6. Fair Value Measurements:

Fair value is defined as the value that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to fair values derived from unobservable inputs (Level 3). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety.

The fair value of exchange-traded futures, forward and option contracts is determined by the various exchanges, and reflects the settlement price for each contract as of the close of business on the last business day of the reporting period. The fair value of foreign currency forward contracts is extrapolated on a forward basis from the spot prices quoted as of approximately 3:00 P.M. (E.T.) on the last business day of the reporting period from various exchanges. The fair value of non-exchange-traded foreign currency option contracts is calculated by applying an industry standard model application for options valuation of foreign currency options, using as input the spot prices, interest rates and option implied volatilities quoted as of approximately 3:00 P.M. (E.T.) on the last business day of the reporting period. U.S. Treasury bills are valued at the last available bid price received from independent pricing services as of the close of the last business day of the reporting period.

The Partnership considers prices for commodity futures, swap and option contracts to be based on unadjusted quoted prices in active markets for identical assets and liabilities (Level 1). The values of U.S. Treasury bills, non-exchange-traded forward, swap and certain option contracts for which market quotations are not readily available are priced by pricing services that derive fair values for those assets and liabilities from observable inputs (Level 2). As of March 31, 2018 and December 31, 2017, and for the periods ended March 31, 2018 and 2017, the Partnership did not hold any derivative instruments that were priced at fair value using unobservable inputs through the application of the General Partner’s assumptions and internal valuation pricing models (Level 3). Transfers between levels are recognized at the beginning of the reporting period.


March 31, 2018	Total		Level 1		Level 2		Level 3
Assets
Futures	$	1,503,294	$	1,503,294	$	—	$	—
Forwards		483,676		—		483,676		—

Total assets	$	1,986,970	$	1,503,294	$	483,676	$	—

Liabilities
Futures	$	1,005,209	$	1,005,209	$	—	$	—
Forwards		757,393		—		757,393		—

Total liabilities	$	1,762,602	$	1,005,209	$	757,393	$	—


December 31, 2017*	Total		Level 1		Level 2		Level 3
Assets
Futures	$	2,377,628	$	2,377,628	$	—	$	—
Forwards		1,275,513		—		1,275,513		—

Total assets	$	3,653,141	$	2,377,628	$	1,275,513	$	—

Liabilities
Futures	$	639,577	$	639,577	$	—	$	—
Forwards		789,082		—		789,082		—

Total liabilities	$	1,428,659	$	639,577	$	789,082	$	—

$370,551 of assets and $534,709 of liabilities were transferred from Level 1 to Level 2 during the year ended December 31, 2017. The General Partner believes that for London Metal Exchange contracts, the inputs are derived from an exchange and not actively quoted prices, which is more representative of a Level 2 security.