Attached files
file | filename |
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EX-32.1 - EX-32.1 - SUPERFUND GREEN, L.P. | c57181exv32w1.htm |
EX-31.1 - EX-31.1 - SUPERFUND GREEN, L.P. | c57181exv31w1.htm |
EX-32.2 - EX-32.2 - SUPERFUND GREEN, L.P. | c57181exv32w2.htm |
EX-31.2 - EX-31.2 - SUPERFUND GREEN, L.P. | c57181exv31w2.htm |
EX-3.01 - EX-3.01 - SUPERFUND GREEN, L.P. | c57181exv3w01.htm |
Table of Contents
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 10-K
þ | ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
For the Fiscal Year Ended December 31, 2009
OR
o | 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 its charter)
DELAWARE | 98-0375395 | |
(State or other jurisdiction of incorporation or organization) |
(IRS Employer Identification Number) | |
SUPERFUND OFFICE BUILDING P.O. BOX 1479 GRAND ANSE ST. GEORGES, GRENADA WEST INDIES |
Not applicable | |
(Address of principal executive offices) | (Zip Code) |
Registrants telephone number, including area code: (473) 439-2418
Securities registered pursuant to Section 12(b) of the Act: None
Securities registered pursuant to Section 12(g) of the Act:
Units of Limited Partnership Interest
(Title of Class)
(Title of Class)
Indicate by check mark if the registrant is a well-known seasoned issuer, as defined in Rule 405 of
the Securities Act.
Yes o No þ
Indicate by check mark if the registrant is not required to file reports pursuant to Section 13 or
Section 15(d) of the Act.
Yes o No þ
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 þ No o
Indicate by check mark whether the registrant has submitted electronically and posted on its
corporate Website, 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 o No o
Indicate by check mark if disclosure of delinquent filers pursuant to Item 405 of Regulation S-K
(§229.405 of this chapter) is not contained herein, and will not be contained, to the best of the
registrants knowledge, in definitive proxy or information statements incorporated by reference in
Part III of this Form 10-K or any amendment to this Form 10-K. o
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 o | Accelerated filer o | Non-accelerated filer o | Smaller reporting company þ | |||
(do not check if a smaller reporting company) |
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the
Exchange Act).
Yes o No þ
State the aggregate market value of the voting and non-voting common equity held by non-affiliates
computed by reference to the price at which the common equity was last sold, or the average bid and
asked price of such common equity, as of the last business day of the registrants most recently
completed second fiscal quarter.
Not applicable.
DOCUMENTS INCORPORATED BY REFERENCE
Prospectus dated November 24, 2009, as supplemented on December 3, 2009, included within the
Registration Statement on Form S-1 (File No. 333-162132), is incorporated by reference into Item 1
and Item 5.
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EX-32.2 |
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PART I
Item 1. | Business. |
(a) | General Development of Business |
Superfund Green, L.P., formerly known as Quadriga Superfund, L.P. (the Fund), is a
limited partnership which was organized on May 3, 2002, under the Delaware Revised Uniform Limited
Partnership Act, as amended. In accordance with the Fifth Amended and Restated Limited Partnership
Agreement (the Limited Partnership Agreement) under which it operates, the Fund is organized as
two separate series of limited partnership units (the Units), Series A and Series B (each, a
Series). The Fund operates as a commodity investment pool, whose purpose is speculative trading
in the U.S. and international futures and forwards markets. Specifically, the Fund trades a
portfolio of more than 120 futures and forward markets using a fully-automated, proprietary,
computerized trading system. The general partner and trading manager of the Fund is Superfund
Capital Management, Inc., formerly known as Quadriga Capital Management, Inc. (Superfund Capital
Management), a Grenada corporation. Superfund Capital Management is subject to the provisions of
the Commodity Exchange Act, the regulations of the Commodity Futures Trading Commission (the
CFTC), and the rules of the National Futures Association (the NFA).
The Fund originally filed a registration statement with the U.S. Securities and Exchange
Commission (SEC) for the sale of 200,000 Units at $1,000 each, which registration statement was
declared effective on October 22, 2002. The Unit selling price during the initial offering period,
which ended on October 31, 2002, was $1,000. The Fund subsequently filed additional registration
statements with the Securities and Exchange Commission to bring the total dollar amount of Units
registered for sale to $219,112,177 for Series A and $319,344,796 for Series B. Since November 1,
2002, Units have been offered on an ongoing basis during the Funds continuing offering period.
During the continuing offering period, subscriptions are accepted monthly and proceeds are
transferred to bank and brokerage accounts for trading purposes. The selling price per Unit during
the continuing offering period is the net asset value per Unit as of the last business day of the
month in which the subscription is accepted.
In the initial and continuing offering periods through December 31, 2009, a total of
$116,260,480 has been invested in Series A and a total of $139,792,816 has been invested in Series
B. A total of $92,917,740 has been redeemed from Series A and a total of $78,768,186 has been
redeemed from Series B during these same periods.
In addition to making all trading decisions in its capacity as trading manager, Superfund
Capital Management conducts and manages all aspects of the business and administration of the Fund
in its role as general partner.
The Fund will be terminated and dissolved promptly thereafter upon the happening of the
earlier of: (a) the expiration of the Funds stated term of December 31, 2050; (b) an election to
dissolve the Fund at any time by the Funds unitholders (Unitholders) owning more than 50% of the
Units then outstanding; (c) the withdrawal of Superfund Capital Management as general partner
unless one or more new general partners have been elected or appointed pursuant to the Limited
Partnership Agreement; or (d) with respect to Series A and Series B Units, a decline in the
aggregate net assets of such a Series to less than $500,000.
(b) | Financial Information about Industry Segments |
The Funds business constitutes only one segment, i.e., a speculative commodity pool. The
Fund does not engage in sales of goods or services. Financial information regarding the Funds
business is set forth in the Funds financial statements included as Exhibit 13.01 to this report.
(c) | Narrative Description of the Business |
A description of the business of the Fund, including trading approach, rights and
obligations of the Unitholders, and compensation arrangements is contained in the Funds Prospectus
dated November 24, 2009, as supplemented on December 3, 2009, under Summary, The Risks You
Face, Superfund Capital Management, Inc., Conflicts of Interest, and Charges to Each Series
and such description is incorporated herein by reference from the Prospectus.
The Fund conducts its business in one industry segment: the speculative trading of
futures and forward contracts and options thereon. The Fund is a market participant in the managed
futures industry. Market participants include all types of investors, such as corporations,
employee benefit plans, individuals and foreign investors. Service providers of the managed futures
industry include (a) pool operators, which conduct and manage all aspects of trading funds, such as
the Fund, (b) trading advisors, which make the specific trading decisions, and (c) commodity
brokers, which execute and clear the trades pursuant to the instructions of the trading advisor.
The Fund has no employees, and does not engage in the sale of goods or services.
The Fund trades on domestic and international exchanges in more than 120 futures and
forward contracts. Trading decisions are made using a fully-automated, proprietary, computerized
trading system which emphasizes instruments with low correlation and high liquidity for order
execution. The particular contracts traded by the Fund will vary from time to time.
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The Fund may, in the future, experience increased competition for the commodity futures
and other contracts in which it trades. Superfund Capital Management will recommend similar or
identical trades for other accounts under its management. Such competition may also increase due to
what Superfund Capital Management believes is an increasing utilization of computerized trading
methods similar in general to those used by Superfund Capital Management.
Under the Commodity Exchange Act, commodity exchanges and commodity futures trading are
subject to regulation by the CFTC. The NFA, a registered futures association under the Commodity
Exchange Act, is the only non-exchange self-regulatory organization for commodity industry
professionals. The CFTC has delegated to the NFA responsibility for the registration of commodity
trading advisors, commodity pool operators, futures commission merchants, introducing
brokers and their respective associated persons and floor brokers. The Commodity Exchange Act
requires commodity pool operators such as Superfund Capital Management and commodity brokers or
futures commission merchants such as the Funds commodity brokers to be registered and to comply
with various reporting and recordkeeping requirements. Superfund Capital Management and the Funds
commodity brokers are members of the NFA. The CFTC may suspend a commodity pool operators
registration if it finds that its trading practices tend to disrupt orderly market conditions, or
as the result of violations of the Commodity Exchange Act or rules and regulations promulgated
thereunder. In the event Superfund Capital Managements registration as a commodity pool operator
was terminated or suspended, Superfund Capital Management would be unable to continue to manage its
business or the Fund. Should Superfund Capital Managements registration be suspended, termination
of the Fund might result.
In addition to such registration requirements, the CFTC and certain commodity exchanges
have established limits on the maximum net long and net short positions which any person, including
the Fund, may hold or control in particular commodities. Most exchanges also limit the maximum
changes in futures contract prices that may occur during a single trading day. The Fund may also
trade in dealer markets for forward and swap contracts, which are not regulated by the CFTC.
Federal and state banking authorities also do not regulate forward trading or forward dealers. In
addition, the Fund trades on foreign commodity exchanges, which are not subject to regulation by
any United States government agency.
(d) | Financial Information about Geographic Areas |
The
Fund does not engage in sales of goods or services or own any long-lived assets. Therefore
this item is not applicable.
Item 1A. | Risk Factors. |
Not required.
Item 1B. | Unresolved Staff Comments. |
Not required.
Item 2. | Properties. |
The Fund does not own or use any physical properties in the conduct of its business. Its
assets currently consist of futures and other contracts, cash and U.S. Treasury Bills.
Item 3. | Legal Proceedings. |
None.
Item 4. | (Removed and Reserved) |
PART II
Item 5. | Market for Registrants Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities. |
(a) | Market Information | |
There is no trading market for the Units, and none is likely to develop. Units may be redeemed upon five (5) business days prior notice to Superfund Capital Management at their net asset value as of the last day of the month in which the redemption request is received. | ||
(b) | Holders | |
As of December 31, 2009, there were 1,450 holders of Series A Units and 2,763 holders of Series B Units. |
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(c) | Dividends | |
Superfund Capital Management has sole discretion in determining what distributions, if any, the Fund will make to its Unitholders. Superfund Capital Management has not made any distributions as of the date hereof and has no present intention to make any. | ||
(d) | Securities Authorized for Issuance Under Equity Compensation Plans | |
None. | ||
(e) | Recent Sales of Unregistered Securities; Use of Proceeds from Registered Securities | |
There have been no sales of unregistered securities of the Fund during 2008 or 2009. A description of the use of proceeds from the sale of registered securities is contained in the Funds current Prospectus, dated November 24, 2009, as supplemented on December 3, 2009, included within the Registration Statement on Form S-1 (File No. 333-162132), under Use of Proceeds and such description is incorporated herein by reference from the Prospectus. | ||
(f) | Purchases of Equity Securities by the Issuer and Affiliated Purchasers | |
Pursuant to the Funds Limited Partnership Agreement, Unitholders 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 the Units that remain outstanding, and Units are not reissued once redeemed. |
The following tables summarize the redemptions by Unitholders during the fourth calendar
quarter of 2009:
Series A:
Units | Net Asset Value | |||||||
Month | Redeemed | per Unit ($) | ||||||
October 31, 2009 |
97.981 | 1,312.64 | ||||||
November 30, 2009 |
388.637 | 1,495.46 | ||||||
December 31, 2009 |
406.220 | 1,354.49 | ||||||
Total |
892.838 | |||||||
Series B:
Units | Net Asset Value | |||||||
Month | Redeemed | per Unit ($) | ||||||
October 31, 2009 |
503.830 | 1,388.19 | ||||||
November 30, 2009 |
233.948 | 1,694.99 | ||||||
December 31, 2009 |
609.970 | 1,454.64 | ||||||
Total |
1,347.748 | |||||||
Item 6. | Selected Financial Data. |
Not required.
Item 7. | 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 is
ongoing. For the year ended December 31, 2009, subscriptions totaling $22,712,095 in Series A and
$42,437,152 in Series B had been accepted and redemptions over the same period totaled $11,964,755
in Series A and $16,203,214 in Series B.
Liquidity
Most United States 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
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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 United States 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
2009
Series A:
Net results for the year ended December 31, 2009 were a loss of 29.9% in net asset value compared
to the preceding year. In this period, Series A experienced a net decrease in net assets from
operations of $12,407,179. This net decrease consisted of interest income of $36,541, trading
losses of $9,359,825, and total expenses of $3,083,895. Expenses included $642,447 in management
fees, $347,268 in ongoing offering expenses, $52,090 in operating expenses, $1,389,074 in selling
commissions, $637,825 in brokerage commissions, and $15,191 in other expenses. At December 31,
2009, and December 31, 2008, the net asset value per Unit of Series A was $1,354.49 and $1,932.30,
respectively.
Series B:
Net results for the year ended December 31, 2009 were a loss of 44.1% in net asset value compared
to the preceding year. In this period, Series B experienced a net decrease in net assets from
operations of $35,027,641. This net decrease consisted of interest income of $64,467, trading
losses of $28,880,122, and total expenses of $6,211,986. Expenses included $1,097,606 in
management fees, $593,300 in ongoing offering expenses, $88,995 in operating expenses, $2,373,202
in selling commissions, $301,233 in incentive fees, $1,736,922 in brokerage commissions, and
$20,728 in other expenses. At December 31, 2009, and December 31, 2008, the net asset value per
Unit of Series B was $1,454.64 and $2,600.96, respectively.
Fund results for 4th Quarter 2009:
In December, equities ended the year on a rally that began in March. Economic data improved as
stimulus measures took hold in the second half of the year. A mixture of long and short positions
in the stock indices sector produced an overall gain for the Fund for the month. U.S. bonds sold
off at the end of the year as the economic recovery gained momentum on improving unemployment,
retail sales, and housing figures. European bonds also rallied from their June lows as the global
recovery spread. A mixture of long and short positions in the bond sector led to a loss for the
Fund for the month. Front-month Eurodollar futures retreated from record highs as better than
expected employment data and rising inflation readings in the U.S. increased speculation that
monetary policy may tighten sooner than anticipated. The Funds long positions in the interest rate
sector led to an overall loss for the month. Front month U.S. dollar index futures finished 2009
with a 3.9% rally in December, while the euro lost 4.4%. The Funds short positions in the
U.S. dollar resulted in a relatively large loss for the month. Front-month gold futures posted a
7.2% loss in December. The Funds long position in the metals sector resulted in an overall loss
for the month. Front-month natural gas futures finished up more than 12.0% in December to finish
the year near unchanged. A mixture of long and short positions in the energy markets produced a
loss for the Fund for the month.
In November, world bond markets rallied as a significant downward revision in U.S. gross domestic
product (GDP) and the reemergence of global deflation supported buying. European bonds traded
higher after Euro-zone producer prices declined on an annual basis for the ninth straight month as
consumer prices fell for a fifth consecutive month. The Funds long positions in the bond sector
produced an overall gain. Global short-term interest rate futures experienced a substantial rally
in November after central banks signaled that historically low rates would extend well into the
future. The Funds long positions in the interest rate sector led to an overall gain for the month.
The U.S. dollar index posted another new low for the year in November, losing 1.9% as investors and
central bankers alike continued to seek diversity from the U.S. dollar. Commodity-intensive
currencies maintained their strong trends with the Australian and Canadian dollar and the Chilean
peso moving 1.8%, 2.2% and 6.3% higher, respectively. The Funds short positions in the U.S. dollar
led to an overall gain for the currencies sector for the month. January crude oil futures spent
most of the first half of the month trading near or above the $80 level, finding support from a
weak U.S. dollar. January natural gas moved lower most of the month, finishing with
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a loss of 10.1%. The Funds short positions in the energy sector led to an overall gain for the
month. Gold opened the month sharply higher on news that the International Monetary Fund sold the
equivalent of 8.0% of world annual mine production to the government of India in October. As a
result, February gold rallied, finishing 13.5% higher. January silver and platinum joined the rally
finishing 14.1% and 9.8% higher, respectively. A mixture of long and short positions in the metals
sector led the Fund to an overall gain for the month.
In October, world equities continued to move higher early in the month before running out of steam
late. Japans Nikkei 225 continued to lag, finishing the month down 0.9%, as an improving
unemployment picture was unable to offset tepid growth. European equities markets, including those
in Germany, France and the United Kingdom, sold off, finishing down 5.2%, 4.8% and 2.1%,
respectively. A mixture of long and short positions in the stock indices sector produced an overall
loss for the Fund for the month. World bond markets retracted from recent highs, finishing October
significantly lower as early data conveyed a sense of sustainability to the overall recovery. A
mixture of long and short positions in the bond sector led to an overall loss for the Fund for the
month. U.S. dollar index futures established 14-month lows in October as investors throughout the
world called into question the reserve status of the U.S. currency. The British pound recovered
most of Septembers months losses, finishing 2.7% higher, amid talk that the Bank of England might
pause quantitative easing if economic growth continued to improve. The Brazilian real added another
0.3%. The Funds long positions in the U.S. dollar produced an overall loss in the currencies
sector. December corn and November soybean futures finished 6.4% and 5.5% higher, respectively,
finding support as unseasonably cool and wet weather in the U.S. complicated late development and
harvest of the crop. A mixture of long and short positions in the grains sector produced an overall
loss for the Fund for the month. December gold futures rose sharply in early October, posting
all-time highs above $1,070 per ounce as concerns mounted over the stability of the U.S. dollar as
the worlds reserve currency. The Funds gold position produced an overall gain for the month.
Silver and copper finished the month 7.0% and 4.8% higher, respectively. A mixture of long and
short positions led the metals sector to an overall loss for the Fund on the month. Sugar futures
fell 10.1% as signs emerged that physical buyers were slowing purchases following the establishment
of 28-year highs in September. December hogs rose sharply, finishing 15.0% higher, amid an improved
export outlook after restrictions were lifted for U.S. pork exports to Russia and China. December
cotton futures added 7.8%, posting new one-year highs as crop conditions worsened in the
U.S. cotton harvest stood at only 19.0% complete as the Mississippi Delta region (99% of
production) continued to be pounded by rain. December NY cocoa finished 5.1% higher on the month. A
mixture of long and short positions in the agricultural sector led to an overall loss for the Fund
on the month.
For the fourth quarter of 2009, the most profitable market group overall was the metals sector,
while the greatest losses were attributable to positions in the energy sector.
Fund results for 3rd Quarter 2009:
In September, world bond markets finished on the upside after better than expected economic data
was discounted as several global central banks weighed the withdrawal of economic stimulus
packages. These conditions led the Funds long positions in the bond sector to an overall gain.
Global short-term interest rate futures continued their strong upward trend as inflation fears
weakened and sustainability of the economic recovery came into question. Three month eurodollar
futures extended their upside move after the Federal Open Market Committee kept rates at record
lows in an effort to combat a 26-year high in unemployment. The Funds long positions produced
gains in the interest rates sector. The U.S. dollar established new lows for the year in September,
falling 2.0% as investors around the world aggressively borrowed the low yielding currency to
finance purchases of assets in countries offering higher yields. Emerging South American currencies
continued to shine due to their relatively high yields. The Colombian peso and Brazilian real
finished 6.8% and 6.0% higher, respectively. The Funds short positions in the U.S. dollar led to
gains in the currencies sector. November crude oil contracts finished near unchanged as existing
homes sales and consumer confidence came in well below expectations. Crude inventories continued to
expand as demand remained weak. The Funds short energy positions produced losses on the month.
December gold futures finished 5.9% higher, closing above the significant $1,000 mark. December
silver futures also attracted investment demand, finishing 11.6% higher on the month. The Funds
long metals positions produced an overall gain.
In August, world bond markets moved steadily higher as perceptions surrounding economic data
shifted. U.S. Treasury bonds attracted steady buying in the latter half of the month as retail
sales missed forecasts and producer prices fell more than expected. These developments led the
Funds long positions in the interest rate sector to an overall gain. The U.S. dollar remained near
its lows for the year as risk appetite remained elevated, while the British pound and Canadian
dollar finished down 2.5% and 1.1%, respectively. The Funds short positions in U.S. dollar led to
an overall gain. Crude oil finished down 1.7%, while natural gas lost 23.3%. The Funds short
positions in the energy sector lead to an overall gain. October gold continued to trade sideways
between $900-$1,000, while London copper, nickel and lead finished 12.6%, 6.7% and 12.2% higher,
respectively. The Funds short positions in the metals sector led to an overall loss. Hog futures
continued their steady drive lower, finishing down 10.5%. Sugar and coffee finished 30.1% and 7.6%
higher, respectively. The Funds mix of long and short positions in the agriculture sector resulted
in an overall gain.
In July, global stock markets continued to advance as many markets rose to new multi-month highs.
Chinas Shenzen 300 finished 15.0% higher, while Germanys DAX, Londons FTSE and Frances CAC40
established new highs, rising between 8.0% and 11.0%. Short positions in the stock indices sector
produced relatively large losses for the month. The Canadian dollar surged, finishing 7.0% higher,
and the Norwegian krona, Brazilian real and Australian dollar finished 5%, 4.4% and 3.6% higher,
respectively. These conditions led the Funds long positions in the U.S. dollar to an overall loss.
Gold gained slightly in July as investors continued to search for
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conviction on short-term price action. U.S. dollar weakness combined with an inflationary Producer
Price Index report caused December gold futures to experience a 2.8% gain. Industrial metals
continued to trend higher with London copper leading the way, finishing 15.2% higher. The Funds
short positions in metals led to an overall loss.
For the third quarter of 2009, the most profitable market sector for the Fund on an overall basis
was the interest rates sector, while the greatest losses resulted from the Funds positions in the
stock indices sector.
Fund results for 2nd Quarter 2009:
In June, U.S. stock indices finished near unchanged, while most Asian stock indices finished
higher; Hong Kongs Chinese Enterprise Index rose 6.1%. The Funds short positions in the stock
indices sector experienced a loss. World bond markets reversed early month lows by month- end,
finishing higher as improving bond yields and a stagnating equity rally attracted buyers. The
Funds long positions in the bonds sector led to a gain. U.S. and European short-term interest rate
futures finished slightly higher in June, recovering from a substantial early month selloff. The
Funds long positions during the earlier part of the month resulted in losses. The Australian
dollar finished the month 1.2% higher, while the British pound finished 2.0% higher. The Funds
long positions in the U.S. dollar led to a loss. December wheat contracts plunged, losing 17.5% as
the global recession continued to destroy demand. The Funds short positions in the grains sector
produced gains. London copper added 3.7%, while lead also rose 8.9% as Chinese auto sales soared.
London nickel finished up 10.0% as Chinese imports for the first 4 months of 2009 exceeded 2008
levels by 16.0%. The Funds short positions in the metals sector resulted in losses. U.S. August
crude oil futures added 4.1% despite rising inventories as Chinese buying supported values. The
Funds short positions in the energy sector produced losses. Other market sectors, relative to the
sectors mentioned above, did not reveal significant trends and did not have a substantial influence
on this months overall negative performance.
In May, world bond markets traded dramatically lower as burgeoning budget deficits led to heavy
bond issuance, foreshadowing long-term inflation. U.S. 30-year bond futures, German Bund futures,
and Japanese 10-year bond futures traded to their lowest levels since November 2008. The Funds
long positions in the bonds sector resulted in losses. Emerging market strength contributed to a
steep selloff in U.S. treasuries, resulting in a 6.2% loss for the U.S. dollar index. The Brazilian
real and the Australian dollar were up 10.0% and 13.2%, respectively, against the U.S. dollar. The
Funds long positions in the U.S. dollar produced losses. Despite crude demand falling more than
7.5% from last year, inventories declined, leading to a 24.8% gain for July crude futures. The
Funds short positions in this sector incurred relatively large losses. Other market sectors did
not reveal significant trends and did not have a significant influence on this months overall
negative performance.
In April, the S&P 500 Index rose 9.4% led by bank stocks as (i) FAS 157-4 provided guidance for
determining the fair value of assets and liabilities, including guidance on identifying
circumstances that indicate an observed transaction used to determine fair value is not orderly
and, therefore, is not indicative of fair value and (ii) strong earnings from favorable spreads
created by cheap central bank liquidity supported values. The Funds short stock indices positions
led to a relatively large loss. World bond markets tracked steadily lower in April as money flowed
out of low yielding treasuries and into equities. The Funds long positions in the bonds sector
produced an overall loss. The U.S. dollar index finished down 1.2% while the euro moved sideways as
capital moved out of the U.S. and European Union amid unattractive treasury yields. The Hungarian
forint, Polish zloty and Czech koruna gained 6.0%, 4.6% and 2.1%, respectively against the U.S.
dollar, while the Australian dollar, Canadian dollar and Brazilian real finished up 5.0%, 5.5% and
5.7%, respectively against the U.S. dollar. The Funds long positions in the U.S. dollar lead to an
overall loss for the currency sector. Positive economic signals from the G20 meeting and the
resulting rise in world equity markets were offset by rising inventories as global energy demand
continued to contract. June natural gas prices continued lower, posting a 13.8% loss as storage
increased to nearly 34.0% greater than a year ago and 23.0% greater than the five-year moving
average. The Funds short positions in the energy sector produced a relatively large gain. Other
market sectors did not reveal significant trends and did not have a substantial influence on
Aprils overall negative performance.
For the second quarter of 2009, the most profitable market sector for the Fund on an overall basis
was the grains sector, while the greatest losses resulted from the Funds positions in the energy
sector.
Fund results for 1st Quarter 2009:
In March, global stock indices finished the month with significant gains. On the basis of strong
economic indicators, U.S. indices experienced gains of 7.0% to 10.0%, while Koreas Kospi and the
China-based H-Shares experienced gains of 14.2% and 13.7%, respectively. The Funds short stock
indices positions resulted in losses for the month. Global short-term interest rate futures trended
higher during March as the continuous actions of world central banks attempting to combat the
recession and reverse deflation provided steady support. The Funds long interest rates positions
produced gains. The Australian dollar gained 8.2% against the U.S. dollar, while the Brazilian real
and New Zealand dollar gained 2.6% and 11.7%, respectively against the U.S. dollar, based on strong
relative economic performance bolstered by commodity market strength. The euro added 4.6% against
the U.S. dollar and 6.0% against the Japanese yen, while the Norwegian krone rose 4.4% against the
U.S. dollar. A relatively large loss resulted from the Funds short positions in these foreign
currency markets. In March, Australian wheat production estimates grew by 1.4 million tons, while
global 2008-09 total wheat production was projected to be a record 684.4 million tons. May corn
moved 12.7% higher as rising crude oil and
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fertilizer prices resulted in the United States Department of Agriculture (USDA) shifting
production from corn to soybeans. The Funds short positions in grain lead to a loss in the sector.
May crude oil futures added to Februarys late month rebound, rising 6.1%, supported by solid U.S.
housing and durable goods orders and a weaker U.S. dollar. A surprisingly dramatic recovery in
Chinese demand also provided underlying support. The Funds short energy sector positions resulted
in losses for the month. Gold ETF holdings posted yet another record high, supporting the market at
levels well above $900 per ounce as investors continued to seek protection from currency debasing
moves by central bankers. In London, base metals, led by copper and zinc, up 19.7% and 21.4%,
respectively, moved sharply higher amid widespread evidence that China is moving to counteract
damage to its export-led economic growth by stockpiling industrial metals to use for vast
infrastructure projects. These developments produced losses for the Funds short positions in the
metals sector.
In February, equities continued their collapse as dark economic clouds hung over global markets. In
Asia, major indices lost between 3.0% and 9.0%. The Nikkei Index fell nearly 4.7% amid a startling
84.0% drop in January machine orders (year over year). The Funds short positions in stock indices
produced gains on the month. Front month U.S. 30 year bond futures finished slightly lower as the
unexpected inflation readings and massive debt supply offset the short term inflation outlook.
European bonds returned to recent highs as reports showed economic contraction of 1.5% in the
4th quarter, the most in 13 years. Japanese bonds also returned to recent highs as gross domestic
product (GDP) shrank at a 12.7% annualized rate in the fourth quarter. The Funds long positions
in the bonds sector produced gains for the month. May soybean futures showed strength early in the
month on concern that dry conditions in Argentina would result in significant production losses.
Nonetheless, soybeans finished over 10.7% lower as the combination of timely rains and persistent
U.S. dollar strength weighed on values. May corn futures finished 8% lower despite the dry weather
in Argentina leading the USDA to lower world production estimates by 4.6 million tons. The Funds
short positions in the grains sector resulted in gains for the month. U.S. crude inventories rose
to 351.3 million barrels versus 299.8 million barrels in February 2009 despite several rounds of
production cuts by the Organization of the Petroleum Exporting Countries (OPEC). Despite the
negative news, April crude managed a late rally of over 20.0% to finish with a loss of 3.3% on the
back of a bullish gasoline inventory report. April gasoline futures rallied over 20.0% from its
lows to finish 1.3% higher as capacity utilization in the refining sector shrank to 81.4%. April
natural gas finished 6.2% lower as supplies stood more than 12.0% above the five-year average. The
Funds short positions in the energy sector resulted in overall gains for the month.
In January, negative news sent equities lower around the world. Asian indices finished lower as the
Nikkei declined 10.0% due to distressed vehicle sales and industrial production, while Hong Kongs
Hang Seng index fell 8.2% on poor export data. In Europe, falling industrial production and bank
sector trouble pressured markets, leading to a 10.2% decline for Germanys DAX. The Funds short
positions in the stock indices sector produced gains for the month. World bond markets gave back
most of Decembers gains as stimulus and bailout package announcements by world governments made
bond investors nervous. In Europe, producer prices fell the most in 27 years and consumer inflation
reached the lowest in more than 2 years. This data propelled front-month Bund futures to a record
high by mid-month, however the market finished near unchanged as the European Central Bank rejected
talk of easing to a 0% target rate. The Funds long positions in the bonds sector resulted in
losses for the month. Crude oil settled near its December low of around $40 per barrel as the
market shrugged off a litany of bullish factors, choosing instead to focus on deteriorating demand,
growing inventories, and the strong U.S dollar. March natural gas futures continued trending lower,
falling 21.8% as inventories remained plentiful despite below average temperatures throughout the
U.S. The Funds short positions in the energy sector produced overall gains for the month.
For the first quarter of 2009, the most profitable market sector was interest rates, while the
largest losses resulted from positions in the currency sector.
2008
Series A:
Net results for the year ended December 31, 2008 were a gain of 30.00% in net asset value compared
to the preceding year. In this period, Series A experienced a net increase in net assets from
operations of $13,083,514. This net increase consisted of interest income of $917,244, trading
gains of $17,665,180, and total expenses of $5,498,910. Expenses included $813,892 in management
fees, $439,942 in ongoing offering expenses, $65,991 in operating expenses, $1,759,767 in selling
commissions, $1,786,681 in incentive fees, $615,631 in brokerage commissions, and $17,006 in other
expenses. At December 31, 2008, and December 31, 2007, the net asset value per Unit of Series A was
$1,932.30 and $1,486.44, respectively.
Series B:
Net results for the year ended December 31, 2008 were a gain of 46.56% in net asset value compared
to the preceding year. In this period, Series B experienced a net gain in net assets from
operations of $17,346,271. This net increase consisted of interest income of $792,092, trading
gains of $24,927,058, and total expenses of $8,372,879. Expenses included $936,891 in management
fees, $506,427 in ongoing offering expenses, $75,964 in operating expenses, $2,025,709 in selling
commissions, $3,831,165 in incentive fees, $971,657 in brokerage commissions, and $25,066 in other
expenses. At December 31, 2008, and December 31, 2007, the net asset value per Unit of Series B was
$2,600.96 and $1,774.69, respectively.
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Fund results for 4th Quarter 2008:
In December, the world bond market rally continued as U.S. 30-year bond futures and the German Bund
traded to record highs. U.S. bonds finished the year exceptionally strong as unemployment reached
6.7%, the highest rate since 1993. European bond futures climbed to record highs as euro zone GDP
dropped to 0.6% (year-on-year). Japanese 10-year bond futures finished the year higher as the
Tankan Survey showed business sentiment at a 10-year low, forcing the Bank of Japan to lower
interest rates to 0.1% as yen appreciation decimated exports. The Funds long bond positions
produced gains in December. World energy markets endured extreme volatility in 2008. After crude
oil futures peaked in July with an intra-day high of $147.27 per barrel, energy markets moved
sharply lower for the balance of the year as the credit crisis and high prices quashed demand and
sent the world into recession. Crude oil finished down 54.2% on the year as growing inventories and
wholesale commodity deleveraging sent buyers to the exits. Heating oil, gasoline, and natural gas
followed a similar path. Heating oil peaked with a gain of over 57%, only to finish down 46.3%.
Gasoline and natural gas futures also finished the year with losses of 59.5% and 25%, respectively.
Short positions in the energy sector produced gains in December.
In November, the credit crunch continued to stifle the world banking system and choke off corporate
funding, leading to additional layoffs. In Asia, the Taiwan Index lost nearly 9.5% as exports and
industrial production collapsed. Australias SPI Index fell 7.5% as commodity prices remained
depressed. Germanys DAX led European equities lower, declining 7.8%, as GDP and industrial
production sank. The Funds short positions in stock indices futures produced gains. World bond
markets rose sharply as fears of a protracted global economic recession led to a parallel concern
that deflation was establishing itself. The rally continued as U.S. retail sales sustained the
largest drop since records began in 1992, declining 2.8%. Front month U.S. 30-year bond futures
responded by trading to near a 10 year high as the CPI decreased the greatest amount on record,
conveying a steep drop off in inflation. European bonds continued their upward trend with December
bond futures reaching a 33 month high. The Funds long bond positions resulted in significant
gains. Global short-term interest rate futures continued their strong upward trend in November as
the economic crisis intensified. Three month Eurodollar futures rallied to over 4-year highs after
Treasury Secretary Paulson announced the U.S. would abandon buying soured assets from banks in
favor of easing consumer credit. In Europe, three month Euribor futures continued higher as the
European Community Bank cut rates by 50 basis points, while stating the possibility of further rate
reductions in the near future. Front month three month Euroswiss futures traded to over 3-year
highs as the Swiss National Bank stunned the market with a 100 bps rate cut, their third cut in
6 weeks. The Funds long currency positions produced gains in November.
In October, global equity markets crashed as panic spread amid the realization that the credit
crisis would continue to constrain economic growth for the foreseeable future. Equity markets
around the world fell between 20% and 35% as volatility surged to all-time highs. Central banks in
Asia, Europe, South America, and the United States responded with interest rate cuts and massive
liquidity injections. The Funds short positions in stock indices futures resulted in relatively
large gains. Global short term interest rate futures experienced a momentous rally in October as
recession fears deepened and short term interbank financing froze. The U.S. Federal Reserve cut
rates 100 basis points during the month. Central banks throughout Europe and Asia followed suit
with aggressive cuts of their own. Front month Euribor and Sterling futures traded to 22 month and
3 year highs, respectively. By month-end, the aggressive efforts of central bankers appeared to pay
off as LIBOR-OIS narrowed 15 consecutive days to finish at 242 basis points over. The Funds long
interest rate positions produced gains. Currencies plummeted worldwide in October amid fears of a
global depression. The attractiveness of the U.S. dollar as a safe haven during periods of
uncertainty helped push the U.S. dollar index to a 2 year high, rising 8.7%. The British pound fell
to a 6 year low of below $1.53 when the United Kingdoms gross domestic product dropped 0.5% in the
3rd quarter, the first contraction since 1992. Australian and Canadian dollar futures plummeted,
declining 15.5% and 11.6%, respectively, along with the Brazil real, which declined 13.3%, as
commodity driven economies were expected to suffer from declining demand. The Fund gained from its
long positions in the U.S. dollar.
For the fourth quarter of 2008, the most profitable market group overall was the stock indices
sector, while the greatest losses were attributable to positions in the grains sector.
Fund results for 3rd Quarter 2008:
In September, worldwide stock indices finished the month with significant losses. Major European
indices finished 6-19% lower, while the Dow Jones and Nasdaq finished 6.3% and 15.6% lower,
respectively. The Funds short positions in stock indices produced gains for the month. Energy
markets continued to drop from record highs three months prior, finishing the month with steep
losses. Despite a short lived rally, crude oil prices finished 13.2% lower on the month, while
natural gas and gasoline futures lost 11% and 12.6%, respectively. The Funds long energy positions
resulted in losses for the month.
In August, U.S. dollar index futures surged 5.5% as the EUR/USD declined 8.5%. Recessionary fears
in the United Kingdom led to the GBP/USDs largest decline in two years, while the Australian
dollar declined 8.4%. The Funds short positions in the U.S. dollar resulted in a relatively large
loss for the month. U.S. dollar gains combined with contracting global demand and record OPEC
production contributed to a 7.1% decline in crude oil. Natural gas also declined, finishing 13.8%
lower. The Funds long positions in the energy sector resulted in losses for the month. Gold
dropped to its lowest levels since December, finishing the month 9.4% lower. Silver and platinum
also experienced declines, falling 23.7% and 14.8%, respectively. Nickel had a surprise gain of
10.2% as key producers announced plans to cut output. The Funds long positions in the metals
sector resulted in a relatively large loss. World bond markets
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traded higher as global economic growth concerns widened. U.S. 30-year bond futures traded to a
four month high, while European bond futures rallied as euro zone annual inflation eased to 3.8%
and German GDP contracted by 0.8%. The Funds long positions in the bonds sector resulted in an
overall gain.
In July, write-offs continued to plague financials as equities endured heavy selling. The U.S.
government responded by enacting emergency measures to stabilize the financial system. In the
United Kingdom, the FTSE Index finished with a 4.5% loss. The Funds short position in stock
indices resulted in an overall gain. Agricultural futures gave back nearly all of Junes gains as
soybean futures fell 10.8%, corn plummeted 19.7%, and wheat futures fell 8.2% on the month. The
Funds long positions in the agricultural market resulted in a substantial loss. Energy prices fell
sharply in July due to a reduction in geopolitical hostilities and further evidence of overall
reductions in global demand. Both crude oil and gas futures experienced greater than 10% declines.
Natural gas plummeted over 30% due to inventory gains. The Funds long positions in the energy
sector resulted in significant losses. Gold ultimately finished 1.5% lower after an initial rally
in the first half of July. Platinum also fell over 15%, a result of significant declines in U.S.
auto sales. The Funds long positions in the metals sector produced an overall loss.
For the third quarter of 2008, the most profitable market group overall was stock indices while the
largest losses resulted from positions in the energy sector.
Fund results for 2nd Quarter 2008:
In June, equity markets declined around the globe due to slowing growth and rising unemployment and
commodity prices. Short positions in equity markets produced significant gains. Severe flooding in
the U.S. caused significant delays in the grain planting process, sending prices soaring. Long
positions in the agricultural sector resulted in an overall gain. World energy markets remained
elevated as geopolitical concerns kept oil supply uncertainty high. Crude oil finished with a 9.8%
gain. Long positions in the energy sector resulted in overall gains. Other market sectors, relative
to the sectors mentioned above, did not reveal significant trends and did not have any major
influence on Junes positive performance.
In May, some foreign currencies approached all time highs. Long positions in foreign currencies
resulted in an overall gain for this sector. World energy markets continued their historic advances
in May as crude oil finished 12.9% higher. Heating oil, gasoline, and natural gas all rose sharply
as declining margins continued to result in insufficient distillate fuel production. Long positions
in this sector resulted in a substantial gain. Other market sectors, relative to the sectors
mentioned above, did not reveal significant trends and did not have any major influence on Mays
overall positive performance.
In April, world bond markets moved lower as growing inflation readings added to late Marchs
weakness. U.S. bonds rallied early in the month before values moved lower as consumer prices rose
due to higher fuel and food costs. Long positions in this market sector resulted in a loss. World
energy markets traded higher in April as oil futures moved 12.3%, reaching all time highs. The
ongoing weakness of the U.S. dollar provided early support, while strong demand from developing
nations, bullish domestic inventory reports, and continued geopolitical concerns provided support
throughout the month. Long positions led to an overall gain in the energy sector. Other market
sectors, relative to the bond and energy sector, did not reveal significant trends and did not have
a major influence on Aprils slightly negative performance.
For the second quarter of 2008, the most profitable market sector for the Fund on an overall basis
was the energy sector, while the greatest losses resulted from the Funds positions in the bonds
sector.
Fund results for 1st Quarter 2008:
In March, long positions in world bond markets resulted in a gain. Long positions in the currencies
markets resulted in a relatively large gain. The U.S. dollars historic decline accelerated against
most world currencies in March. Long positions in the currencies markets resulted in a relatively
large gain. Long positions in the agricultural markets led to an overall loss for the agricultural
sector. Crude oil rose to record highs with long positions producing gains in the energy sector.
Although gold touched record highs well above $1000 per ounce, the precious metals markets
reversed. Long positions in the metals sector resulted in a relatively large loss. Other market
sectors, relative to the sectors mentioned above, did not reveal significant trends and did not
have a significant influence on Marchs overall positive performance.
In February, wheat and corn futures posted record highs, with soybean futures also surging. Long
positions in this sector produced considerable gains. Crude oil futures moved to record highs over
$100 in February, extending a long-standing bull run. A relatively large gain resulted from energy
sector long positions. Gold and platinum futures rose to record highs in February and silver
reached a 28-year high resulting in significant gains from long positions in the metals sector. A
mix of long and short positions produced overall gains in agricultural markets. Other market
sectors did not reveal significant trends and did not have a major influence on Februarys positive
overall performance.
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Crude oil futures opened January near all-time highs, but the market moved lower as the month
progressed. Long positions in the energy markets resulted in relatively large losses for the
sector. Gold and platinum futures traded at all-time highs, silver traded at its highest level
since January 1981, and copper rose, resulting in gains in the metals sector. Other market sectors,
relative to the energy and metals sectors, did not reveal significant trends and did not have a
major influence on Januarys overall negative performance.
Off-Balance Sheet Risk
The term off-balance sheet risk refers to an unrecorded potential liability that, even
though it does not appear on the balance sheet, may result in a future obligation or loss. The Fund
trades in futures and forward contracts and is therefore a party to financial instruments with
elements of off-balance sheet market and credit risk. In entering into these contracts, there
exists a market risk that such contracts may be significantly influenced by conditions, such as
interest rate volatility, resulting in such contracts being less valuable. If the markets should
move against all of the futures interests positions of the Fund at the same time, and if Superfund
Capital Management was unable to offset such positions, the Fund could experience substantial
losses. Superfund Capital Management attempts to minimize market risk through real-time monitoring
of open positions, diversification of the portfolio and maintenance of a margin-to-equity ratio in
all but extreme instances not greater than 50%.
In addition to market risk, in entering into futures and forward contracts, there is a
credit risk that a counterparty will not be able to meet its obligations to the Fund. The
counterparty for futures contracts traded in the United States 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 with other entities.
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 December 31, 2009, and December 31, 2008.
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 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
ASC 105.10.05
In June 2009, the Financial Accounting Standards Board (FASB) issued FASB Accounting
Standards Codification (ASC) 105.10.05, Generally Accepted Accounting Principles (ASC
105.10.05). ASC 105.10.05 establishes FASB ASC as the single source of authoritative generally
accepted accounting principles (GAAP). Pursuant to the provisions of ASC 105.10.05, the Fund has
updated references to GAAP in its financial statements issued subsequent to September 15, 2009. The
adoption of ASC 105.10.05 did not have any impact on the Funds results of operations, financial
condition or cash flows.
ASU 2010-06
In January 2010, FASB issued Accounting Standards Update No. 2010-06 (ASU 2010-06),
Improving Disclosures about Fair Value Measurements, which, among other things, amends ASC 820 to
require entities to separately present purchases, sales, issuances, and settlements in their
reconciliation of Level 3 fair value measurements (i.e. to present such items as gross basis rather
than on a net basis), and which clarifies existing disclosure requirements provided by ASC 820
regarding the level of disaggregation and the inputs and valuation techniques used to measure fair
value for measurements that fall within either Level 2 or Level 3 of the fair value hierarchy. ASU
2010-06 is effective for interim and annual periods beginning after December 15, 2009, except for
the disclosures about
12
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purchases, sales, issuances, and settlements in the roll forward of activity in Level 3 fair value
measurements (which are effective for fiscal years beginning after December 15, 2010 and for
interim periods within those fiscal years). Superfund Capital Management is currently evaluating
the impact of ASU 2010-06 on the Funds financial statements.
Item 7A. | Quantitative and Qualitative Disclosures about Market Risk. |
Not required.
Item 8. | Financial Statements and Supplementary Data. |
Financial statements appear beginning on page 19 of this report. Supplementary data is
not required.
Item 9. | Changes in and Disagreements with Accountants on Accounting and Financial Disclosure. |
None.
Item 9A. | Controls and Procedures. |
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 the Fund as of the end of the period covered by this annual report, and, based on
their evaluation, have concluded that these disclosure controls and procedures are effective. There
were no significant changes in Superfund Capital Managements internal controls with respect to the
Fund or in other factors applicable to the Fund that could materially affect these controls
subsequent to the date of their evaluation.
Changes in Internal Control over Financial Reporting
Section 404 of the Sarbanes-Oxley Act of 2002 requires Superfund Capital
Management to evaluate annually the effectiveness of its internal controls over financial reporting
as of the end of each fiscal year, and to include a management report assessing the effectiveness
of its internal control over financial reporting in all annual reports. There were no changes in
Superfund Capital Managements internal control over financial reporting during the quarter ended
December 31, 2009 that have materially affected, or are reasonably likely to materially affect,
Superfund Capital Managements internal control over financial reporting.
Managements Annual Report on Internal Control over Financial Reporting
Superfund Capital Management is responsible for establishing and maintaining adequate internal
control over the Funds financial reporting. Internal control over financial reporting is defined
in Rules 13a-15(f) and 15d-15(f) under the Securities Exchange Act as a process designed by, or
under the supervision of, a companys principal executive and principal financial officers and
effected by a companys board of directors, management and other personnel 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.
Superfund Capital Managements internal control over financial reporting includes those policies
and procedures that:
pertain to the maintenance of records that, in reasonable detail, accurately and fairly
reflect the transactions and dispositions of the Funds assets;
provide reasonable assurance that transactions are recorded as necessary to permit
preparation of the Funds financial statements in accordance with generally accepted accounting
principles, and that the Funds receipts and expenditures are being made only in accordance with
authorizations of Superfund Capital Managements management and directors; and
provide reasonable assurance regarding prevention or timely detection of unauthorized
acquisition, use or disposition of the Funds assets that could have a material effect on the
Funds financial statements.
Because of its inherent limitations, internal control over financial reporting may not prevent or
detect misstatements. Projections of any evaluation of effectiveness to future periods are subject
to the risk that controls may become inadequate because of changes in conditions, or that the
degree of compliance with the policies or procedures may deteriorate.
The management of Superfund Capital Management assessed the effectiveness of its internal
control over financial reporting with respect to the Fund as of December 31, 2009. In making this
assessment, management used the criteria set forth by the Committee of Sponsoring Organizations of
the Treadway Commission (COSO) in Internal Control Integrated Framework. Based on its
assessment, management has concluded that, as of December 31, 2009, Superfund Capital Managements
internal control over financial reporting with respect to the Fund is effective based on those
criteria.
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This annual report does not include an attestation report of the Funds registered public
accounting firm regarding control over financial reporting. Managements report was not subject to
attestation by the Funds registered public accounting firm pursuant to temporary rules of the
Securities and Exchange Commission that permit the company to provide only managements report in
this annual report.
Item 9B. Other Information.
There was no information required to be disclosed in a report on Form 8-K during the
fourth quarter of 2009 that was not reported on Form 8-K.
PART III
Item 10. | Directors, Executive Officers and Corporate Governance of the Registrant. |
Identification of Directors and Executive Officers
The Fund has no directors or executive officers. The Fund has no employees. It is managed
by Superfund Capital Management in its capacity as general partner. Superfund Capital Management
has been registered with the CFTC as a commodity pool operator since May 2001. Its main business
address is Superfund Office Building, P.O. Box 1479, Grand Anse, St. Georges, Grenada, West
Indies, (473) 439-2418. Superfund Capital Managements directors and executive officers are as
follows:
NIGEL JAMES, age 29, was appointed as President of Superfund Capital Management on July 13,
2006 and was registered as a principal and associated person with Superfund Capital Management on
November 28, 2006, and May 23, 2007, respectively. Mr. James has been an employee of various
members of the Superfund group of affiliated companies since July 2003 when he became a software
developer for Superfund Trading Management, Inc., an affiliate of Superfund Capital Management that
acts as a commodity trading advisor to non-U.S. funds. In May 2005, he was promoted to the role of
Intellectual Technology Project Manager for Superfund Trading
Management, Inc. Mr. James graduated from the University of the West Indies in Barbados with a Bachelors Degree in
Computer Science and Management in May 2003 and began his employment in July 2003. Mr. James is a
citizen of Grenada.
ROMAN GREGORIG, age 46, is Vice President and Principal Financial Officer of Superfund Capital
Management. Mr. Gregorig has been a Director of Superfund Capital Management as well as its Audit
Committee Financial Expert and Principal Accounting Officer since March 3, 2006 and was registered
as principal of Superfund Capital Management on June 26, 2007. Mr. Gregorig became a licensed tax
advisor in July 1993 and subsequently worked as a partner at Treufinanz Wirtschaftstreuhand GmbH,
an Austrian accounting firm, until November 2000. In December 2000, Mr. Gregorig became licensed to perform auditing services by the Austrian Chamber of
Conventional Trustees. Also in December 2000, he founded Gregorig Consulting GmbH, specializing in
providing accounting and tax consulting services to companies in the financial sector, which he
sold in April 2005. Mr.Gregorig spent May 2005 preparing for his transition to the Superfund group
of affiliated entities. Since June 2005, Mr. Gregorig has served in various oversight positions for
multiple member companies of the Superfund group of affiliated companies. Mr. Gregorig graduated
from the Academy of Commerce in Vienna, Austria, in March 1986. Mr. Gregorig is a citizen of
Austria.
CHRISTIAN BAHA, age 41, is Superfund Capital Managements founder and sole owner. By December
1991, Mr. Baha began working independently to develop software for the technical analysis of
financial data in Austria. In January 1995, Mr. Baha founded the first members of the Superfund
group of affiliated companies specializing in managed futures funds and began to develop a
worldwide distribution network. With profit sharing rights certificates, Mr. Baha launched an
alternative investment vehicle for private investors. Launched on
March 8, 1996, this product is called the Superfund Unternehmens-Beteiligungs-Aktiengesellschaft (Superfund
Q-AG), and was formerly known as Quadriga Beteiligungs & Vermögens AG (Quadriga AG). In March 2003,
a new generation of managed futures funds was internationally launched under the brand name
Superfund and previously existing products have since been re-branded under this name.
Simultaneously with the development of the Quadriga/Superfund group of affiliated companies, Mr.
Baha founded the software company TeleTrader AG, which has been listed on the Vienna Stock Exchange
since March 2001. He was registered as a principal of Superfund USA, Inc., a registered
broker-dealer and a CFTC registered commodity pool operator on August 13, 2009. He is also an
associated person and principal of Superfund Asset Management, Inc., a CFTC registered introducing
broker, positions which he has held since July 23, 1999 and June 24, 1997, respectively. He became
registered as a principal of Superfund Capital Management on May 9, 2001, registered as a principal
of Superfund Advisors Inc. on November 20, 2009, and was registered as an associated person of
Superfund Capital Management from May 9, 2001, until February 17, 2009. He is a graduate of the
police academy in Vienna, Austria and studied at the Business University of Vienna, Austria. Mr.
Baha is a citizen of Austria.
Identification of Certain Significant Employees
None.
14
Table of Contents
Family Relationships
None.
Business Experience
See Identification of Directors and Executive Officers, above.
Involvement in Certain Legal Proceedings
There has never been a material administrative, civil or criminal order, judgment, decree or
finding against Superfund Capital Management or any of its directors, executive officers, promoters
or control persons.
Promoters and Control Persons
Superfund Capital Management is the sole promoter and control person of the Fund.
Code of Ethics
The Fund has no employees, officers or directors and is managed by Superfund Capital
Management. Superfund Capital Management has adopted a code of ethics that applies to its principal
executive officer, principal financial officer and its principal accounting officer. A copy of the
code of ethics may be obtained at no charge by written request to the corporate secretary of
Superfund Capital Management, Superfund Office Building, P.O. Box 1479, Grand Anse, St. Georges,
Grenada, West Indies.
Board of Director Nominees
Not applicable.
Audit Committee Financial Expert
The Board of Directors of Superfund Capital Management, in its capacity as the audit committee
for the Fund, has determined that Roman Gregorig qualifies as an audit committee financial expert
in accordance with the applicable rules and regulations for the SEC. He is not independent of
management.
Item 11. | Executive Compensation. |
The Fund has no employees, officers or directors and is managed by Superfund Capital
Management. None of the directors or officers of Superfund Capital Management receive compensation
from the Fund. Superfund Capital Management receives a monthly management fee of 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,
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, and a monthly fee of 25% of the aggregate
cumulative appreciation (if any) in net asset value per Unit at the end of each month, exclusive of
appreciation attributable to interest income. In addition, Superfund Asset Management 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. An annual selling commission will be paid to Superfund USA, Inc.
(Superfund USA), an affiliate of Superfund Capital Management. The Units pay a commission of 4%
of the month-end net asset value per Unit (1/12 of 4% per month); provided,
however, the maximum cumulative selling commission per Unit sold pursuant to the Prospectus is 10%
of the initial public offering price for such Unit. Each Series and Superfund USA may retain
additional selling agents to assist with the placement of the Units. Superfund USA will pay all or
a portion of the selling commission described above which it receives in respect of the Units sold
by the additional selling agents to the additional selling agents effecting the sales.
Item 12. | Security Ownership of Certain Beneficial Owners and Management and Related Shareholder Matters. |
Securities Authorized for Issuance Under Equity Compensation Plans
None.
Security Ownership of Certain Beneficial Owners
The Fund knows of no person who beneficially owns more than 5% of the voting Units of any
Series.
Security Ownership of Management
As of December 31, 2009, no Units were owned or held by officers of Superfund Capital
Management. As of December 31, 2009, Superfund Capital Management owned 386.799 Units of Series A
(non-voting), representing 1.57% of the total issued Units of Series A,
15
Table of Contents
and 528.22 Units of Series B (non-voting), representing 1.48% of the total issued Units of
Series B, having a combined value of $1,292,285. Christian Baha is the holder of all of the equity
of Superfund Capital Management.
Changes in Control
None.
Item 13. | Certain Relationships and Related Transactions, and Director Independence. |
See Item 10 Directors, Executive Officers and Corporate Governance of The Registrant,
Item 11, Executive Compensation and Item 12, Security Ownership of Certain Beneficial Owners and
Management. In 2009, the Series A management fee totaled $642,447, the Series A selling
commissions totaled $1,389,074 and the Series A brokerage commissions totaled $637,825. In 2009,
the Series B management fee totaled $1,097,606, the Series B selling commissions totaled
$2,373,202, the Series B incentive fee totaled $301,233, and the Series B brokerage commissions
totaled $1,736,922. In 2008, the Series A management fee totaled $813,892, the Series A selling
commissions totaled $1,759,767, the Series A incentive fee totaled $1,786,681 and the Series A
brokerage commissions totaled $615,631. In 2008, the Series B management fee totaled $936,891, the
Series B selling commissions totaled $2,025,709, the Series B incentive fee totaled $3,831,165 and
the Series B brokerage commissions totaled $971,657.
Item 14. | Principal Accounting Fees and Services. |
Audit Fees
The aggregate fees billed for professional services rendered by Deloitte & Touche LLP in
connection with their audit of the Funds financial statements, reviews of the financial statements
included in the quarterly reports on Form 10-Q and other services normally provided in connection
with statutory and regulatory filings or engagements for the years ended December 31, 2009, and
December 31, 2008, were approximately $116,625 and $122,940, respectively.
Audit-Related Fees
There were no audit-related fees for services rendered by Deloitte & Touche LLP for the
years ended December 31, 2009, and December 31, 2008.
Tax Fees
There were no fees for tax compliance, tax advice or tax planning rendered by Deloitte &
Touche LLP for the years ended December 31, 2009, and December 31, 2008.
All Other Fees
There were no other fees for products or services provided by Deloitte & Touche LLP for
the years ended December 31, 2009, and December 31, 2008.
Pre-Approval Policies
The Board of Directors and Audit Committee of Superfund Capital Management approved all
of the services described above. The Board of Directors and Audit Committee have determined that
the payments made to its independent accountants for these services are compatible with maintaining
such auditors independence. The Board of Directors pre-approves all audit and non-audit services
and all engagement fees and terms.
PART IV
Item 15. | Exhibits, Financial Statement Schedules. |
(a) | The Following documents are filed as part of this report: |
(1) | Financial Statements beginning on page 18 hereof. | ||
(2) | Financial Statement Schedules: |
Financial statement schedules have been omitted because they are not required or because equivalent information has been included in the financial statements or notes thereto. |
(3) | Exhibits as required by Item 601 of Regulation S-K. The following exhibits are included herewith. |
16
Table of Contents
Exhibit | ||
Number | Description of Document | |
3.01
|
Form of Fifth Amended and Restated Limited Partnership Agreement of Superfund Green, L.P. | |
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 |
The following exhibits are incorporated by reference herein from the exhibit of the
same description and number filed on November 24, 2009, with Superfund Green, L.P.s Registration
Statement on Form S-1 (Reg. No. 333-162132).
10.01(g)
|
Administration, Accounting and Investor Services Agreement. | |
10.02
|
Form of Subscription Agreement | |
10.03(a)
|
Escrow Agreement between Series A and HSBC Bank USA. | |
10.03(b)
|
Escrow Agreement between Series B and HSBC Bank USA. |
The following exhibits are incorporated by reference herein from the exhibits of
the same description and number filed on January 21, 2005, with Quadriga Superfund, L.P.s
Registration Statement on Form S-1 (Reg. No. 333-122229).
3.02
|
Certificate of Limited Partnership. |
17
Table of Contents
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Partners of Superfund Green, L.P. Series A and Series B:
We have audited the accompanying statements of assets and liabilities of Superfund Green, L.P. -
Series A and Series B (formerly Quadriga Superfund, L.P., the Fund), including the condensed
schedules of investments, as of December 31, 2009 and 2008, and the related statements of
operations, changes in net assets, and cash flows for each of the two years in the period then
ended. These financial statements are the responsibility of the Funds management. Our
responsibility is to express an opinion on these financial statements based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight
Board (United States). Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material misstatement. The
Fund is not required to have, nor were we engaged to perform, an audit of its internal control over
financial reporting. Our audits included consideration of internal control over financial
reporting as a basis for designing audit procedures that are appropriate in the circumstances, but
not for the purpose of expressing an opinion on the effectiveness of the Funds internal control
over financial reporting. Accordingly, we express no such opinion. An audit also includes
examining, on a test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates made by management,
as well as evaluating the overall financial statement presentation. We believe that our audits
provide a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present fairly, in all material
respects, the financial position of the Fund as of December 31, 2009 and 2008, and the results of
its operations and its cash flows for each of the two years in the period then ended, in conformity
with accounting principles generally accepted in the United States of America.
/S/ DELOITTE & TOUCHE LLP
Philadelphia, Pennsylvania
March 31, 2010
Philadelphia, Pennsylvania
March 31, 2010
18
Table of Contents
SUPERFUND GREEN, L.P. SERIES A
STATEMENTS OF ASSETS AND LIABILITIES
December 31, 2009, and December 31, 2008
STATEMENTS OF ASSETS AND LIABILITIES
December 31, 2009, and December 31, 2008
December 31, 2009 | December 31, 2008 | |||||||
ASSETS |
||||||||
US Government securities, at fair value
(amortized cost $16,019,268 and $31,494,929 as of December 31, 2009, and December 31, 2008, respectively) |
$ | 16,019,268 | $ | 31,494,929 | ||||
Due from brokers |
17,161,443 | 4,049,967 | ||||||
Unrealized appreciation on open forward contracts |
187,448 | 11,138 | ||||||
Futures contracts purchased |
465,462 | 735,529 | ||||||
Futures contracts sold |
| 109,330 | ||||||
Cash |
611,470 | 810,576 | ||||||
Total assets |
34,445,091 | 37,211,469 | ||||||
LIABILITIES |
||||||||
Unrealized depreciation on open forward contracts |
421,267 | 43,336 | ||||||
Redemptions payable |
550,221 | 1,714,573 | ||||||
Due to affiliate |
| 300,000 | ||||||
Futures contracts sold |
10,673 | | ||||||
Fees payable |
150,435 | 181,226 | ||||||
Total liabilities |
1,132,596 | 2,239,135 | ||||||
NET ASSETS |
$ | 33,312,495 | $ | 34,972,334 | ||||
Number of Units |
24,594.117 | 18,098.830 | ||||||
Net asset value per Unit |
$ | 1,354.49 | $ | 1,932.30 | ||||
See accompanying notes to financial statements.
19
Table of Contents
SUPERFUND GREEN, L.P. SERIES A
CONDENSED SCHEDULE OF INVESTMENTS
December 31, 2009
CONDENSED SCHEDULE OF INVESTMENTS
December 31, 2009
Percentage of | ||||||||||||
Face Value | Net Assets | Fair Value | ||||||||||
Debt Securities United States, at fair value |
||||||||||||
United States Treasury Bills due February 25, 2010
(amortized cost $16,019,268), securities are held in
margin
accounts as collateral for open futures and forwards |
$ | 16,020,000 | 48.1 | % | $ | 16,019,268 | ||||||
Forward contracts, at fair value |
||||||||||||
Unrealized appreciation on forward contracts |
||||||||||||
Currency |
0.6 | 187,448 | ||||||||||
Total unrealized appreciation on forward contracts |
0.6 | 187,448 | ||||||||||
Unrealized depreciation on forward contracts |
||||||||||||
Currency |
(1.3 | ) | (421,267 | ) | ||||||||
Total unrealized depreciation on forward contracts |
(1.3 | ) | (421,267 | ) | ||||||||
Total forward contracts, at fair value |
(0.7 | ) | (233,819 | ) | ||||||||
Futures Contracts, at fair value |
||||||||||||
Futures Contracts Purchased |
||||||||||||
Currency |
(0.5 | ) | (176,595 | ) | ||||||||
Energy |
0.4 | 132,156 | ||||||||||
Financial |
(0.4 | ) | (149,774 | ) | ||||||||
Food & Fiber |
1.0 | 337,999 | ||||||||||
Indices |
1.8 | 605,471 | ||||||||||
Metals |
(0.9 | ) | (283,795 | ) | ||||||||
Total futures contracts purchased |
1.4 | 465,462 | ||||||||||
Futures Contracts Sold |
||||||||||||
Energy |
(0.0) | * | (12,010 | ) | ||||||||
Financial |
0.2 | 72,347 | ||||||||||
Food & Fiber |
(0.1 | ) | (43,025 | ) | ||||||||
Indices |
(0.0) | * | (7,925 | ) | ||||||||
Livestock |
(0.1 | ) | (20,060 | ) | ||||||||
Total futures contracts sold |
(0.0) | * | (10,673 | ) | ||||||||
Total futures contracts, at fair value |
1.4 | 454,789 | ||||||||||
Futures and forward contracts by country composition |
||||||||||||
European Monetary Union |
(0.1 | ) | (51,393 | ) | ||||||||
Great Britain |
0.2 | 61,549 | ||||||||||
Japan |
0.3 | 108,985 | ||||||||||
United States |
0.1 | 30,577 | ||||||||||
Other |
0.2 | 71,252 | ||||||||||
Total futures and forward contracts by country |
0.7 | % | $ | 220,970 | ||||||||
* | Due to rounding |
See accompanying notes to financial statements.
20
Table of Contents
SUPERFUND GREEN, L.P. SERIES A
CONDENSED SCHEDULE OF INVESTMENTS
December 31, 2008
CONDENSED SCHEDULE OF INVESTMENTS
December 31, 2008
Percentage of | ||||||||||||
Face Value | Net Assets | Fair Value | ||||||||||
Debt Securities United States, at fair value |
||||||||||||
United States Treasury Bills due February 26, 2009
(amortized cost $31,494,929), securities are held in
margin
accounts as collateral for open futures and forwards |
$ | 31,500,000 | 90.1 | % | $ | 31,494,929 | ||||||
Forward contracts, at fair value |
||||||||||||
Unrealized appreciation on forward contracts |
||||||||||||
Currency |
0.0 | % | $ | 11,138 | ||||||||
Total unrealized appreciation on forward contracts |
0.0 | * | 11,138 | |||||||||
Unrealized depreciation on forward contracts |
||||||||||||
Currency |
(0.1 | ) | (43,336 | ) | ||||||||
Total unrealized depreciation on forward contracts |
(0.1 | ) | (43,336 | ) | ||||||||
Total forward contracts, at fair value |
(0.1) | % | $ | (32,198 | ) | |||||||
Futures Contracts, at fair value |
||||||||||||
Futures Contracts Purchased |
||||||||||||
Currency |
0.3 | % | $ | 101,136 | ||||||||
Financial |
1.5 | 508,908 | ||||||||||
Food & Fiber |
0.1 | 33,914 | ||||||||||
Indices |
0.0 | * | 22,836 | |||||||||
Metals |
0.2 | 68,735 | ||||||||||
Total futures contracts purchased |
2.1 | 735,529 | ||||||||||
Futures Contracts Sold |
||||||||||||
Currency |
0.1 | 38,025 | ||||||||||
Energy |
0.2 | 88,531 | ||||||||||
Financial |
0.0 | * | 919 | |||||||||
Food & Fiber |
(0.1 | ) | (40,878 | ) | ||||||||
Indices |
(0.0) | * | (7,067 | ) | ||||||||
Livestock |
0.1 | 23,400 | ||||||||||
Metals |
0.0 | * | 6,400 | |||||||||
Total futures contracts sold |
0.3 | 109,330 | ||||||||||
Total futures contracts, at fair value |
2.4 | % | $ | 844,859 | ||||||||
Futures and forward contracts by country composition |
||||||||||||
European Monetary Union |
0.4 | % | $ | 153,538 | ||||||||
Great Britain |
0.3 | 110,392 | ||||||||||
United States |
1.1 | 369,143 | ||||||||||
Other |
0.5 | 179,588 | ||||||||||
Total futures and forward contracts by country |
2.3 | % | $ | 812,661 | ||||||||
* | Due to rounding |
See accompanying notes to financial statements.
21
Table of Contents
SUPERFUND
GREEN, L.P. SERIES A
STATEMENTS OF OPERATIONS
Years Ended December 31, 2009, and December 31, 2008
Years Ended December 31, 2009, and December 31, 2008
2009 | 2008 | |||||||
Investment
income, interest |
$ | 36,541 | $ | 917,244 | ||||
Expenses |
||||||||
Incentive fee |
| 1,786,681 | ||||||
Management fee |
642,447 | 813,892 | ||||||
Ongoing offering expenses |
347,268 | 439,942 | ||||||
Operating expenses |
52,090 | 65,991 | ||||||
Selling commission |
1,389,074 | 1,759,767 | ||||||
Brokerage commissions |
637,825 | 615,631 | ||||||
Other |
15,191 | 17,006 | ||||||
Total expenses |
3,083,895 | 5,498,910 | ||||||
Net investment loss |
(3,047,354 | ) | (4,581,666 | ) | ||||
Realized and unrealized gain (loss) on investments |
||||||||
Net realized gain (loss) on futures
and forward contracts |
(8,768,134 | ) | 17,288,029 | |||||
Net change in unrealized appreciation
(depreciation)
on futures and forward contracts |
(591,691 | ) | 377,151 | |||||
Net gain (loss) on investments |
(9,359,825 | ) | 17,665,180 | |||||
Net increase (decrease) in net assets from
operations |
$ | (12,407,179 | ) | $ | 13,083,514 | |||
Net increase (decrease) in net assets from
operations per unit (based upon weighted average
number of units outstanding during period) |
$ | (563.24 | ) | $ | 523.26 | |||
Net increase (decrease) in net assets from
operations per unit (based upon change in net asset
value per unit during period) |
$ | (577.81 | ) | $ | 445.86 | |||
See accompanying notes to financial statements.
22
Table of Contents
SUPERFUND
GREEN, L.P. SERIES A
STATEMENTS OF CHANGES IN NET ASSETS
Years Ended December 31, 2009, and December 31, 2008
Years Ended December 31, 2009, and December 31, 2008
2009 | 2008 | |||||||
Increase (decrease) in net assets from operations: |
||||||||
Net investment loss |
$ | (3,047,354 | ) | $ | (4,581,666 | ) | ||
Net realized gain (loss) on futures and
forward contracts |
(8,768,134 | ) | 17,288,029 | |||||
Net change in unrealized appreciation
(depreciation) on futures and forward
contracts |
(591,691 | ) | 377,151 | |||||
Net increase (decrease) in net assets from operations |
(12,407,179 | ) | 13,083,514 | |||||
Capital share transactions |
||||||||
Issuance of shares |
22,712,095 | 6,800,873 | ||||||
Redemption of shares |
(11,964,755 | ) | (42,846,561 | ) | ||||
Net increase (decrease) in net assets from capital
share transactions |
10,747,340 | (36,045,688 | ) | |||||
Net decrease in net assets |
(1,659,839 | ) | (22,962,174 | ) | ||||
Net assets, beginning of year |
34,972,334 | 57,934,508 | ||||||
Net assets, end of year |
$ | 33,312,495 | $ | 34,972,334 | ||||
Units, beginning of year |
18,098.830 | 38,975.348 | ||||||
Issuance of units |
13,736.756 | 3,874.666 | ||||||
Redemption of units |
(7,241.469 | ) | (24,751.184 | ) | ||||
Units, end of year |
24,594.117 | 18,098.830 | ||||||
See accompanying notes to financial statements.
23
Table of Contents
SUPERFUND GREEN, L.P. SERIES A
STATEMENTS OF CASH FLOWS
Years Ended December 31, 2009, and December 31, 2008
2009 | 2008 | |||||||
Cash flows from operating activities |
||||||||
Net increase (decrease) in net assets from operations |
$ | (12,407,179 | ) | $ | 13,083,514 | |||
Adjustments to reconcile net increase (decrease) in net assets
from operations to net cash provided by (used in) operating
activities: |
||||||||
Changes in operating assets and liabilities: |
||||||||
Purchases of U.S. government securities |
(76,427,172 | ) | (155,825,083 | ) | ||||
Sales and maturities of U.S. government securities |
91,934,208 | 180,364,661 | ||||||
Amortization of discounts and premiums |
(31,375 | ) | (814,748 | ) | ||||
Due from brokers |
(13,111,476 | ) | 1,455,170 | |||||
Due to affiliate |
(300,000 | ) | 166,724 | |||||
Unrealized appreciation on open forward contracts |
(176,310 | ) | 218,576 | |||||
Futures contracts purchased |
270,067 | (369,517 | ) | |||||
Unrealized depreciation on open forward contracts |
377,931 | (875,132 | ) | |||||
Futures contracts sold |
120,003 | 648,922 | ||||||
Fees payable |
(30,791 | ) | (130,277 | ) | ||||
Net cash provided by (used in) operating activities |
(9,782,094 | ) | 37,922,810 | |||||
Cash flows from financing activities |
||||||||
Subscriptions, net of change in advance subscriptions |
22,712,095 | 6,800,873 | ||||||
Redemptions, net of redemptions payable |
(13,129,107 | ) | (44,027,661 | ) | ||||
Net cash provided by (used in) financing activities |
9,582,988 | (37,226,788 | ) | |||||
Net increase (decrease) in cash |
(199,106 | ) | 696,022 | |||||
Cash, beginning of year |
810,576 | 114,554 | ||||||
Cash, end of year |
$ | 611,470 | $ | 810,576 | ||||
See accompanying notes to financial statements.
24
Table of Contents
SUPERFUND GREEN, L.P. SERIES B
STATEMENTS OF ASSETS AND LIABILITIES
December 31, 2009, and December 31, 2008
STATEMENTS OF ASSETS AND LIABILITIES
December 31, 2009, and December 31, 2008
December 31, 2009 | December 31, 2008 | |||||||
ASSETS |
||||||||
US Government securities, at fair value, (amortized cost $26,383,789 and $54,825,911 as of December 31, 2009 and December 31, 2008, respectively) |
$ | 26,383,789 | $ | 54,825,911 | ||||
Due from brokers |
26,076,666 | 5,961,708 | ||||||
Unrealized appreciation on open forward contracts |
509,064 | 44,878 | ||||||
Futures contracts purchased |
1,108,299 | 1,978,090 | ||||||
Futures contracts sold |
| 407,977 | ||||||
Cash |
30,588 | 668,701 | ||||||
Total assets |
54,108,406 | 63,887,265 | ||||||
LIABILITIES |
||||||||
Unrealized depreciation on open forward contracts |
1,130,981 | 163,504 | ||||||
Redemptions payable |
887,287 | 2,767,509 | ||||||
Futures contracts sold |
24,959 | | ||||||
Fees payable |
241,831 | 339,201 | ||||||
Total liabilities |
2,285,058 | 3,270,214 | ||||||
NET ASSETS |
$ | 51,823,348 | $ | 60,617,051 | ||||
Number of Units |
35,626.349 | 23,305.633 | ||||||
Net asset value per Unit |
$ | 1,454.64 | $ | 2,600.96 | ||||
See accompanying notes to financial statements.
25
Table of Contents
SUPERFUND
GREEN, L.P. SERIES B
CONDENSED SCHEDULE OF INVESTMENTS
December 31, 2009
December 31, 2009
Percentage of | ||||||||||||
Face Value | Net Assets | Fair Value | ||||||||||
Debt Securities United States, at fair value |
||||||||||||
United States Treasury Bills due February 25, 2010
(amortized cost $26,383,789), securities are held in margin
accounts as collateral for open futures and forwards |
$ | 26,385,000 | 50.9 | % | $ | 26,383,789 | ||||||
Forward contracts, at fair value |
||||||||||||
Unrealized appreciation on forward contracts |
||||||||||||
Currency |
1.0 | 509,064 | ||||||||||
Total unrealized appreciation on forward contracts |
1.0 | 509,064 | ||||||||||
Unrealized depreciation on forward contracts |
||||||||||||
Currency |
(2.2 | ) | (1,130,981 | ) | ||||||||
Total unrealized depreciation on forward contracts |
(2.2 | ) | (1,130,981 | ) | ||||||||
Total forward contracts, at fair value |
(1.2 | ) | (621,917 | ) | ||||||||
Futures contracts, at fair value |
||||||||||||
Futures contracts purchased |
||||||||||||
Currency |
(0.9 | ) | (454,542 | ) | ||||||||
Energy |
0.6 | 332,460 | ||||||||||
Financial |
(0.8 | ) | (442,961 | ) | ||||||||
Food & Fiber |
1.7 | 868,763 | ||||||||||
Indices |
3.0 | 1,573,360 | ||||||||||
Metals |
(1.5 | ) | (768,781 | ) | ||||||||
Total futures contracts purchased |
2.1 | 1,108,299 | ||||||||||
Futures contracts sold |
||||||||||||
Energy |
(0.1 | ) | (36,550 | ) | ||||||||
Financial |
0.4 | 184,386 | ||||||||||
Food & Fiber |
(0.2 | ) | (103,275 | ) | ||||||||
Livestock |
(0.1 | ) | (50,500 | ) | ||||||||
Indices |
(0.0 | )* | (19,020 | ) | ||||||||
Total futures contracts sold |
(0.0 | )* | (24,959 | ) | ||||||||
Total futures contracts, at fair value |
2.1 | 1,083,340 | ||||||||||
Futures and forward contracts by country composition |
||||||||||||
European Monetary Union |
(0.2 | ) | (115,345 | ) | ||||||||
Great Britain |
0.2 | 124,580 | ||||||||||
Japan |
0.6 | * | 297,984 | |||||||||
United States |
0.0 | 18,320 | ||||||||||
Other |
0.3 | 135,884 | ||||||||||
Total futures and forward contracts by country |
0.9 | % | $ | 461,423 | ||||||||
* Due to rounding
See accompanying notes to financial statements.
26
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SUPERFUND
GREEN, L.P. SERIES B
CONDENSED SCHEDULE OF INVESTMENTS
December 31, 2008
December 31, 2008
Percentage of | ||||||||||||
Face Value | Net Assets | Fair Value | ||||||||||
Debt Securities United States, at fair value |
||||||||||||
United States Treasury Bills due February 26, 2009
(amortized cost $54,825,911), securities are held in margin
accounts as collateral for open futures and forwards |
$ | 54,835,000 | 90.4 | % | $ | 54,825,911 | ||||||
Forward contracts, at fair value |
||||||||||||
Unrealized appreciation on forward contracts |
||||||||||||
Currency |
0.1 | % | $ | 44,878 | ||||||||
Total unrealized appreciation on forward contracts |
0.1 | 44,878 | ||||||||||
Unrealized depreciation on forward contracts |
||||||||||||
Currency |
(0.3 | ) | (163,504 | ) | ||||||||
Total unrealized depreciation on forward contracts |
(0.3 | ) | (163,504 | ) | ||||||||
Total forward contracts, at fair value |
(0.2) | % | $ | (118,626 | ) | |||||||
Futures contracts, at fair value |
||||||||||||
Futures contracts purchased |
||||||||||||
Currency |
0.5 | % | $ | 282,349 | ||||||||
Financial |
2.5 | 1,535,102 | ||||||||||
Food & Fiber |
0.2 | 91,596 | ||||||||||
Indices |
0.1 | 69,043 | ||||||||||
Total futures contracts purchased |
3.3 | 1,978,090 | ||||||||||
Futures contracts sold |
||||||||||||
Currency |
0.2 | 101,335 | ||||||||||
Energy |
0.5 | 319,932 | ||||||||||
Financial |
(0.1 | ) | (30,335 | ) | ||||||||
Livestock |
0.1 | 64,110 | ||||||||||
Indices |
(0.1 | ) | (85,438 | ) | ||||||||
Food & Fiber |
(0.2 | ) | (144,632 | ) | ||||||||
Metals |
0.3 | 183,005 | ||||||||||
Total futures contracts sold |
0.7 | 407,977 | ||||||||||
Total futures contracts, at fair value |
4.0 | % | $ | 2,386,067 | ||||||||
Futures and forward contracts by country composition |
||||||||||||
European Monetary Union |
0.7 | % | $ | 425,341 | ||||||||
Great Britain |
0.5 | 291,376 | ||||||||||
United States |
1.9 | 1,142,037 | ||||||||||
Other |
0.7 | 408,687 | ||||||||||
Total futures and forward contracts by country |
3.8 | % | $ | 2,267,441 | ||||||||
See accompanying notes to financial statements.
27
Table of Contents
SUPERFUND GREEN, L.P. SERIES B
STATEMENTS OF OPERATIONS
Years Ended December 31, 2009, and December 31, 2008
STATEMENTS OF OPERATIONS
Years Ended December 31, 2009, and December 31, 2008
2009 | 2008 | |||||||
Investment income, interest |
$ | 64,467 | $ | 792,092 | ||||
Expenses |
||||||||
Incentive fee |
301,233 | 3,831,165 | ||||||
Management fee |
1,097,606 | 936,891 | ||||||
Ongoing offering expenses |
593,300 | 506,427 | ||||||
Operating expenses |
88,995 | 75,964 | ||||||
Selling commission |
2,373,202 | 2,025,709 | ||||||
Brokerage commissions |
1,736,922 | 971,657 | ||||||
Other |
20,728 | 25,066 | ||||||
Total expenses |
6,211,986 | 8,372,879 | ||||||
Net investment loss |
(6,147,519 | ) | (7,580,787 | ) | ||||
Realized and unrealized gain
(loss) on investments |
||||||||
Net realized gain (loss) on futures and forward
contracts |
(27,074,104 | ) | 22,944,445 | |||||
Net change in unrealized appreciation
(depreciation) on futures and forward
contracts |
(1,806,018 | ) | 1,982,613 | |||||
Net gain (loss) on investments |
(28,880,122 | ) | 24,927,058 | |||||
Net increase (decrease) in net assets from operations |
$ | (35,027,641 | ) | $ | 17,346,271 | |||
Net increase (decrease) in net assets from operations
per unit (based upon weighted average number of units
outstanding during period) |
$ | (1,106.39 | ) | $ | 786.52 | |||
Net increase (decrease) in net assets from operations
per unit (based upon change in net asset value per
unit during period) |
$ | (1,146.32 | ) | $ | 826.27 | |||
See accompanying notes to financial statements.
28
Table of Contents
SUPERFUND GREEN, L.P. SERIES B
STATEMENTS OF CHANGES IN NET ASSETS
Years Ended December 31, 2009, and December 31, 2008
STATEMENTS OF CHANGES IN NET ASSETS
Years Ended December 31, 2009, and December 31, 2008
2009 | 2008 | |||||||
Increase (decrease) in net assets from operations |
||||||||
Net investment loss |
$ | (6,147,519 | ) | $ | (7,580,787 | ) | ||
Net realized gain (loss) on futures and forward contracts |
(27,074,104 | ) | 22,944,445 | |||||
Net change in unrealized appreciation (depreciation) on
futures and forward contracts |
(1,806,018 | ) | 1,982,613 | |||||
Net increase (decrease) in net assets from operations |
(35,027,641 | ) | 17,346,271 | |||||
Capital share transactions |
||||||||
Issuance of shares |
42,437,152 | 38,379,823 | ||||||
Redemption of shares |
(16,203,214 | ) | (20,964,190 | ) | ||||
Net increase in net assets from capital share transactions |
26,233,938 | 17,415,633 | ||||||
Net increase (decrease) in net assets |
(8,793,703 | ) | 34,761,904 | |||||
Net assets, beginning of year |
60,617,051 | 25,855,147 | ||||||
Net assets, end of year |
$ | 51,823,348 | $ | 60,617,051 | ||||
Units, beginning of year |
23,305.633 | 14,568.812 | ||||||
Issuance of units |
20,136.910 | 17,593.459 | ||||||
Redemption of units |
(7,816.194 | ) | (8,856.638 | ) | ||||
Units, end of year |
35,626.349 | 23,305.633 | ||||||
See accompanying notes to financial statements.
29
Table of Contents
SUPERFUND GREEN, L.P. SERIES B
STATEMENTS OF CASH FLOWS
Years Ended December 31, 2009, and December 31, 2008
STATEMENTS OF CASH FLOWS
Years Ended December 31, 2009, and December 31, 2008
2009 | 2008 | |||||||
Cash flows from operating activities |
||||||||
Net increase (decrease) in net assets from operations |
$ | (35,027,641 | ) | $ | 17,346,271 | |||
Adjustments to reconcile net increase (decrease) in net assets
from operations to net cash used in operating activities: |
||||||||
Changes in operating assets and liabilities: |
||||||||
Purchases of U.S. government securities |
(134,579,547 | ) | (181,821,630 | ) | ||||
Sales and maturities of U.S. government securities |
163,078,462 | 151,644,442 | ||||||
Amortization of discounts and premiums |
(56,793 | ) | (635,028 | ) | ||||
Due from brokers |
(20,114,958 | ) | (2,448,239 | ) | ||||
Due from affiliate |
¯ | 133,276 | ||||||
Unrealized appreciation on open forward contracts |
(464,186 | ) | 111,568 | |||||
Futures contracts purchased |
869,791 | (1,744,304 | ) | |||||
Unrealized depreciation on open forward contracts |
967,477 | (443,845 | ) | |||||
Futures contracts sold |
432,936 | 93,968 | ||||||
Fees payable |
(97,370 | ) | 268,179 | |||||
Net cash used in operating activities |
(24,991,829 | ) | (17,495,342 | ) | ||||
Cash flows from financing activities |
||||||||
Subscriptions, net of change in advance subscriptions |
42,437,152 | 38,379,823 | ||||||
Redemptions, net of redemption payable |
(18,083,436 | ) | (20,289,155 | ) | ||||
Net cash provided by financing activities |
24,353,716 | 18,090,668 | ||||||
Net increase (decrease) in cash |
(638,113 | ) | 595,326 | |||||
Cash, beginning of year |
668,701 | 73,375 | ||||||
Cash, end of year |
$ | 30,588 | $ | 668,701 | ||||
See accompanying notes to financial statements.
30
Table of Contents
SUPERFUND GREEN, L.P. SERIES A AND SERIES B
(formerly known as QUADRIGA SUPERFUND, L.P.)
NOTES TO FINANCIAL STATEMENTS
December 31, 2009
(formerly known as QUADRIGA SUPERFUND, L.P.)
NOTES TO FINANCIAL STATEMENTS
December 31, 2009
(1) | Nature of Operations | |
Organization and Business | ||
Superfund Green, L.P., formerly known as Quadriga Superfund, 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 of America (U.S.) and international commodity futures markets using a fully-automated computerized trading system. The Fund has issued two classes of Units, Series A and Series B (the Series). The two Series will be traded and managed the same way except for the degree of leverage. | ||
The term of the Fund shall continue until December 31, 2050, unless 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) | Significant Accounting Policies |
(a) | Valuation of Investments in Futures Contracts, Forward Contracts, and U.S Treasury Bills | ||
All commodity interests (including derivative financial instruments and derivative commodity instruments) are used for trading purposes. The commodity interests are recorded on a trade date basis and open contracts are recorded in the statements of assets and liabilities at fair value on the last business day of the period, which represents market value for those commodity interests for which market quotes are readily available. | |||
Exchange-traded futures contracts are valued at settlement prices published by the recognized exchange. Any spot and forward foreign currency contracts held by the Fund will be valued at published settlement prices or at dealers quotes. The Fund uses the amortized cost method for valuing U.S. Treasury Bills due to the short-term nature of such instrument; accordingly, the cost of securities plus accreted discount, or minus amortized premium approximates fair value (See Section (2)(g) Fair Value Measurements). | |||
(b) | 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 gain (loss) on investments in the statements of operations. | |||
(c) | 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. | |||
(d) | 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 Accounting Standards Codification (ASC) 740 to the Fund, to determine whether or not there are uncertain tax positions that require financial statement recognition. Based on this evaluation, the Fund has determined no reserves for uncertain tax position are required to be recorded as a result of the application of ASC 740. The Fund 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 2006 through 2009 tax years generally remain subject to examination by the U.S. federal and most state tax authorities. | |||
(e) | Use of Estimates | ||
The preparation of financial statements in conformity with accounting principles generally accepted in the U.S. requires Superfund Capital Management to make estimates and assumptions that affect the amounts reported and disclosed in the financial statements. Actual results could differ from those estimates. |
31
Table of Contents
(f) | Recently Issued Accounting Pronouncements | ||
ASC 105.10.05 | |||
In June 2009, the Financial Accounting Standards Board (FASB) issued FASB Accounting Standards Codification (ASC) 105.10.05, Generally Accepted Accounting Principles (ASC 105.10.05). ASC 105.10.05 establishes FASB ASC as the single source of authoritative generally accepted accounting principles (GAAP). Pursuant to the provisions of ASC 105.10.05, the Fund has adopted ASC 105.10.05 and updated references to GAAP in its financial statements issued subsequent to September 15, 2009. The adoption of ASC 105.10.05 did not have any impact on the Funds results of operations, financial condition or cash flows. | |||
ASU 2010-06 | |||
In January 2010, FASB issued Accounting Standards Update No. 2010-06 (ASU 2010-06), Improving Disclosures about Fair Value Measurements, which, among other things, amends ASC 820 to require entities to separately present purchases, sales, issuances, and settlements in their reconciliation of Level 3 fair value measurements (i.e. to present such items as gross basis rather than on a net basis), and which clarifies existing disclosure requirements provided by ASC 820 regarding the level of disaggregation and the inputs and valuation techniques used to measure fair value for measurements that fall within either Level 2 or Level 3 of the fair value hierarchy. ASU 2010-06 is effective for interim and annual periods beginning after December 15, 2009, except for the disclosures about purchases, sales, issuances, and settlements in the roll forward of activity in Level 3 fair value measurements (which are effective for fiscal years beginning after December 15, 2010 and for interim periods within those fiscal years). Superfund Capital Management is currently evaluating the impact of ASU 2010-06 on the Funds financial statements. | |||
(g) | Fair Value Measurements | ||
The Fund follows ASC 820, Fair Value Measurements (ASC 820). ASC 820 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. In determining fair value, the Fund separates its financial instruments into two categories: U.S. government securities and derivative contracts. | |||
U.S. Government Securities. The Funds only market exposure in instruments held other than for trading is in its U.S. Treasury Bill portfolio. As the Fund uses the amortized cost method for valuing its U.S. Treasury Bill portfolio, which approximates fair value, this portfolio is classified within level 2 of the fair value hierarchy. | |||
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, |
32
Table of Contents
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 traded in less liquid markets with limited pricing information, and the determination of fair value for these derivatives is inherently more difficult. Such instruments are classified within level 3 of the fair value hierarchy. Where the Fund does not have corroborating market evidence to support significant model inputs and cannot verify the model to market transactions, transaction price is initially used as the best estimate of fair value. Accordingly, when a pricing model is used to value such an instrument, the model is adjusted so that the model value at inception equals the transaction price. The valuations of these less liquid OTC derivatives are typically based on level 1 and/or level 2 inputs that can be observed in the market, as well as unobservable level 3 inputs. Subsequent to initial recognition, the Fund updates the level 1 and level 2 inputs to reflect observable market changes, with resulting gains and losses reflected within level 3. Level 3 inputs are only changed 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 where 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. As of and during the year ended December 31, 2009, the Fund held no derivative contracts valued using level 3 inputs. | |||
The following table summarizes the valuation of the Funds assets and liabilities by the ASC 820 fair value hierarchy as of December 31, 2009: |
Series A.
Balance | ||||||||||||||||
December 31, 2009 | Level 1 | Level 2 | Level 3 | |||||||||||||
ASSETS |
||||||||||||||||
U.S. Government securities |
$ | 16,019,268 | $ | | $ | 16,019,268 | $ | | ||||||||
Unrealized appreciation on
open forward contracts |
187,448 | | 187,448 | | ||||||||||||
Futures contracts purchased |
465,462 | 465,462 | | | ||||||||||||
Total Assets Measured at
Fair Value |
$ | 16,672,178 | $ | 465,462 | $ | 16,206,716 | $ | | ||||||||
LIABILITIES |
||||||||||||||||
Unrealized depreciation on
open forward contracts |
$ | 421,267 | $ | | $ | 421,267 | $ | | ||||||||
Futures contracts sold |
10,673 | 10,673 | | | ||||||||||||
Total Liabilities Measured
at Fair Value |
$ | 431,940 | $ | 10,673 | $ | 421,267 | $ | | ||||||||
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Table of Contents
Series B.
Balance | ||||||||||||||||
December 31, 2009 | Level 1 | Level 2 | Level 3 | |||||||||||||
ASSETS |
||||||||||||||||
U.S. Government securities |
$ | 26,383,789 | $ | | $ | 26,383,789 | $ | | ||||||||
Unrealized appreciation on
open forward contracts |
509,064 | | 509,064 | | ||||||||||||
Futures contracts purchased |
1,108,299 | 1,108,299 | | | ||||||||||||
Total Assets Measured at
Fair Value |
$ | 28,001,152 | $ | 1,108,299 | $ | 26,892,853 | $ | | ||||||||
LIABILITIES |
||||||||||||||||
Unrealized depreciation on
open forward contracts |
$ | 1,130,981 | $ | | $ | 1,130,981 | $ | | ||||||||
Futures contracts sold |
24,959 | 24,959 | | | ||||||||||||
Total Liabilities Measured
at Fair Value |
$ | 1,155,940 | $ | 24,959 | $ | 1,130,981 | $ | | ||||||||
The following table summarizes the valuation of the Funds assets and liabilities by the ASC 820 fair value hierarchy as of December 31, 2008: |
Series A:
Balance | ||||||||||||||||
December 31, 2008 | Level 1 | Level 2 | Level 3 | |||||||||||||
ASSETS |
||||||||||||||||
U.S. Government securities |
$ | 31,494,929 | $ | | $ | 31,494,929 | $ | | ||||||||
Unrealized appreciation on
open forward contracts |
11,138 | | 11,138 | | ||||||||||||
Futures contracts purchased |
735,529 | 735,529 | | | ||||||||||||
Futures contracts sold |
109,330 | 109,330 | | | ||||||||||||
Total Assets Measured at
Fair Value |
$ | 32,350,926 | $ | 844,859 | $ | 31,506,067 | $ | | ||||||||
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Table of Contents
Balance | ||||||||||||||||
December 31, 2008 | Level 1 | Level 2 | Level 3 | |||||||||||||
LIABILITIES |
||||||||||||||||
Unrealized depreciation on
open forward contracts |
$ | 43,336 | $ | | $ | 43,336 | $ | | ||||||||
Total Liabilities Measured
at Fair Value |
$ | 43,336 | $ | | $ | 43,336 | $ | | ||||||||
Series B:
Balance | ||||||||||||||||
December 31, 2008 | Level 1 | Level 2 | Level 3 | |||||||||||||
ASSETS |
||||||||||||||||
U.S. Government securities |
$ | 54,825,911 | $ | | $ | 54,825,911 | $ | | ||||||||
Unrealized appreciation on open
forward contracts |
44,878 | | 44,878 | | ||||||||||||
Futures contracts purchased |
1,978,090 | 1,978,090 | | | ||||||||||||
Futures contracts sold |
407,977 | 407,977 | | | ||||||||||||
Total Assets Measured at Fair Value |
$ | 57,256,856 | $ | 2,386,067 | $ | 54,870,789 | $ | | ||||||||
LIABILITIES |
||||||||||||||||
Unrealized depreciation on open
forward contracts |
$ | 163,504 | $ | | $ | 163,504 | $ | | ||||||||
Total Liabilities Measured at Fair
Value |
$ | 163,504 | $ | | $ | 163,504 | $ | | ||||||||
(3) | 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 Statement of Operations for each Series. | ||
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 |
35
Table of Contents
contracts and commodity futures contracts are recorded in the Statements of Assets and Liabilities as unrealized appreciation or depreciation on open forward contracts and 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 trading profits and losses in the Statements of Operations. | ||
Superfund Capital Management believes futures and forwards 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: | ||
Series A: |
As of December 31, 2009 | ||||||||||||||||||||||||||||||||||||
Long Positions Gross Unrealized | Short Position Gross Unrealized | |||||||||||||||||||||||||||||||||||
% of | % of | % of | % of | Net Unrealized | ||||||||||||||||||||||||||||||||
Net | Net | Net | Net | Gains (Losses) on | ||||||||||||||||||||||||||||||||
Gains | Assets | Losses | Assets | Gains | assets | Losses | Assets | Open Positions | ||||||||||||||||||||||||||||
Foreign Exchange |
$ | 113,007 | 0.3 | $ | (263,555 | ) | (0.8 | ) | $ | 74,441 | 0.2 | $ | (157,712 | ) | (0.4 | ) | $ | (233,819 | ) | |||||||||||||||||
Currency |
67,730 | 0.2 | (244,325 | ) | (0.7 | ) | | | | | (176,595 | ) | ||||||||||||||||||||||||
Financial |
151,789 | 0.5 | (301,563 | ) | (0.9 | ) | 77,875 | 0.2 | (5,528 | ) | (0.0) | * | (77,427 | ) | ||||||||||||||||||||||
Food & Fiber |
360,737 | 1.1 | (22,738 | ) | (0.1 | ) | | | (43,025 | ) | (0.1 | ) | 294,974 | |||||||||||||||||||||||
Indices |
620,907 | 1.8 | (15,436 | ) | (0.0) | * | | | (7,925 | ) | (0.0) | * | 597,546 | |||||||||||||||||||||||
Metals |
353,181 | 1.0 | (636,976 | ) | (1.9 | ) | | | | | (283,795 | ) | ||||||||||||||||||||||||
Livestock |
| | | | | | (20,060 | ) | (0.1 | ) | (20,060 | ) | ||||||||||||||||||||||||
Energy |
150,196 | 0.5 | (18,040 | ) | (0.1 | ) | | | (12,010 | ) | (0.0) | * | 120,146 | |||||||||||||||||||||||
Totals |
$ | 1,817,547 | 5.4 | $ | (1,502,633 | ) | (4.5 | ) | $ | 152,316 | 0.4 | $ | (246,260 | ) | (0.6 | ) | $ | 220,970 | ||||||||||||||||||
* | Due to rounding |
Series A average quarterly contract volume by market sector as of year ended December 31, 2009: |
Average number | Average number | Average value | Average value | |||||||||||||
of Long | of Short | of Long | of Short | |||||||||||||
Contracts | Contracts | Positions | Positions | |||||||||||||
Foreign Exchange |
23 | 22 | $ | 48,653 | $ | (170,446 | ) | |||||||||
Average number of | Average number of | |||||||||||||||
Long Contracts | Short Contracts | |||||||||||||||
Currency |
264 | 95 | ||||||||||||||
Financial |
1,146 | 40 | ||||||||||||||
Food & Fiber |
67 | 148 | ||||||||||||||
Indices |
138 | 89 | ||||||||||||||
Metals |
81 | 32 | ||||||||||||||
Livestock |
0 | 58 | ||||||||||||||
Energy |
69 | 110 | ||||||||||||||
Totals |
1,788 | 594 | ||||||||||||||
Series A trading results by market sector: |
For the year ended December 31, 2009 | ||||||||||||
Change in Net | ||||||||||||
Net Realized | Unrealized | Net Trading | ||||||||||
Gains (Losses) | Gains (Losses) | Gains (Losses) | ||||||||||
Foreign Exchange |
$ | (1,475,144 | ) | $ | (201,621 | ) | $ | (1,676,765 | ) | |||
Currency |
(2,190,296 | ) | (315,756 | ) | (2,506,052 | ) | ||||||
Financial |
224,040 | (587,254 | ) | (363,214 | ) |
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Table of Contents
For the year ended December 31, 2009 | ||||||||||||
Change in Net | ||||||||||||
Net Realized | Unrealized | Net Trading | ||||||||||
Gains (Losses) | Gains (Losses) | Gains (Losses) | ||||||||||
Food & Fiber |
(900,346 | ) | 301,938 | (598,408 | ) | |||||||
Indices |
(2,489,390 | ) | 581,777 | (1,907,613 | ) | |||||||
Metals |
1,032,905 | (358,930 | ) | 673,975 | ||||||||
Livestock |
183,530 | (43,460 | ) | 140,070 | ||||||||
Energy |
(3,153,433 | ) | 31,615 | (3,121,818 | ) | |||||||
Total net
trading losses |
$ | (8,768,134 | ) | $ | (591,691 | ) | $ | (9,359,825 | ) | |||
Series B: |
As of December 31, 2009 | ||||||||||||||||||||||||||||||||||||
Long Positions Gross Unrealized | Short Position Gross Unrealized | |||||||||||||||||||||||||||||||||||
% of | % of | % of | % of | Net Unrealized | ||||||||||||||||||||||||||||||||
Net | Net | Net | Net | Gains (Losses) on | ||||||||||||||||||||||||||||||||
Gains | Assets | Losses | Assets | Gains | assets | Losses | Assets | Open Positions | ||||||||||||||||||||||||||||
Foreign |
||||||||||||||||||||||||||||||||||||
Exchange |
$ | 300,495 | 0.6 | $ | (727,559 | ) | (1.4 | ) | $ | 208,569 | 0.4 | $ | (403,422 | ) | (0.8 | ) | $ | (621,917 | ) | |||||||||||||||||
Currency |
167,870 | 0.3 | (622,412 | ) | (1.2 | ) | | | | | (454,542 | ) | ||||||||||||||||||||||||
Financial |
345,159 | 0.7 | (788,120 | ) | (1.5 | ) | 198,206 | 0.4 | (13,820 | ) | (0.0) | * | (258,575 | ) | ||||||||||||||||||||||
Food & Fiber |
930,426 | 1.8 | (61,663 | ) | (0.1 | ) | | | (103,275 | ) | (0.2 | ) | 765,488 | |||||||||||||||||||||||
Indices |
1,614,308 | 3.1 | (40,948 | ) | (0.1 | ) | | | (19,020 | ) | (0.0) | * | 1,554,340 | |||||||||||||||||||||||
Metals |
883,871 | 1.7 | (1,652,652 | ) | (3.2 | ) | | | | | (768,781 | ) | ||||||||||||||||||||||||
Livestock |
| | | | | | (50,500 | ) | (0.1 | ) | (50,500 | ) | ||||||||||||||||||||||||
Energy |
382,290 | 0.7 | (49,830 | ) | (0.1 | ) | | | (36,550 | ) | (0.1 | ) | 295,910 | |||||||||||||||||||||||
Totals |
$ | 4,624,419 | 8.9 | $ | (3,943,184 | ) | (7.6 | ) | $ | 406,775 | 0.8 | $ | (626,587 | ) | (1.2 | ) | $ | 461,423 | ||||||||||||||||||
* | Due to rounding |
Series B average quarterly contract volume by market sector for year ended December 31, 2009: |
Average number | Average number | Average value | Average value | |||||||||||||
of Long | of Short | of Long | of Short | |||||||||||||
Contracts | Contracts | Positions | Positions | |||||||||||||
Foreign Exchange |
29 | 26 | $ | 141,907 | $ | (529,666 | ) | |||||||||
Average number | Average number | |||||||||||||||
of Long | of Short | |||||||||||||||
Contracts | Contracts | |||||||||||||||
Currency |
621 | 246 | ||||||||||||||
Financial |
3,032 | 108 | ||||||||||||||
Food & Fiber |
174 | 402 | ||||||||||||||
Indices |
421 | 200 | ||||||||||||||
Metals |
207 | 90 | ||||||||||||||
Livestock |
0 | 143 | ||||||||||||||
Energy |
175 | 328 | ||||||||||||||
Totals |
4,659 | 1,543 | ||||||||||||||
Series B trading results by market sector: |
For the year ended December 31, 2009 | ||||||||||||
Change in Net | ||||||||||||
Net Realized | Unrealized | Net Trading | ||||||||||
Gains (Losses) | Gains (Losses) | Gains (Losses) | ||||||||||
Foreign Exchange |
$ | (4,369,013 | ) | $ | (503,291 | ) | $ | (4,872,304 | ) | |||
Currency |
(6,128,855 | ) | (838,226 | ) | (6,967,081 | ) | ||||||
Financial |
413,506 | (1,763,342 | ) | (1,349,836 | ) | |||||||
Food & Fiber |
(2,690,270 | ) | 818,524 | (1,871,746 | ) |
37
Table of Contents
For the year ended December 31, 2009 | ||||||||||||
Change in Net | ||||||||||||
Net Realized | Unrealized | Net Trading | ||||||||||
Gains (Losses) | Gains (Losses) | Gains (Losses) | ||||||||||
Indices |
(7,192,204 | ) | 1,570,735 | (5,621,469 | ) | |||||||
Metals |
1,559,944 | (951,786 | ) | 608,158 | ||||||||
Livestock |
481,710 | (114,610 | ) | 367,100 | ||||||||
Energy |
(9,148,922 | ) | (24,022 | ) | (9,172,944 | ) | ||||||
Total net trading
losses |
$ | (27,074,104 | ) | $ | (1,806,018 | ) | $ | (28,880,122 | ) | |||
(4) | Due from/to Brokers |
Due from brokers consist 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 represent margin borrowings that are collateralized by certain securities. As of December 31, 2009, 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. Superfund Capital Management monitors the financial condition of such brokers and does not anticipate any losses from these counterparties. |
(5) | Allocation of Net Profits and Losses |
In accordance with the Fifth Amended and Restated Limited Partnership Agreement (the Limited Partnership Agreement), net profits and losses of the Fund are allocated to partners according to their respective interests in the Fund as of the beginning of each month. | ||
Advance subscriptions, if any, represent cash received prior to December 31 for contributions of the subsequent month and do not participate in the earnings of the Fund until the following January. |
(6) | 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) of net assets, 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. In accordance with the Prospectus dated November 24, 2009, as supplemented on December 3, 2009, included within the Registration Statement on Form S-1 (File No. 333-162132) as subsequently supplemented, Superfund USA, 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 pursuant to such Prospectus. | ||
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. | ||
As of December 31, 2009, Superfund Capital Management owned 386.799 Units of Series A, representing 1.57% of the total issued Units of Series A, and 528.22 Units of Series B, representing 1.48% of the total issued Units of Series B, having a combined value of $1,292,285. |
(7) | Financial Highlights |
Financial highlights for the period January 1, 2009, through December 31, 2009, are as follows:
SERIES A | SERIES B | |||||||
Total return |
||||||||
Total return before incentive fees |
(29.9) | % | (43.7) | % | ||||
Incentive fees |
0.0 | (0.4 | ) | |||||
Total return after incentive fees |
(29.9) | % | (44.1) | % | ||||
Ratio to average partners capital |
||||||||
Operating expenses before incentive fees |
8.9 | % | 9.9 | % | ||||
Incentive fees |
0.0 | 0.5 | ||||||
Total expenses |
8.9 | % | 10.4 | % | ||||
38
Table of Contents
SERIES A | SERIES B | |||||||
Net investment loss |
(8.8) | % | (9.8) | % | ||||
Net assets value per unit, beginning of period |
$ | 1,932.30 | $ | 2,600.96 | ||||
Net investment loss |
(139.94 | ) | (197.32 | ) | ||||
Net loss on investments |
(437.87 | ) | (949.00 | ) | ||||
Net asset value per unit, end of period |
$ | 1,354.49 | $ | 1,454.64 | ||||
Other per Unit information: |
||||||||
Net decrease in net assets from operations per Unit (based upon weighted average
Number of Units during period) |
$ | (563.24 | ) | $ | (1,106.39 | ) | ||
Net decrease in net assets from operations per Unit (based upon change in net asset
value per Unit) |
$ | (577.81 | ) | $ | (1,146.32 | ) | ||
Financial highlights for the period January 1, 2008, through December 31, 2008, are as follows: |
SERIES A | SERIES B | |||||||
Total return |
||||||||
Total return before incentive fees |
34.6 | % | 56.6 | % | ||||
Incentive fees |
4.6 | 10.0 | ||||||
Total return after incentive fees |
30.0 | % | 46.6 | % | ||||
Ratio to average partners capital |
||||||||
Operating expenses before incentive fees |
8.3 | % | 9.4 | % | ||||
Incentive fees |
4.0 | 7.9 | ||||||
Total expenses |
12.3 | % | 17.3 | % | ||||
Net investment loss |
(6.3) | % | (7.8) | % | ||||
Net assets value per unit, beginning of period |
$ | 1,486.44 | $ | 1,774.69 | ||||
Net investment loss |
(175.42 | ) | (352.33 | ) | ||||
Net gain on investments |
621.28 | 1,178.60 | ||||||
Net asset value per unit, end of period |
$ | 1,932.30 | $ | 2,600.96 | ||||
Other per Unit information: |
||||||||
Net increase in net assets from operations per Unit (based upon weighted average
Number of Units during period) |
$ | 523.26 | $ | 786.52 | ||||
Net increase in net assets from operations per Unit (based upon change in net asset
value per Unit) |
$ | 445.86 | $ | 826.27 | ||||
(8) | 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 over-the-counter (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 |
39
Table of Contents
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 counter party to an OTC contract. | ||
For Series A, gross unrealized gains and losses related to exchange traded futures were $1,782,415 and $1,327,626, respectively, and gross unrealized gains and losses related to non-exchange traded forwards were $187,448 and $421,267, respectively, at December 31, 2009. | ||
For Series B, gross unrealized gains and losses related to exchange traded futures were $4,522,130 and $3,438,790, respectively, and gross unrealized gains and losses related to non-exchange traded forwards were $509,064 and $1,130,981, respectively, at December 31, 2009. | ||
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 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 is unable to offset such positions, the Fund could experience substantial losses. | ||
Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. Credit risk with respect to exchange-traded instruments is reduced to the extent that an exchange or clearing organization acts as a counterparty to the transactions. The 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 Rosenthal Collins Group, L.L.C. | ||
Superfund Capital Management monitors and controls 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 December 31, 2009. However, due to the nature of the Funds business, these instruments may not be held to maturity. |
(9) | Subscriptions and Redemptions |
Investors must submit subscriptions at least five business days prior to the applicable month-end closing date and they will be accepted once payments are received and cleared. All subscriptions funds are required to be promptly transmitted to the escrow agent, HSBC Bank USA. Subscriptions must be accepted or rejected by Superfund Capital Management within five business days of receipt, and the settlement date for the deposit of subscription funds in escrow must be within five business days of acceptance. No fees or costs will be assessed on any subscription while held in escrow, irrespective of whether the subscription is accepted or the subscription funds are returned. | ||
A limited partner of a Series 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 $5,000. Limited partners must transmit a written request of such withdrawal 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 redemption is to be effective. Redemptions will generally be paid within twenty days after the date of 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. The Funds prospectus provides 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. |
40
Table of Contents
(10) | Subsequent events |
Superfund Capital Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements. |
41
Table of Contents
SIGNATURES
Pursuant to the requirements of Section 13 or Section 15(d) 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 on March 31, 2010.
SUPERFUND GREEN, L.P. (Registrant) |
||||
By: | SUPERFUND CAPITAL MANAGEMENT, INC. | |||
General Partner |
By: | /s/ Nigel James | |||
Nigel James | ||||
President | ||||
Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been
signed below by the following persons on behalf of Superfund Capital Management, the general
partner of the registrant, and in the capacities and on the dates indicated.
Title with | ||||
Signature | Superfund Capital Management | Date | ||
/s/ Nigel James
|
President (Principal Executive Officer) |
March 31, 2010 | ||
/s/ Roman Gregorig
|
Director, Vice President and Audit Committee Financial Expert (Principal Financial Officer & Principal Accounting Officer) | March 31, 2010 |
(Being the principal executive officer, the principal financial officer and principal
accounting officer, and a majority of the board of directors of Superfund Capital Management)
42
Table of Contents
EXHIBIT INDEX
Exhibit | ||
Number | Description of Document | |
3.01
|
Form of Fifth Amended and Restated Limited Partnership Agreement of Superfund Green, L.P. | |
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 |
The following exhibits are incorporated by reference herein from the exhibit of the
same description and number filed on November 24, 2009, with Superfund Green, L.P.s Registration
Statement on Form S-1 (Reg. No. 333-162132).
10.01(g)
|
Administration, Accounting and Investor Services Agreement. | |
10.02
|
Form of Subscription Agreement | |
10.03(a)
|
Escrow Agreement between Series A and HSBC Bank USA. | |
10.03(b)
|
Escrow Agreement between Series B and HSBC Bank USA. |
The following exhibits are incorporated by reference herein from the exhibits of
the same description and number filed on January 21, 2005, with Quadriga Superfund, L.P.s
Registration Statement on Form S-1 (Reg. No. 333-122229).
3.02
|
Certificate of Limited Partnership. |
43