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Table of Contents

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

 

 

FORM 10-Q

 

 

(Mark One)

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

For the quarterly period ended June 30, 2015

OR

 

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

For the transition period from                      to                     

Commission File number: 000-51634

 

 

SUPERFUND GREEN, L.P.

(Exact name of registrant as specified in charter)

 

 

 

Delaware   98-0375395

(State or other jurisdiction of

incorporation or organization)

 

(I.R.S. Employer

Identification No.)

 

Superfund Office Building

P.O. Box 1479

Grand Anse

St. George’s, Grenada

West Indies

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

(473) 439-2418

(Registrant’s telephone number, including area code)

Not applicable

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

 

 

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

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).    Yes  x    No  ¨

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

 

Large Accelerated Filer   ¨    Accelerated Filer   ¨
Non-Accelerated Filer   ¨  (Do not check if a smaller reporting company)    Smaller Reporting Company   x

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

 

 

 


Table of Contents

PART I - FINANCIAL INFORMATION

 

ITEM 1. FINANCIAL STATEMENTS

The following unaudited financial statements of Superfund Green, L.P., Superfund Green, L.P. Series A and Superfund Green, L.P. Series B are included in Item 1:

 

    

     Page

Financial Statements: Superfund Green, L.P.

  

Statements of Assets and Liabilities as of June 30, 2015 (unaudited) and December 31, 2014

   3

Unaudited Condensed Schedule of Investments as of June 30, 2015

   4

Condensed Schedule of Investments as of December 31, 2014

   5

Unaudited Statements of Operations for the Three and Six Months Ended June 30, 2015 and June 30, 2014

   6

Unaudited Statements of Changes in Net Assets for the Six Months Ended June 30, 2015 and June 30, 2014

   7

Unaudited Statements of Cash Flows for the Six Months Ended June 30, 2015 and June 30, 2014

   8

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

  

Statements of Assets and Liabilities as of June 30, 2015 (unaudited) and December 31, 2014

   9

Unaudited Condensed Schedule of Investments as of June 30, 2015

   10

Condensed Schedule of Investments as of December 31, 2014

   11

Unaudited Statements of Operations for the Three and Six Months Ended June 30, 2015 and June 30, 2014

   12

Unaudited Statements of Changes in Net Assets for the Six Months Ended June 30, 2015 and June 30, 2014

   13

Unaudited Statements of Cash Flows for the Six Months Ended June 30, 2015 and June 30, 2014

   14

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

  

Statements of Assets and Liabilities as of June 30, 2015 (unaudited) and December 31, 2014

   15

Unaudited Condensed Schedule of Investments as of June 30, 2015

   16

Condensed Schedule of Investments as of December 31, 2014

   17

Unaudited Statements of Operations for the Three and Six Months Ended June 30, 2015 and June 30, 2014

   18

Unaudited Statements of Changes in Net Assets for the Six Months Ended June 30, 2015 and June 30, 2014

   19

Unaudited Statements of Cash Flows for the Six Months Ended June 30, 2015 and June 30, 2014

   20

Notes to Unaudited Financial Statements

   21-42

 

2


Table of Contents

SUPERFUND GREEN, L.P.

STATEMENTS OF ASSETS AND LIABILITIES

as of June 30, 2015 and December 31, 2014

 

     June 30, 2015
(unaudited)
     December 31, 2014  

ASSETS

     

Due from brokers

   $ 6,487,373       $ 8,221,595   

Unrealized gain on futures contracts purchased

     515,703         927,412   

Unrealized gain on futures contracts sold

     498,377         627,584   

Cash

     11,315,730         12,702,894   
  

 

 

    

 

 

 

Total assets

     18,817,183         22,479,485   
  

 

 

    

 

 

 

LIABILITIES

     

Unrealized loss on futures contracts purchased

     727,636         681,201   

Unrealized loss on futures contracts sold

     399,170         154,403   

Redemptions payable

     153,840         991,842   

Management fees payable

     27,352         33,459   

Fees payable

     9,820         16,069   
  

 

 

    

 

 

 

Total liabilities

     1,317,818         1,876,974   
  

 

 

    

 

 

 

NET ASSETS

   $ 17,499,365       $ 20,602,511   
  

 

 

    

 

 

 

See accompanying notes to unaudited financial statements.

 

3


Table of Contents

SUPERFUND GREEN, L.P.

UNAUDITED CONDENSED SCHEDULE OF INVESTMENTS

as of June 30, 2015

 

    

Percentage of

Net Assets

    Fair Value  

Futures contracts purchased

    

Currency

     0.1   $ 15,650   

Energy

     (0.1     (17,377

Financial

     0.2        35,324   

Food & Fiber

     1.9     331,245   

Indices

     (0.4     (76,912

Livestock

     (0.5     (84,540

Metals

    

LME Zinc expiring September 2015

     (1.1     (187,050

Other

     (1.3 )*      (228,273
  

 

 

   

 

 

 

Total Metals

     (2.4     (415,323
  

 

 

   

 

 

 

Total futures contracts purchased

     (1.2     (211,933
  

 

 

   

 

 

 

Futures contracts sold

    

Currency

     0.2        31,958   

Energy

     (0.1     (11,166

Financial

     (0.0 )**      (5,508

Food & Fiber

     (1.5 )*      (256,927

Indices

     (0.1     (23,615

Metals

    

LME Aluminum U.S. expiring September, 2015

     1.3        229,037   

Other

     0.8        135,428   
  

 

 

   

 

 

 

Total Metals

     2.1        364,464   
  

 

 

   

 

 

 

Total futures contracts sold

     0.6        99,207   
  

 

 

   

 

 

 

Total futures contracts, at fair value

     (0.6 )%    $ (112,726
  

 

 

   

 

 

 

Futures contracts by country composition

    

Australia

     (0.0 )**%    $ (4,741

Canada

     (0.0 )**      (2,789

European Monetary Union

     0.1        9,066   

Great Britain

     0.1        21,911   

Japan

     0.1        23,073   

United States

     (0.6     (103,130

Other

     (0.3     (56,116
  

 

 

   

 

 

 

Total futures contracts by country composition

     (0.6 )%    $ (112,726
  

 

 

   

 

 

 

 

* No individual contract position constituted one percent or greater of net assets, unless broken out above. Accordingly, the number of contracts and expiration dates are not presented.
** Due to rounding – amount is less than 0.05%

See accompanying notes to unaudited financial statements.

 

4


Table of Contents

SUPERFUND GREEN, L.P.

CONDENSED SCHEDULE OF INVESTMENTS

as of December 31, 2014

 

    

Percentage of

Net Assets

    Fair Value  

Futures Contracts Purchased

    

Currency

     0.0 **%    $ 2,110   

Energy

     (0.7     (160,231

Financial

     2.3     491,037   

Food & Fiber

     (0.2     (52,786

Indices

     1.4     294,340   

Livestock

     (1.0 )*      (210,110

Metals

     (0.5     (118,149
  

 

 

   

 

 

 

Total futures contracts purchased

     1.3        246,211   
  

 

 

   

 

 

 

Futures Contracts Sold

    

Currency

     0.4        79,639   

Energy

     1.0     217,842   

Financial

     (0.1     (12,202

Food & Fiber

     0.3        74,642   

Indices

     (0.5     (101,301

Metals

     1.0     214,561   
  

 

 

   

 

 

 

Total futures contracts sold

     2.1        473,181   
  

 

 

   

 

 

 

Total futures contracts, at fair value

     3.4   $ 719,392   
  

 

 

   

 

 

 

Futures contracts by country composition

    

Australia

     0.2   $ 44,422   

Canada

     0.4        90,868   

European Monetary Union

     0.0 **      353   

Great Britain

     0.4        77,698   

Japan

     0.9        188,896   

United States

     0.3        74,579   

Other

     1.1     242,576   
  

 

 

   

 

 

 

Total futures contracts by country composition

     3.3   $ 719,392   
  

 

 

   

 

 

 

 

* No individual contract position constituted one percent or greater of net assets, unless broken out above. Accordingly, the number of contracts and expiration dates are not presented.
** Due to rounding – amount is less than 0.05%

See accompanying notes to unaudited financial statements.

 

5


Table of Contents

SUPERFUND GREEN, L.P.

UNAUDITED STATEMENTS OF OPERATIONS

 

    

Three Months Ended

June 30,

   

Six Months Ended

June 30,

 
     2015     2014     2015     2014  

Investment Income

        

Interest income

   $ 341      $ 604      $ 775      $ 1,538   

Other income

     —          —          —          7   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total investment income

     341        604        775        1,545   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Selling commission

     189,963        245,243        404,960        512,481   

Brokerage commissions

     66,761        139,418        136,419        325,425   

Management fee

     87,858        113,425        187,294        237,022   

Ongoing offering expenses

     —          —          —          66,809   

Operating expenses

     7,123        9,198        15,187        19,220   

Other

     11,680        1,947        19,667        4,671   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     363,385        509,231        763,527        1,165,628   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment loss

   $ (363,044   $ (508,627   $ (762,752   $ (1,164,083
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investments

        

Net realized gain (loss) on futures and forward contracts

   $ (1,065,535   $ 715,765      $ 644,112      $ 1,250,144   

Net change in unrealized depreciation on futures and forward contracts

     (858,392     (263,904     (832,116     (584,820
  

 

 

   

 

 

   

 

 

   

 

 

 

Net gain (loss) on investments

   $ (1,923,927   $ 451,861      $ (188,004   $ 665,324   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net decrease in net assets from operations

   $ (2,286,971   $ (56,766   $ (950,756   $ (498,759
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to unaudited financial statements.

 

6


Table of Contents

SUPERFUND GREEN, L.P.

UNAUDITED STATEMENTS OF CHANGES IN NET ASSETS

 

    

Six Months Ended

June 30,

 
     2015     2014  

Increase (decrease) in net assets from operations

    

Net investment loss

   $ (762,752   $ (1,164,083

Net realized gain on futures and forward contracts

     644,112        1,250,144   

Net change in unrealized depreciation on futures and forward contracts

     (832,116     (584,820
  

 

 

   

 

 

 

Net decrease in net assets from operations

     (950,756     (498,759

Capital share transactions

    

Issuance of Units

     324,057        645,928   

Redemption of Units

     (2,476,447     (5,577,201
  

 

 

   

 

 

 

Net decrease in net assets from capital share transactions

     (2,152,390     (4,931,273
  

 

 

   

 

 

 

Net decrease in net assets

     (3,103,146     (5,430,032

Net assets, beginning of period

     20,602,511        27,758,351   
  

 

 

   

 

 

 

Net assets, end of period

   $ 17,499,365      $ 22,328,319   
  

 

 

   

 

 

 

See accompanying notes to unaudited financial statements.

 

7


Table of Contents

SUPERFUND GREEN, L.P.

UNAUDITED STATEMENTS OF CASH FLOWS

 

    

Six Months Ended

June 30,

 
     2015     2014  

Cash flows from operating activities

    

Net decrease in net assets from operations

   $ (950,756   $ (498,759

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

    

Changes in operating assets and liabilities:

    

Increase in due from brokers

     1,734,222        10,028,234   

Increase in futures contracts purchased

     458,144        484,145   

Decrease in unrealized depreciation on open forward contracts

     —          (44

Increase in futures contracts sold

     373,974        100,719   

Decrease in management fees payable

     (6,107     (8,187

Decrease in fees payable

     (6,249     (33,284
  

 

 

   

 

 

 

Net cash provided by operating activities

     1,603,228        10,072,824   
  

 

 

   

 

 

 

Cash flows from financing activities

    

Subscriptions, net of change in advanced subscriptions

     324,057        645,928   

Redemptions, net of change in redemptions payable

     (3,314,449     (5,407,218
  

 

 

   

 

 

 

Net cash used in financing activities

     (2,990,392     (4,761,290
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (1,387,164     5,311,534   

Cash, beginning of period

     12,702,894        11,990,898   
  

 

 

   

 

 

 

Cash, end of period

   $ 11,315,730      $ 17,302,432   
  

 

 

   

 

 

 

See accompanying notes to unaudited financial statements.

 

8


Table of Contents

SUPERFUND GREEN, L.P. – SERIES A

STATEMENTS OF ASSETS AND LIABILITIES

as of June 30, 2015 and December 31, 2014

 

     June 30, 2015
(unaudited)
     December 31, 2014  

ASSETS

     

Due from brokers

   $ 2,282,129       $ 3,032,505   

Unrealized gain on futures contracts purchased

     198,632         341,117   

Unrealized gain on futures contracts sold

     186,361         237,325   

Cash

     6,434,230         7,217,637   
  

 

 

    

 

 

 

Total assets

     9,101,352         10,828,584   
  

 

 

    

 

 

 

LIABILITIES

     

Unrealized loss on futures contracts purchased

     261,437         251,096   

Unrealized loss on futures contracts sold

     147,856         58,750   

Redemptions payable

     135,279         591,594   

Management fees payable

     13,436         16,258   

Fees payable

     6,861         9,450   
  

 

 

    

 

 

 

Total liabilities

     564,869         927,148   
  

 

 

    

 

 

 

NET ASSETS

   $ 8,536,483       $ 9,901,436   
  

 

 

    

 

 

 

Number of Units outstanding

     7,020.073         7,713.806   
  

 

 

    

 

 

 

Net Asset Value per Unit

   $ 1,216.01       $ 1,283.60   
  

 

 

    

 

 

 

See accompanying notes to unaudited financial statements.

 

9


Table of Contents

SUPERFUND GREEN, L.P. – SERIES A

UNAUDITED CONDENSED SCHEDULE OF INVESTMENTS

as of June 30, 2015

 

    

Percentage of

Net Assets

    Fair Value  

Futures contracts purchased

    

Currency

     0.1   $ 5,681   

Energy

     (0.1     (6,764

Financial

     0.2        16,363   

Food & Fiber

     1.5     125,697   

Indices

     (0.2     (18,189

Livestock

     (0.4     (32,370

Metals

     (1.7 )*      (153,223
  

 

 

   

 

 

 

Total futures contracts purchased

     (0.6     (62,805
  

 

 

   

 

 

 

Futures contracts sold

    

Currency

     0.1        11,578   

Energy

     (0.1     (4,426

Financial

     (0.0 )**      (1,128

Food & Fiber

     (1.1 )*      (95,443

Indices

     (0.1     (9,131

Metals

    

LME Aluminum U.S. expiring September, 2015

     1.0        86,931   

Other

     0.6        50,124   
  

 

 

   

 

 

 

Total Metals

     1.6        137,055   
  

 

 

   

 

 

 

Total futures contracts sold

     0.4        38,505   
  

 

 

   

 

 

 

Total futures contracts, at fair value

     (0.2 )%    $ (24,300
  

 

 

   

 

 

 

Futures contracts by country composition

    

Australia

     (0.0 )**%    $ (2,797

Canada

     (0.0 )**      (711

European Monetary Union

     0.0 **      3,731   

Great Britain

     0.1        9,137   

Japan

     0.2        12,971   

United States

     (0.3     (25,296

Other

     (0.2     (21,335
  

 

 

   

 

 

 

Total futures contracts by country composition

     (0.2 )%    $ (24,300
  

 

 

   

 

 

 

 

* No individual contract position constituted one percent or greater of net assets, unless broken out above. Accordingly, the number of contracts and expiration dates are not presented.
** Due to rounding – amount is less than 0.05%

See accompanying notes to unaudited financial statements.

 

10


Table of Contents

SUPERFUND GREEN, L.P. – SERIES A

CONDENSED SCHEDULE OF INVESTMENTS

as of December 31, 2014

 

    

Percentage of

Net Assets

    Fair Value  

Futures contracts purchased

    

Energy

     (0.6 )%    $ (57,916

Financial

     1.8     184,415   

Food & Fiber

     (0.1     (13,355

Indices

     0.9        102,150   

Livestock

     (0.7     (78,470

Metals

     (0.4     (46,803
  

 

 

   

 

 

 

Total futures contracts purchased

     0.9        90,021   
  

 

 

   

 

 

 

Futures contracts sold

    

Currency

     0.3        28,808   

Energy

     0.8        81,210   

Financial

     (0.0 )**      (4,331

Food & Fiber

     0.2        27,541   

Indices

     (0.4     (37,750

Metals

     0.8        83,097   
  

 

 

   

 

 

 

Total futures contracts sold

     1.7        178,575   
  

 

 

   

 

 

 

Total futures contracts, at fair value

     2.6   $ 268,596   
  

 

 

   

 

 

 

Futures contracts by country composition

    

Australia

     0.1   $ 12,933   

Canada

     0.3        31,434   

European Monetary Union

     (0.0 )**      (2,640

Great Britain

     0.2        25,780   

Japan

     0.6        68,041   

United States

     0.5        37,619   

Other

     0.9        95,429   
  

 

 

   

 

 

 

Total futures contracts by country composition

     2.6   $ 268,596   
  

 

 

   

 

 

 

 

* No individual contract position constituted one percent or greater of net assets, unless broken out above. Accordingly, the number of contracts and expiration dates are not presented.
** Due to rounding – amount is less than 0.05%

See accompanying notes to unaudited financial statements.

 

11


Table of Contents

SUPERFUND GREEN, L.P. – SERIES A

UNAUDITED STATEMENTS OF OPERATIONS

 

    

Three Months Ended

June 30,

   

Six Months Ended

June 30,

 
     2015     2014     2015     2014  

Investment Income

        

Interest income

   $ 116      $ 225      $ 278      $ 594   

Other income

     —          —          —          3   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total investment income

     116        225        278        597   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Selling commission

     92,177        117,894        193,944        244,293   

Brokerage commissions

     24,897        53,967        48,034        124,886   

Management fee

     42,632        54,526        89,699        112,985   

Ongoing offering expenses

     —          —          —          31,599   

Operating expenses

     3,456        4,422        7,273        9,162   

Other

     4,767        894        7,842        1,925   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     167,929        231,703        346,792        524,850   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment loss

   $ (167,813   $ (231,478   $ (346,514   $ (524,253
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investments

        

Net realized gain (loss) on futures and forward contracts

   $ (405,641   $ 277,859      $ 181,354      $ 433,674   

Net change in unrealized depreciation on futures and forward contracts

     (299,527     (98,411     (292,895     (195,634
  

 

 

   

 

 

   

 

 

   

 

 

 

Net gain (loss) on investments

   $ (705,168   $ 179,448      $ (111,541   $ 238,040   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net decrease in net assets from operations

   $ (872,981   $ (52,030   $ (458,055   $ (286,213
  

 

 

   

 

 

   

 

 

   

 

 

 

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

   $ (125.44   $ (5.51   $ (62.62   $ (29.12
  

 

 

   

 

 

   

 

 

   

 

 

 

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

   $ (121.49   $ (5.42   $ (67.59   $ (28.03
  

 

 

   

 

 

   

 

 

   

 

 

 

 

* Weighted average number of Units outstanding for Series A for the Three Months Ended June 30, 2015 and June 30, 2014: 6,959.45 and 9,443.66, respectively; and for the Six Months Ended June 30, 2015 and June 30, 2014: 7,314.38 and 9,828.02, respectively.

See accompanying notes to unaudited financial statements.

 

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SUPERFUND GREEN, L.P. – SERIES A

UNAUDITED STATEMENTS OF CHANGES IN NET ASSETS

 

    

Six Months Ended

June 30,

 
     2015     2014  

Increase (decrease) in net assets from operations

    

Net investment loss

   $ (346,514   $ (524,253

Net realized gain on futures and forward contracts

     181,354        433,674   

Net change in unrealized depreciation on futures and forward contracts

     (292,895     (195,634
  

 

 

   

 

 

 

Net decrease in net assets from operations

     (458,055     (286,213

Capital share transactions

    

Issuance of Units

     144,908        428,233   

Redemption of Units

     (1,051,806     (2,417,822
  

 

 

   

 

 

 

Net decrease in net assets from capital share transactions

     (906,898     (1,989,589
  

 

 

   

 

 

 

Net decrease in net assets

     (1,364,953     (2,275,802

Net assets, beginning of period

     9,901,436        12,974,396   
  

 

 

   

 

 

 

Net assets, end of period

   $ 8,536,483      $ 10,698,594   
  

 

 

   

 

 

 

Units, beginning of period

     7,713.806        10,676.154   

Issuance of Units

     110.362        360.381   

Redemption of Units

     (804.095     (2,025.241
  

 

 

   

 

 

 

Units, end of period

     7,020.073        9,011.294   
  

 

 

   

 

 

 

See accompanying notes to unaudited financial statements.

 

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SUPERFUND GREEN, L.P. – SERIES A

UNAUDITED STATEMENTS OF CASH FLOWS

 

    

Six Months Ended

June,

 
     2015     2014  

Cash flows from operating activities

    

Net decrease in net assets from operations

   $ (458,055   $ (286,213

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

    

Changes in operating assets and liabilities:

    

Increase in due from brokers

     750,376        4,370,185   

Increase in futures contracts purchased

     152,826        158,742   

Decrease in unrealized depreciation on open forward contracts

     —          (12

Increase in futures contracts sold

     140,070        36,904   

Decrease in management fees payable

     (2,822     (3,376

Decrease in fees payable

     (2,589     (15,281
  

 

 

   

 

 

 

Net cash provided by operating activities

     579,806        4,260,949   
  

 

 

   

 

 

 

Cash flows from financing activities

    

Subscriptions, net of change in advanced subscriptions

     144,908        428,233   

Redemptions, net of change in redemptions payable

     (1,508,121     (2,309,746
  

 

 

   

 

 

 

Net cash used in financing activities

     (1,363,213     (1,881,513
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (783,407     2,379,436   

Cash, beginning of period

     7,217,637        6,593,319   
  

 

 

   

 

 

 

Cash, end of period

   $ 6,434,230      $ 8,972,755   
  

 

 

   

 

 

 

See accompanying notes to unaudited financial statements.

 

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SUPERFUND GREEN, L.P. – SERIES B

STATEMENTS OF ASSETS AND LIABILITIES

as of June 30, 2015 and December 31, 2014

 

     June 30, 2015
(unaudited)
     December 31, 2014  

ASSETS

     

Due from brokers

   $ 4,205,244       $ 5,189,090   

Unrealized gain on futures contracts purchased

     317,071         586,295   

Unrealized gain on futures contracts sold

     312,016         390,259   

Cash

     4,881,500         5,485,257   
  

 

 

    

 

 

 

Total assets

     9,715,831         11,650,901   
  

 

 

    

 

 

 

LIABILITIES

     

Unrealized loss on futures contracts purchased

     466,199         430,105   

Unrealized loss on futures contracts sold

     251,314         95,653   

Redemptions payable

     18,561         400,248   

Management fees payable

     13,916         17,201   

Fees payable

     2,959         6,619   
  

 

 

    

 

 

 

Total liabilities

     752,949         949,826   
  

 

 

    

 

 

 

NET ASSETS

   $ 8,962,882       $ 10,701,075   
  

 

 

    

 

 

 

Number of Units outstanding

     6,517.615         7,316.097   
  

 

 

    

 

 

 

Net Asset Value per Unit

   $ 1,375.18       $ 1,462.68   
  

 

 

    

 

 

 

See accompanying notes to unaudited financial statements.

 

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SUPERFUND GREEN, L.P. – SERIES B

UNAUDITED CONDENSED SCHEDULE OF INVESTMENTS

as of June 30, 2015

 

    

Percentage of

Net Assets

    Fair Value  

Futures contracts purchased

    

Currency

     0.1   $ 9,969   

Energy

     (0.1     (10,613

Financial

     0.2        18,961   

Food & Fiber

    

Soybeans expiring November, 2015

     1.0        89,850   

Other

     1.3     115,698   
  

 

 

   

 

 

 

Total Food & Fiber

     2.3        205,548   

Indices

     (0.6     (58,723

Livestock

     (0.6     (52,170

Metals

    

LME Lead expiring September, 2015

     (1.0     (90,365

LME Zinc expiring September, 2015

     (1.3     (118,175

Other

     (0.6     (53,560
  

 

 

   

 

 

 

Total Metals

     (2.7     (262,100
  

 

 

   

 

 

 

Total futures contracts purchased

     (1.4     (149,128
  

 

 

   

 

 

 

Futures contracts sold

    

Currency

     0.2        20,380   

Energy

     (0.1     (6,740

Financial

     (0.0 )**      (4,380

Food & Fiber

    

MPLS Wheat expiring September, 2015

     1.0        (91,638

Other

     (0.8     (69,846
  

 

 

   

 

 

 

Total Food & Fiber

     (1.8     (161,484

Indices

     (1.9 )*      (14,484

Metals

    

LME Aluminum U.S. expiring September, 2015

     1.6        142,106   

Other

     1.0     85,304   
  

 

 

   

 

 

 

Total Metals

     2.6        227,410   
  

 

 

   

 

 

 

Total futures contracts sold

     0.6        60,702   
  

 

 

   

 

 

 

Total futures contracts, at fair value

     (0.8 )%    $ (88,426
  

 

 

   

 

 

 

Futures contracts by country composition

    

Australia

     (0.0 )**%    $ (1,944

Canada

     (0.0 )**      (2,078

European Monetary Union

     0.1        5,335   

Great Britain

     0.1        12,774   

Japan

     0.1        10,102   

United States

     (0.8     (77,834

Other

     (0.3     (34,781
  

 

 

   

 

 

 

Total futures contracts by country composition

     (0.8 )%    $ (88,426
  

 

 

   

 

 

 

 

* No individual contract position constituted one percent or greater of net assets, unless broken out above. Accordingly, the number of contracts and expiration dates are not presented.
** Due to rounding – amount is less than 0.05%

See accompanying notes to unaudited financial statements.

 

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SUPERFUND GREEN, L.P. – SERIES B

CONDENSED SCHEDULE OF INVESTMENTS

as of December 31, 2014

 

    

Percentage of

Net Assets

    Fair Value  

Futures contracts purchased

    

Currency

     0.0 **%    $ 2,110   

Energy

     (0.9     (102,315

Financial

     2.8     306,622   

Food & Fiber

     (0.4     (39,431

Indices

     1.7     192,190   

Livestock

     (1.2 )*      (131,640

Metals

     (0.6     (71,346
  

 

 

   

 

 

 

Total futures contracts purchased

     1.4        156,190   
  

 

 

   

 

 

 

Futures contracts sold

    

Currency

     0.6        50,831   

Energy

     1.2     136,632   

Financial

     (0.1     (7,871

Food & Fiber

     0.4        47,101   

Indices

     (0.6     (63,551

Metals

     1.2     131,464   
  

 

 

   

 

 

 

Total futures contracts sold

     2.7        294,606   
  

 

 

   

 

 

 

Total futures contracts, at fair value

     4.1   $ 450,796   
  

 

 

   

 

 

 

Futures contracts by country composition

    

Australia

     0.3   $ 31,489   

Canada

     0.5        59,434   

European Monetary Union

     0.0 **      2,993   

Great Britain

     0.5        51,918   

Japan

     1.1     120,855   

United States

     0.3        36,960   

Other

     1.4     147,147   
  

 

 

   

 

 

 

Total futures contracts by country composition

     4.1   $ 450,796   
  

 

 

   

 

 

 

 

* No individual contract position constituted one percent or greater of net assets, unless broken out above. Accordingly, the number of contracts and expiration dates are not presented.
** Due to rounding – amount is less than 0.05%

See accompanying notes to unaudited financial statements.

 

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SUPERFUND GREEN, L.P. – SERIES B

UNAUDITED STATEMENTS OF OPERATIONS

 

    

Three Months Ended

June 30,

   

Six Months Ended

June 30,

 
     2015     2014     2015     2014  

Investment Income

        

Interest income

   $ 225      $ 379      $ 497      $ 944   

Other income

     —          —          —          4   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total investment income

     225        379        497        948   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Selling commission

     97,786        127,349        211,016        268,188   

Brokerage commissions

     41,864        85,451        88,385        200,539   

Management fee

     45,226        58,899        97,595        124,037   

Ongoing offering expenses

     —          —          —          35,210   

Operating expenses

     3,667        4,776        7,914        10,058   

Other

     6,913        1,053        11,825        2,746   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     195,456        277,528        416,735        640,778   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment loss

   $ (195,231   $ (277,149   $ (416,238   $ (639,830
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investments

        

Net realized gain (loss) on futures and forward contracts

   $ (659,894   $ 437,906      $ 462,758      $ 816,470   

Net change in unrealized depreciation on futures and forward contracts

     (558,865     (165,493     (539,221     (389,186
  

 

 

   

 

 

   

 

 

   

 

 

 

Net gain (loss) on investments

   $ (1,218,759   $ 272,413      $ (76,463   $ 427,284   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net decrease in net assets from operations

   $ (1,413,990   $ (4,736   $ (492,701   $ (212,546
  

 

 

   

 

 

   

 

 

   

 

 

 

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

   $ (221.71   $ (0.49   $ (72.84   $ (21.30
  

 

 

   

 

 

   

 

 

   

 

 

 

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

   $ (214.39   $ (0.28   $ (87.50   $ (18.95
  

 

 

   

 

 

   

 

 

   

 

 

 

 

* Weighted average number of Units outstanding for Series B for the Three Months Ended June 30, 2015 and June 30, 2014: 6,377.60 and 9,657.22, respectively; and for the Six Months Ended June 30, 2015 and June 30, 2014: 6,764.54 and 9,977.56, respectively.

See accompanying notes to unaudited financial statements.

 

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SUPERFUND GREEN, L.P. – SERIES B

UNAUDITED STATEMENTS OF CHANGES IN NET ASSETS

 

    

Six Months Ended

June 30,

 
     2015     2014  

Increase (decrease) in net assets from operations

    

Net investment loss

   $ (416,238   $ (639,830

Net realized gain on futures and forward contracts

     462,758        816,470   

Net change in unrealized depreciation on futures and forward contracts

     (539,221     (389,186
  

 

 

   

 

 

 

Net decrease in net assets from operations

     (492,701     (212,546

Capital share transactions

    

Issuance of Units

     179,149        217,695   

Redemption of Units

     (1,424,641     (3,159,379
  

 

 

   

 

 

 

Net decrease in net assets from capital share transactions

     (1,245,492     (2,941,684
  

 

 

   

 

 

 

Net decrease in net assets

     (1,738,193     (3,154,230

Net assets, beginning of period

     10,701,075        14,783,955   
  

 

 

   

 

 

 

Net assets, end of period

   $ 8,962,882      $ 11,629,725   
  

 

 

   

 

 

 

Units, beginning of period

     7,316.097        11,363.782   

Issuance of Units

     116.464        169.100   

Redemption of Units

     (914.946     (2,461.473
  

 

 

   

 

 

 

Units, end of period

     6,517.615        9,071.409   
  

 

 

   

 

 

 

See accompanying notes to unaudited financial statements.

 

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Table of Contents

SUPERFUND GREEN, L.P. – SERIES B

UNAUDITED STATEMENTS OF CASH FLOWS

 

    

Six Months Ended

June,

 
     2015     2014  

Cash flows from operating activities

    

Net decrease in net assets from operations

   $ (492,701   $ (212,546

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

    

Changes in operating assets and liabilities:

    

Increase in due from brokers

     983,846        5,658,049   

Increase in futures contracts purchased

     305,318        325,403   

Decrease in unrealized depreciation on open forward contracts

     —          (32

Increase in futures contracts sold

     233,904        63,815   

Decrease in management fees payable

     (3,285     (4,811

Decrease in fees payable

     (3,660     (18,003
  

 

 

   

 

 

 

Net cash provided by operating activities

     1,023,422        5,811,875   
  

 

 

   

 

 

 

Cash flows from financing activities

    

Subscriptions, net of change in advanced subscriptions

     179,149        217,695   

Redemptions, net of change in redemptions payable

     (1,806,328     (3,097,472
  

 

 

   

 

 

 

Net cash used in financing activities

     (1,627,179     (2,879,777
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (603,757     2,932,098   

Cash, beginning of period

     5,485,257        5,397,579   
  

 

 

   

 

 

 

Cash, end of period

   $ 4,881,500      $ 8,329,677   
  

 

 

   

 

 

 

See accompanying notes to unaudited financial statements.

 

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

NOTES TO UNAUDITED FINANCIAL STATEMENTS

June 30, 2015

 

1. Nature of operations

Organization and Business

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

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

 

2. Basis of presentation and significant accounting policies

Basis of Presentation

The unaudited financial statements have been prepared in accordance with the rules and regulations of the Securities and Exchange Commission (“SEC”) and accounting principles generally accepted in the U.S. (“U.S. GAAP”) with respect to the Form 10-Q and reflect all adjustments which in the opinion of management are normal and recurring, and which are necessary for a fair statement of the results of interim periods presented. It is suggested that these financial statements be read in conjunction with the financial statements and the related notes included in the Fund’s Annual Report on Form 10-K for the year ended December 31, 2014.

Valuation of Investments in Futures Contracts and Forward Contracts

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

Exchange-traded futures contracts are valued at settlement prices published by the recognized exchange. Any spot and forward foreign currency contracts held by the Fund will be valued at published settlement prices or at dealers’ quotes.

Translation of Foreign Currency

Assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the period-end exchange rates. Purchases and sales of investments and income and expenses that are denominated in foreign currencies are translated into U.S. dollar amounts on the transaction date. Adjustments arising from foreign currency transactions are reflected in the statements of operations.

The Fund does not isolate that portion of the results of operations arising from the effect of changes in foreign exchange rates on investments from fluctuations from changes in market prices of investments held. Such fluctuations are included in net realized and unrealized gain (loss) on investments in the statements of operations.

 

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Table of Contents

Investment Transactions, Investment Income and Expenses

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

Gains or losses are realized when contracts are liquidated. Unrealized gains and losses on open contracts (the difference between contract trade price and market price) are reported in the statements of operations as a net gain or loss, as there exists a right of offset of unrealized gains or losses in accordance with Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 210-20, Offsetting – Balance Sheet.

Set forth herein are instruments and transactions eligible for offset in the statements of assets and liabilities and which are subject to derivative clearing agreements with the Fund’s futures commission merchants. Each futures commission merchant nets margin held on behalf of each Series of the Fund or payment obligations of the futures commission merchant to each Series against any payment obligations of that Series to the futures commission merchant. Each Series is required to deposit margin at each futures commission merchant to meet the original and maintenance requirements established by that futures commission merchant, and/or the exchange or clearinghouse associated with the exchange on which the instrument is traded. The derivative clearing agreements give each futures commission merchant a security interest in this margin to secure any liabilities owed to the futures commission merchant arising from a default by the Series. As of June 30, 2015, the Fund had on deposit $2,853,958 at ADM Investor Services, Inc., $313,036 at Barclays Capital Inc. and $3,320,379 at Merrill Lynch, Pierce, Fenner & Smith. As of June 30, 2015, Series A had on deposit $916,908 at ADM Investor Services, Inc., $129,581 at Barclays Capital Inc. and $1,235,640 at Merrill Lynch, Pierce, Fenner & Smith. As of June 30, 2015, Series B had on deposit $1,937,050 at ADM Investor Services, Inc., $183,455 at Barclays Capital Inc. and $2,084,739 at Merrill Lynch, Pierce, Fenner & Smith.

Income Taxes

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

Superfund Capital Management has evaluated the application of ASC Topic 740, Income Taxes (“ASC 740”), to the Fund, to determine whether or not there are uncertain tax positions that require financial statement recognition. Based on this evaluation, Superfund Capital Management has determined no reserves for uncertain tax positions are required to be recorded as a result of the application of ASC 740. Superfund Capital Management is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. As a result, no income tax liability or expense has been recorded in the accompanying financial statements. The Fund files federal and various state tax returns. The 2011 through 2014 tax years generally remain subject to examination by the U.S. federal and most state tax authorities.

Use of Estimates

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

Recently Issued Accounting Pronouncements

ASU 2011-11

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

 

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Table of Contents

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

 

3. Fair Value Measurements

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

 

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

A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input that is significant to the fair value measurement.

Derivative Contracts. Derivative contracts can be exchange-traded or over-the-counter (“OTC”). Exchange-traded derivatives typically fall within Level 1 or Level 2 of the fair value hierarchy depending on whether they are deemed to be actively traded or not. The Fund has exposure to exchange-traded derivative contracts through the Fund’s trading of exchange-traded futures contracts. The Fund’s exchange-traded futures contract positions are valued daily at settlement prices published by the applicable exchanges. In such cases, provided they are deemed to be actively traded, exchange-traded derivatives are classified within Level 1 of the fair value hierarchy. Less actively traded exchange-traded derivatives fall within Level 2 of the fair value hierarchy.

OTC derivatives are valued using market transactions and other market evidence whenever possible, including market-based inputs to models, model calibration to market-clearing transactions, broker or dealer quotations, or alternative pricing sources with reasonable levels of price transparency. Where models are used, the selection of a particular model to value an OTC derivative depends upon the contractual terms of, and specific risks inherent in, the instrument as well as the availability of pricing information in the market. For OTC derivatives that trade in liquid markets, such as generic forwards and swaps, model inputs can generally be verified and model selection does not involve significant management judgment. The OTC derivatives held by the Fund may include forwards and swaps. Spot and forward foreign currency contracts held by the Fund are valued at published daily settlement prices or at dealers’ quotes. There were no forward or spot foreign currency contracts held by the Fund at June 30, 2015 or December 31, 2014 or during the periods then ended.

Certain OTC derivatives trade in less liquid markets with limited pricing information, and the determination of fair value for these derivatives is inherently more difficult. Such instruments are classified within Level 3 of the fair value hierarchy. Where the Fund does not have corroborating market evidence to support significant model inputs and cannot verify the model to market transactions, transaction price is initially used as the best estimate of fair value. Accordingly, when a pricing model is used to value such an instrument, the model is adjusted so that the model value at inception equals the transaction price. The valuations of these less liquid OTC derivatives are typically based on Level 1 and/or Level 2 inputs that can be observed in the market, as well as unobservable Level 3 inputs. Subsequent to initial recognition, the Fund updates the Level 1 and Level 2 inputs to reflect observable market changes, with resulting gains and losses reflected within Level 3. Level 3 inputs are changed only when corroborated by evidence such as similar market transactions, third-party pricing services and/or broker or dealer quotations, or other empirical market data. In circumstances in which the Fund cannot verify the model value to market transactions, it is possible that a different valuation model could produce a materially different estimate of fair value. The Fund attempts to avoid holding less liquid OTC derivatives. However, once held, the market for any particular derivative contract could become less liquid during the holding period. There were no Level 3 holdings at June 30, 2015 or December 31, 2014 or during the periods then ended.

 

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The following table summarizes the valuation of the Fund’s assets and liabilities by the ASC 820 fair value hierarchy as of June 30, 2015 and December 31, 2014:

Superfund Green, L.P.

 

     Balance
June 30, 2015
     Level 1      Level 2      Level 3  

ASSETS

           

Futures contracts sold

   $ 498,377       $ 498,377       $ —         $ —     

Futures contracts purchased

     515,703         515,703         —           —     
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Assets Measured at Fair Value

   $ 1,014,080       $ 1,014,080       $ —         $ —     
  

 

 

    

 

 

    

 

 

    

 

 

 

LIABILITIES

           

Futures contracts sold

   $ 399,170       $ 399,170       $ —         $ —     

Futures contracts purchased

     727,636         727,636         —           —     
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Liabilities Measured at Fair Value

   $ 1,126,806       $ 1,126,806       $ —         $ —     
  

 

 

    

 

 

    

 

 

    

 

 

 
     Balance
December 31, 2014
     Level 1      Level 2      Level 3  

ASSETS

           

Futures contracts sold

   $ 627,584       $ 627,584       $ —         $ —     

Futures contracts purchased

     927,412         927,412         —           —     
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Assets Measured at Fair Value

   $ 1,554,996       $ 1,554,996       $ —         $ —     
  

 

 

    

 

 

    

 

 

    

 

 

 

LIABILITIES

           

Futures contracts sold

   $ 154,403       $ 154,403       $ —         $ —     

Futures contracts purchased

     681,201         681,201         —           —     
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Liabilities Measured at Fair Value

   $ 835,604       $ 835,604       $ —         $ —     
  

 

 

    

 

 

    

 

 

    

 

 

 

Superfund Green, L.P. – Series A

 

     Balance
June 30, 2015
     Level 1      Level 2      Level 3  

ASSETS

           

Futures contracts sold

   $ 186,361       $ 186,361       $ —         $ —     

Futures contracts purchased

     198,632         198,632         —           —     
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Assets Measured at Fair Value

   $ 384,993       $ 384,993       $ —         $ —     
  

 

 

    

 

 

    

 

 

    

 

 

 

LIABILITIES

           

Futures contracts sold

   $ 147,856       $ 147,856       $ —         $ —     

Futures contracts purchased

     261,437         261,437         —           —     
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Liabilities Measured at Fair Value

   $ 409,293       $ 409,293       $ —         $ —     
  

 

 

    

 

 

    

 

 

    

 

 

 

 

24


Table of Contents
     Balance
December 31, 2014
     Level 1      Level 2      Level 3  

ASSETS

           

Futures contracts sold

   $ 237,325       $ 237,325       $ —         $ —     

Futures contracts purchased

     341,117         341,117         —           —     
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Assets Measured at Fair Value

   $ 578,442       $ 578,442       $ —         $ —     
  

 

 

    

 

 

    

 

 

    

 

 

 

LIABILITIES

           

Futures contracts sold

   $ 58,750       $ 58,750       $ —         $ —     

Futures contracts purchased

     251,096         251,096         —           —     
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Liabilities Measured at Fair Value

   $ 309,846       $ 309,846       $ —         $ —     
  

 

 

    

 

 

    

 

 

    

 

 

 

Superfund Green, L.P. – Series B

 

     Balance
June 30, 2015
     Level 1      Level 2      Level 3  

ASSETS

           

Futures contracts sold

   $ 312,016       $ 312,016       $ —         $ —     

Futures contracts purchased

     317,071         317,071         —           —     
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Assets Measured at Fair Value

   $ 629,087       $ 629,087       $ —         $ —     
  

 

 

    

 

 

    

 

 

    

 

 

 

LIABILITIES

           

Futures contracts sold

   $ 251,314       $ 251,314       $ —         $ —     

Futures contracts purchased

     466,199         466,199         —           —     
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Liabilities Measured at Fair Value

   $ 717,513       $ 717,513       $ —         $ —     
  

 

 

    

 

 

    

 

 

    

 

 

 

 

     Balance
December 31, 2014
     Level 1      Level 2      Level 3  

ASSETS

           

Futures contracts sold

   $ 390,259       $ 390,259       $ —         $ —     

Futures contracts purchased

     586,295         586,295         —           —     
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Assets Measured at Fair Value

   $ 976,554       $ 976,554       $ —         $ —     
  

 

 

    

 

 

    

 

 

    

 

 

 

LIABILITIES

           

Futures contracts sold

   $ 95,653       $ 95,653       $ —         $ —     

Futures contracts purchased

     430,105         430,105         —           —     
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Liabilities Measured at Fair Value

   $ 525,758       $ 525,758       $ —         $ —     
  

 

 

    

 

 

    

 

 

    

 

 

 

 

4. Disclosure of derivative instruments and hedging activities

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

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

The Fund engages in the speculative trading of futures contracts in a wide range of commodities, including equity markets, interest rates, food and fiber, energy, livestock, and metals. ASC 815 requires entities to recognize all derivatives instruments as either

 

25


Table of Contents

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

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

Superfund Green, L.P.

The fair value of the Fund’s derivatives by instrument type, as well as the location of those instruments on the statement of assets and liabilities, as of June 30, 2015, is as follows:

 

Type of Instrument

   Statement of Assets and
Liabilities Location
   Asset Derivatives at
June 30, 2015
     Liability Derivatives at
June 30, 2015
     Net  

Futures contracts

   Futures contracts purchased    $ 515,703       $ (727,636    $ (211,933

Futures contracts

   Futures contracts sold      498,377         (399,170      99,207   
     

 

 

    

 

 

    

 

 

 

Totals

      $ 1,014,080       $ (1,126,806    $ (112,726
     

 

 

    

 

 

    

 

 

 

The fair value of the Fund’s derivatives by instrument type, as well as the location of those instruments on the statement of assets and liabilities, as of December 31, 2014, is as follows:

 

Type of Instrument

   Statement of Assets and
Liabilities Location
   Asset Derivatives at
December 31, 2014
     Liability Derivatives at
December 31, 2014
     Net  

Futures contracts

   Futures contracts purchased    $ 927,412       $ (681,201    $ 246,211   

Futures contracts

   Futures contracts sold      627,584         (154,403      473,181   
     

 

 

    

 

 

    

 

 

 

Totals

      $ 1,554,996       $ (835,604    $ 719,392   
     

 

 

    

 

 

    

 

 

 

The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of June 30, 2015 is as follows:

 

            Gross Amounts Not Offset in the Statement of
Assets and Liabilities
        

Counterparty

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

ADMIS

   $ (41,623    $ —         $ —         $ (41,623

Barclays Capital

     (6,826      —           —           (6,826

Merrill Lynch

     (64,277      —           —           (64,277
  

 

 

    

 

 

    

 

 

    

 

 

 

Totals

   $ (112,726    $ —         $ —         $ (112,726
  

 

 

    

 

 

    

 

 

    

 

 

 

The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of December 31, 2014 is as follows:

 

            Gross Amounts Not Offset in the Statement of
Assets and Liabilities
        

Counterparty

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

ADMIS

   $ 74,729       $ —         $ —         $ 74,729   

Barclays Capital

     594,459         —           —           594,459   

Merrill Lynch

     50,204         —           —           50,204   
  

 

 

    

 

 

    

 

 

    

 

 

 

Totals

   $ 719,392       $ —         $ —         $ 719,392   
  

 

 

    

 

 

    

 

 

    

 

 

 

 

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Table of Contents

Effects of derivative instruments on the statement of operations for the three months ended June 30, 2015:

 

Derivatives not Designated as Hedging
Instruments under ASC 815

   Location of Loss
on Derivatives
Recognized in Income
   Net Realized Loss
on Derivatives
Recognized in Income
     Net Change in
Unrealized Depreciation
on Derivatives
Recognized in Income
 

Foreign exchange contracts

   Net realized/unrealized
loss on futures and
forward contracts
   $ (3,310    $ —     

Futures contracts

   Net realized/unrealized
loss on futures and
forward contracts
     (1,062,225      (858,392
     

 

 

    

 

 

 

Total

      $ (1,065,535    $ (858,392
     

 

 

    

 

 

 

Effects of derivative instruments on the statement of operations for the six months ended June 30, 2015:

 

Derivatives not Designated as Hedging
Instruments under ASC 815

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

Foreign exchange contracts

   Net realized/unrealized
gain on futures and
forward contracts
  $ 44,773       $ —     

Futures contracts

   Net realized/unrealized
gain (loss) on futures
and forward contracts
    599,339         (832,116
    

 

 

    

 

 

 

Total

     $ 644,112       $ (832,116
    

 

 

    

 

 

 

Effects of derivative instruments on the statement of operations for the three months ended June 30, 2014:

 

Derivatives not Designated as Hedging
Instruments under ASC 815

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

Foreign exchange contracts

   Net realized/unrealized
gain (loss) on futures and
forward contracts
   $ (3,254    $ 492   

Futures contracts

   Net realized/unrealized
gain (loss) on futures and
forward contracts
     719,019         (264,396
     

 

 

    

 

 

 

Total

      $ 715,765       $ (263,904
     

 

 

    

 

 

 
        

 

27


Table of Contents

Effects of derivative instruments on the statement of operations for the six months ended June 30, 2014:

 

Derivatives not Designated as Hedging
Instruments under ASC 815

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

Foreign exchange contracts

   Net realized/unrealized
gain (loss) on futures and
forward contracts
   $ (178,877    $ 44   

Futures contracts

   Net realized/unrealized
gain (loss) on futures and
forward contracts
     1,429,021         (584,864
     

 

 

    

 

 

 

Total

      $ 1,250,144       $ (584,820
     

 

 

    

 

 

 

Superfund Green, L.P. gross and net unrealized gains and losses by long and short positions as of June 30, 2015 and December 31, 2014:

 

     As June 30, 2015  
     Long Positions Gross Unrealized     Short Positions Gross Unrealized        
     Gains      % of
Net
Assets
     Losses     % of
Net
Assets
    Gains      % of
Net
Assets
    Losses     % of
Net
Assets
    Net Unrealized
Gain (Loss) on
Open Positions
 

Currency

   $ 15,650         0.1       $ —          —        $ 49,165         0.3      $ (17,207     (0.1   $ 47,608   

Financial

     40,680         0.2         (5,356     (0.0 )*      1,410         0.0     (6,918     (0.0 )*      29,816   

Food & Fiber

     332,694         1.9         (1,449     (0.0 )*      3,000         0.0     (259,926     (1.5     74,319   

Indices

     100,336         0.6         (177,248     (1.0     62,611         0.4        (86,226     (0.5     (100,527

Metals

     —           —           (415,323     (2.4     367,299         2.1        (2,835     (0.0 )*      (50,859

Energy

     26,343         0.2         (43,720     (0.2     14,892         0.1        (26,058     (0.1     (28,543

Livestock

     —           —           (84,540     (0.5     —           —          —          —          (84,540
  

 

 

    

 

 

    

 

 

   

 

 

   

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Totals

   $ 515,703         3.0       $ (727,636     (4.1   $ 498,377         2.9      $ (399,170     (2.2   $ (112,726
  

 

 

    

 

 

    

 

 

   

 

 

   

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

 

* Due to rounding – amount is less than 0.05%

 

     As of December 31, 2014  
     Long Positions Gross Unrealized     Short Positions Gross Unrealized        
     Gains      % of
Net
Assets
    Losses     % of
Net
Assets
    Gains      % of
Net
Assets
    Losses     % of
Net
Assets
    Net Unrealized
Gain (Loss) on
Open Positions
 

Currency

   $ 2,110         0.0   $ —          —        $ 79,895         0.4      $ (256     (0.0 )*    $ 81,749   

Financial

     516,998         2.4        (25,961     (0.1     —           —          (12,202     (0.1     478,835   

Food & Fiber

     36,790         0.2        (89,576     (0.4     107,005         0.5        (32,364     (0.1     21,855   

Indices

     312,438         1.4        (18,098     (0.1     3,206         0.0     (104,507     (0.5     193,039   

Metals

     55,851         0.3        (174,000     (0.8     219,636         1.0        (5,075     (0.0 )*      96,412   

Livestock

     3,090         0.0     (213,200     (1.0     —           —          —          —          (210,110

Energy

     134         0.0     (160,365     (0.7     217,843         1.0        —          —          57,612   
  

 

 

    

 

 

   

 

 

   

 

 

   

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Totals

   $ 927,411         4.3      $ (681,200     (3.2   $ 627,585         2.9      $ (154,404     (0.7   $ 719,392   
  

 

 

    

 

 

   

 

 

   

 

 

   

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

 

* Due to rounding – amount is less than 0.05%

Superfund Green, L.P. average* monthly contract volume by market sector as of quarter ended June 30, 2015:

 

     Average Number of
Long Contracts
     Average Number of
Short Contracts
 

Currency

     30         166   

Financial

     606         137   

Food & Fiber

     364         437   

Indices

     819         616   

Metals

     277         240   

Energy

     186         163   

Livestock

     98         13   
  

 

 

    

 

 

 

Total

     2,380         1,808   
  

 

 

    

 

 

 

 

* Based on quarterly holdings

 

28


Table of Contents

Superfund Green, L.P. average* monthly contract volume by market sector as of quarter ended June 30, 2014:

 

     Average Number of
Long Contracts
     Average Number of
Short Contracts
     Average Value of
Long Positions
     Average Value of
Short Positions
 

Foreign Exchange

     32         32       $ —         $ —     

 

     Average Number of
Long Contracts
     Average Number of
Short Contracts
 

Currency

     837         181   

Financial

     2,790         453   

Food & Fiber

     131         168   

Indices

     2,170         90   

Metals

     680         428   

Energy

     575         72   

Livestock

     92         —     
  

 

 

    

 

 

 

Total

     7,307         1,424   
  

 

 

    

 

 

 

 

* Based on quarterly holdings

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

 

     For the Three Months Ended June 30, 2015  
     Net Realized
Gains (Losses)
     Change in Net
Unrealized
Gains (Losses)
     Net Trading
Gains (Losses)
 

Foreign Exchange

   $ (3,310    $ —         $ (3,310

Currency

     (211,059      153,541         (57,518

Financial

     (1,363,896      (358,568      (1,722,464

Food & Fiber

     (82,158      (21,320      (103,478

Indices

     683,693         (427,934      255,759   

Metals

     (184,357      7,067         (177,290

Livestock

     47,710         (165,120      (117,410

Energy

     47,842         (46,060      1,782   
  

 

 

    

 

 

    

 

 

 

Total net trading losses

   $ (1,065,535    $ (858,394    $ (1,923,929
  

 

 

    

 

 

    

 

 

 

 

     For the Six Months Ended June 30, 2015  
     Net Realized
Gains (Losses)
     Change in Net
Unrealized
Gains (Losses)
     Net Trading
Gains (Losses)
 

Foreign Exchange

   $ 44,773       $ —         $ 44,773   

Currency

     350,207         (34,141      316,066   

Financial

     (420,410      (449,019      (869,429

Food & Fiber

     (95,628      52,464         (43,164

Indices

     1,082,803         (293,567      789,236   

Metals

     275,082         (147,271      127,811   

Livestock

     (612,010      125,570         (486,440

Energy

     19,295         (86,155      (66,860
  

 

 

    

 

 

    

 

 

 

Total net trading gains (losses)

   $ 644,112       $ (832,119    $ (188,007
  

 

 

    

 

 

    

 

 

 

 

29


Table of Contents
     For the Three Months Ended June 30, 2014  
     Net Realized
Gains (Losses)
     Change in Net
Unrealized
Gains (Losses)
     Net Trading
Gains (Losses)
 

Foreign Exchange

   $ (3,254    $ 492       $ (2,762

Currency

     (433,226      59,927         (373,299

Financial

     157,311         47,680         204,991   

Food & Fiber

     251,734         (145,866      105,868   

Indices

     645,368         (5,195      640,173   

Metals

     (129,905      (228,286      (358,191

Livestock

     45,900         53,170         99,070   

Energy

     181,837         (45,826      136,011   
  

 

 

    

 

 

    

 

 

 

Total net trading gains (losses)

   $ 715,765       $ (263,904    $ 451,861   
  

 

 

    

 

 

    

 

 

 

 

     For the Six Months Ended June 30, 2014  
     Net Realized
Gains (Losses)
     Change in Net
Unrealized
Gains (Losses)
     Net Trading
Gains (Losses)
 

Foreign Exchange

   $ (178,877    $ 44       $ (178,833

Currency

     (425,089      (95,126      (520,215

Financial

     1,185,829         (84,646      1,101,183   

Food & Fiber

     565,586         8,666         574,252   

Indices

     594,159         (576,029      18,130   

Metals

     (500,387      (30,387      (530,774

Livestock

     490,330         85,520         575,850   

Energy

     (481,407      107,138         (374,269
  

 

 

    

 

 

    

 

 

 

Total net trading gains (losses)

   $ 1,250,144       $ (584,820    $ 665,324   
  

 

 

    

 

 

    

 

 

 

Superfund Green, L.P. – Series A

The fair value of the Fund’s derivatives by instrument type, as well as the location of those instruments on the statement of assets and liabilities, as of June 30, 2015, is as follows:

 

Type of Instrument

   Statement of Assets and
Liabilities Location
   Asset Derivatives at
June 30, 2015
     Liability Derivatives at
June 30, 2015
     Net  

Futures contracts

   Futures contracts purchased    $ 198,632       $ (261,437    $ (62,805

Futures contracts

   Futures contracts sold      186,361         (147,856      38,505   
     

 

 

    

 

 

    

 

 

 

Totals

      $ 384,993       $ (409,293    $ (24,300
     

 

 

    

 

 

    

 

 

 

The fair value of the Fund’s derivatives by instrument type, as well as the location of those instruments on the statement of assets and liabilities, as of December 31, 2013, is as follows:

 

Type of Instrument

   Statement of Assets and
Liabilities Location
   Asset Derivatives at
December 31, 2014
     Liability Derivatives at
December 31, 2014
     Net  

Futures contracts

   Futures contracts purchased    $ 341,117       $ (251,096    $ 90,021   

Futures contracts

   Futures contracts sold      237,325         (58,750      178,575   
     

 

 

    

 

 

    

 

 

 

Totals

      $ 578,442       $ (309,846    $ 268,596   
     

 

 

    

 

 

    

 

 

 

 

30


Table of Contents

The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of June 30, 2015 is as follows:

 

           

Gross Amounts Not Offset in the Statement of

Assets and Liabilities

        

Counterparty

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

ADMIS

   $ (11,898    $ —         $ —         $ (11,898

Barclays Capital

     (2,227      —           —           (2,227

Merrill Lynch

     (10,175      —           —           (10,175
  

 

 

    

 

 

    

 

 

    

 

 

 

Totals

   $ (24,300    $ —         $ —         $ (24,300
  

 

 

    

 

 

    

 

 

    

 

 

 

The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of December 31, 2014 is as follows:

 

           

Gross Amounts Not Offset in the Statement of

Assets and Liabilities

        

Counterparty

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

ADMIS

   $ 29,364       $ —         $ —         $ 29,364   

Barclays Capital

     221,708         —           —           221,708   

Merrill Lynch

     17,524         —           —           17,524   
  

 

 

    

 

 

    

 

 

    

 

 

 

Totals

   $ 268,596       $ —         $ —         $ 268,596   
  

 

 

    

 

 

    

 

 

    

 

 

 

Effects of derivative instruments on the statement of operations for the three months ended June 30, 2015:

 

Derivatives not Designated as Hedging
Instruments under ASC 815

  

Location of Loss

on Derivatives

Recognized in Income

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

Foreign exchange contracts

   Net realized/unrealized loss on futures and forward contracts    $ (1,620    $ —     

Futures contracts

   Net realized/unrealized loss on futures and forward contracts      (404,021      (299,527
     

 

 

    

 

 

 

Total

      $ (405,641    $ (299,527
     

 

 

    

 

 

 

Effects of derivative instruments on the statement of operations for the six months ended June 30, 2015:

 

Derivatives not Designated as Hedging
Instruments under ASC 815

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

Foreign exchange contracts

   Net realized/unrealized
gain on futures and
forward contracts
   $ 15,811       $ —     

Futures contracts

   Net realized/unrealized
gain (loss) on futures and
forward contracts
     165,543         (292,895
     

 

 

    

 

 

 

Total

      $ 181,354       $ (292,895
     

 

 

    

 

 

 

 

31


Table of Contents

Effects of derivative instruments on the statement of operations for the three months ended June 30, 2014:

 

Derivatives not Designated as Hedging
Instruments under ASC 815

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

Foreign exchange contracts

   Net realized/unrealized
gain (loss) on futures and
forward contracts
   $ (1,009    $ 174   

Futures contracts

   Net realized/unrealized
gain (loss) on futures and
forward contracts
     278,868         (98,585
     

 

 

    

 

 

 

Total

      $ 277,859       $ (98,411
     

 

 

    

 

 

 

Effects of derivative instruments on the statement of operations for the six months ended June 30, 2014:

 

Derivatives not Designated as Hedging
Instruments under ASC 815

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

Foreign exchange contracts

   Net realized/unrealized
gain (loss) on futures and
forward contracts
   $ (68,091    $ 12   

Futures contracts

   Net realized/unrealized
gain (loss) on futures and
forward contracts
     501,765         (195,646
     

 

 

    

 

 

 

Total

      $ 433,674       $ (195,634
     

 

 

    

 

 

 

Superfund Green, L.P. – Series A gross and net unrealized gains and losses by long and short positions as of June 30, 2015 and December 31, 2014:

 

     As of June 30, 2015  
     Long Positions Gross Unrealized     Short Positions Gross Unrealized        
     Gains      % of
Net
Assets
     Losses     % of
Net
Assets
    Gains      % of
Net
Assets
    Losses     % of
Net
Assets
    Net Unrealized
Gain (Loss) on
Open Positions
 

Currency

   $ 5,681         0.1       $ —          —        $ 17,080         0.2      $ (5,502     (0.1   $ 17,259   

Financial

     17,820         0.2         (1,457     (0.0 )*      799         0.0     (1,927     (0.0 )*      15,235   

Food & Fiber

     126,277         1.5         (580     (0.0 )*      1,500         0.0     (96,943     (1.1     30,254   

Indices

     39,888         0.5         (58,077     (0.7     24,227         0.3        (33,358     (0.4     (27,320

Metals

     —           —           (153,223     (1.8     138,105         1.6        (1,050     (0.0 )*      (16,168

Energy

     8,966         0.1         (15,730     (0.2     4,650         0.1        (9,076     (0.1     (11,190

Livestock

     —           —           (32,370     (0.4     —           —          —          —          (32,370
  

 

 

    

 

 

    

 

 

   

 

 

   

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Totals

   $ 198,632         2.4       $ (261,437     (3.1   $ 186,361         2.2      $ (147,856     (1.7   $ (24,300
  

 

 

    

 

 

    

 

 

   

 

 

   

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

 

* Due to rounding – amount is less than 0.05%

 

     As of December 31, 2014  
     Long Positions Gross Unrealized     Short Positions Gross Unrealized        
     Gains      % of
Net
Assets
    Losses     % of
Net
Assets
    Gains      % of
Net
Assets
    Losses     % of
Net
Assets
    Net Unrealized
Gain (Loss) on
Open Positions
 

Currency

   $ —           —        $ —          —        $ 29,064         0.3      $ (256     (0.0 )*    $ 28,808   

Financial

     194,235         1.9        (9,820     (0.1     —           —          (4,331     (0.0 )*      180,084   

Food & Fiber

     15,355         0.1        (28,710     (0.3     41,104         0.4        (13,563     (0.1     14,186   

Indices

     108,901         1.0        (6,751     (0.1     735         0.0     (38,485     (0.4     64,400   

Metals

     20,662         0.2        (67,465     (0.6     85,212         0.8        (2,115     (0.0 )*      36,294   

Livestock

     1,830         0.0     (80,300     (0.8     —           —          —          —          (78,470

Energy

     134         0.0     (58,050     (0.6     81,210         0.8        —          —          23,294   
  

 

 

    

 

 

   

 

 

   

 

 

   

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Totals

   $ 341,117         3.2      $ (251,096     (2.5   $ 237,325         2.3      $ (58,750     (0.5   $ 268,596   
  

 

 

    

 

 

   

 

 

   

 

 

   

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

 

* Due to rounding – amount is less than 0.05%

 

32


Table of Contents

Series A average* monthly contract volume by market sector as of quarter ended June 30, 2015:

 

     Average Number of
Long Contracts
     Average Number of
Short Contracts
 

Currency

     11         61   

Financial

     232         52   

Food & Fiber

     141         179   

Indices

     300         230   

Metals

     100         91   

Energy

     66         58   

Livestock

     35         5   
  

 

 

    

 

 

 

Total

     885         676   
  

 

 

    

 

 

 

 

* Based on quarterly holdings

Series A average* monthly contract volume by market sector as of quarter ended June 30, 2014:

 

     Average Number of
Long Contracts
     Average Number of
Short Contracts
     Average Value of
Long Positions
     Average Value of
Short Positions
 

Foreign Exchange

     15         16       $ —         $ —     

 

     Average Number of
Long Contracts
     Average Number of
Short Contracts
 

Currency

     329         165   

Financial

     1,093         185   

Food & Fiber

     47         65   

Indices

     843         33   

Metals

     257         161   

Energy

     214         29   

Livestock

     33         —     
  

 

 

    

 

 

 

Total

     2,831         654   
  

 

 

    

 

 

 

 

* Based on quarterly holdings

Series A trading results by market sector:

 

     For the Three Months Ended June 30, 2015  
     Net Realized
Gains (Losses)
     Change in Net
Unrealized
Gains (Losses)
     Net Trading
Gains (Losses)
 

Foreign Exchange

   $ (1,620    $ —         $ (1,620

Currency

     (75,710      57,816         (17,894

Financial

     (513,586      (123,449      (637,035

Food & Fiber

     (28,145      (6,294      (34,439

Indices

     242,961         (150,167      92,794   

Metals

     (68,398      2,312         (66,086

Livestock

     20,010         (62,871      (42,861

Energy

     18,847         (16,875      1,972   
  

 

 

    

 

 

    

 

 

 

Total net trading losses

   $ (405,641    $ (299,528    $ (705,169
  

 

 

    

 

 

    

 

 

 

 

33


Table of Contents
     For the Six Months Ended June 30, 2015  
     Net Realized
Gains (Losses)
     Change in Net
Unrealized
Gains (Losses)
     Net Trading
Gains (Losses)
 

Foreign Exchange

   $ 15,811       $ —         $ 15,811   

Currency

     135,528         (11,549      123,979   

Financial

     (321,336      (164,849      (486,185

Food & Fiber

     (22,053      16,068         (5,985

Indices

     215,973         (91,721      124,252   

Metals

     378,206         (52,462      325,744   

Livestock

     (231,930      46,100         (185,830

Energy

     11,155         (34,484      (23,329
  

 

 

    

 

 

    

 

 

 

Total net trading gains (losses)

   $ 181,354       $ (292,897    $ (111,543
  

 

 

    

 

 

    

 

 

 

 

     For the Three Months Ended June 30, 2014  
     Net Realized
Gains (Losses)
     Change in Net
Unrealized
Gains (Losses)
     Net Trading
Gains (Losses)
 

Foreign Exchange

   $ (1,009    $ 174       $ (835

Currency

     (155,676      22,831         (132,845

Financial

     46,434         3,777         50,211   

Food & Fiber

     96,313         (54,078      42,235   

Indices

     265,886         (1,778      264,108   

Metals

     (25,574      (90,694      (116,268

Livestock

     10,010         24,500         34,510   

Energy

     41,475         (3,143      38,332   
  

 

 

    

 

 

    

 

 

 

Total net trading gains (losses)

   $ 277,859       $ (98,411    $ 179,448   
  

 

 

    

 

 

    

 

 

 

 

     For the Six Months Ended June 30, 2014  
     Net Realized
Gains (Losses)
     Change in Net
Unrealized
Gains (Losses)
     Net Trading
Gains (Losses)
 

Foreign Exchange

   $ (68,091    $ 12       $ (68,079

Currency

     (155,846      (33,313      (189,159

Financial

     426,098         (41,865      384,233   

Food & Fiber

     214,814         1,368         216,182   

Indices

     255,010         (210,347      44,663   

Metals

     (167,971      (23      (167,994

Livestock

     168,770         35,480         204,250   

Energy

     (239,110      53,054         (186,056
  

 

 

    

 

 

    

 

 

 

Total net trading gains (losses)

   $ 433,674       $ (195,634    $ 238,040   
  

 

 

    

 

 

    

 

 

 

Superfund Green, L.P. – Series B

The fair value of the Fund’s derivatives by instrument type, as well as the location of those instruments on the statement of assets and liabilities, as of June 30, 2015, is as follows:

 

Type of Instrument

   Statement of Assets and
Liabilities Location
   Asset Derivatives at
June 30, 2015
     Liability Derivatives at
June 30, 2015
     Net  

Futures contracts

   Futures contracts purchased    $ 317,071       $ (466,199    $ (149,128

Futures contracts

   Futures contracts sold      312,016         (251,314      60,702   
     

 

 

    

 

 

    

 

 

 

Totals

      $ 629,087       $ (717,513    $ (88,426
     

 

 

    

 

 

    

 

 

 

 

34


Table of Contents

The fair value of the Fund’s derivatives by instrument type, as well as the location of those instruments on the statements of assets and liabilities, as of December 31, 2014, is as follows:

 

Type of Instrument

   Statement of Assets and
Liabilities Location
   Asset Derivatives at
December 31, 2014
     Liability Derivatives at
December 31, 2014
     Net  

Futures contracts

   Futures contracts purchased    $ 586,295       $ (430,105    $ 156,190   

Futures contracts

   Futures contracts sold      390,259         (95,653      294,606   
     

 

 

    

 

 

    

 

 

 

Totals

      $ 976,554       $ (525,758    $ 450,796   
     

 

 

    

 

 

    

 

 

 

The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of June 30, 2015 is as follows:

 

            Gross Amounts Not Offset in the Statement of
Assets and Liabilities
        

Counterparty

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

ADMIS

   $ (29,725    $ —         $ —         $ (29,725

Barclays Capital

     (4,599      —           —           (4,599

Merrill Lynch

     (54,102      —           —           (54,102
  

 

 

    

 

 

    

 

 

    

 

 

 

Totals

   $ (88,426    $ —         $ —         $ (88,426
  

 

 

    

 

 

    

 

 

    

 

 

 

The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of December 31, 2014 is as follows:

 

            Gross Amounts Not Offset in the Statement of
Assets and Liabilities
        

Counterparty

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

ADMIS

   $ 45,365       $ —         $ —         $ 45,365   

Barclays Capital

     372,751         —           —           372,751   

Merrill Lynch

     32,680         —           —           32,680   
  

 

 

    

 

 

    

 

 

    

 

 

 

Totals

   $ 450,796       $ —         $ —         $ 450,796   
  

 

 

    

 

 

    

 

 

    

 

 

 

Effects of derivative instruments on the statement of operations for the three months ended June 30, 2015:

 

Derivatives not Designated as Hedging
Instruments under ASC 815

   Location of Loss
on Derivatives
Recognized in Income
   Net Realized Loss
on Derivatives
Recognized in Income
     Net Change in
Unrealized Depreciation
on Derivatives
Recognized in Income
 

Foreign exchange contracts

   Net realized/unrealized
loss on futures and
forward contracts
   $ (1,690    $ —     

Futures contracts

   Net realized/unrealized
loss on futures and
forward contracts
     (658,204      (558,865
     

 

 

    

 

 

 

Total

      $ (659,894    $ (558,865
     

 

 

    

 

 

 

 

35


Table of Contents

Effects of derivative instruments on the statement of operations for the six months ended June 30, 2015:

 

Derivatives not Designated as Hedging

Instruments under ASC 815

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

Foreign exchange contracts

   Net realized/unrealized
gain on futures and
forward contracts
   $ 28,962       $ —     

Futures contracts

   Net realized/unrealized
gain (loss) on futures
and forward contracts
     433,796         (539,221
     

 

 

    

 

 

 

Total

      $ 462,758       $ (539,221
     

 

 

    

 

 

 

Effects of derivative instruments on the statement of operations for the three months ended June 30, 2014:

 

Derivatives not Designated as Hedging
Instruments under ASC 815

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

Foreign exchange contracts

   Net realized/unrealized
gain (loss) on futures and
forward contracts
   $ (2,245    $ 318   

Futures contracts

   Net realized/unrealized
gain (loss) on futures and
forward contracts
     440,151         (165,811
     

 

 

    

 

 

 

Total

      $ 439,906       $ (165,493
     

 

 

    

 

 

 

Effects of derivative instruments on the statement of operations for the six months ended June 30, 2014:

 

Derivatives not Designated as Hedging
Instruments under ASC 815

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

Foreign exchange contracts

   Net realized/unrealized
gain (loss) on futures and
forward contracts
   $ (110,786    $ 32   

Futures contracts

   Net realized/unrealized
gain (loss) on futures and
forward contracts
     927,256         (389,218
     

 

 

    

 

 

 

Total

      $ 816,470       $ (389,186
     

 

 

    

 

 

 

 

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Table of Contents

Series B gross and net unrealized gains and losses by long and short positions as of June 30, 2015 and December 31, 2014:

 

     As of June 30, 2015  
     Long Positions Gross Unrealized     Short Positions Gross Unrealized        
     Gains      % of
Net
Assets
     Losses     % of
Net
Assets
    Gains      % of
Net
Assets
    Losses     % of
Net
Assets
    Net Unrealized
Gain (Loss) on
Open Positions
 

Currency

   $ 9,969         0.1       $ —          —        $ 32,085         0.4      $ (11,705     (0.1   $ 30,349   

Financial

     22,860         0.3         (3,899     (0.0 )*      611         0.0     (4,991     (0.1     14,581   

Food & Fiber

     206,417         2.3         (869     (0.0 )*      1,500         0.0     (162,983     (1.8     44,065   

Indices

     60,448         0.7         (119,171     (1.3     38,384         0.4        (52,868     (0.6     (73,207

Metals

     —           —           (262,100     (2.9     229,194         2.6        (1,785     (0.0 )*      (34,691

Energy

     17,377         0.2         (27,990     (0.3     10,242         0.1        (16,982     (0.2     (17,353

Livestock

     —           —           (52,170     (0.6     —           —          —          —          (52,170
  

 

 

    

 

 

    

 

 

   

 

 

   

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Totals

   $ 317,071         3.6       $ (466,199     (5.1   $ 312,016         3.5      $ (251,314     (2.8   $ (88,426
  

 

 

    

 

 

    

 

 

   

 

 

   

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

 

* Due to rounding – amount is less than 0.05%

 

     As of December 31, 2014  
     Long Positions Gross Unrealized     Short Positions Gross Unrealized        
     Gains      % of
Net
Assets
    Losses     % of
Net
Assets
    Gains      % of
Net
Assets
    Losses     % of
Net
Assets
    Net Unrealized
Gain (Loss) on
Open Positions
 

Currency

   $ 2,110         0.0   $ —          —        $ 50,831         0.5      $ —          —        $ 52,941   

Financial

     322,763         2.9        (16,141     (0.1     —           —          (7,871     (0.1     298,751   

Food & Fiber

     21,435         0.2        (60,866     (0.5     65,901         0.6        (18,801     (0.2     7,669   

Indices

     203,537         1.8        (11,347     (0.1     2,471         0.0     (66,022     (0.6     128,639   

Metals

     35,189         0.3        (106,535     (1.0     134,424         1.2        (2,960     (0.0 )*      60,118   

Livestock

     1,260         0.0     (132,900     (1.2     —           —          —          —          (131,640

Energy

     —           —          (102,315     (0.9     136,633         1.2        —          —          34,318   
  

 

 

    

 

 

   

 

 

   

 

 

   

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Totals

   $ 586,294         5.2      $ (430,104     (3.8   $ 390,260         3.5      $ (95,654     (0.9   $ 450,796   
  

 

 

    

 

 

   

 

 

   

 

 

   

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

 

* Due to rounding – amount is less than 0.05%

Series B average* monthly contract volume by market sector as of quarter ended June 30, 2015:

 

     Average Number
of Long Contracts
     Average Number
of Short Contracts
 

Currency

     19         105   

Financial

     374         85   

Food & Fiber

     223         294   

Indices

     519         386   

Metals

     177         149   

Energy

     120         105   

Livestock

     63         8   
  

 

 

    

 

 

 

Total

     1,495         1,132   
  

 

 

    

 

 

 

 

* Based on quarterly holdings

Series B average* monthly contract volume by market sector as of quarter ended June 30, 2014:

 

     Average Number
of Long Contracts
     Average Number
of Short Contracts
     Average Value
of Long Positions
     Average Value
of Short Positions
 

Foreign Exchange

     17         16       $ —         $ —     

 

     Average Number
of Long Contracts
     Average Number
of Short Contracts
 

Currency

     508         16   

Financial

     1,697         268   

Food & Fiber

     84         103   

Indices

     1,327         57   

Metals

     423         267   

Energy

     361         43   

Livestock

     59         —     
  

 

 

    

 

 

 

Total

     4,476         770   
  

 

 

    

 

 

 

 

* Based on quarterly holdings

 

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Table of Contents

Series B trading results by market sector:

 

     For the Three Months Ended June 30, 2015  
     Net Realized
Gains (Losses)
     Change in Net
Unrealized
Gains (Losses)
     Net Trading
Gains (Losses)
 

Foreign Exchange

   $ (1,690    $ —         $ (1,690

Currency

     (135,349      95,725         (39,624

Financial

     (850,310      (235,119      (1,085,429

Food & Fiber

     (54,013      (15,026      (69,039

Indices

     440,732         (277,767      162,965   

Metals

     (115,959      4,755         (111,204

Livestock

     27,700         (102,249      (74,549

Energy

     28,995         (29,185      (190
  

 

 

    

 

 

    

 

 

 

Total net trading losses

   $ (659,894    $ (558,866    $ (1,218,760
  

 

 

    

 

 

    

 

 

 

 

     For the Six Months Ended June 30, 2015  
     Net Realized
Gains (Losses)
     Change in Net
Unrealized
Gains (Losses)
     Net Trading
Gains (Losses)
 

Foreign Exchange

   $ 28,962       $ —         $ 28,962   

Currency

     214,679         (22,592      192,087   

Financial

     (99,074      (284,170      (383,244

Food & Fiber

     (73,575      36,396         (37,179

Indices

     866,830         (201,846      664,984   

Metals

     (103,124      (94,809      (197,933

Livestock

     (380,080      79,470         (300,610

Energy

     8,140         (51,671      (43,531
  

 

 

    

 

 

    

 

 

 

Total net trading gains (losses)

   $ 462,758       $ (539,222    $ (76,464
  

 

 

    

 

 

    

 

 

 

 

     For the Three Months Ended June 30, 2014  
     Net Realized
Gains (Losses)
     Change in Net
Unrealized
Gains (Losses)
     Net Trading
Gains (Losses)
 

Foreign Exchange

   $ (2,245    $ 318       $ (1,927

Currency

     (277,550      37,096         (240,454

Financial

     110,877         43,903         154,780   

Food & Fiber

     155,421         (91,788      63,633   

Indices

     379,482         (3,417      376,065   

Metals

     (104,331      (137,592      (241,923

Livestock

     35,890         28,670         64,560   

Energy

     140,362         (42,683      97,679   
  

 

 

    

 

 

    

 

 

 

Total net trading gains (losses)

   $ 437,906       $ (165,493    $ 272,413   
  

 

 

    

 

 

    

 

 

 

 

     For the Six Months Ended June 30, 2014  
     Net Realized
Gains (Losses)
     Change in Net
Unrealized
Gains (Losses)
     Net Trading
Gains (Losses)
 

Foreign Exchange

   $ (110,786    $ 32       $ (110,754

Currency

     (269,243      (61,813      (331,056

Financial

     759,731         (42,781      716,950   

Food & Fiber

     350,772         7,298         358,070   

Indices

     339,149         (365,682      (26,533

Metals

     (332,416      (30,364      (362,780

Livestock

     321,560         50,040         371,600   

Energy

     (242,297      54,084         (188,213
  

 

 

    

 

 

    

 

 

 

Total net trading gains (losses)

   $ 816,470       $ (389,186    $ 427,284   
  

 

 

    

 

 

    

 

 

 

 

38


Table of Contents
5. Due from/to brokers

Due from brokers consists of proceeds from securities sold. Amounts due from brokers may be restricted to the extent that they serve as deposits for securities sold short. Amounts due to brokers, if any, represent margin borrowings that are collateralized by certain securities. As of June 30, 2015 and December 31, 2014, there were no amounts due to brokers.

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

 

6. Allocation of net profits and losses

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

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

 

7. Related party transactions

Superfund Capital Management shall be paid a management fee equal to one-twelfth of 1.85% of month-end net assets (1.85% per annum), ongoing offering expenses equal to one-twelfth of 1% of month-end net assets (1% per annum), not to exceed the amount of actual expenses incurred, and monthly operating expenses equal to one-twelfth of 0.15% of month-end net assets (0.15% per annum), not to exceed the amount of actual expenses incurred. Superfund Capital Management will also be paid a monthly performance/incentive fee equal to 25% of the new appreciation without respect to interest income. Trading losses will be carried forward and no further performance/incentive fee may be paid until the prior losses have been recovered. In addition, Superfund Brokerage Services, Inc., an affiliate of Superfund Capital Management, serves as introducing broker for the Fund’s futures transactions and receives a portion of the brokerage commissions paid by the Fund in connection with its futures trading. Superfund USA, LLC, an entity related to Superfund Capital Management by common ownership, shall be paid monthly selling commissions equal to one-twelfth of 4% (4% per annum) of the month-end net asset value of the Fund. However, the maximum cumulative selling commission per Unit is limited to 10% of the initial public offering price of Units sold. Selling commissions charged as of the end of each month in excess of 10% of the initial public offering price of Units sold shall not be paid out to any selling agent but shall instead be held in a separate account. Accrued monthly performance fees, if any, will then be charged against both net assets of the Fund as of month-end, as well as against amounts held in the separate account. Any increase or decrease in net assets and any accrued interest will then be credited or charged to each investor (a “Limited Partner”) on a pro rata basis. The remainder of the amounts held in the separate account, if any, shall then be reinvested in Units as of such month-end, at the current net asset value, for the benefit of the appropriate Limited Partner. The amount of any distribution to a Limited Partner, any amount paid to a Limited Partner on redemption of Units and any redemption fee paid to Superfund Capital Management upon the redemption of Units will be charged to that Limited Partner. Selling commissions are shown gross on the statements of operations and amounts over the 10% selling commission threshold are rebated to the Limited Partner by purchasing Units of the Fund.

 

8. Financial highlights

Financial highlights for the period January 1 through June 30 are as follows:

 

     2015     2014  
     Series A     Series B     Series A     Series B  

Total Return*

        

Total return before incentive fees

     (5.3 )%      (5.9 )%      (2.3 )%      (1.5 )% 

Incentive fees

     0.0        0.0        0.0        0.0   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total return after incentive fees

     (5.3 )%      (5.9 )%      (2.3 )%      (1.5 )% 
  

 

 

   

 

 

   

 

 

   

 

 

 

Ratios to average partners’ capital

        

Operating expenses before incentive fees

     3.6     4.0     4.3     4.7

Incentive fees

     0.0        0.0        0.0        0.0   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     3.6     4.0     4.3     4.7
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment loss

     (3.6 )%      (4.0 )%      (4.3 )%      (4.7 )% 
  

 

 

   

 

 

   

 

 

   

 

 

 

 

39


Table of Contents

Net asset value per unit, beginning of period

   $ 1,283.60       $ 1,462.68       $ 1,215.27       $ 1,300.97   

Net investment loss

     (47.24      (61.12      (51.19      (60.79

Net gain (loss) on investments

     (20.35      (26.38      23.16         41.84   
  

 

 

    

 

 

    

 

 

    

 

 

 

Net asset value per unit, end of period

   $ 1,216.01       $ 1,375.18       $ 1,187.24       $ 1,282.02   
  

 

 

    

 

 

    

 

 

    

 

 

 

Other per Unit information:

           

Net decrease in net assets from operations per Unit (based upon weighted average number of Units during period) upon weighted average number of Units during period)

   $ (62.62    $ (72.84    $ (29.12    $ (21.30
  

 

 

    

 

 

    

 

 

    

 

 

 

Net decrease in net assets from operations per Unit (based upon change in net asset value per Unit) upon change in net asset value per Unit)

   $ (67.59    $ (87.50    $ (28.03    $ (18.95
  

 

 

    

 

 

    

 

 

    

 

 

 

Financial highlights for the period April 1 through June 30 are as follows:

 

     2015     2014  
     Series A     Series B     Series A     Series B  

Total Return*

        

Total return before incentive fees

     (9.2 )%      (13.6 )%      (0.5 )%      0.0

Incentive fees

     0.0        0.0        0.0        0.0   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total return after incentive fees

     (9.2 )%      (13.6 )%      (0.5 )%      0.0
  

 

 

   

 

 

   

 

 

   

 

 

 

Ratios to average partners’ capital

        

Operating expenses before incentive fees

     1.8     2.0     2.0     2.2

Incentive fees

     0.0        0.0        0.0        0.0   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     1.8     2.0     2.0     2.2
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment loss

     (1.8 )%      (2.0 )%      (2.0 )%      (2.2 )% 
  

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value per unit, beginning of period

   $ 1,337.50      $ 1,589.57      $ 1,192.66      $ 1,282.30   

Net investment loss

     (23.46     (29.72     (23.32     (27.73

Net gain (loss) on investments

     (98.03     (184.67     17.90        27.45   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value per unit, end of period

   $ 1,216.01      $ 1,375.18      $ 1,187.24      $ 1,282.02   
  

 

 

   

 

 

   

 

 

   

 

 

 

Other per Unit information:

        

Net decrease in net assets from operations per Unit (based upon weighted average number of Units during period) upon weighted average number of Units during period)

   $ (125.44   $ (221.71   $ (5.51   $ (0.49
  

 

 

   

 

 

   

 

 

   

 

 

 

Net decrease in net assets from operations per Unit (based upon change in net asset value per Unit) upon change in net asset value per Unit)

   $ (121.49   $ (214.39   $ (5.42   $ (0.28
  

 

 

   

 

 

   

 

 

   

 

 

 

 

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

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

 

9. Financial instrument risk

In the normal course of its business, the Fund is party to financial instruments with off-balance sheet risk, including derivative financial instruments and derivative commodity instruments. The term “off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in a future obligation or loss. These financial 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

 

40


Table of Contents

settled in cash, through physical delivery or with another financial instrument. These instruments may be traded on an exchange or OTC. Exchange-traded instruments are standardized and include futures and certain option contracts. OTC contracts are negotiated between contracting parties and include forwards and certain options. Each of these instruments is subject to various risks similar to those related to the underlying financial instruments including market and credit risk. In general, the risks associated with OTC contracts are greater than those associated with exchange-traded instruments because of the greater risk of default by the counterparty to an OTC contract.

For the Fund, gross unrealized gains and losses related to exchange-traded futures were $1,014,080 and $1,126,806, respectively, at June 30, 2015. For the Fund, gross unrealized gains and losses related to exchange-traded futures were $509,775 and $276,795, respectively, at June 30, 2014.

For Series A, gross unrealized gains and losses related to exchange-traded futures were $384,993 and $409,293, respectively, at June 30, 2015. For Series A, gross unrealized gains and losses related to exchange-traded futures were $197,377 and $99,960, respectively, at June 30, 2014.

For Series B, gross unrealized gains and losses related to exchange-traded futures were $629,087 and $717,513, respectively, at June 30, 2015. For Series B, gross unrealized gains and losses related to exchange-traded futures were $312,398 and $176,835, respectively, at June 30, 2014.

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

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

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

The majority of these futures mature within one year of June 30, 2015 or June 30, 2014, respectively. However, due to the nature of the Fund’s business, these instruments may not be held to maturity.

 

10. Subscriptions and redemptions

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

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

 

41


Table of Contents
11. Indemnification

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

 

12. Subsequent events

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

 

ITEM 2. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS

INTRODUCTION

The Fund commenced the offering of its Units on October 22, 2002. The initial offering terminated on October 31, 2002 and the Fund commenced operations on November 5, 2002. The continuing offering period commenced at the termination of the initial offering period and ended May 1, 2014. Subscription and redemption data is presented for both the Fund, as the SEC registrant, and for Series A and Series B, individually. For the quarter ended June 30, 2015, redemptions totaled $784,567. For the quarter ended June 30, 2015, redemptions totaled $393,006 in Series A and $391,561 in Series B.

LIQUIDITY

Most U.S. commodity exchanges limit fluctuations in futures contracts prices during a single day by regulations referred to as “daily price fluctuation limits” or “daily limits.” During a single trading day, no trades may be executed at prices beyond the daily limit. This may affect the Fund’s ability to initiate new positions or close existing ones or may prevent it from having orders executed. Futures prices have occasionally moved the daily limit for several consecutive days with little or no trading. Similar occurrences could prevent the Fund from promptly liquidating unfavorable positions and subject the Fund to substantial losses, which could exceed the margin initially committed to such trades. In addition, even if futures prices have not moved the daily limit, the Fund may not be able to execute futures trades at favorable prices if little trading in such contracts is taking place.

Other than these limitations on liquidity, which are inherent in the Fund’s futures and forward trading operations, the Fund’s assets are expected to be highly liquid.

CAPITAL RESOURCES

The Fund will raise additional capital only through the sale of Units offered pursuant to the continuing offering and does not intend to raise any capital through borrowings. Due to the nature of the Fund’s business, it will make no capital expenditures and will have no capital assets which are not operating capital or assets.

RESULTS OF OPERATIONS

Three Months Ended June 30, 2015

Series A:

Net results for the quarter ended June 30, 2015, were a loss of 9.2% in net asset value compared to the preceding quarter end. In this period, Series A experienced a net decrease in net assets from operations of $872,981. This decrease consisted of investment income of $116, trading losses of $705,168 and total expenses of $167,929. Expenses included $42,632 in management fees, $3,456 in operating expenses, $92,177 in selling commissions, $24,897 in brokerage commissions and $4,767 in other expenses. At June 30, 2015 and December 31, 2014, the net asset value per Unit of Series A was $1,216.01 and $1,283.60, respectively.

Series B:

Net results for the quarter ended June 30, 2015, were a loss of 13.6% in net asset value compared to the preceding quarter end. In this period, Series B experienced a net decrease in net assets from operations of $1,413,990. This decrease consisted of

 

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investment income of $225, trading losses of $1,218,759 and total expenses of $195,456. Expenses included $45,226 in management fees, $3,667 in operating expenses, $97,786 in selling commissions, $41,864 in brokerage commissions and $6,913 in other expenses. At June 30, 2015 and December 31, 2014, the net asset value per Unit of Series B was $1,375.18 and $1,462.68 respectively.

Fund results for 2nd Quarter 2015:

In April, the Fund’s managed futures strategy produced negative results. This performance was partly attributable to the Fund’s long bond positions, as continued issues between Greece and its creditors, the Bank of England’s continued policy of low interest rates, and the uncertainty of a U.S. interest rate hike led to large scale sell-offs and falling bond prices. Also contributing to the Fund’s negative return was its long positions in CME Live Cattle, as prices dropped in mid-April due to a lower than expected demand in beef. The Fund’s allocation to the energy sector produced positive results, with long positions in NYMEX Crude Oil benefitting from bullish oil prices. The Fund’s allocation to indices also yielded favorable returns as the Nasdaq reached a fifteen-year high.

In May, the Fund’s managed futures strategy yielded slightly negative returns. The Fund’s positions in the bond sector produced losses on news of increased purchasing by the European Central Bank (“ECB”) and increased speculation that Greece would not be able to make future payments to its creditors. Gains from the Fund’s allocation to indices, specifically positions in Topix Index and Osaka Nikkei 225, helped to counter these losses. The Fund’s positions in currency, agriculture and metals markets also produced gains for the month.

In June, the Fund’s managed futures strategy produced a negative return as global indices reacted negatively to continued unsuccessful debt negotiations between Greece and its creditors, culminating with Greece defaulting on its IMF repayment at the end of the month. The Fund’s short positions on the TSE Topix lost ground with the index rising to an eight-year high as Japan looked to re-inflate its economy. The Fund’s allocation to the bond market also produced negative results as German Bunds and UK Gilts yields rose amidst failed negotiations over Greek debt. In addition, the Fund’s positions in commodity and metal markets produced overall negative results, despite gains from positions in soybeans, wheat and aluminum.

Three Months Ended March 31, 2015

Series A:

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

Series B:

Net results for the quarter ended March 31, 2015, were a gain of 8.9% in net asset value compared to the preceding quarter end. In this period, Series B experienced a net increase in net assets from operations of $921,289. This decrease consisted of investment loss of $45, trading gains of $1,142,296 and total expenses of $220,962. Expenses included $52,369 in management fees, $4,247 in operating expenses, $113,230 in selling commissions, $46,521 in brokerage commissions and $4,595 in other expenses. At March 31, 2015 and December 31, 2014, the net asset value per Unit of Series B was $1,589.57 and $1,462.68 respectively.

Fund results for 1st Quarter 2015:

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

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

 

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

Three Months Ended June 30, 2014

Series A:

Net results for the quarter ended June 30, 2014, were a loss of 2.3% in net asset value compared to the preceding quarter end. In this period, Series A experienced a net decrease in net assets from operations of $52,030. This decrease consisted of investment income of $225, trading gains of $179,448 and total expenses of $231,703. Expenses included $54,526 in management fees, $4,422 in operating expenses, $117,894 in selling commissions, $53,967 in brokerage commissions and $894 in other expenses. At June 30, 2014 and December 31, 2013, the net asset value per Unit of Series A was $1,187.24 and $1,215.27, respectively.

Series B:

Net results for the quarter ended June 30, 2014, were a loss of 1.5% in net asset value compared to the preceding quarter end. In this period, Series B experienced a net decrease in net assets from operations of $4,736. This decrease consisted of investment income of $379, trading gains of $272,413 and total expenses of $277,528. Expenses included $58,899 in management fees, $4,776 in operating expenses, $127,349 in selling commissions, $85,451 in brokerage commissions and $1,053 in other expenses. At June 30, 2014 and December 31, 2013, the net asset value per Unit of Series B was $1,282.02 and $1,300.97 respectively.

Fund results for 2nd Quarter 2014:

In April, the Fund produced negative results, with long positions in U.S. stock indices suffering as the S&P500 retraced from record highs. The Fund’s long positions in U.S. ten-year treasury notes also yielded negative returns. These losses were partially offset by positive performance from the Fund’s long Euro-bund positions. The Fund’s short positions in natural gas and crude oil produced negative results in April as tensions and political crisis in the Ukraine remained high and rising fears that any full-scale armed conflict in the region would disrupt supplies and send oil and gas prices higher. The Fund’s short positions in COMEX gold and silver remained flat as the improving U.S and European economies helped to pressure gold prices.

In May, the Fund’s trading strategies produced strong positive performance, mainly due to allocations to the bond, stock index and metal markets. The Fund’s long positions in the CME S&P500 yielded positive returns as the index continued to break all-time highs as manufacturing indices indicated that economic growth would rebound in the second quarter. The Fund’s short positions in COMEX gold and silver also produced strong results as strong U.S. economic data eroded the metal’s “safe-haven” appeal. The Fund’s allocations to currencies produced negative results in May. The Euro tumbled from an almost 2.5-year high as ECB President Mario Draghi said that it would be open to taking further measures to support the Euro-zone economy. The ECB signal of a potential interest-rate cut has also weighed on the Euro.

In June, the Fund yielded slightly negative results as positions in the bond and metal markets suffered. The Fund’s short positions in COMEX gold lost ground as gold gained amid concerns regarding rising violence in Iraq. The Fund’s allocations to the energy, agricultural and equity markets all produced positive results, helping to partially offset the losses from the Fund’s bond and metal positions. The Fund’s long crude oil positions gained as violence in Iraq escalated, threatening the output of OPEC’s second largest producer. The Fund’s short positions in corn and soybeans gained as corn dropped to a five-month low and soybean experienced its biggest slump in five years as USDA reports showed farmers will plant record acreage. The Fund’s long E-mini S&P500 positions gained as the index continued to break record highs with its sixth straight quarterly gain.

 

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Three Months Ended March 31, 2014

Series A:

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

Series B:

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

Fund results for 1st Quarter 2014:

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

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

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

OFF-BALANCE SHEET RISK

The term “off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in a future obligation or loss. The Fund trades in futures and is therefore a party to financial instruments with elements of off-balance sheet market and credit risk. In entering into these contracts, there exists a market risk that such contracts may be significantly influenced by conditions, such as interest rate volatility, resulting in such contracts being less valuable. If the markets should move against all of the futures interests positions of the Fund at the same time, and if Superfund Capital Management was unable to offset such positions, the Fund could experience substantial losses. Superfund Capital Management attempts to minimize market risk through real-time monitoring of open positions, diversification of the portfolio and maintenance of a margin-to-equity ratio in all but extreme instances not greater than 50%.

In addition to market risk, in entering into futures, there is a credit risk that a counterparty will not be able to meet its obligations to the Fund. The counterparty for futures contracts traded in the U.S. and on most foreign exchanges is the clearinghouse associated with such exchange. In general, clearinghouses are backed by the corporate members of the clearinghouse who are required to share any financial burden resulting from the non-performance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearinghouse is not backed by the clearing members, like some foreign exchanges, it is normally backed by a consortium of banks or other financial institutions.

 

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OFF-BALANCE SHEET ARRANGEMENTS

The Fund does not engage in off-balance sheet arrangements.

CONTRACTUAL OBLIGATIONS

The Fund does not enter into contractual obligations or commercial commitments to make future payments of a type that would be typical for an operating company. The Fund’s sole business is trading futures, currency, forward and certain swap contracts, both long (contracts to buy) and short (contracts to sell). All such contracts are settled by offset, not delivery. Substantially all such contracts are for settlement within four months of the trade date and substantially all such contracts are held by the Fund for less than four months before being offset or rolled over into new contracts with similar maturities. The financial statements of Series A and Series B each present a condensed schedule of investments setting forth net unrealized appreciation (depreciation) of such Series’ open forward contracts as well as the fair value of the futures contracts purchased and sold by each Series at June 30, 2015 and December 31, 2014.

CRITICAL ACCOUNTING POLICIES – VALUATION OF THE FUND’S POSITIONS

Superfund Capital Management believes that the accounting policies that will be most critical to the Fund’s financial condition and results of operations relate to the valuation of the Fund’s positions. The majority of the Fund’s positions will be exchange-traded futures contracts, which will be valued daily at settlement prices published by the exchanges. Any spot and forward foreign currency or swap contracts held by the Fund will also be valued at published daily settlement prices or at dealers’ quotes. Thus, Superfund Capital Management expects that under normal circumstances substantially all of the Fund’s assets will be valued on a daily basis using objective measures.

RECENTLY ISSUED ACCOUNTING PRONOUNCEMENTS

ASU 2011-11

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

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

 

ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

Not required.

 

ITEM 4. CONTROLS AND PROCEDURES

Superfund Capital Management, the Fund’s general partner, with the participation of Superfund Capital Management’s principal executive officer and principal financial officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures with respect to each Series individually, as well as the Fund as a whole, as of the end of the period covered by this quarterly report, and, based on their evaluation, have concluded that these disclosure controls and procedures are effective. There were no formal changes in Superfund Capital Management’s internal controls over financial reporting during the quarter ended June 30, 2015 that have materially affected, or are reasonably likely to materially affect, Superfund Capital Management’s internal control over financial reporting with respect to each Series individually, as well as the Fund as a whole.

The Rule 13a-14(a)/15d-14(a) certifications of the principal executive officer and the principal financial officer included as Exhibits 31.1 and 31.2, respectively, are certifying as to each Series individually, as well as the Fund as a whole.

 

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PART II - OTHER INFORMATION

 

ITEM 1. LEGAL PROCEEDINGS

Superfund Capital Management is not aware of any pending legal proceedings to which either the Fund is a party or to which any of its assets are subject. The Fund has no subsidiaries.

 

ITEM 1A. RISK FACTORS

Not required.

 

ITEM 2. UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS

 

(a) There were no sales of unregistered securities during the quarter ended June 30, 2015.

(c) Pursuant to the Fund’s Sixth Amended and Restated Limited Partnership Agreement, investors may redeem their Units at the end of each calendar month at the then current month-end Net Asset Value per Unit. The redemption of Units has no impact on the value of Units that remain outstanding, and Units are not reissued once redeemed.

The following tables summarize the redemptions by investors during the three months ended June 30, 2015:

Series A:

 

Month

   Units Redeemed      NAV per Unit ($)  

April 30, 2015

     86.250         1,298.80   

May 31, 2015

     112.402         1,296.55   

June 30, 2015

     111.262         1,216.01   
  

 

 

    
     309.914      
  

 

 

    

Series B:

 

Month

   Units Redeemed      NAV per Unit ($)  

April 30, 2015

     212.997         1,523.79   

May 31, 2015

     31.920         1,518.66   

June 30, 2015

     13.497         1,375.18   
  

 

 

    
     258.414      
  

 

 

    

 

ITEM 3. DEFAULTS UPON SENIOR SECURITIES

Not applicable.

 

ITEM 4. MINE SAFETY DISCLOSURE

Not applicable.

 

ITEM 5. OTHER INFORMATION

None.

 

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ITEM 6. EXHIBITS

The following exhibits are included herewith:

 

  31.1    Rule 13a-14(a)/15d-14(a) Certification of Principal Executive Officer
  31.2    Rule 13a-14(a)/15d-14(a) Certification of Principal Financial Officer
  32.1    Section 1350 Certification of Principal Executive Officer
  32.2    Section 1350 Certification of Principal Financial Officer
101.INS    XBRL Instance Document
101.SCH    XBRL Taxonomy Extension Schema Document
101.CAL    XBRL Taxonomy Extension Calculation Linkbase Document
101.DEF    XBRL Taxonomy Extension Definition Linkbase Document
101.LAB    XBRL Taxonomy Extension Labe Linkbase Document
101.PRE    XBRL Taxonomy Extension Presentation Linkbase Document

 

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SIGNATURES

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

 

Date: August 7, 2015

    SUPERFUND GREEN, L.P.
   

(Registrant)

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

/s/ Nigel James

    Nigel James
    President and Principal Executive Officer
    By:  

/s/ Martin Schneider

    Martin Schneider
    Vice President and Principal Financial Officer

 

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EXHIBIT INDEX

 

Exhibit
Number

  

Description of Document

  

Page
Number

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

 

E-1