||||||||||
Management fee |
49,664 | 67,985 | 162,649 | 223,543 | ||||||||||||
Ongoing offering expenses |
| 36,749 | 31,599 | 120,835 | ||||||||||||
Operating expenses |
4,027 | 5,512 | 13,189 | 18,126 | ||||||||||||
Other |
2,372 | 1,428 | 4,297 | 6,052 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total expenses |
206,140 | 307,638 | 730,990 | 1,053,603 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment loss |
$ | (205,933 | ) | $ | (307,379 | ) | $ | (730,186 | ) | $ | (1,052,588 | ) | ||||
|
|
|
|
|
|
|
|
|||||||||
Realized and unrealized gain (loss) on investments |
||||||||||||||||
Net realized gain (loss) on futures and forward contracts |
$ | 671,825 | $ | (201,750 | ) | $ | 1,105,499 | $ | 2,234,555 | |||||||
Net change in unrealized appreciation (depreciation) on futures and forward contracts |
32,570 | (378,167 | ) | (163,064 | ) | (543,761 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Net gain (loss) on investments |
$ | 704,395 | $ | (579,917 | ) | $ | 942,435 | $ | 1,690,794 | |||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) in net assets from operations |
$ | 498,462 | $ | (887,296 | ) | $ | 212,249 | $ | 638,206 | |||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) in net assets from operations per Unit (based upon weighted average number of units outstanding during period)* |
$ | 58.06 | $ | (73.58 | ) | $ | 22.56 | $ | 49.50 | |||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) in net assets from operations per Unit (based upon change in net asset value per unit during period)* |
$ | 57.83 | $ | (73.32 | ) | $ | 29.80 | $ | 33.27 | |||||||
|
|
|
|
|
|
|
|
* | Weighted average number of Units outstanding for Series A for the three months ended September 30, 2014 and September 30, 2013: 8,585.77 and 12,059.55, respectively; and for the nine months ended September 30, 2014 and September 30, 2013: 9,408.27 and 12,894.19, respectively. |
See accompanying notes to unaudited financial statements.
12
SUPERFUND GREEN, L.P. SERIES A
UNAUDITED STATEMENTS OF CHANGES IN NET ASSETS
Nine Months Ended September 30, |
||||||||
2014 | 2013 | |||||||
Increase (decrease) in net assets from operations |
||||||||
Net investment loss |
$ | (730,186 | ) | $ | (1,052,588 | ) | ||
Net realized gain on futures and forward contracts |
1,105,499 | 2,234,555 | ||||||
Net change in unrealized depreciation on futures and forward contracts |
(163,064 | ) | (543,761 | ) | ||||
|
|
|
|
|||||
Net increase in net assets from operations |
212,249 | 638,206 | ||||||
Capital share transactions |
||||||||
Issuance of Units |
501,619 | 380,482 | ||||||
Redemption of Units |
(3,148,421 | ) | (3,892,364 | ) | ||||
|
|
|
|
|||||
Net decrease in net assets from capital share transactions |
(2,646,802 | ) | (3,511,882 | ) | ||||
Net decrease in net assets |
(2,434,553 | ) | (2,873,676 | ) | ||||
Net assets, beginning of period |
12,974,396 | 16,557,336 | ||||||
|
|
|
|
|||||
Net assets, end of period |
$ | 10,539,843 | $ | 13,683,660 | ||||
|
|
|
|
|||||
Units, beginning of period |
10,676.154 | 14,646.201 | ||||||
Issuance of Units |
421.664 | 312.611 | ||||||
Redemption of Units |
(2,632.586 | ) | (3,200.679 | ) | ||||
|
|
|
|
|||||
Units, end of period |
8,465.232 | 11,758.133 | ||||||
|
|
|
|
See accompanying notes to unaudited financial statements.
13
SUPERFUND GREEN, L.P. SERIES A
UNAUDITED STATEMENTS OF CASH FLOWS
Nine Months Ended September 30, |
||||||||
2014 | 2013 | |||||||
Cash flows from operating activities |
||||||||
Net increase in net assets from operations |
$ | 212,249 | $ | 638,206 | ||||
Adjustment to reconcile net increase in net assets from operations to net cash provided by operating activities: |
||||||||
Changes in operating assets and liabilities: |
||||||||
Decrease in due from brokers |
3,441,359 | 2,591,294 | ||||||
Decrease in due from affiliate |
| 187 | ||||||
Decrease in unrealized appreciation on open forward contracts |
| 89,225 | ||||||
Decrease in futures contracts purchased |
301,087 | 413,357 | ||||||
Decrease in unrealized depreciation on open forward contracts |
(12 | ) | (62,245 | ) | ||||
Increase (decrease) in futures contracts sold |
(138,011 | ) | 103,424 | |||||
Decrease in management fees payable |
(4,345 | ) | (5,818 | ) | ||||
Decrease in fees payable |
(15,494 | ) | (9,079 | ) | ||||
|
|
|
|
|||||
Net cash provided by operating activities |
3,796,833 | 3,758,551 | ||||||
|
|
|
|
|||||
Cash flows from financing activities |
||||||||
Subscriptions, net of change in advanced subscriptions |
501,619 | 415,482 | ||||||
Redemptions, net of change in redemptions payable |
(3,506,505 | ) | (4,812,544 | ) | ||||
|
|
|
|
|||||
Net cash used in financing activities |
(3,004,886 | ) | (4,397,062 | ) | ||||
|
|
|
|
|||||
Net increase (decrease) in cash |
791,947 | (638,511 | ) | |||||
Cash, beginning of period |
6,593,319 | 10,113,907 | ||||||
|
|
|
|
|||||
Cash, end of period |
$ | 7,385,266 | $ | 9,475,396 | ||||
|
|
|
|
See accompanying notes to unaudited financial statements.
14
SUPERFUND GREEN, L.P. SERIES B
STATEMENTS OF ASSETS AND LIABILITIES
as of September 30, 2014 and December 31, 2013
September 30, 2014 (unaudited) |
December 31, 2013 | |||||||
ASSETS |
||||||||
Due from brokers |
$ | 5,017,948 | $ | 9,420,810 | ||||
Unrealized gain on futures contracts purchased |
147,227 | 706,250 | ||||||
Unrealized gain on futures contracts sold |
367,236 | 349,361 | ||||||
Cash |
6,106,921 | 5,397,579 | ||||||
|
|
|
|
|||||
Total assets |
11,639,332 | 15,874,000 | ||||||
|
|
|
|
|||||
LIABILITIES |
||||||||
Unrealized depreciation on open forward contracts |
| 32 | ||||||
Unrealized loss on futures contracts purchased |
230,572 | 270,229 | ||||||
Unrealized loss on futures contracts sold |
16,379 | 260,601 | ||||||
Redemptions payable |
300,041 | 510,236 | ||||||
Management fees payable |
17,613 | 23,717 | ||||||
Fees payable |
7,208 | 25,230 | ||||||
|
|
|
|
|||||
Total liabilities |
571,813 | 1,090,045 | ||||||
|
|
|
|
|||||
NET ASSETS |
$ | 11,067,519 | $ | 14,783,955 | ||||
|
|
|
|
|||||
Number of Units outstanding |
7,992.734 | 11,363.782 | ||||||
Net Asset Value per Unit |
$ | 1,384.70 | $ | 1,300.97 | ||||
|
|
|
|
See accompanying notes to unaudited financial statements.
15
SUPERFUND GREEN, L.P. SERIES B
UNAUDITED CONDENSED SCHEDULE OF INVESTMENTS
as of September 30, 2014
Percentage of Net Assets |
Fair Value | |||||||
Futures contracts purchased |
||||||||
Currency |
(0.1 | )% | $ | (10,687 | ) | |||
Energy |
(0.2 | ) | (18,706 | ) | ||||
Financial |
0.4 | 46,100 | ||||||
Food & Fiber |
(0.0 | )* | (2,760 | ) | ||||
Indices |
(0.7 | ) | (81,018 | ) | ||||
Livestock |
0.2 | 26,290 | ||||||
Metals |
(0.4 | ) | (42,564 | ) | ||||
|
|
|
|
|||||
Total futures contracts purchased |
(0.8 | ) | (83,345 | ) | ||||
|
|
|
|
|||||
Futures contracts sold |
||||||||
Currency |
0.7 | 76,533 | ||||||
Energy |
0.4 | 45,387 | ||||||
Financial |
0.0 | * | 1,697 | |||||
Food & Fiber |
0.7 | 76,275 | ||||||
Livestock |
0.1 | 14,370 | ||||||
Metals |
1.2 | 136,595 | ||||||
|
|
|
|
|||||
Total futures contracts sold |
3.2 | 350,857 | ||||||
|
|
|
|
|||||
Total futures contracts, at fair value |
2.4 | % | $ | 267,512 | ||||
|
|
|
|
|||||
Futures contracts by country composition |
||||||||
Australia |
(0.1 | )% | $ | (6,759 | ) | |||
Canada |
(0.2 | ) | (26,106 | ) | ||||
European Monetary Union |
0.0 | * | 2,798 | |||||
Great Britain |
0.1 | 11,035 | ||||||
Japan |
0.0 | * | 4,341 | |||||
United States |
2.3 | 251,016 | ||||||
Other |
0.3 | 31,187 | ||||||
|
|
|
|
|||||
Total futures contracts by country composition |
2.4 | % | $ | 267,512 | ||||
|
|
|
|
* | Due to rounding amount is less than 0.05% |
See accompanying notes to unaudited financial statements.
16
SUPERFUND GREEN, L.P. SERIES B
CONDENSED SCHEDULE OF INVESTMENTS
as of December 31, 2013
Percentage of Net Assets |
Fair Value | |||||||
Forward contracts, at fair value |
||||||||
Unrealized depreciation on open forward contracts |
||||||||
Currency |
(0.0 | )*% | $ | (32 | ) | |||
|
|
|
|
|||||
Total unrealized depreciation on open forward contracts |
(0.0 | )* | (32 | ) | ||||
|
|
|
|
|||||
Total forward contracts, at fair value |
(0.0 | )*% | $ | (32 | ) | |||
|
|
|
|
|||||
Futures contracts purchased |
||||||||
Currency |
0.2 | % | $ | 24,037 | ||||
Energy |
(0.6 | ) | (83,116 | ) | ||||
Financial |
(0.0 | )* | (4,502 | ) | ||||
Food & Fiber |
(0.3 | ) | (47,775 | ) | ||||
Indices |
2.5 | 386,442 | ||||||
Livestock |
(0.1 | ) | (10,750 | ) | ||||
Metals |
1.2 | 171,685 | ||||||
|
|
|
|
|||||
Total futures contracts purchased |
2.9 | 436,021 | ||||||
|
|
|
|
|||||
Futures contracts sold |
||||||||
Currency |
0.5 | 73,876 | ||||||
Financial |
0.6 | 89,589 | ||||||
Food & Fiber |
0.5 | 73,444 | ||||||
Indices |
(0.1 | ) | (12,790 | ) | ||||
Metals |
(0.9 | ) | (135,359 | ) | ||||
|
|
|
|
|||||
Total futures contracts sold |
0.6 | 88,760 | ||||||
|
|
|
|
|||||
Total futures contracts, at fair value |
3.5 | % | $ | 524,781 | ||||
|
|
|
|
|||||
Futures and forward contracts by country composition |
||||||||
Australia |
(0.1 | )% | $ | (10,031 | ) | |||
Canada |
0.3 | 50,282 | ||||||
European Monetary Union |
0.0 | * | 1,154 | |||||
Great Britain |
(0.0 | )* | (1,511 | ) | ||||
Japan |
0.5 | 72,358 | ||||||
United States |
2.5 | 371,366 | ||||||
Other |
0.3 | 41,131 | ||||||
|
|
|
|
|||||
Total futures and forward contracts by country composition |
3.5 | % | $ | 524,749 | ||||
|
|
|
|
* | Due to rounding amount is less than 0.05% |
See accompanying notes to unaudited financial statements.
17
SUPERFUND GREEN, L.P. SERIES B
UNAUDITED STATEMENTS OF OPERATIONS
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2014 | 2013 | 2014 | 2013 | |||||||||||||
Investment Income |
||||||||||||||||
Interest income |
$ | 369 | $ | 410 | $ | 1,313 | $ | 1,479 | ||||||||
Other income |
7 | 1 | 11 | 4 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total investment income |
376 | 411 | 1,324 | 1,483 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Expenses |
||||||||||||||||
Selling commission |
115,585 | 164,165 | 383,773 | 539,799 | ||||||||||||
Brokerage commissions |
68,254 | 84,402 | 268,793 | 335,608 | ||||||||||||
Management fee |
53,458 | 75,927 | 177,495 | 249,659 | ||||||||||||
Ongoing offering expenses |
| 41,041 | 35,210 | 134,950 | ||||||||||||
Operating expenses |
4,334 | 6,156 | 14,392 | 20,243 | ||||||||||||
Other |
3,435 | 1,961 | 6,181 | 9,424 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total expenses |
245,066 | 373,652 | 885,844 | 1,289,683 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment loss |
$ | (244,690 | ) | $ | (373,241 | ) | $ | (884,520 | ) | $ | (1,288,200 | ) | ||||
|
|
|
|
|
|
|
|
|||||||||
Realized and unrealized gain (loss) on investments |
||||||||||||||||
Net realized gain (loss) on futures and forward contracts |
$ | 973,931 | $ | (149,107 | ) | $ | 1,790,401 | $ | 3,629,536 | |||||||
Net change in unrealized appreciation (depreciation) on futures and forward contracts |
131,949 | (525,830 | ) | (257,237 | ) | (1,043,037 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Net gain (loss) on investments |
$ | 1,105,880 | $ | (674,937 | ) | $ | 1,533,164 | $ | 2,586,499 | |||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) in net assets from operations |
$ | 861,190 | $ | (1,048,178 | ) | $ | 648,644 | $ | 1,298,299 | |||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) in net assets from operations per Unit (based upon weighted average number of units outstanding during period)* |
$ | 104.22 | $ | (81.05 | ) | $ | 69.02 | $ | 94.86 | |||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) in net assets from operations per Unit (based upon change in net asset value per unit during period)* |
$ | 102.68 | $ | (80.80 | ) | $ | 83.73 | $ | 68.51 | |||||||
|
|
|
|
|
|
|
|
* | Weighted average number of Units outstanding for Series B for the three months ended September 30, 2014 and September 30, 2013: 8,262.87 and 12,933.28, respectively; and for the nine months ended September 30, 2014 and September 30, 2013: 9,397.93 and 13,687.18, respectively. |
See accompanying notes to unaudited financial statements.
18
SUPERFUND GREEN, L.P. SERIES B
UNAUDITED STATEMENTS OF CHANGES IN NET ASSETS
Nine Months Ended September 30, |
||||||||
2014 | 2013 | |||||||
Increase (decrease) in net assets from operations |
||||||||
Net investment loss |
$ | (884,520 | ) | $ | (1,288,200 | ) | ||
Net realized gain on futures and forward contracts |
1,790,401 | 3,629,536 | ||||||
Net change in unrealized depreciation on futures and forward contracts |
(257,237 | ) | (1,043,037 | ) | ||||
|
|
|
|
|||||
Net increase in net assets from operations |
648,644 | 1,298,299 | ||||||
Capital share transactions |
||||||||
Issuance of Units |
309,978 | 627,810 | ||||||
Redemption of Units |
(4,675,058 | ) | (4,723,812 | ) | ||||
|
|
|
|
|||||
Net decrease in net assets from capital share transactions |
(4,365,080 | ) | (4,096,002 | ) | ||||
Net decrease in net assets |
(3,716,436 | ) | (2,797,703 | ) | ||||
Net assets, beginning of period |
14,783,955 | 17,856,962 | ||||||
|
|
|
|
|||||
Net assets, end of period |
$ | 11,067,519 | $ | 15,059,259 | ||||
|
|
|
|
|||||
Units, beginning of period |
11,363.782 | 15,682.537 | ||||||
Issuance of Units |
240.191 | 471.535 | ||||||
Redemption of Units |
(3,611.239 | ) | (3,679.082 | ) | ||||
|
|
|
|
|||||
Units, end of period |
7,992.734 | 12,474.990 | ||||||
|
|
|
|
See accompanying notes to unaudited financial statements.
19
SUPERFUND GREEN, L.P. SERIES B
UNAUDITED STATEMENTS OF CASH FLOWS
Nine Months Ended September 30, |
||||||||
2014 | 2013 | |||||||
Cash flows from operating activities |
||||||||
Net increase in net assets from operations |
$ | 648,644 | $ | 1,298,299 | ||||
Adjustment to reconcile net increase in net assets from operations to net cash provided by operating activities: |
||||||||
Changes in operating assets and liabilities: |
||||||||
Decrease in due from brokers |
4,402,862 | 1,605,892 | ||||||
Decrease in unrealized appreciation on open forward contracts |
| 210,316 | ||||||
Decrease in futures contracts purchased |
519,366 | 815,946 | ||||||
Decrease in unrealized depreciation on open forward contracts |
(32 | ) | (114,406 | ) | ||||
Increase (decrease) in futures contracts sold |
(262,097 | ) | 131,181 | |||||
Decrease in management fees payable |
(6,104 | ) | (4,698 | ) | ||||
Decrease in fees payable |
(18,022 | ) | (9,446 | ) | ||||
|
|
|
|
|||||
Net cash provided by operating activities |
5,284,617 | 3,933,084 | ||||||
|
|
|
|
|||||
Cash flows from financing activities |
||||||||
Subscriptions, net of change in advanced subscriptions |
309,978 | 627,810 | ||||||
Redemptions, net of change in redemptions payable |
(4,885,253 | ) | (4,991,185 | ) | ||||
|
|
|
|
|||||
Net cash used in financing activities |
(4,575,275 | ) | (4,363,375 | ) | ||||
|
|
|
|
|||||
Net increase (decrease) in cash |
709,342 | (430,291 | ) | |||||
Cash, beginning of period |
5,397,579 | 8,851,280 | ||||||
|
|
|
|
|||||
Cash, end of period |
$ | 6,106,921 | $ | 8,420,989 | ||||
|
|
|
|
See accompanying notes to unaudited financial statements.
20
SUPERFUND GREEN, L.P., SUPERFUND GREEN, L.P. SERIES A and SUPERFUND GREEN, L.P. SERIES B
NOTES TO UNAUDITED FINANCIAL STATEMENTS
September 30, 2014
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 Funds general partner, Superfund Capital Management, Inc. (Superfund Capital Management) or by operation of law or a decline in the aggregate net assets of such Series to less than $500,000.
2. | Basis of presentation and significant accounting policies |
Basis of Presentation
The unaudited financial statements have been prepared in accordance with the rules and regulations of the Securities and Exchange Commission (SEC) and accounting principles generally accepted in the U.S. (U.S. GAAP) with respect to the Form 10-Q and reflect all adjustments which in the opinion of management are normal and recurring, and which are necessary for a fair statement of the results of interim periods presented. It is suggested that these financial statements be read in conjunction with the financial statements and the related notes included in the Funds Annual Report on Form 10-K for the year ended December 31, 2013.
Valuation of Investments in Futures Contracts and Forward Contracts
All commodity interests (including derivative financial instruments and derivative commodity instruments) are used for trading purposes. The commodity interests are recorded on a trade date basis and open contracts are recorded in the statements of assets and liabilities at fair value on the last business day of the period, which represents market value for those commodity interests for which market quotes are readily available.
Exchange-traded futures contracts are valued at settlement prices published by the recognized exchange. Any spot and forward foreign currency contracts held by the Fund will be valued at published settlement prices or at dealers quotes.
Translation of Foreign Currency
Assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the period-end exchange rates. Purchases and sales of investments and income and expenses that are denominated in foreign currencies are translated into U.S. dollar amounts on the transaction date. Adjustments arising from foreign currency transactions are reflected in the statements of operations.
The Fund does not isolate that portion of the results of operations arising from the effect of changes in foreign exchange rates on investments from fluctuations from changes in market prices of investments held. Such fluctuations are included in net realized and unrealized gain (loss) on investments in the statements of operations.
21
Investment Transactions, Investment Income and Expenses
Investment transactions are accounted for on a trade-date basis. Interest income and expenses are recognized on the accrual basis. Operating expenses of the Fund are allocated to each Series in proportion to the net asset value of the Series at the beginning of each month. Expenses directly attributable to a particular Series are charged directly to that Series.
Gains or losses are realized when contracts are liquidated. Unrealized gains and losses on open contracts (the difference between contract trade price and market price) are reported in the statements of operations as a net gain or loss, as there exists a right of offset of unrealized gains or losses in accordance with Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) 210-20, Offsetting Balance Sheet.
Set forth herein are instruments and transactions eligible for offset in the statements of assets and liabilities and which are subject to derivative clearing agreements with the Funds 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 September 30, 2014, the Fund had on deposit $4,403,137 at ADM Investor Services, Inc., $801,644 at Barclays Capital Inc. and $3,024,810 at Merrill Lynch, Pierce, Fenner & Smith Inc. As of September 30, 2014, Series A had on deposit $1,703,595 at ADM Investor Services, Inc., $348,381 at Barclays Capital Inc. and $1,159,667 at Merrill Lynch, Pierce, Fenner & Smith Inc. As of September 30, 2014, Series B had on deposit $2,699,542 at ADM Investor Services, Inc., $453,263 at Barclays Capital Inc. and $1,865,143 at Merrill Lynch, Pierce, Fenner & Smith Inc.
Income Taxes
The Fund does not record a provision for U.S. income taxes because the partners report their share of the Funds income or loss on their returns. The financial statements reflect the Funds 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 2010 through 2013 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 2013-08
In June 2013, FASB issued Accounting Standards Update (ASU) No. 2013-08, Amendments to the Scope, Measurement, and Disclosure Requirements (ASU 2013-08). ASU 2013-08 contains new guidance regarding the approach to investment company assessment, requires non-controlling ownership interests in other investment companies to be measured at fair value and requires additional disclosures about the investment companys status as an investment company and information required to be provided to any of its investees. The amendments in the update are effective for interim and annual reporting periods in fiscal years that begin after December 15, 2013. The adoption of the provisions of ASU 2013-08 has not had a material impact on the Funds financial statement disclosures.
22
ASU 2011-11
In December 2011, FASB issued ASU No. 2011-11, Disclosures about Offsetting Assets and Liabilities (ASU 2011-11). ASU 2011-11 requires disclosures to make financial statements that are prepared under U.S. GAAP more comparable to those prepared under International Financial Reporting Standards. The new disclosure requirements mandate that entities disclose both gross and net information about instruments and transactions eligible for offset in the statement of assets and liabilities as well as instruments and transactions subject to an agreement similar to a master netting arrangement. In addition, ASU 2011-11 requires disclosure of collateral received and posted in connection with master netting agreements or similar arrangements.
In January 2013, FASB issued guidance to clarify the scope of disclosures about offsetting assets and liabilities. The amendments clarify that the scope of guidance issued in December 2011 to enhance disclosures around financial instrument and derivative instruments that are either (a) offset, or (b) subject to a master netting agreement or similar agreement, irrespective of whether they are offset, applies to derivatives, including bifurcated embedded derivatives, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions that are either offset or subject to an enforceable master netting arrangement or similar agreement. The amendments are effective for interim and annual periods beginning on or after January 1, 2013. Adoption did not have a material impact on the Funds 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 instruments level within the fair value hierarchy is based on the lowest level of any input that is significant to the fair value measurement.
Derivative Contracts. Derivative contracts can be exchange-traded or over-the-counter (OTC). Exchange-traded derivatives typically fall within Level 1 or Level 2 of the fair value hierarchy depending on whether they are deemed to be actively traded or not. The Fund has exposure to exchange-traded derivative contracts through the Funds trading of exchange-traded futures contracts. The Funds 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 Funds 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
23
valuations of these less liquid OTC derivatives are typically based on Level 1 and/or Level 2 inputs that can be observed in the market, as well as unobservable Level 3 inputs. Subsequent to initial recognition, the Fund updates the Level 1 and Level 2 inputs to reflect observable market changes, with resulting gains and losses reflected within Level 3. Level 3 inputs are changed only when corroborated by evidence such as similar market transactions, third-party pricing services and/or broker or dealer quotations, or other empirical market data. In circumstances in which the Fund cannot verify the model value to market transactions, it is possible that a different valuation model could produce a materially different estimate of fair value. The Fund attempts to avoid holding less liquid OTC derivatives. However, once held, the market for any particular derivative contract could become less liquid during the holding period. There were no Level 3 holdings at September 30, 2014 or December 31, 2013 or during the periods then ended.
The following table summarizes the valuation of the Funds assets and liabilities by the ASC 820 fair value hierarchy as of September 30, 2014 and December 31, 2013:
Superfund Green, L.P.
Balance September 30, 2014 |
Level 1 | Level 2 | Level 3 | |||||||||||||
ASSETS |
||||||||||||||||
Futures contracts sold |
$ | 566,715 | $ | 566,715 | $ | | $ | | ||||||||
Futures contracts purchased |
222,589 | 222,589 | | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Assets Measured at Fair Value |
$ | 789,304 | $ | 789,304 | $ | | $ | | ||||||||
|
|
|
|
|
|
|
|
|||||||||
LIABILITIES |
||||||||||||||||
Futures contracts sold |
$ | 27,029 | $ | 27,029 | $ | | $ | | ||||||||
Futures contracts purchased |
364,776 | 364,776 | | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Liabilities Measured at Fair Value |
$ | 391,805 | $ | 391,805 | $ | | $ | | ||||||||
|
|
|
|
|
|
|
|
Balance December 31, 2013 |
Level 1 | Level 2 | Level 3 | |||||||||||||
ASSETS |
||||||||||||||||
Futures contracts sold |
$ | 567,289 | $ | 567,289 | $ | | $ | | ||||||||
Futures contracts purchased |
1,125,807 | 1,125,807 | | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Assets Measured at Fair Value |
$ | 1,693,096 | $ | 1,693,096 | $ | | $ | | ||||||||
|
|
|
|
|
|
|
|
|||||||||
LIABILITIES |
||||||||||||||||
Unrealized depreciation on open forward contracts |
$ | 44 | $ | | $ | 44 | $ | | ||||||||
Futures contracts sold |
427,711 | 427,711 | | | ||||||||||||
Futures contracts purchased |
447,541 | 447,541 | | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Liabilities Measured at Fair Value |
$ | 875,296 | $ | 875,252 | $ | 44 | $ | | ||||||||
|
|
|
|
|
|
|
|
24
Superfund Green, L.P. Series A
Balance September 30, 2014 |
Level 1 | Level 2 | Level 3 | |||||||||||||
ASSETS |
||||||||||||||||
Futures contracts sold |
$ | 199,479 | $ | 199,479 | $ | | $ | | ||||||||
Futures contracts purchased |
75,362 | 75,362 | | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Assets Measured at Fair Value |
$ | 274,841 | $ | 274,841 | $ | | $ | | ||||||||
|
|
|
|
|
|
|
|
|||||||||
LIABILITIES |
||||||||||||||||
Futures contracts sold |
$ | 10,650 | $ | 10,650 | $ | | $ | | ||||||||
Futures contracts purchased |
134,204 | 134,204 | | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Liabilities Measured at Fair Value |
$ | 144,854 | $ | 144,854 | $ | | $ | | ||||||||
|
|
|
|
|
|
|
|
Balance December 31, 2013 |
Level 1 | Level 2 | Level 3 | |||||||||||||
ASSETS |
||||||||||||||||
Futures contracts sold |
$ | 217,928 | $ | 217,928 | $ | | $ | | ||||||||
Futures contracts purchased |
419,557 | 419,557 | | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Assets Measured at Fair Value |
$ | 637,485 | $ | 637,485 | $ | | $ | | ||||||||
|
|
|
|
|
|
|
|
|||||||||
LIABILITIES |
||||||||||||||||
Unrealized depreciation on open forward contracts |
$ | 12 | $ | | $ | 12 | $ | | ||||||||
Futures contracts sold |
167,110 | 167,110 | | | ||||||||||||
Futures contracts purchased |
177,312 | 177,312 | | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Liabilities Measured at Fair Value |
$ | 344,434 | $ | 344,422 | $ | 12 | $ | | ||||||||
|
|
|
|
|
|
|
|
Superfund Green, L.P. Series B
Balance September 30, 2014 |
Level 1 | Level 2 | Level 3 | |||||||||||||
ASSETS |
||||||||||||||||
Futures contracts sold |
$ | 367,236 | $ | 367,236 | $ | | $ | | ||||||||
Futures contracts purchased |
147,227 | 147,227 | | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Assets Measured at Fair Value |
$ | 514,463 | $ | 514,463 | $ | | $ | | ||||||||
|
|
|
|
|
|
|
|
|||||||||
LIABILITIES |
||||||||||||||||
Futures contracts sold |
$ | 16,379 | $ | 16,379 | $ | | $ | | ||||||||
Futures contracts purchased |
230,572 | 230,572 | | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Liabilities Measured at Fair Value |
$ | 246,951 | $ | 246,951 | $ | | $ | | ||||||||
|
|
|
|
|
|
|
|
Balance December 31, 2013 |
Level 1 | Level 2 | Level 3 | |||||||||||||
ASSETS |
||||||||||||||||
Futures contracts sold |
$ | 349,361 | $ | 349,361 | $ | | $ | | ||||||||
Futures contracts purchased |
706,250 | 706,250 | | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Assets Measured at Fair Value |
$ | 1,055,611 | $ | 1,055,611 | $ | | $ | | ||||||||
|
|
|
|
|
|
|
|
|||||||||
LIABILITIES |
||||||||||||||||
Unrealized depreciation on open forward contracts |
$ | 32 | $ | | $ | 32 | $ | | ||||||||
Futures contracts sold |
260,601 | 260,601 | | | ||||||||||||
Futures contracts purchased |
270,229 | 270,229 | | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Liabilities Measured at Fair Value |
$ | 530,862 | $ | 530,830 | $ | 32 | $ | | ||||||||
|
|
|
|
|
|
|
|
25
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 entitys results of operations and financial position.
Derivative instruments held by the Fund do not qualify as derivative instruments held as hedging instruments, as defined in ASC 815. Instead, the Fund includes derivative instruments in its trading activity. Per the requirements of ASC 815, the Fund discloses the gains and losses on its trading activities for both derivative and nonderivative instruments in the statements of operations.
The Fund engages in the speculative trading of forward contracts in currency and futures contracts in a wide range of commodities, including equity markets, interest rates, food and fiber, energy, livestock, and metals. ASC 815 requires entities to recognize all derivatives instruments as either assets or liabilities at fair value in the statement of financial position. Investments in forward contracts and commodity futures contracts are recorded in the statements of assets and liabilities as unrealized appreciation or depreciation on open forward contracts, 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 Funds realized and unrealized gain (loss) on investments in the statements of operations.
Superfund Capital Management believes futures and forward trading activity expressed as a percentage of net assets is indicative of trading activity. Information concerning the fair value of the Funds derivatives held long or sold short, as well as information related to the annual average volume of the Funds derivative activity, is as follows:
Superfund Green, L.P.
The fair value of the Funds derivatives by instrument type, as well as the location of those instruments on the statement of assets and liabilities, as of September 30, 2014, is as follows:
Type of Instrument |
Statement of Assets and Liabilities Location |
Asset Derivatives at September 30, 2014 |
Liability Derivatives at September 30, 2014 |
Net | ||||||||||
Futures contracts |
Futures contracts purchased |
$ | 222,589 | $ | (364,776 | ) | $ | (142,187 | ) | |||||
Futures contracts |
Futures contracts sold |
566,715 | (27,029 | ) | 539,686 | |||||||||
|
|
|
|
|
|
|||||||||
Totals |
$ | 789,304 | $ | (391,805 | ) | $ | 397,499 | |||||||
|
|
|
|
|
|
The fair value of the Funds derivatives by instrument type, as well as the location of those instruments on the statement of assets and liabilities, as of December 31, 2013, is as follows:
Type of Instrument |
Statement of Assets and Liabilities Location |
Asset Derivatives at December 31, 2013 |
Liability Derivatives at December 31, 2013 |
Net | ||||||||||
Foreign exchange contracts |
Unrealized depreciation on open forward contracts |
$ | | $ | (44 | ) | $ | (44 | ) | |||||
Futures contracts |
Futures contracts purchased |
1,125,807 | (447,541 | ) | 678,266 | |||||||||
Futures contracts |
Futures contracts sold |
567,289 | (427,711 | ) | 139,578 | |||||||||
|
|
|
|
|
|
|||||||||
Totals |
$ | 1,693,096 | $ | (875,296 | ) | $ | 817,800 | |||||||
|
|
|
|
|
|
26
Effects of derivative instruments on the statement of operations for the three months ended September 30, 2014:
Derivatives not Designated as Hedging |
Location of Gain (Loss) on
Derivatives |
Net Realized Gain (Loss) on Derivatives Recognized in Income |
Net Change in Unrealized Appreciation on Derivatives Recognized in Income |
|||||||
Foreign exchange contracts |
Net realized/unrealized loss on futures and forward contracts |
$ | (38,258 | ) | $ | | ||||
Futures contracts |
Net realized/unrealized gain on futures and forward contracts |
1,684,014 | 164,519 | |||||||
|
|
|
|
|||||||
Total |
$ | 1,645,756 | $ | 164,519 | ||||||
|
|
|
|
Effects of derivative instruments on the statement of operations for the nine months ended September 30, 2014:
Derivatives not Designated as Hedging |
Location of Gain (Loss) on
Derivatives |
Net Realized Gain (Loss) on Derivatives Recognized in Income |
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income |
|||||||
Foreign exchange contracts |
Net realized/unrealized gain (loss) on futures and forward contracts |
$ | (217,135 | ) | $ | 44 | ||||
Futures contracts |
Net realized/unrealized gain (loss) on futures and forward contracts |
3,113,035 | (420,345 | ) | ||||||
|
|
|
|
|||||||
Total |
$ | 2,895,900 | $ | (420,301 | ) | |||||
|
|
|
|
Effects of derivative instruments on the statement of operations for the three months ended September 30, 2013:
Derivatives not Designated as Hedging |
Location of Gain (Loss) on
Derivatives |
Net Realized Loss on Derivatives Recognized in Income |
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income |
|||||||
Foreign exchange contracts |
Net realized/unrealized gain (loss) on futures and forward contracts |
$ | (52,860 | ) | $ | 11,396 | ||||
Futures contracts |
Net realized/unrealized loss on futures and forward contracts |
(267,997 | ) | (915,393 | ) | |||||
|
|
|
|
|||||||
Total |
$ | (350,857 | ) | $ | (903,997 | ) | ||||
|
|
|
|
27
Effects of derivative instruments on the statement of operations for the nine months ended September 30, 2013:
Derivatives not Designated as Hedging |
Location of Gain (Loss) on Derivatives |
Net Realized Gain (Loss) on Derivatives Recognized in Income |
Net Change in Unrealized Depreciation on Derivatives Recognized in Income |
|||||||
Foreign exchange contracts |
Net realized/unrealized loss on futures and forward contracts |
$ | (493,044 | ) | $ | (122,890 | ) | |||
Futures contracts |
Net realized/unrealized gain (loss) on futures and forward contracts |
6,357,135 | (1,463,908 | ) | ||||||
|
|
|
|
|||||||
Total |
$ | 5,864,091 | $ | (1,586,798 | ) | |||||
|
|
|
|
Superfund Green, L.P. gross and net unrealized gains and losses by long and short positions as of September 30, 2014 and December 31, 2013:
As of September 30, 2014 | ||||||||||||||||||||||||||||||||||||
Long Positions Gross Unrealized | Short Positions Gross Unrealized | |||||||||||||||||||||||||||||||||||
Gains | % of Net Assets |
Losses | % of Net Assets |
Gains | % of Net Assets |
Losses | % of Net Assets |
Net Unrealized Gain (Loss) on Open Positions |
||||||||||||||||||||||||||||
Currency |
$ | 2,500 | 0.0 | * | $ | (19,675 | ) | (0.1 | ) | $ | 112,078 | 0.5 | $ | (3,261 | ) | (0.0 | )* | $ | 91,642 | |||||||||||||||||
Financial |
90,931 | 0.4 | (21,290 | ) | (0.1 | ) | 10,241 | 0.0 | * | (7,085 | ) | (0.0 | )* | 72,797 | ||||||||||||||||||||||
Food & Fiber |
4,015 | 0.0 | * | (6,370 | ) | (0.0 | )* | 130,534 | 0.6 | (10,931 | ) | (0.1 | ) | 117,248 | ||||||||||||||||||||||
Indices |
47,853 | 0.2 | (170,587 | ) | (0.8 | ) | 27,014 | 0.1 | (2,677 | ) | (0.0 | )* | (98,397 | ) | ||||||||||||||||||||||
Metals |
5,085 | 0.0 | * | (79,922 | ) | (0.4 | ) | 215,120 | 1.0 | (1,652 | ) | (0.0 | )* | 138,631 | ||||||||||||||||||||||
Energy |
25,555 | 0.1 | (63,052 | ) | (0.3 | ) | 71,727 | 0.3 | (1,422 | ) | (0.0 | )* | 32,808 | |||||||||||||||||||||||
Livestock |
46,650 | 0.2 | (3,880 | ) | (0.0 | )* | | | | | 42,770 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Totals |
$ | 222,589 | 0.9 | $ | (364,776 | ) | (1.7 | ) | $ | 566,714 | 2.5 | $ | (27,028 | ) | (0.1 | ) | $ | 397,499 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* | Due to rounding amount is less than 0.05% |
As of December 31, 2013 | ||||||||||||||||||||||||||||||||||||
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 |
||||||||||||||||||||||||||||
Foreign Exchange |
$ | | | $ | | | $ | | | $ | (44 | ) | (0.0 | )* | $ | (44 | ) | |||||||||||||||||||
Currency |
65,637 | 0.2 | (27,081 | ) | (0.1 | ) | 122,158 | 0.4 | (7,665 | ) | (0.0 | )* | 153,049 | |||||||||||||||||||||||
Financial |
4,949 | 0.0 | * | (15,428 | ) | (0.1 | ) | 176,082 | 0.6 | (18,440 | ) | (0.1 | ) | 147,163 | ||||||||||||||||||||||
Food & Fiber |
14,080 | 0.1 | (92,471 | ) | (0.3 | ) | 122,152 | 0.4 | (165 | ) | (0.0 | )* | 43,596 | |||||||||||||||||||||||
Indices |
643,153 | 2.3 | (31,623 | ) | (0.1 | ) | 168 | 0.0 | * | (18,733 | ) | (0.1 | ) | 592,965 | ||||||||||||||||||||||
Metals |
275,909 | 1.0 | | | 146,729 | 0.5 | (382,708 | ) | (1.4 | ) | 39,930 | |||||||||||||||||||||||||
Livestock |
| | (17,370 | ) | (0.1 | ) | | | | | (17,370 | ) | ||||||||||||||||||||||||
Energy |
122,079 | 0.4 | (263,568 | ) | (0.9 | ) | | | | | (141,489 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Totals |
$ | 1,125,807 | 4.0 | $ | (447,541 | ) | (1.6 | ) | $ | 567,289 | 2.0 | $ | (427,755 | ) | (1.6 | ) | $ | 817,800 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* | Due to rounding amount is less than 0.05% |
Superfund Green, L.P. average* monthly contract volume by market sector as of quarter ended September 30, 2014:
Average Number of Long Contracts |
Average Number of Short Contracts |
Average Value of Long Positions |
Average Value of Short Positions |
|||||||||||||
Foreign Exchange |
| | $ | | $ | |
28
Average Number of Long Contracts |
Average Number of Short Contracts |
|||||||
Currency |
683 | 469 | ||||||
Financial |
3,082 | 364 | ||||||
Food & Fiber |
52 | 175 | ||||||
Indices |
1,502 | 147 | ||||||
Metals |
613 | 199 | ||||||
Energy |
267 | 216 | ||||||
Livestock |
73 | 6 | ||||||
|
|
|
|
|||||
Total |
6,272 | 1,576 | ||||||
|
|
|
|
* | Based on quarterly holdings |
Superfund Green, L.P. average* monthly contract volume by market sector as of quarter ended September 30, 2013:
Average Number of Long Contracts |
Average Number of Short Contracts |
Average Value of Long Positions |
Average Value of Short Positions |
|||||||||||||
Foreign Exchange |
29 | 30 | $ | 44,876 | $ | 56,429 |
Average Number of Long Contracts |
Average Number of Short Contracts |
|||||||
Currency |
674 | 341 | ||||||
Financial |
1,551 | 2,236 | ||||||
Food & Fiber |
131 | 198 | ||||||
Indices |
2,466 | 607 | ||||||
Metals |
449 | 374 | ||||||
Energy |
648 | 463 | ||||||
Livestock |
60 | 136 | ||||||
|
|
|
|
|||||
Total |
6,008 | 4,385 | ||||||
|
|
|
|
* | Based on quarterly holdings |
Superfund Green, L.P. trading results by market sector:
For the Three Months Ended September 30, 2014 | ||||||||||||
Net Realized Gains (Losses) |
Change in Net Unrealized Gains (Losses) |
Net Trading Gains (Losses) |
||||||||||
Foreign Exchange |
$ | (38,258 | ) | $ | | $ | (38,258 | ) | ||||
Currency |
287,964 | 33,719 | 321,683 | |||||||||
Financial |
718,490 | 10,280 | 728,770 | |||||||||
Food & Fiber |
521,021 | 64,986 | 586,007 | |||||||||
Indices |
536,075 | (115,333 | ) | 420,742 | ||||||||
Metals |
(187,031 | ) | 129,088 | (57,943 | ) | |||||||
Livestock |
1,900 | (25,380 | ) | (23,480 | ) | |||||||
Energy |
(194,405 | ) | 67,159 | (127,246 | ) | |||||||
|
|
|
|
|
|
|||||||
Total net trading gains |
$ | 1,645,756 | $ | 164,519 | $ | 1,810,275 | ||||||
|
|
|
|
|
|
For the Nine Months Ended September 30, 2014 | ||||||||||||
Net Realized Gains (Losses) |
Change in Net Unrealized Gains (Losses) |
Net Trading Gains (Losses) |
||||||||||
Foreign Exchange |
$ | (217,135 | ) | $ | 44 | $ | (217,091 | ) | ||||
Currency |
(137,125 | ) | (61,407 | ) | (198,532 | ) | ||||||
Financial |
1,904,319 | (74,366 | ) | 1,829,953 | ||||||||
Food & Fiber |
1,086,607 | 73,652 | 1,160,259 | |||||||||
Indices |
1,130,234 | (691,362 | ) | 438,872 | ||||||||
Metals |
(687,418 | ) | 98,701 | (588,717 | ) | |||||||
Livestock |
492,230 | 60,140 | 552,370 | |||||||||
Energy |
(675,812 | ) | 174,297 | (501,515 | ) | |||||||
|
|
|
|
|
|
|||||||
Total net trading gains (losses) |
$ | 2,895,900 | $ | (420,301 | ) | $ | 2,475,599 | |||||
|
|
|
|
|
|
29
For the Three Months Ended September 30, 2013 | ||||||||||||
Net Realized Gains (Losses) |
Change in Net Unrealized Gains (Losses) |
Net Trading Gains (Losses) |
||||||||||
Foreign Exchange |
$ | (52,860 | ) | $ | 11,396 | $ | (41,464 | ) | ||||
Currency |
(881,573 | ) | 517,703 | (363,870 | ) | |||||||
Financial |
36,624 | 53,691 | 90,315 | |||||||||
Food & Fiber |
(256,253 | ) | 8,876 | (247,377 | ) | |||||||
Indices |
1,225,066 | (447,217 | ) | 777,849 | ||||||||
Metals |
(144,187 | ) | (780,491 | ) | (924,678 | ) | ||||||
Livestock |
(181,650 | ) | (10,360 | ) | (192,010 | ) | ||||||
Energy |
(96,024 | ) | (257,595 | ) | (353,619 | ) | ||||||
|
|
|
|
|
|
|||||||
Total net trading losses |
$ | (350,857 | ) | $ | (903,997 | ) | $ | (1,254,854 | ) | |||
|
|
|
|
|
|
|||||||
For the Nine Months Ended September 30, 2013 | ||||||||||||
Net Realized Gains (Losses) |
Change in Net Unrealized Gains (Losses) |
Net Trading Gains (Losses) |
||||||||||
Foreign Exchange |
$ | (493,044 | ) | $ | (122,890 | ) | $ | (615,934 | ) | |||
Currency |
(1,286,981 | ) | (152,311 | ) | (1,439,292 | ) | ||||||
Financial |
161,801 | (85,705 | ) | 76,096 | ||||||||
Food & Fiber |
(1,045,085 | ) | (81,079 | ) | (1,126,164 | ) | ||||||
Indices |
3,855,809 | (723,190 | ) | 3,132,619 | ||||||||
Metals |
4,719,765 | 140,757 | 4,860,522 | |||||||||
Livestock |
172,700 | (14,240 | ) | 158,460 | ||||||||
Energy |
(220,874 | ) | (548,140 | ) | (769,014 | ) | ||||||
|
|
|
|
|
|
|||||||
Total net trading gains (losses) |
$ | 5,864,091 | $ | (1,586,798 | ) | $ | 4,277,293 | |||||
|
|
|
|
|
|
Superfund Green, L.P. Series A
The fair value of the Funds derivatives by instrument type, as well as the location of those instruments on the statement of assets and liabilities, as of September 30, 2014, is as follows:
Type of Instrument |
Statement of Assets and Liabilities Location |
Asset Derivatives at September 30, 2014 |
Liability Derivatives at September 30, 2014 |
Net | ||||||||||
Futures contracts |
Futures contracts purchased |
$ | 75,362 | $ | (134,204 | ) | $ | (58,842 | ) | |||||
Futures contracts |
Futures contracts sold |
199,479 | (10,650 | ) | 188,829 | |||||||||
|
|
|
|
|
|
|||||||||
Totals |
$ | 274,841 | $ | (144,854 | ) | $ | 129,987 | |||||||
|
|
|
|
|
|
The fair value of the Funds derivatives by instrument type, as well as the location of those instruments on the statement of assets and liabilities, as of December 31, 2013, is as follows:
Type of Instrument |
Statement of Assets and Liabilities Location |
Asset Derivatives at December 31, 2013 |
Liability Derivatives at December 31, 2013 |
Net | ||||||||||
Foreign exchange contracts |
Unrealized depreciation on open forward contracts |
$ | | $ | (12 | ) | $ | (12 | ) | |||||
Futures contracts |
Futures contracts purchased |
419,557 | (177,312 | ) | 242,245 | |||||||||
Futures contracts |
Futures contracts sold |
217,928 | (167,110 | ) | 50,818 | |||||||||
|
|
|
|
|
|
|||||||||
Totals |
$ | 637,485 | $ | (344,434 | ) | $ | 293,051 | |||||||
|
|
|
|
|
|
30
Effects of derivative instruments on the statement of operations for the three months ended September 30, 2014:
Derivatives not Designated as Hedging |
Location of Gain (Loss) on
Derivatives |
Net Realized Gain (Loss) on Derivatives Recognized in Income |
Net Change in Unrealized Appreciation on Derivatives Recognized in Income |
|||||||
Foreign exchange contracts |
Net realized/unrealized loss on futures and forward contracts |
$ | (14,345 | ) | $ | | ||||
Futures contracts |
Net realized/unrealized gain on futures and forward contracts |
686,170 | 32,570 | |||||||
|
|
|
|
|||||||
Total |
$ | 671,825 | $ | 32,570 | ||||||
|
|
|
|
Effects of derivative instruments on the statement of operations for the nine months ended September 30, 2014:
Derivatives not Designated as Hedging |
Location of Gain (Loss) on Derivatives |
Net Realized Gain (Loss) on Derivatives Recognized in Income |
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income |
|||||||
Foreign exchange contracts |
Net realized/unrealized gain (loss) on futures and forward contracts |
$ | (82,436 | ) | $ | 12 | ||||
Futures contracts |
Net realized/unrealized gain (loss) on futures and forward contracts |
1,187,935 | (163,076 | ) | ||||||
|
|
|
|
|||||||
Total |
$ | 1,105,499 | $ | (163,064 | ) | |||||
|
|
|
|
Effects of derivative instruments on the statement of operations for the three months ended September 30, 2013:
Derivatives not Designated as Hedging |
Location of Gain (Loss) on Derivatives |
Net Realized Loss on Derivatives Recognized in Income |
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income |
|||||||
Foreign exchange contracts |
Net realized/unrealized gain (loss) on futures and forward contracts |
$ | (27,027 | ) | $ | 5,438 | ||||
Futures contracts |
Net realized/unrealized loss on futures and forward contracts |
(174,723 | ) | (383,605 | ) | |||||
|
|
|
|
|||||||
Total |
$ | (201,750 | ) | $ | (378,167 | ) | ||||
|
|
|
|
31
Effects of derivative instruments on the statement of operations for the nine months ended September 30, 2013:
Derivatives not Designated as Hedging |
Location of Gain (Loss) on Derivatives |
Net Realized Gain (Loss) on Derivatives Recognized in Income |
Net Change in Unrealized Depreciation on Derivatives Recognized in Income |
|||||||
Foreign exchange contracts |
Net realized/unrealized loss on futures and forward contracts |
$ | (210,741 | ) | $ | (26,980 | ) | |||
Futures contracts |
Net realized/unrealized gain (loss) on futures and forward contracts |
2,445,296 | (516,781 | ) | ||||||
|
|
|
|
|||||||
Total |
$ | 2,234,555 | $ | (543,761 | ) | |||||
|
|
|
|
Superfund Green, L.P. Series A gross and net unrealized gains and losses by long and short positions as of September 30, 2014 and December 31, 2013:
As of September 30, 2014 | ||||||||||||||||||||||||||||||||||||
Long Positions Gross Unrealized | Short Positions Gross Unrealized | |||||||||||||||||||||||||||||||||||
Gains | % of Net Assets |
Losses | % of Net Assets |
Gains | % of Net Assets |
Losses | % of Net Assets |
Net Unrealized Gain (Loss) on Open Positions |
||||||||||||||||||||||||||||
Currency |
$ | 1,000 | 0.0 | * | $ | (7,488 | ) | (0.1 | ) | $ | 33,581 | 0.3 | $ | (1,297 | ) | (0.0 | )* | $ | 25,796 | |||||||||||||||||
Financial |
32,297 | 0.3 | (8,756 | ) | (0.1 | ) | 4,067 | 0.0 | * | (2,608 | ) | (0.0 | )* | 25,000 | ||||||||||||||||||||||
Food & Fiber |
1,410 | 0.0 | * | (1,005 | ) | (0.0 | )* | 47,438 | 0.5 | (4,110 | ) | (0.0 | )* | 43,733 | ||||||||||||||||||||||
Indices |
15,470 | 0.1 | (57,186 | ) | (0.5 | ) | 11,133 | 0.1 | (1,166 | ) | (0.0 | )* | (31,749 | ) | ||||||||||||||||||||||
Metals |
2,349 | 0.0 | * | (34,622 | ) | (0.3 | ) | 77,754 | 0.7 | (881 | ) | (0.0 | )* | 44,600 | ||||||||||||||||||||||
Energy |
6,247 | 0.1 | (25,038 | ) | (0.2 | ) | 25,506 | 0.2 | (588 | ) | (0.0 | )* | 6,127 | |||||||||||||||||||||||
Livestock |
16,590 | 0.2 | (110 | ) | (0.0 | )* | | | | | 16,480 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Totals |
$ | 75,363 | 0.7 | $ | (134,205 | ) | (1.2 | ) | $ | 199,479 | 1.8 | $ | (10,650 | ) | (0.0 | )* | $ | 129,987 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* | Due to rounding amount is less than 0.05% |
As of December 31, 2013 | ||||||||||||||||||||||||||||||||||||
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 |
||||||||||||||||||||||||||||
Foreign Exchange |
$ | | | $ | | | $ | | | $ | (12 | ) | (0.0 | )* | $ | (12 | ) | |||||||||||||||||||
Currency |
25,369 | 0.2 | (10,850 | ) | (0.1 | ) | 43,758 | 0.3 | (3,141 | ) | (0.0 | )* | 55,136 | |||||||||||||||||||||||
Financial |
| | (5,977 | ) | (0.0 | )* | 75,733 | 0.6 | (7,680 | ) | (0.1 | ) | 62,076 | |||||||||||||||||||||||
Food & Fiber |
4,790 | 0.0 | * | (35,406 | ) | (0.3 | ) | 48,543 | 0.4 | | | 17,927 | ||||||||||||||||||||||||
Indices |
240,531 | 1.9 | (15,443 | ) | (0.1 | ) | 56 | 0.0 | * | (5,831 | ) | (0.0 | )* | 219,313 | ||||||||||||||||||||||
Metals |
104,224 | 0.8 | | | 49,838 | 0.4 | (150,458 | ) | (1.2 | ) | 3,604 | |||||||||||||||||||||||||
Livestock |
| | (6,620 | ) | (0.1 | ) | | | | | (6,620 | ) | ||||||||||||||||||||||||
Energy |
44,644 | 0.3 | (103,017 | ) | (0.8 | ) | | | | | (58,373 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Totals |
$ | 419,558 | 3.2 | $ | (177,313 | ) | (1.4 | ) | $ | 217,928 | 1.7 | $ | (167,122 | ) | (1.3 | ) | $ | 293,051 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* | Due to rounding amount is less than 0.05% |
Series A average* monthly contract volume by market sector as of quarter ended September 30, 2014:
Average Number of Long Contracts |
Average Number of Short Contracts |
Average Value of Long Positions |
Average Value of Short Positions |
|||||||||||||
Foreign Exchange |
| | $ | | $ | |
32
Average Number of Long Contracts |
Average Number of Short Contracts |
|||||||
Currency |
265 | 181 | ||||||
Financial |
1,197 | 146 | ||||||
Food & Fiber |
21 | 63 | ||||||
Indices |
568 | 58 | ||||||
Metals |
238 | 71 | ||||||
Energy |
98 | 80 | ||||||
Livestock |
29 | 3 | ||||||
|
|
|
|
|||||
Total |
2,416 | 602 | ||||||
|
|
|
|
* | Based on quarterly holdings |
Series A average* monthly contract volume by market sector as of quarter ended September 30, 2013:
Average Number of Long Contracts |
Average Number of Short Contracts |
Average Value of Long Positions |
Average Value of Short Positions |
|||||||||||||
Foreign Exchange |
7 | 10 | $ | 12,864 | $ | 17,622 |
Average Number of Long Contracts |
Average Number of Short Contracts |
|||||||
Currency |
239 | 130 | ||||||
Financial |
588 | 829 | ||||||
Food & Fiber |
42 | 71 | ||||||
Indices |
901 | 233 | ||||||
Metals |
158 | 137 | ||||||
Energy |
219 | 173 | ||||||
Livestock |
21 | 50 | ||||||
|
|
|
|
|||||
Total |
2,175 | 1,633 | ||||||
|
|
|
|
* | Based on quarterly holdings |
Series A trading results by market sector:
For the Three Months Ended September 30, 2014 | ||||||||||||
Net Realized Gains (Losses) |
Change in Net Unrealized Gains (Losses) |
Net Trading Gains (Losses) |
||||||||||
Foreign Exchange |
$ | (14,345 | ) | $ | | $ | (14,345 | ) | ||||
Currency |
106,204 | 3,973 | 110,177 | |||||||||
Financial |
270,608 | 4,789 | 275,397 | |||||||||
Food & Fiber |
197,423 | 24,438 | 221,861 | |||||||||
Indices |
209,090 | (40,715 | ) | 168,375 | ||||||||
Metals |
(67,265 | ) | 41,019 | (26,246 | ) | |||||||
Livestock |
4,740 | (12,380 | ) | (7,640 | ) | |||||||
Energy |
(34,630 | ) | 11,446 | (23,184 | ) | |||||||
|
|
|
|
|
|
|||||||
Total net trading gains |
$ | 671,825 | $ | 32,570 | $ | 704,395 | ||||||
|
|
|
|
|
|
For the Nine Months Ended September 30, 2014 | ||||||||||||
Net Realized Gains (Losses) |
Change in Net Unrealized Gains (Losses) |
Net Trading Gains (Losses) |
||||||||||
Foreign Exchange |
$ | (82,436 | ) | $ | 12 | $ | (82,424 | ) | ||||
Currency |
(49,642 | ) | (29,340 | ) | (78,982 | ) | ||||||
Financial |
696,706 | (37,076 | ) | 659,630 | ||||||||
Food & Fiber |
412,237 | 25,806 | 438,043 | |||||||||
Indices |
464,100 | (251,062 | ) | 213,038 | ||||||||
Metals |
(235,236 | ) | 40,996 | (194,240 | ) | |||||||
Livestock |
173,510 | 23,100 | 196,610 | |||||||||
Energy |
(273,740 | ) | 64,500 | (209,240 | ) | |||||||
|
|
|
|
|
|
|||||||
Total net trading gains (losses) |
$ | 1,105,499 | $ | (163,064 | ) | $ | 942,435 | |||||
|
|
|
|
|
|
33
For the Three Months Ended September 30, 2013 | ||||||||||||
Net Realized Gains (Losses) |
Change in Net Unrealized Gains (Losses) |
Net Trading Gains (Losses) |
||||||||||
Foreign Exchange |
$ | (27,027 | ) | $ | 5,438 | $ | (21,589 | ) | ||||
Currency |
(321,279 | ) | 182,648 | (138,631 | ) | |||||||
Financial |
6,062 | 29,280 | 35,342 | |||||||||
Food & Fiber |
(100,657 | ) | 8,884 | (91,773 | ) | |||||||
Indices |
433,463 | (151,579 | ) | 281,884 | ||||||||
Metals |
(66,839 | ) | (323,870 | ) | (390,709 | ) | ||||||
Livestock |
(64,330 | ) | (6,330 | ) | (70,660 | ) | ||||||
Energy |
(61,143 | ) | (122,638 | ) | (183,781 | ) | ||||||
|
|
|
|
|
|
|||||||
Total net trading losses |
$ | (201,750 | ) | $ | (378,167 | ) | $ | (579,917 | ) | |||
|
|
|
|
|
|
For the Nine Months Ended September 30, 2013 | ||||||||||||
Net Realized Gains (Losses) |
Change in Net Unrealized Gains (Losses) |
Net Trading Gains (Losses) |
||||||||||
Foreign Exchange |
$ | (210,741 | ) | $ | (26,980 | ) | $ | (237,721 | ) | |||
Currency |
(464,220 | ) | (54,334 | ) | (518,554 | ) | ||||||
Financial |
43,756 | (36,566 | ) | 7,190 | ||||||||
Food & Fiber |
(404,040 | ) | (25,861 | ) | (429,901 | ) | ||||||
Indices |
1,398,769 | (237,323 | ) | 1,161,446 | ||||||||
Metals |
1,802,563 | 57,541 | 1,860,104 | |||||||||
Livestock |
68,520 | (5,710 | ) | 62,810 | ||||||||
Energy |
(52 | ) | (214,528 | ) | (214,580 | ) | ||||||
|
|
|
|
|
|
|||||||
Total net trading gains (losses) |
$ | 2,234,555 | $ | (543,761 | ) | $ | 1,690,794 | |||||
|
|
|
|
|
|
Superfund Green, L.P. Series B
The fair value of the Funds derivatives by instrument type, as well as the location of those instruments on the statement of assets and liabilities, as of September 30, 2014, is as follows:
Type of Instrument |
Statement of Assets and Liabilities Location |
Asset Derivatives at September 30, 2014 |
Liability Derivatives at September 30, 2014 |
Net | ||||||||||
Futures contracts |
Futures contracts purchased |
$ | 147,227 | $ | (230,572 | ) | $ | (83,345 | ) | |||||
Futures contracts |
Futures contracts sold |
367,236 | (16,379 | ) | 350,857 | |||||||||
|
|
|
|
|
|
|||||||||
Totals |
$ | 514,463 | $ | (246,951 | ) | $ | 267,512 | |||||||
|
|
|
|
|
|
The fair value of the Funds derivatives by instrument type, as well as the location of those instruments on the statement of assets and liabilities, as of December 31, 2013, is as follows:
Type of Instrument |
Statement of Assets and Liabilities Location |
Asset Derivatives at December 31, 2013 |
Liability Derivatives at December 31, 2013 |
Net | ||||||||||
Foreign exchange contracts |
Unrealized depreciation on open forward contracts |
$ | | $ | (32 | ) | $ | (32 | ) | |||||
Futures contracts |
Futures contracts purchased |
706,250 | (270,229 | ) | 436,021 | |||||||||
Futures contracts |
Futures contracts sold |
349,361 | (260,601 | ) | 88,760 | |||||||||
|
|
|
|
|
|
|||||||||
Totals |
$ | 1,055,611 | $ | (530,862 | ) | $ | 524,749 | |||||||
|
|
|
|
|
|
34
Effects of derivative instruments on the statement of operations for the three months ended September 30, 2014:
Derivatives not Designated as Hedging |
Location of Gain (Loss) on Derivatives |
Net Realized Gain (Loss) on Derivatives Recognized in Income |
Net Change in Unrealized Appreciation on Derivatives Recognized in Income |
|||||||
Foreign exchange contracts |
Net realized/unrealized loss on futures and forward contracts |
$ | (23,913 | ) | $ | | ||||
Futures contracts |
Net realized/unrealized gain on futures and forward contracts |
997,844 | 131,949 | |||||||
|
|
|
|
|||||||
Total |
$ | 973,931 | $ | 131,949 | ||||||
|
|
|
|
Effects of derivative instruments on the statement of operations for the nine months ended September 30, 2014:
Derivatives not Designated as Hedging |
Location of Gain (Loss) on Derivatives |
Net Realized Gain (Loss) on Derivatives Recognized in Income |
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income |
|||||||
Foreign exchange contracts |
Net realized/unrealized gain (loss) on futures and forward contracts |
$ | (134,699 | ) | $ | 32 | ||||
Futures contracts |
Net realized/unrealized gain (loss) on futures and forward contracts |
1,925,100 | (257,269 | ) | ||||||
|
|
|
|
|||||||
Total |
$ | 1,790,401 | $ | (257,237 | ) | |||||
|
|
|
|
Effects of derivative instruments on the statement of operations for the three months ended September 30, 2013:
Derivatives not Designated as Hedging |
Location of Gain (Loss) on Derivatives |
Net Realized Loss on Derivatives Recognized in Income |
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income |
|||||||
Foreign exchange contracts |
Net realized/unrealized gain (loss) on futures and forward contracts |
$ | (25,833 | ) | $ | 5,958 | ||||
Futures contracts |
Net realized/unrealized loss on futures and forward contracts |
(123,274 | ) | (531,788 | ) | |||||
|
|
|
|
|||||||
Total |
$ | (149,107 | ) | $ | (525,830 | ) | ||||
|
|
|
|
35
Effects of derivative instruments on the statement of operations for the nine months ended September 30, 2013:
Derivatives not Designated as Hedging |
Location of Gain (Loss) on Derivatives |
Net Realized Gain (Loss) on Derivatives Recognized in Income |
Net Change in Unrealized Depreciation on Derivatives Recognized in Income |
|||||||
Foreign exchange contracts |
Net realized/unrealized loss on futures and forward contracts |
$ | (282,303 | ) | $ | (95,910 | ) | |||
Futures contracts |
Net realized/unrealized gain (loss) on futures and forward contracts |
3,911,839 | (947,127 | ) | ||||||
|
|
|
|
|||||||
Total |
$ | 3,629,536 | $ | (1,043,037 | ) | |||||
|
|
|
|
Series B gross and net unrealized gains and losses by long and short positions as of September 30, 2014 and December 31, 2013:
As of September 30, 2014 | ||||||||||||||||||||||||||||||||||||
Long Positions Gross Unrealized | Short Positions Gross Unrealized | |||||||||||||||||||||||||||||||||||
Gains | % of Net Assets |
Losses | % of Net Assets |
Gains | % of Net Assets |
Losses | % of Net Assets |
Net Unrealized Gain (Loss) on Open Positions |
||||||||||||||||||||||||||||
Currency |
$ | 1,500 | 0.0 | * | $ | (12,187 | ) | (0.1 | ) | $ | 78,497 | 0.7 | $ | (1,964 | ) | (0.0 | )* | $ | 65,849 | |||||||||||||||||
Financial |
58,634 | 0.5 | (12,534 | ) | (0.1 | ) | 6,174 | 0.1 | (4,477 | ) | (0.0 | )* | 47,797 | |||||||||||||||||||||||
Food & Fiber |
2,605 | 0.0 | * | (5,365 | ) | (0.0 | )* | 83,096 | 0.8 | (6,821 | ) | (0.1 | ) | 73,515 | ||||||||||||||||||||||
Indices |
32,383 | 0.3 | (113,401 | ) | (1.0 | ) | 15,881 | 0.1 | (1,511 | ) | (0.0 | )* | (66,648 | ) | ||||||||||||||||||||||
Metals |
2,736 | 0.0 | * | (45,300 | ) | (0.4 | ) | 137,366 | 1.2 | (771 | ) | (0.0 | )* | 94,031 | ||||||||||||||||||||||
Energy |
19,308 | 0.2 | (38,014 | ) | (0.3 | ) | 46,221 | 0.4 | (834 | ) | (0.0 | )* | 26,681 | |||||||||||||||||||||||
Livestock |
30,060 | 0.3 | (3,770 | ) | (0.0 | )* | | | | | 26,290 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Totals |
$ | 147,226 | 1.3 | $ | (230,571 | ) | (1.9 | ) | $ | 367,235 | 3.3 | $ | (16,378 | ) | (0.1 | ) | $ | 267,512 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* | Due to rounding amount is less than 0.05% |
As of December 31, 2013 | ||||||||||||||||||||||||||||||||||||
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 |
||||||||||||||||||||||||||||
Foreign Exchange |
$ | | | $ | | | $ | | | $ | (32 | ) | (0.0 | )* | $ | (32 | ) | |||||||||||||||||||
Currency |
40,268 | 0.3 | (16,231 | ) | (0.1 | ) | 78,400 | 0.5 | (4,524 | ) | (0.0 | )* | 97,913 | |||||||||||||||||||||||
Financial |
4,949 | 0.0 | * | (9,451 | ) | (0.1 | ) | 100,349 | 0.7 | (10,760 | ) | (0.1 | ) | 85,087 | ||||||||||||||||||||||
Food & Fiber |
9,290 | 0.1 | (57,065 | ) | (0.4 | ) | 73,609 | 0.5 | (165 | ) | (0.0 | )* | 25,669 | |||||||||||||||||||||||
Indices |
402,622 | 2.7 | (16,180 | ) | (0.1 | ) | 112 | 0.0 | * | (12,902 | ) | (0.1 | ) | 373,652 | ||||||||||||||||||||||
Metals |
171,685 | 1.2 | | | 96,891 | 0.7 | (232,250 | ) | (1.6 | ) | 36,326 | |||||||||||||||||||||||||
Livestock |
| | (10,750 | ) | 0.1 | | | | | (10,750 | ) | |||||||||||||||||||||||||
Energy |
77,435 | 0.5 | (160,551 | ) | (1.1 | ) | | | | | (83,116 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Totals |
$ | 706,249 | 4.8 | $ | (270,228 | ) | (1.7 | ) | $ | 349,361 | 2.4 | $ | (260,633 | ) | (1.8 | ) | $ | 524,749 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* | Due to rounding amount is less than 0.05% |
36
Series B average* monthly contract volume by market sector as of quarter ended September 30, 2014:
Average Number of Long Contracts |
Average Number of Short Contracts |
Average Value of Long Positions |
Average Value of Short Positions |
|||||||||||||
Foreign Exchange |
| | $ | | $ | |
Average Number of Long Contracts |
Average Number of Short Contracts |
|||||||
Currency |
418 | 288 | ||||||
Financial |
1,885 | 218 | ||||||
Food & Fiber |
31 | 112 | ||||||
Indices |
934 | 89 | ||||||
Metals |
375 | 128 | ||||||
Energy |
169 | 136 | ||||||
Livestock |
44 | 3 | ||||||
|
|
|
|
|||||
Total |
3,856 | 974 | ||||||
|
|
|
|
* | Based on quarterly holdings |
Series B average* monthly contract volume by market sector as of quarter ended September 30, 2013:
Average Number of Long Contracts |
Average Number of Short Contracts |
Average Value of Long Positions |
Average Value of Short Positions |
|||||||||||||
Foreign Exchange |
22 | 20 | $ | 32,012 | $ | 38,807 |
Average Number of Long Contracts |
Average Number of Short Contracts |
|||||||
Currency |
435 | 211 | ||||||
Financial |
963 | 1,407 | ||||||
Food & Fiber |
89 | 127 | ||||||
Indices |
1,565 | 374 | ||||||
Metals |
291 | 237 | ||||||
Energy |
429 | 290 | ||||||
Livestock |
39 | 86 | ||||||
|
|
|
|
|||||
Total |
3,833 | 2,752 | ||||||
|
|
|
|
* | Based on quarterly holdings |
Series B trading results by market sector:
For the Three Months Ended September 30, 2014 | ||||||||||||
Net Realized Gains (Losses) |
Change in Net Unrealized Gains (Losses) |
Net Trading Gains (Losses) |
||||||||||
Foreign Exchange |
$ | (23,913 | ) | $ | | $ | (23,913 | ) | ||||
Currency |
181,760 | 29,746 | 211,506 | |||||||||
Financial |
447,882 | 5,491 | 453,373 | |||||||||
Food & Fiber |
323,598 | 40,548 | 364,146 | |||||||||
Indices |
326,985 | (74,618 | ) | 252,367 | ||||||||
Metals |
(119,766 | ) | 88,069 | (31,697 | ) | |||||||
Livestock |
(2,840 | ) | (13,000 | ) | (15,840 | ) | ||||||
Energy |
(159,775 | ) | 55,713 | (104,062 | ) | |||||||
|
|
|
|
|
|
|||||||
Total net trading gains |
$ | 973,931 | $ | 131,949 | $ | 1,105,880 | ||||||
|
|
|
|
|
|
For the Nine Months Ended September 30, 2014 | ||||||||||||
Net Realized Gains (Losses) |
Change in Net Unrealized Gains (Losses) |
Net Trading Gains (Losses) |
||||||||||
Foreign Exchange |
$ | (134,699 | ) | $ | 32 | $ | (134,667 | ) | ||||
Currency |
(87,483 | ) | (32,067 | ) | (119,550 | ) | ||||||
Financial |
1,207,613 | (37,290 | ) | 1,170,323 | ||||||||
Food & Fiber |
674,370 | 47,846 | 722,216 | |||||||||
Indices |
666,134 | (440,300 | ) | 225,834 | ||||||||
Metals |
(452,182 | ) | 57,705 | (394,477 | ) | |||||||
Livestock |
318,720 | 37,040 | 355,760 | |||||||||
Energy |
(402,072 | ) | 109,797 | (292,275 | ) | |||||||
|
|
|
|
|
|
|||||||
Total net trading gains (losses) |
$ | 1,790,401 | $ | (257,237 | ) | $ | 1,533,164 | |||||
|
|
|
|
|
|
37
For the Three Months Ended September 30, 2013 | ||||||||||||
Net Realized Gains (Losses) |
Change in Net Unrealized Gains (Losses) |
Net Trading Gains (Losses) |
||||||||||
Foreign Exchange |
$ | (25,833 | ) | $ | 5,958 | $ | (19,875 | ) | ||||
Currency |
(560,294 | ) | 335,055 | (225,239 | ) | |||||||
Financial |
30,562 | 24,411 | 54,973 | |||||||||
Food & Fiber |
(155,596 | ) | (8 | ) | (155,604 | ) | ||||||
Indices |
791,603 | (295,638 | ) | 495,965 | ||||||||
Metals |
(77,348 | ) | (456,621 | ) | (533,969 | ) | ||||||
Livestock |
(117,320 | ) | (4,030 | ) | (121,350 | ) | ||||||
Energy |
(34,881 | ) | (134,957 | ) | (169,838 | ) | ||||||
|
|
|
|
|
|
|||||||
Total net trading losses |
$ | (149,107 | ) | $ | (525,830 | ) | $ | (674,937 | ) | |||
|
|
|
|
|
|
For the Nine Months Ended September 30, 2013 | ||||||||||||
Net Realized Gains (Losses) |
Change in Net Unrealized Gains (Losses) |
Net Trading Gains (Losses) |
||||||||||
Foreign Exchange |
$ | (282,303 | ) | $ | (95,910 | ) | $ | (378,213 | ) | |||
Currency |
(822,761 | ) | (97,977 | ) | (920,738 | ) | ||||||
Financial |
118,045 | (49,139 | ) | 68,906 | ||||||||
Food & Fiber |
(641,045 | ) | (55,218 | ) | (696,263 | ) | ||||||
Indices |
2,457,040 | (485,867 | ) | 1,971,173 | ||||||||
Metals |
2,917,202 | 83,216 | 3,000,418 | |||||||||
Livestock |
104,180 | (8,530 | ) | 95,650 | ||||||||
Energy |
(220,822 | ) | (333,612 | ) | (554,434 | ) | ||||||
|
|
|
|
|
|
|||||||
Total net trading gains (losses) |
$ | 3,629,536 | $ | (1,043,037 | ) | $ | 2,586,499 | |||||
|
|
|
|
|
|
5. | Due from/to brokers |
Due from brokers consists of proceeds from securities sold. Amounts due from brokers may be restricted to the extent that they serve as deposits for securities sold short. Amounts due to brokers, if any, represent margin borrowings that are collateralized by certain securities. As of September 30, 2014 and December 31, 2013, there were no amounts due to brokers.
In the normal course of business, all of the Funds 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 Funds Sixth Amended and Restated Limited Partnership Agreement (the Partnership Agreement), net profits and losses of the Fund are allocated to partners according to their respective interests in the Fund as of the beginning of each month.
Subscriptions received in advance, if any, represent cash received prior to the balance sheet date for subscriptions of the subsequent month and do not participate in the earnings of the Fund until the following month.
38
7. | Related party transactions |
Superfund Capital Management shall be paid a management fee equal to one-twelfth of 1.85% of month-end net assets (1.85% per annum), ongoing offering expenses equal to one-twelfth of 1% of month-end net assets (1% per annum), not to exceed the amount of actual expenses incurred, and monthly operating expenses equal to one-twelfth of 0.15% of month-end net assets (0.15% per annum), not to exceed the amount of actual expenses incurred. Superfund Capital Management will also be paid a monthly performance/incentive fee equal to 25% of the new appreciation without respect to interest income. Trading losses 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 Funds 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 September 30 are as follows:
2014 | 2013 | |||||||||||||||
Series A | Series B | Series A | Series B | |||||||||||||
Total Return* |
||||||||||||||||
Total return before incentive fees |
2.5 | % | 6.4 | % | 2.9 | % | 6.0 | % | ||||||||
Incentive fees |
0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total return after incentive fees |
2.5 | % | 6.4 | % | 2.9 | % | 6.0 | % | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Ratios to average partners capital** |
||||||||||||||||
Operating expenses before incentive fees |
6.2 | % | 6.9 | % | 6.6 | % | 7.2 | % | ||||||||
Incentive fees |
0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total expenses |
6.2 | % | 6.9 | % | 6.6 | % | 7.2 | % | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment loss |
(6.2 | )% | (6.9 | )% | (6.5 | )% | (7.2 | )% | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net asset value per unit, beginning of period |
$ | 1,215.27 | $ | 1,300.97 | $ | 1,130.49 | $ | 1,138.65 | ||||||||
Net investment loss |
(74.48 | ) | (88.82 | ) | (79.22 | ) | (91.16 | ) | ||||||||
Net gain on investments |
104.28 | 172.55 | 112.49 | 159.67 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net asset value per unit, end of period |
$ | 1,245.07 | $ | 1,384.70 | $ | 1,163.76 | $ | 1,207.16 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Other per Unit information: |
||||||||||||||||
Net increase in net assets from operations per Unit (based upon weighted average number of Units during period) upon weighted average number of Units during period) |
$ | 22.56 | $ | 69.02 | $ | 49.50 | $ | 94.86 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase in net assets from operations per Unit (based upon change in net asset value per Unit) upon change in net asset value per Unit) |
$ | 29.80 | $ | 83.73 | $ | 33.27 | $ | 68.51 | ||||||||
|
|
|
|
|
|
|
|
39
Financial highlights for the period July 1 through September 30 are as follows:
2014 | 2013 | |||||||||||||||
Series A | Series B | Series A | Series B | |||||||||||||
Total Return* |
||||||||||||||||
Total return before incentive fees |
4.9 | % | 8.0 | % | (5.9 | )% | (6.3 | )% | ||||||||
Incentive fees |
0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total return after incentive fees |
4.9 | % | 8.0 | % | (5.9 | )% | (6.3 | )% | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Ratios to average partners capital** |
||||||||||||||||
Operating expenses before incentive fees |
1.9 | % | 2.1 | % | 2.1 | % | 2.3 | % | ||||||||
Incentive fees |
0.0 | 0.0 | 0.0 | 0.0 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total expenses |
1.9 | % | 2.1 | % | 2.1 | % | 2.3 | % | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment loss |
(1.9 | )% | (2.1 | )% | (2.1 | )% | (2.3 | )% | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net asset value per unit, beginning of period |
$ | 1,187.24 | $ | 1,282.02 | $ | 1,237.08 | $ | 1,287.96 | ||||||||
Net investment loss |
(23.29 | ) | (27.98 | ) | (25.00 | ) | (28.51 | ) | ||||||||
Net gain on investments |
81.12 | 130.66 | (48.32 | ) | (52.29 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net asset value per unit, end of period |
$ | 1,245.07 | $ | 1,384.70 | $ | 1,163.76 | $ | 1,207.16 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
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) |
$ | 58.06 | $ | 104.22 | $ | (73.58 | ) | $ | (81.05 | ) | ||||||
|
|
|
|
|
|
|
|
|||||||||
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) |
$ | 57.83 | $ | 102.68 | $ | (73.32 | ) | $ | (80.80 | ) | ||||||
|
|
|
|
|
|
|
|
* | Total return is calculated for each Series of the Fund taken as a whole. An individuals 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 partners 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 $789,304 and $391,805, respectively, at September 30, 2014.
For Series A, gross unrealized gains and losses related to exchange-traded futures were $274,841 and $144,854, respectively, at September 30, 2014.
For Series B, gross unrealized gains and losses related to exchange-traded futures were $514,463 and $246,951, respectively, at September 30, 2014.
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.
40
Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. Credit risk with respect to exchange-traded instruments is reduced to the extent that an exchange or clearing organization acts as a counterparty to the transactions. The Funds 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 Funds assets are held in segregated accounts with futures commission merchants, the Fund has credit risk and concentration risk. The Funds futures commission merchants are currently ADM Investor Services, Inc., Barclays Capital Inc. and Merrill Lynch, Pierce, Fenner & Smith Inc.
Superfund Capital Management monitors and attempts to control the Funds 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 instruments mature within one year of September 30, 2014. However, due to the nature of the Funds 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.
11. | Indemnification |
In the normal course of business, the Fund enters into contracts that provide general indemnifications. The Funds maximum exposure under these arrangements is dependent on future claims that may be made against the Fund, and therefore cannot be established; however, based on experience, the risk of loss from such claims is considered remote.
12. | Subsequent events |
Superfund Capital Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were filed and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements.
ITEM 2. | MANAGEMENTS 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, 2014, redemptions totaled $2,246,278 in the Fund. For the quarter ended September 30, 2014, redemptions totaled $730,599 in Series A and $1,515,679 in Series B.
41
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 Funds 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.
Trading in forward contracts introduces a possible further impact on liquidity. Because such contracts are executed off exchange between private parties, the time required to offset or unwind these positions may be greater than that for regulated instruments. This potential delay could be exacerbated to the extent a counterparty is not a U.S. person.
Other than these limitations on liquidity, which are inherent in the Funds futures and forward trading operations, the Funds 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 Funds business, it will make no capital expenditures and will have no capital assets which are not operating capital or assets.
RESULTS OF OPERATIONS
Three Months Ended September 30, 2014
Series A:
Net results for the quarter ended September 30, 2014 were a gain of 4.9% 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 $498,462. This increase consisted of interest income of $207, trading gains of $704,395, and total expenses of $206,140. Expenses included $49,664 in management fees, $4,027 in operating expenses, $107,380 in selling commissions, $42,697 in brokerage commissions, and $2,372 in other expenses. At September 30, 2014, the net asset value per Unit of Series A was $1,245.07.
Series B:
Net results for the quarter ended September 30, 2014 were a gain of 8.0% 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 $861,190. This increase consisted of interest income of $369, other income of $7, trading gains of $1,105,880, and total expenses of $245,066. Expenses included $53,458 in management fees, $4,334 in operating expenses, $115,585 in selling commissions, $68,254 in brokerage commissions, and $3,435 in other expenses. At September 30, 2014, the net asset value per Unit of Series B was $1,384.70.
Fund results for the 3rd Quarter 2014:
In September, the Funds managed futures strategy produced positive returns based primarily on the Funds allocations to the currencies, metals and grains markets. The U.S. dollar strengthened to highest level in almost four years as a result of the continued expansion of the U.S. economy. The Fund benefitted from short positions in the Japanese yen and in COMEX gold as both slid throughout the month. The Funds long positions in U.S. stock indices produced negative results. These losses were partially offset by the Funds long positions in the Tokyo Stock Price Index as increased demand for Japanese exports fuelled Japanese equity markets. The Funds short positions in corn futures produced positive returns as the market traced on larger than expected inventories.
In August, the Funds managed futures strategy produced strong positive results mainly due to the Funds long positions in the bonds and indices markets. The German bund rose throughout the month as German 10-year yields dropped due to inflation. The Funds long positions in U.S. stock indices produced positive returns as the S&P500 reached all-time highs after rebounding from an eight week low. The Funds allocations to the metals market produced slightly negative results as tensions seemed to ease in the Ukraine. The Funds long positions in natural gas gained as hotter weather increased demand.
42
In July, the Funds managed futures strategy produced negative results with losses primarily attributable to the metal, stock index and energy markets. The Funds long positions in U.S. stock indices yielded negative returns as the S&P500 declined over two percent in a single day, marking the largest decline in the index since 2012. The Funds long positions in gold also produced negative returns as speculators continued to offload gold on concerns that the U.S. Federal Reserve (the Fed) may increase interest rates in a bid to fight inflation. The Funds short positions in the grains market were favorable, with projected yields for corn expected to reach record levels. The Funds long positions in the energy market also produced negative returns as crude oil prices dropped to three month lows.
Three Months Ended June 30, 2014
Series A:
Net results for the quarter ended June 30, 2014, were a loss of 2.3% 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 $52,030. This decrease consisted of income of $225, trading gains of $179,448 and total expenses of $231,703. Expenses included $54,526 in management fees, $4,422 in operating expenses, $117,894 in selling commissions, $53,967 in brokerage commissions and $894 in other expenses. At June 30, 2014 and December 31, 2013, the net asset value per Unit of Series A was $1,187.24 and $1,215.27, respectively.
Series B:
Net results for the quarter ended June 30, 2014, were a loss of 1.5% 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 $4,736. This decrease consisted of income of $379, trading gains of $272,413 and total expenses of $277,528. Expenses included $58,899 in management fees, $4,776 in operating expenses, $127,349 in selling commissions, $85,451 in brokerage commissions and $1,053 in other expenses. At June 30, 2014 and December 31, 2013, the net asset value per Unit of Series B was $1,282.02 and $1,300.97 respectively.
Fund results for 2nd Quarter 2014:
In April, the Funds managed futures strategy produced negative results, with long positions in U.S. stock indices suffering as the S&P500 retraced from record highs. The Funds long positions in U.S. ten-year treasury notes also yielded negative returns. These losses were partially offset by positive performance from the Funds long Euro-bund positions. The Funds short positions in natural gas and crude oil produced negative results in April as tensions and political crisis in the Ukraine remained high and rising fears that any full-scale armed conflict in the region would disrupt supplies and send oil and gas prices higher. The Funds short positions in COMEX gold and silver remained flat as the improving U.S and European economies helped to pressure gold prices.
In May, the Funds managed futures strategy produced strong positive performance, mainly due to allocations to the bond, stock index and metal markets. The Funds long positions in the CME S&P500 yielded positive returns as the index continued to break all-time highs as manufacturing indices indicated that economic growth would rebound in the second quarter. The Funds short positions in COMEX gold and silver also produced strong results as strong U.S. economic data eroded the metals safe-haven appeal. The Funds allocations to currencies produced negative results in May. The Euro tumbled from an almost 2.5-year high as European Central Bank (ECB) President Mario Draghi said that it would be open to taking further measures to support the Euro-zone economy. The ECB signal of a potential interest-rate cut has also weighed on the Euro.
In June, the Funds managed futures strategy yielded slightly negative results as positions in the bond and metal markets suffered. The Funds short positions in COMEX gold lost ground as gold gained amid concerns regarding rising violence in Iraq. The Funds allocations to the energy, agricultural and equity markets all produced positive results, helping to partially offset the losses from the Funds bond and metal positions. The Funds long crude oil positions gained as violence in Iraq escalated, threatening the output of OPECs second largest producer. The Funds short positions in corn and soybeans gained as corn dropped to a five-month low and soybean experienced its biggest slump in five years as USDA reports showed farmers will plant record acreage. The Funds long E-mini S&P500 positions gained as the index continued to break record highs with its sixth straight quarterly gain.
Three Months Ended March 31, 2014
Series A:
Net results for the quarter ended March 31, 2014, were a loss of 1.9% in net asset value compared to the preceding quarter end. In this period, Series A experienced a net decrease in net assets from operations of $234,183. This decrease consisted of
43
income of $372, trading gains of $58,592 and total expenses of $293,147. Expenses included $58,459 in management fees, $31,599 in ongoing offering expenses, $4,740 in operating expenses, $126,399 in selling commissions, $70,919 in brokerage commissions and $1,031 in other expenses. At March 31, 2014 and December 31, 2013, the net asset value per Unit of Series A was $1,192.66 and $1,215.27, respectively.
Series B:
Net results for the quarter ended March 31, 2014, were a loss of 1.4% in net asset value compared to the preceding quarter end. In this period, Series B experienced a net decrease in net assets from operations of $207,810. This decrease consisted of income of $569, trading gains of $154,871 and total expenses of $363,250. Expenses included $65,138 in management fees, $35,210 in ongoing offering expenses, $5,282 in operating expenses, $140,839 in selling commissions, $115,088 in brokerage commissions and $1,693 in other expenses. At March 31, 2014 and December 31, 2013, the net asset value per Unit of Series B was $1,282.30 and $1,300.97 respectively.
Fund results for 1st Quarter 2014:
In March, the Funds managed futures strategy underperformed. The Funds bond positions negatively impacted performance as treasuries fell amid hints from the U.S. government of rate increases in 2015. The Funds allocations to energy markets also posted losses, as crude fell modestly due to tensions in Ukraine and a drop in Libyan oil production. The Funds positions in the metals, grains and agricultural markets, however, yielded positive returns, helping to offset the losses in other sectors. Among these markets, the Funds short positions in London Metal Exchange (LME) copper profited on concerns that the rising debt in China will curb copper demand. The fund also benefited from long positions soybean meal and cocoa gained amid poor weather conditions in Brazil.
In February, the Funds managed futures strategy yielded positive returns in all market groups apart except for metals, currencies and money markets. The Funds positions in bonds sector produced positive results as U.S. stocks rallied amid earnings and jobless claims, while German bonds fell as the ECB left interest rates unchanged and refrained from additional stimulus. The Funds short positions in silver and gold negatively affected performance as gold made experienced its largest monthly gain since July 2013 after investors and speculators chased prices higher on concerns about the pace of the U.S. economic recovery. The Funds long positions in crude oil and natural gas yielded profits as the markets continued to climb as cold weather demand pushed prices up in the first three weeks of the month.
In January, the Funds managed futures strategy produced negative results in as positions in the indices and energy sectors underperformed. The Funds crude oil positions yielded losses amid speculation that the Fed would curb stimulus measures further following signs of improvement in the U.S. economy. The Funds positions in natural gas helped to minimize losses in the energies sector as it rallied throughout the second half of January due to a reported decrease in inventories to its lowest level in almost four years. The Funds positions in the metals markets performed poorly as gold and silver continued to rise on increased demand in Asia. The Funds allocations to indices also performed negatively as U.S. indices suffered the largest losses since 2012 on fears over emerging markets resulted in significant selloffs.
Three Months Ended September 30, 2013
Series A:
Net results for the quarter ended September 30, 2013 were a loss of 5.9% in net asset value compared to the quarter ending June 30, 2013. In this period, Series A experienced a net decrease in net assets from operations of $887,296. This decrease consisted of interest income of $259, trading losses of $579,917, and total expenses of $307,638. Expenses included $67,985 in management fees, $36,749 in ongoing offering expenses, $5,512 in operating expenses, $146,996 in selling commissions, $48,968 in brokerage commissions, and $1,428 in other expenses. At September 30, 2013, the net asset value per Unit of Series A was $1,163.76.
Series B:
Net results for the quarter ended September 30, 2013 were a loss of 6.3% in net asset value compared to the quarter ending June 30, 2013. In this period, Series B experienced a net decrease in net assets from operations of $1,048,178. This decrease consisted of interest income of $410, other income of $1, trading losses of $674,937, and total expenses of $373,652. Expenses included $75,927 in management fees, $41,041 in ongoing offering expenses, $6,156 in operating expenses, $164,165 in selling commissions, $84,402 in brokerage commissions, and $1,961 in other expenses. At September 30, 2013, the net asset value per Unit of Series B was $1,207.15.
44
Fund results for the 3rd Quarter 2013:
The Funds managed futures strategy produced negative returns in September. The Funds long positions in the energy sector hurt performance as natural gas futures continued to retrace from near three-month highs amid reduced anticipated demand based on U.S. weather forecasts. The Funds long positions in the metals markets also underperformed as gold futures tumbled following a report that U.S. jobless claims fell to the lowest level since April 2006. Gold and silver continued to decline on concerns over a possible shutdown of the U.S. government in October. The Funds positions in the bonds sector produced favorable returns as Japans inflation rate soared to its highest level since 2008.
In August, the Funds managed futures strategy underperformed as gold and silver continued their recovery from the previous month on news that U.S. home sales fell below consensus forecast indicating that the Fed will continue its stimulus program. The Funds short positions in the grain markets produced negative returns as soybeans rose to a nine-month high. The Funds long positions in crude yielded positive returns as prices rose at the end of the month to its highest level since April 2011. Crudes rally coincided with signs of accelerating economic growth in Europe and the contemplation of Western military action against Syria.
The Funds managed futures strategy produced negative returns in July. The Funds short positions in the metals and bonds markets suffered as the market weighed the Feds next move on monetary stimulus against the prospects for demand amid higher prices. Gold also recovered from a three-year low on news that the Fed would only start phasing out the stimulus once the economy was strong enough to stand on its own. This news allayed fears of imminent cuts to the Feds monthly bond purchases. The losses from the Funds metals and bond positions was partly offset by gains from the Funds long positions in the energy sector as U.S. Energy Information Administration data showed oil inventories feel for a fourth consecutive week.
Three Months Ended June 30, 2013
Series A:
Net results for the quarter ended June 30, 2013, were a gain of 2.8% 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 $479,463. This increase consisted of income of $376, trading gains of $835,069 and total expenses of $355,982. Expenses included $77,822 in management fees, $42,066 in ongoing offering expenses, $6,310 in operating expenses, $168,262 in selling commissions, $59,802 in brokerage commissions and $1,720 in other expenses. At June 30, 2013, the net asset value per Unit of Series A was $1,237.08.
Series B:
Net results for the quarter ended June 30, 2013, were a gain of 2.1% 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 $465,075. This increase consisted of income of $579, trading gains of $900,708 and total expenses of $436,212. Expenses included $87,286 in management fees, $47,181 in ongoing offering expenses, $7,077 in operating expenses, $188,725 in selling commissions, $102,926 in brokerage commissions and $3,017 in other expenses. At June 30, 2013, the net asset value per Unit of Series B was $1,287.96.
Fund results for 2nd Quarter 2013:
The Funds managed futures strategy produced negative returns in June, driven primarily by losses from the Funds allocation to energies markets as U.S. Department of Energy data showed higher than expected oil inventories. These losses were tempered slightly by gains experienced from the Funds metals positions, as gold and silver each dropped to its lowest level in over two years. The Funds allocation to the bonds markets also produced positive returns as a rise in the U.S. dollar produced sharp downward pressure on interest rate products.
In May, the Funds managed futures strategy yielded disappointing results due primarily to its positions in the bonds and energies sectors. The Funds long natural gas positions negatively affected performance amid reports from the U.S. Energy Information Administration of rising inventories. The U.S. Environmental Protection Agency also issued reports downplaying the environmental impact of natural gas fracking. The Funds long soybean positions produced sold returns in May as China, the worlds largest soybean consumer, continued to show increased demand.
In April, the Funds managed futures strategy posted strong returns amidst high volatility in several key markets. The Funds positions in the metals sector generated positive returns, as did its long natural gas positions. The Funds allocation to the grains sector suffered in April after the U.S. Department of Agricultures reported that farmers had planted 2 million more acres of corn than expected.
45
Three Months Ended March 31, 2013
Series A:
Net results for the quarter ended March 31, 2013, were a gain of 6.5% 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 $1,046,039. This increase consisted of income of $380, trading gains of $1,435,642 and total expenses of $389,983. Expenses included $77,736 in management fees, $42,020 in ongoing offering expenses, $6,304 in operating expenses, $168,078 in selling commissions, $92,941 in brokerage commissions and $2,904 in other expenses. At March 31, 2013 and December 31, 2012, the net asset value per Unit of Series A was $1,203.82 and $1,130.49, respectively.
Series B:
Net results for the quarter ended March 31, 2013, were a gain of 10.8% 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 $1,881,402. This increase consisted of income of $493, trading gains of $2,360,728 and total expenses of $479,819. Expenses included $86,446 in management fees, $46,728 in ongoing offering expenses, $7,010 in operating expenses, $186,909 in selling commissions, $148,280 in brokerage commissions and $4,446 in other expenses. At March 31, 2013 and December 31, 2012, the net asset value per Unit of Series B was $1,261.83 and $1,138.65 respectively.
Fund results for 1st Quarter 2013:
In March, the Funds managed futures strategy produced positive returns. U.S. stock indices rose for a third consecutive month with the S&P 500 approaching an all-time high, leading to profitable returns for the Funds long positions. The Funds long positions in European long-term interest rate futures produced significant gains as investors feared the banking crisis in Cyprus could spill over into neighboring economies. Short positions in base metals added to positive returns as markets were pressured by the debt crisis in Europe, slumping Chinese stocks, and the rising U.S. dollar. The Fund also benefited from long natural gas positions as below normal temperatures forecasted for April lifted futures to an 18-month high. Larger than expected U.S. inventories and record projected planting acreage sent Chicago Board of Trade corn to limit down conditions on the last day of trading, resulting in losses for the Funds long positions across the grain sector.
The Funds managed futures strategy produced positive results in February as unmet expectations for global demand sent commodities lower while unsettling election results in Italy and negative growth renewed European debt concerns. Long positions in equity indices yielded losses for the Fund as European political instability and the slow pace of economic activity again raised concerns over regional finances. The Funds long bond positions generated solid returns in treasuries as European debt crisis fears were reignited in reaction to inconclusive Italian election results. Long positions in the money market sector generated favorable returns for the Funds as rising interbank borrowing costs prompted ECB President Mario Draghi to restate the ECBs readiness to loosen monetary policy, lowering yield expectations. The U.S. dollar strengthened dramatically against a basket of world currencies leading to disappointing results for the Funds long positions in counter-currencies. The Funds short position in LME aluminum generated healthy returns as anticipated increases in demand had yet to be realized, Chinese production swelled and stockpiles tracked by LME rose for a fifth straight month. After climbing 6% in January, the crude oil complex fell back as the slow pace of recovery across the globe was unable to support a further advance, leading to losses for the Funds long positions in the energies sector.
In January, the Funds managed futures strategy produced positive returns to start 2013 with gains across multiple market sectors. The Funds strategies performed well in global equities as indices reached multi-year highs on growing investor optimism, producing profits for the Funds long positions. The Funds long positions in base metals produced favorable results with the rebound in the global economy leading to increased industrial demand. Long allocations across the energies sector also generated healthy returns for the Fund as improving global economic conditions lifted demand prospects while unrest across North Africa and the Middle East injected geopolitical risk premium. Growing global economic stability eroded demand for the safety of government securities in January, leading to negative returns for the Funds long positions in the bonds sector. Expectations for the removal of excess liquidity from the financial system led to losses for the Funds long positions in money market futures.
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%.
46
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.
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 Funds 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, 2014 and December 31, 2013.
CRITICAL ACCOUNTING POLICIES VALUATION OF THE FUNDS POSITIONS
Superfund Capital Management believes that the accounting policies that will be most critical to the Funds financial condition and results of operations relate to the valuation of the Funds positions. The majority of the Funds 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 Funds assets will be valued on a daily basis using objective measures.
RECENTLY ISSUED ACCOUNTING PRONOUNCEMENTS
ASU 2013-08
In June 2013, FASB issued Accounting Standards Update (ASU) No. 2013-08, Amendments to the Scope, Measurement, and Disclosure Requirements (ASU 2013-08). ASU 2013-08 contains new guidance regarding the approach to investment company assessment, requires non-controlling ownership interests in other investment companies to be measured at fair value and requires additional disclosures about the investment companys status as an investment company and information required to be provided to any of its investees. The amendments in the update are effective for interim and annual reporting periods in fiscal years that begin after December 15, 2013. The adoption of the provisions of ASU 2013-08 has not had a material impact on the Funds financial statement disclosures.
ASU 2011-11
In December 2011, FASB issued ASU No. 2011-11, Disclosures about Offsetting Assets and Liabilities (ASU 2011-11). ASU 2011-11 requires disclosures to make financial statements that are prepared under U.S. GAAP more comparable to those prepared under International Financial Reporting Standards. The new disclosure requirements mandate that entities disclose both gross and net information about instruments and transactions eligible for offset in the statement of assets and liabilities as well as instruments and transactions subject to an agreement similar to a master netting arrangement. In addition, ASU 2011-11 requires disclosure of collateral received and posted in connection with master netting agreements or similar arrangements.
In January 2013, FASB issued guidance to clarify the scope of disclosures about offsetting assets and liabilities. The amendments clarify that the scope of guidance issued in December 2011 to enhance disclosures around financial instrument and derivative instruments that are either (a) offset, or (b) subject to a master netting agreement or similar agreement, irrespective of whether they are offset, applies to derivatives, including bifurcated embedded derivatives, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions that are either offset or subject to an enforceable master netting arrangement or similar agreement. The amendments are effective for interim and annual periods beginning on or after January 1, 2013. Adoption did not have a material impact on the Funds financial statements.
47
ITEM 3. | QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK |
Not required.
ITEM 4. | CONTROLS AND PROCEDURES |
Superfund Capital Management, the Funds general partner, with the participation of Superfund Capital Managements 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 Managements internal controls over financial reporting during the quarter ended September 30, 2014 that have materially affected, or are reasonably likely to materially affect, Superfund Capital Managements internal control over financial reporting with respect to each Series individually, as well as the Fund as a whole.
The Rule 13a-14(a)/15d-14(a) certifications of the principal executive officer and the principal financial officer included as Exhibits 31.1 and 31.2, respectively, are certifying as to each Series individually, as well as the Fund as a whole.
PART II - OTHER INFORMATION
ITEM 1. | LEGAL PROCEEDINGS |
Superfund Capital Management is not aware of any pending legal proceedings to which either the Fund is a party or to which any of its assets are subject. The Fund has no subsidiaries.
ITEM 1A. | RISK FACTORS |
Not required.
ITEM 2. | UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS |
(a) | There were no sales of unregistered securities during the quarter ended September 30, 2014. |
(c) Pursuant to the Funds Sixth Amended and Restated Limited Partnership Agreement, investors may redeem their Units at the end of each calendar month at the then current month-end Net Asset Value per Unit. The redemption of Units has no impact on the value of Units that remain outstanding, and Units are not reissued once redeemed.
The following tables summarize the redemptions by investors during the three months ended September 30, 2014:
Series A: | ||||||||
Month |
Units Redeemed | NAV per Unit ($) | ||||||
July 31, 2014 |
326.444 | 1,172.06 | ||||||
August 31, 2014 |
153.592 | 1,234.05 | ||||||
September 30, 2014 |
127.308 | 1,245.07 | ||||||
|
|
|||||||
607.344 | ||||||||
|
|
Series B: | ||||||||
Month |
Units Redeemed | NAV per Unit ($) | ||||||
July 31, 2014 |
511.856 | 1,254.32 | ||||||
August 31, 2014 |
421.205 | 1,362.07 | ||||||
September 30, 2014 |
216.705 | 1,384.69 | ||||||
|
|
|||||||
1,149.766 | ||||||||
|
|
48
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 |
49
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 13, 2014 | SUPERFUND GREEN, L.P. | |||||||
(Registrant) | ||||||||
By: Superfund Capital Management, Inc. General Partner | ||||||||
By: | /s/ Nigel James | |||||||
Nigel James | ||||||||
President and Principal Executive Officer | ||||||||
By: | /s/ Martin Schneider | |||||||
Martin Schneider | ||||||||
Vice President and Principal Financial Officer |
50
EXHIBIT INDEX
Exhibit |
Description of Document |
Page |
||||
31.1 | Rule 13a-14(a)/15d-14(a) Certification of Principal Executive Officer | E-2 | ||||
31.2 | Rule 13a-14(a)/15d-14(a) Certification of Principal Financial Officer | E-3 | ||||
32.1 | Section 1350 Certification of Principal Executive Officer | E-4 | ||||
32.2 | Section 1350 Certification of Principal Financial Officer | E-5 |
E-1
Exhibit 31.1
RULE 13a-14(a)/15d-14(a)
CERTIFICATION OF PRINCIPAL EXECUTIVE OFFICER
I, Nigel James, certify that:
1. I have reviewed this report on Form 10-Q for the period ending September 30, 2014, of Superfund Green, L.P.;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
4. The registrants other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
(a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
(b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
(c) | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and |
(d) | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter (the registrants fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. The registrants other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions):
(a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize and report financial information; and |
(b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
Date: November 13, 2014 | By: | /s/ Nigel James | ||||||
Nigel James | ||||||||
President and Principal Executive Officer |
E-2
Exhibit 31.2
RULE 13a-14(a)/15d-14(a)
CERTIFICATION OF PRINCIPAL FINANCIAL OFFICER
I, Martin Schneider, certify that:
1. I have reviewed this report on Form 10-Q for the period ending September 30, 2014, of Superfund Green, L.P.;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
4. The registrants other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
(a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
(b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
(c) | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and |
(d) | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter (the registrants fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. The registrants other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions):
(a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize and report financial information; and |
(b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
Date: November 13, 2014 | By: | /s/ Martin Schneider | ||||||
Martin Schneider | ||||||||
Vice President and Principal Financial Officer |
E-3
Exhibit 32.1
SECTION 1350 CERTIFICATION
OF PRINCIPAL EXECUTIVE OFFICER
In connection with the report on Form 10-Q for the period ending September 30, 2014 (the Report), I, Nigel James, President and Principal Executive Officer of Superfund Capital Management, Inc., the general partner of Superfund Green, L.P. (the Fund), certify, pursuant to 18 U.S.C. §1350, as adopted pursuant to §906 of the Sarbanes-Oxley Act of 2002, that:
(1) | The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and |
(2) | The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Fund. |
Date: November 13, 2014 | By: | /s/ Nigel James | ||||||
Nigel James | ||||||||
President and Principal Executive Officer |
E-4
Exhibit 32.2
SECTION 1350 CERTIFICATION
OF PRINCIPAL FINANCIAL OFFICER
In connection with the report on Form 10-Q for the period ending September 30, 2014 (the Report), I, Martin Schneider, Vice President and Principal Financial Officer of Superfund Capital Management, Inc., the general partner of Superfund Green, L.P. (the Fund), certify, pursuant to 18 U.S.C. §1350, as adopted pursuant to §906 of the Sarbanes-Oxley Act of 2002, that:
(1) | The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and |
(2) | The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Fund. |
Date: November 13, 2014 | By: | /s/ Martin Schneider | ||||||
Martin Schneider | ||||||||
Vice President and Principal Financial Officer |
E-5
Subscriptions and redemptions - Additional Information (Detail) (USD $)
|
9 Months Ended | |
---|---|---|
Sep. 30, 2014
|
Sep. 30, 2013
|
|
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Initial investment amount | $ 7,823,479 | $ 8,616,176 |
Number of days for redemptions | 20 days | |
Net asset value per unit minimum decline rate | 50.00% | |
Minimum
|
||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Initial investment amount | 1,000 | |
Maximum
|
||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Initial investment amount | $ 10,000 | |
Partners capital account, number of days for a written request for redemptions | 5 days | |
Maximum | Special Redemption Period
|
||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Partners capital account, maximum number of days to notify partners about special redemption event | 7 days |
F@.54P4A*3L$PL,1Q2*L,.EG.\7_Q;@"$F7EHD#2F)80?%PT3#MNDJ
MBF388?(#IMF"/V?8+42',AEVH3S(]IY#E%!,X=;0:^K:4/$+;RB>40?/*XV:
M*`M`Y\E:I$56=MQ4O6##Y()$%='LX-!RYK`.C2JBZ<&A)33'S*FFA6_]JS57
M*V'1]VR&%AQ1A_:RTT&V&8-W]1ADHQ1;%!N7$YTA[;VHP^R#2#2N&3Y!?A7M
M1;)GV8'V(V`J)X@'$>U?'-H9*?* #>GH&:&CW]5$C^!X
M[FUE$69%E=6IS/1\U4?.!A2:S5;/.5_543>P!YD_Z2-:Q]VHFG&@W+1[B(_>
M6](3[R&&`PK@[,+!M5BL'`?* G@HKU6'IIBNT)
ME177`V(TG(X'ERZ)6;%D6+H%`HT=?B,N[G([D_FD&V'1;SQ)Z90K0T;))$T_
MN4![A9?#6W8N.,\%E0;*-<^QJ--T:^+P*^-*74OEZU94DC@B9DV%<:AH1L[3
MJ9/$L;05!":-]9YT(Z1I5T;^J2(Q4LU?42DCQ0`C'2J:$2/%I(R"1`.CFF]8
MT=$WF50HG0EY@=`=$=].D'ZL'BH#C3D>8J/^2.]/N_J+:("5"S%73]1HL-`C
MC5P*-.5`[G7`V!81W&&-'J;D'A'Q8$QNJ005WN$.%FWDD4MRC))\=1H[?[^;
M_`'JK_XP5N3%8W)3'JVX2#6;T-L 7=U^>?J%#.3R$EE/?^?3R/UZ??Z>6/7?O_O;\2J=^^=_?GAX_/7T/:`+_
M\OS\JO\(7_#G\_>_+W1_^O\"````__\#`%!+`P04``8`"````"$`1IN)H:8'
M``!@)0``&0```'AL+W=O LALBP3G,!D7-84!SDH'F
M&*,T>YO"-">*%&TG+?*[+E)JTVF_QZ*Z4?9&,GC50+L.2.46*L-3 V@-\\M=FI!QJ[@PB+-1+))3M&:9XZ/&1X@.HK#VN5E2&P
M,CR&?8T>&6[O#$]^-\M545M+?\7$I;\.K7G%Y
R(M".Y$<%JE><@:F\H6NU48/V[V/CY(RK3D%&M%9'V*+D1
M06KY%=MD5]NWPNOQ_$%U@(:BC4,V2V1$N"SR(TZ\ET0(8W&43(RN3F2$<-\/
M^&37PF*ON"9[T7+M=G`BCZ6B5Z@!^G'1(@",A@B]<6GI8TB,J**-R/:;8R2`
MPH_'GF"MT%^:QJ'U08ZK5G1B23_3`3*EL1V1=B0W(EBM,AYW%RW7=L5W
M1Z3I^XN79F`NK6+2@*FLM*Q.JCE+_G((5&6>WE*FDQBOS,!465'53!DP^O+7
MC>6[)A%DUPJJS9R,<-&91:&B`T;2*!%$8TDURD5G8+I_;M$!`YG-BZ+DQWI)
M@3(=9(`H,]8WZ"NR,@-S9;SF@`%E:3E/6>:7PS]7:5DFR;4TB+!ZC#`#4V%%
MU<>%'@*,E$Z)(-H2W7F'NQ97?.2V%S?IFZKHI9('
MO8!T`39Z._,J6`60:;5AN`E>@<)BP#S<8J(+
M(H#BEPZ@ZG4'GW/Z4=F`MSZ\7E5FE[RVNP?$)%>8Y(*85(ZGE6FSFR#0[RI[
M'HZ380>((70`$/KL!NS.'E\FP\J(65I-D@066+R\(":S@\;TR@;L5AXYQL1Y]!O"
M6545;'(S)]0)DB$D>,TLY3ZV%YR!<.!F+![SCC&'*)8Q\VX5*SY\,CBQJ(GG
M,Z?Q&'BYQ.X'Y=6:/^1L$0%.-]P;^"IP@R#7S*K4:VZ#.X1<:L<@R+63IFN^
M..L1<:F9`4&NF:Q>LYDS(F"F%2H^@'@Q7""^93'QF:=H,H=!\