UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 10-Q

☑

Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

For the quarterly period ended September 30, 2017

 

or

☐

Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

 

Commission File number: 000-22260

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

(Exact name of Registrant as specified in charter)

	2850 Quarry Lake Drive Baltimore, Maryland 21209
	(Address of principal executive offices, including zip code)

	(410) 413-2600
	(Registrant's telephone number, including area code)

 

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.

Yes ☑No ☐

 

Indicate by check mark whether the registrant has submitted electronically 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 ☑No ☐

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

 

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 7(a)(2)(B) of the Securities Act. ☐

 

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).

Yes ☐No ☑

 

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CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

CONDENSED SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017 (Unaudited)

 

See Accompanying Notes to Financial Statements.

 

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

CONDENSED SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017 (Unaudited)

 

 

 

 

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*	Pledged as collateral for the trading of futures and forward positions.

**	Included in fixed income securities are U.S. Treasury Bills with a fair value of $43,137,413 deposited with the futures brokers and $34,724,170 deposited with the interbank market makers.

 

See Accompanying Notes to Financial Statements.

 

CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

CONDENSED SCHEDULE OF INVESTMENTS

DECEMBER 31, 2016 (Unaudited)

 

 

See Accompanying Notes to Financial Statements.

 

  CAMPBELL STRATEGIC ALLOCATION FUND, L.P.

		Three Months Ended September 30,								Nine Months Ended September 30,
Per Unit Performance		2017				2016				2017				2016
(for a unit outstanding throughout the entire period)
Net asset value per unit at beginning of period		$	2,232.45			$	2,650.30			$	2,388.83			$	2,799.71
Income (loss) from operations:
Total net trading gains (losses) (1)			47.83				(87.84	)			(32.03	)			(145.88	)
Net investment income (loss) (1)			(34.45	)			(43.11	)			(107.51	)			(130.72	)
Total net income (loss) from operations			13.38				(130.95	)			(139.54	)			(276.60	)
Offering costs (1)			(1.75	)			(1.70	)			(5.21	)			(5.46	)
Net asset value per unit at end of period		$	2,244.08			$	2,517.65			$	2,244.08			$	2,517.65
Total Return (3)			0.52	%			(5.01	)%			(6.06	)%			(10.07	)%
Supplemental Data
Ratios to average net asset value:
Expenses prior to performance fee (4)			7.41	%			7.30	%			7.38	%			7.29	%
Performance fee (3)			0.00	%			0.00	%			0.00	%			0.00	%
Total expenses			7.41	%			7.30	%			7.38	%			7.29	%
Net investment income (loss) (2),(4)			(6.15	)%			(6.58	)%			(6.22	)%			(6.48	)%

Note 1. ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

A. General Description of the Fund

Campbell Strategic Allocation Fund, L.P. (the "Fund") is a Delaware limited partnership which operates as a commodity investment pool. The Fund engages in the speculative trading of futures contracts and forward currency contracts.

Effective January 6, 2012, Units in the Fund were no longer offered for sale. For existing investors in the Fund, business has been and will be conducted as usual. There was no change in trading, operations, or monthly statements, etc., and redemptions will continue to be offered on a monthly basis.

B. Regulation

As a registrant with the Securities and Exchange Commission (the "SEC"), the Fund is subject to the regulatory requirements under the Securities Exchange Act of 1934. Prior to January 6, 2012, the Fund was also subject to the regulatory requirements under the Securities Act of 1933. As a commodity investment pool, the Fund is subject to the regulations of the Commodity Futures Trading Commission, an agency of the United States (U.S.) government which regulates most aspects of the commodity futures industry; rules of the National Futures Association, an industry self-regulatory organization; and the requirements of the various commodity exchanges where the Fund executes transactions. Additionally, the Fund is subject to the requirements of futures commission merchants (the "futures brokers") and interbank market makers through which the Fund trades.

C. Method of Reporting

The Fund's financial statements are presented in accordance with accounting principles generally accepted in the United States of America, which may require the use of certain estimates made by the Fund's management. Actual results may differ from these estimates.

These financial statements should be read in conjunction with the financial statements and notes thereto included in the Fund’s Annual Report on Form 10-K filed with the SEC for the year ended December 31, 2016. All adjustments of a normal recurring nature considered necessary for a fair presentation have been included.

The Fund meets the definition of an investment company according to the provisions of Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") 946-10, Financial Services – Investment Companies.

Investment transactions are accounted for on the trade date. Gains or losses are realized when contracts are liquidated. Unrealized gains and losses on open contracts (the difference between contract trade value and fair value) are reported in the Statements of Financial Condition as a net gain or loss, as there exists a right of offset of unrealized gains or losses in accordance with ASC 210- 20, Offsetting - Balance Sheet. The fair value of futures (exchange-traded) contracts is based on various futures exchanges, and reflects the settlement price for each contract as of the close on the last business day of the reporting period. The fair value of forward currency (non-exchange traded) contracts was extrapolated on a forward basis from the spot prices quoted as of 3:00 P.M. (E.T.) on the last business day of the reporting period.

The fixed income investments are marked to market on the last business day of the reporting period using a third party vendor hierarchy of pricing providers who specialize in such markets. The prices furnished by the providers consider the yield or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Premiums and discounts on fixed income securities are amortized and accreted for financial reporting purposes.

The short term investments represent cash held at the custodian and invested overnight in a money market fund.

For purposes of both financial reporting and calculation of redemption value, Net Asset Value per unit is calculated by dividing Net Asset Value by the number of outstanding units.

D. Fair Value

The Fund follows the provisions of ASC 820, Fair Value Measurements and Disclosures ("ASC 820"). ASC 820 provides guidance for determining fair value and requires increased disclosure regarding the inputs to valuation techniques used to measure fair value. ASC 820 defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.

 

ASC 820 establishes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The fair value hierarchy gives the highest priority to quoted prices (unadjusted) in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3).

Level 1 inputs are quoted prices (unadjusted) in active markets for identical assets or liabilities that the Fund has the ability to access at the measurement date. An active market for the asset or liability is a market in which transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis. The value of the Fund's exchange-traded futures contracts and short term investments fall into this category.

Level 2 inputs are inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. This category includes forward currency contracts that the Fund values using models or other valuation methodologies derived from observable market data. This category also includes fixed income investments.

Level 3 inputs are unobservable inputs for an asset or liability (including the Fund's own assumptions used in determining the fair value of investments). Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available, thereby allowing for situations in which there is little, if any, market activity for the asset or liability at the measurement date. As of September 30, 2017 and December 31, 2016, and for the periods ended September 30, 2017 and 2016, the Fund did not have any Level 3 assets or liabilities.

The following tables set forth by level within the fair value hierarchy the Fund's investments accounted for at fair value on a recurring basis as of September 30, 2017 and December 31, 2016.

 

 

There were no transfers to or from Level 1 to Level 2 for the period ended September 30, 2017 or the year ended December 31, 2016.

The gross presentation of the fair value of the Fund's derivatives by instrument type is shown in Note 9. See Condensed Schedules of Investments for additional detail categorization.

E. Cash and Cash Equivalents

Cash and cash equivalents includes cash and overnight money market investments at financial institutions.

 

F. Income Taxes

The Fund prepares calendar year U.S. federal and applicable state tax returns and reports to the partners their allocable shares of the Fund's income, expenses and trading gains or losses. No provision for income taxes has been made in the accompanying financial statements as each partner is individually responsible for reporting income or loss based on such partner's respective share of the Fund's income and expenses as reported for income tax purposes.

Management has continued to evaluate the application of ASC 740, Income Taxes, to the Fund, and has determined that no reserves for uncertain tax positions were required. There are no tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly increase or decrease within twelve months. The Fund files federal and state tax returns. The 2013 through 2016 tax years generally remain subject to examination by the U.S. federal and most state tax authorities.

G. Offering Costs

Campbell & Company, LP ("Campbell & Company") has incurred all costs in connection with the initial and continuous offering of units of the Fund ("offering costs"). In addition, Campbell & Company continues to compensate wholesalers for services rendered to Limited Partners. The Fund's liability for offering costs is limited to the maximum of total offering costs incurred by Campbell & Company, not to exceed 2.5% of the aggregate subscriptions accepted during the initial and continuous offerings. As of September 30, 2017 and December 31, 2016, the Fund has the potential remaining reimbursement amount of approximately $36.6 million and $37.4 million, respectively. If the Fund terminates prior to completion of payment of the calculated amounts to Campbell & Company, Campbell & Company will not be entitled to any additional payments, and the Fund will have no further obligation to Campbell & Company.

The Fund is only liable for payment of offering costs on a monthly basis as calculated based on the limitations stated above. At September 30, 2017 and December 31, 2016, the amount of unreimbursed offering costs incurred by Campbell & Company is $71,852 and $88,660, respectively. At September 30, 2017, and December 31, 2016, the Fund reflects a liability in the Statements of Financial Condition for offering costs payable to Campbell & Company of $71,852 and $87,768, respectively. The amount of monthly reimbursement due to Campbell & Company is charged directly to partners' capital.

H. Foreign Currency Transactions

The Fund's functional currency is the U.S. dollar; however, it transacts business in currencies other than the U.S. dollar. Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect at the date of the Statements of Financial Condition. Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect during the period. Gains and losses resulting from the translation to U.S. dollars are reported in income.

I. Recently Issued Accounting Pronouncements

In November 2016, the FASB issued Accounting Standards Update ("ASU") 2016-18, Statement of Cash Flows (Topic 230): Restricted Cash, which aims to reduce diversity in the presentation of restricted cash and restricted cash equivalents in the statement. The amendment is effective for the interim and annual reporting periods beginning after December 15, 2017. Management has evaluated the amendment and does not anticipate a material impact on the Fund's financial statement disclosures.

 

In August 2017, the FASB issued ASU 2017-12, Derivatives and Hedging (Topic 815): Targeted Improvements to Accounting for Hedging Activities, which aims to improve the financial reporting of hedging relationships to better portray the economic results of risk management activity in the statement. The amendment is effective for the interim and annual reporting periods beginning after December 15, 2018. Management has evaluated the amendment and does not anticipate a material impact on the Fund’s financial statement disclosures.

Note 2. GENERAL PARTNER AND COMMODITY TRADING ADVISOR

The general partner of the Fund is Campbell & Company, which conducts and manages the business of the Fund. Campbell & Company is also the commodity trading advisor of the Fund. The Amended Agreement of Limited Partnership provides that Campbell & Company may make withdrawals of its units, provided that such withdrawals do not reduce Campbell & Company's aggregate percentage interest in the Fund to less than 1% of the net aggregate contributions.

Campbell & Company is required by the Amended Agreement of Limited Partnership to maintain a net worth equal to at least 5% of the capital contributed by all the limited partnerships for which it acts as general partner, including the Fund. The minimum net worth shall in no case be less than $50,000 nor shall net worth in excess of $1,000,000 be required.

 

The Fund pays a monthly brokerage fee equal to 1/12 of 7% (7% annualized) of month-end net assets to Campbell & Company and approximately $4 per round turn to the futures brokers for execution and clearing costs. From the 7% fee, a portion (4%) is used to compensate selling agents for ongoing services rendered and a portion (3%) is retained by Campbell & Company for trading and management services rendered. The amount paid to the futures brokers and interbank market makers for execution and clearing costs is limited to 1/12 of 1% (1% annualized) of month-end net assets.

Campbell & Company is also paid a quarterly performance fee of 20% of the Fund's aggregate cumulative appreciation in the Net Asset Value per unit, exclusive of appreciation attributable to interest income. More specifically, the performance fee is paid on the cumulative increase, if any, in the Net Asset Value per Unit over the highest previous cumulative Net Asset Value per Unit (commonly referred to as a High Water Mark) adjusting for investment income. In determining the brokerage and performance fees (the "fees"), adjustments shall be made for capital additions and withdrawals and Net Assets shall not be reduced by the fees being calculated for such current period. The performance fee is not subject to any clawback provisions. The fees are typically paid in the month following the month in which they are earned. The fees are paid from the available cash at the Fund's bank, futures brokers or cash management accounts.

Note 3. ADMINISTRATOR

Northern Trust Hedge Fund Services LLC became the Administrator of the Fund effective January 1, 2015. The Administrator receives fees at rates agreed upon between the Fund and the Administrator and is entitled to reimbursement of certain actual out-of- pocket expenses incurred while performing its duties. The Administrator's primary responsibilities are portfolio accounting and fund accounting services.

Note 4. CASH MANAGER AND CUSTODIAN

PNC Capital Advisors, LLC serves as the cash manager under the Investment Advisory Agreement to manage and control the liquid assets of the Fund. PNC Capital Advisors, LLC is registered as investment advisers with the SEC of the United States under the Investment Advisers Act of 1940.

The Fund opened a custodial account at the Northern Trust Company (the "custodian") and has granted the cash manager authority to make certain investments on behalf of the Fund provided such investments are consistent with the investment guidelines created by the general partner. All securities purchased by the cash manager on behalf of the Fund will be held in the Fund's custody account at the custodian. The cash manager will have no beneficial or other interest in the securities and cash in such custody account.

Note 5. DEPOSITS WITH FUTURES BROKERS

The Fund deposits assets with UBS Securities LLC and Goldman, Sachs & Co. subject to Commodity Futures Trading Commission regulations and various exchange and futures broker requirements. Margin requirements are satisfied by the deposit of U.S. Treasury Bills and cash with such futures brokers. The Fund typically earns interest income on its assets deposited with the futures brokers.

Note 6. DEPOSITS WITH INTERBANK MARKET MAKERS

The Fund's counterparties with regard to its forward currency transactions are The Royal Bank of Scotland PLC ("RBS") and UBS AG ("UBS"). The Fund has entered into an International Swap and Derivatives Association, Inc. agreement ("ISDA Agreement") with RBS and UBS which governs these transactions. The credit ratings reported by the three major rating agencies for RBS and UBS were considered investment grade as of September 30, 2017. Margin requirements are satisfied by the deposit of U.S. Treasury Bills and cash with RBS and UBS. The Fund typically earns interest income on its assets deposited with RBS and UBS.

Note 7. OPERATING EXPENSES

Operating expenses of the Fund are limited by the Amended Agreement of Limited Partnership to 0.5% per year of the average month-end Net Asset Value of the Fund. Actual operating expenses were less than 0.5% (annualized) of average month-end Net Asset Value for the nine months ended September 30, 2017 and 2016.

 

Type of Instrument *	Statements of Financial Condition Location		Asset Derivatives at September 30, 2017 Fair Value				Liability Derivatives at September 30, 2017 Fair Value				Net
Agriculture Contracts	Net unrealized gain (loss) on open futures contracts		$	910,876			$	(499,307	)		$	411,569
Energy Contracts	Net unrealized gain (loss) on open futures contracts			691,939				(89,297	)			602,642
Metal Contracts	Net unrealized gain (loss) on open futures contracts			1,437,027				(2,265,685	)			(828,658	)
Stock Indices Contracts	Net unrealized gain (loss) on open futures contracts			6,688,187				(342,568	)			6,345,619
Short-Term Interest Rate Contracts	Net unrealized gain (loss) on open futures contracts			280,128				(118,694	)			161,434
Long-Term Interest Rate Contracts	Net unrealized gain (loss) on open futures contracts			1,322,528				(2,274,551	)			(952,023	)
Forward Currency Contracts	Net  unrealized  gain  (loss)  on  open  forward currency contracts			5,468,793				(9,233,392	)			(3,764,599	)
Totals			$	16,799,478			$	(14,823,494	)		$	1,975,984

Type of Instrument *	Statements of Financial Condition Location		Asset Derivatives at December 31, 2016 Fair Value				Liability Derivatives at December 31, 2016 Fair Value				Net
Agriculture Contracts	Net unrealized gain (loss) on open futures contracts		$	2,621,318			$	(1,669,312	)		$	952,006
Energy Contracts	Net unrealized gain (loss) on open futures contracts			1,294,666				(68,043	)			1,226,623
Metal Contracts	Net unrealized gain (loss) on open futures contracts			589,912				(3,764,311	)			(3,174,399	)
Stock Indices Contracts	Net unrealized gain (loss) on open futures contracts			3,886,396				(1,877,982	)			2,008,414
Short-Term Interest Rate Contracts	Net unrealized gain (loss) on open futures contracts			115,803				(363,714	)			(247,911	)
Long-Term Interest Rate Contracts	Net unrealized gain (loss) on open futures contracts			1,843,389				(710,683	)			1,132,706
Forward Currency Contracts	Net  unrealized  gain  (loss)  on  open  forward currency contracts			8,412,229				(5,380,563	)			3,031,666
Totals			$	18,763,713			$	(13,834,608	)		$	4,929,105

 

Type of Instrument		Trading Gains/(Losses) for the Three Months Ended September 30, 2017				Trading Gains/(Losses) for the Three Months Ended September 30, 2016
Agriculture Contracts		$	(6,720,312	)		$	4,243,235
Energy Contracts			16,234				(6,280,100	)
Metal Contracts			(2,244,300	)			(2,826,842	)
Stock Indices Contracts			11,181,962				6,506,151
Short-Term Interest Rate Contracts			(562,516	)			(955,658	)
Long-Term Interest Rate Contracts			896,667				(7,115,387	)
Forward Currency Contracts			4,262,413				(8,045,513	)
Total		$	6,830,148			$	(14,474,114	)

Type of Instrument		Trading Gains/(Losses) for the Nine Months Ended September 30, 2017				Trading Gains/(Losses) for the Nine Months Ended September 30, 2016
Agriculture Contracts		$	(12,459,572	)		$	(2,814,236	)
Energy Contracts			(12,132,786	)			(18,626,129	)
Metal Contracts			(756,629	)			(8,461,635	)
Stock Indices Contracts			49,481,874				(6,935,178	)
Short-Term Interest Rate Contracts			(2,521,985	)			(2,939,230	)
Long-Term Interest Rate Contracts			(11,507,883	)			27,284,642
Forward Currency Contracts			(13,082,623	)			(11,386,865	)
Total		$	(2,979,604	)		$	(23,878,631	)

 

Line Item in the Statements of Operations		Trading Gains/(Losses) for the Nine Months Ended September 30, 2017				Trading Gains/(Losses) for the Nine Months Ended September 30, 2016
Futures trading gains (losses):
Realized **		$	6,259,875			$	(28,349,129	)
Change in unrealized			3,843,144				15,857,363
Forward currency trading gains (losses):
Realized			(6,286,358	)			(8,525,068	)
Change in unrealized			(6,796,265	)			(2,861,797	)
Total		$	(2,979,604	)		$	(23,878,631	)

 

For the three months ended September 30, 2017 and 2016, the monthly average of futures contracts bought and sold was approximately 25,000 and 48,100, respectively, and the monthly average of notional value of forward currency contracts was $1,152,000,000 and $2,877,000,000, respectively.

For the nine months ended September 30, 2017 and 2016, the monthly average of futures contracts bought and sold was approximately 31,400 and 56,600, respectively, and the monthly average of notional value of forward currency contracts was $1,292,000,000 and $2,969,400,000, respectively.

Open contracts generally mature within twelve months; as of September 30, 2017, the latest maturity date for open futures contracts is December 2018 and the latest maturity date for open forward currency contracts is December 2017. However, the Fund intends to close all futures and offset all forward currency contracts prior to maturity.

Credit Risk

The Fund trades futures contracts on exchanges that require margin deposits with the futures brokers. Additional deposits may be necessary for any loss on contract value. The Commodity Exchange Act requires a futures broker to segregate all customer transactions and assets from such futures broker's proprietary activities. A customer's cash and other property (for example, U.S. Treasury Bills) deposited with a futures broker are considered commingled with all other customer funds subject to the futures broker's segregation requirements. In the event of a futures broker's insolvency, recovery may be limited to a pro rata share of segregated funds available. It is possible that the recovered amount could be less than total cash and other property deposited.

 

Offsetting of Derivative Assets

As of September 30, 2017

 

Type of Instrument	Counterparty		Gross Amounts of Recognized Assets				Gross Amounts Offset in the Statements of Financial Condition				Net Amounts of Unrealized Gain Presented in the Statements of Financial Condition
Futures contracts	UBS Securities LLC		$	5,668,233			$	(2,788,749	)		$	2,879,484
Futures contracts	Goldman Sachs			5,662,452				(2,801,353	)			2,861,099
Total futures contracts				11,330,685				(5,590,102	)			5,740,583
Forward currency contracts	UBS AG			2,734,364				(2,734,364	)			0
Forward currency contracts	Royal Bank of Scotland			2,734,429				(2,734,429	)			0
Total forward currency contracts				5,468,793				(5,468,793	)			0
Total derivatives			$	16,799,478			$	(11,058,895	)		$	5,740,583

 

Derivatives Assets and Collateral Received by Counterparty

As of September 30, 2017

 

						Gross Amounts Not Offset in the Statements of Financial Condition
Counterparty		Net Amounts of Unrealized Gain in the Statements of Financial Condition				Financial Instruments				Cash Collateral Received				Net Amount
UBS Securities LLC		$	2,879,484			$	0			$	0			$	2,879,484
Goldman Sachs			2,861,099				0				0				2,861,099
UBS AG			0				0				0				0
Royal Bank of Scotland			0				0				0				0
Total		$	5,740,583			$	0			$	0			$	5,740,583

 

Offsetting of Derivative Liabilities

As of September 30, 2017

 

Type of Instrument	Counterparty		Gross Amounts of Recognized Liabilities				Gross Amounts Offset in the Statements of Financial Condition				Net Amounts of Unrealized Loss Presented in the Statements of Financial Condition
Futures contracts	UBS Securities LLC		$	2,788,749			$	(2,788,749	)		$	0
Futures contracts	Goldman Sachs			2,801,353				(2,801,353	)			0
Total futures contracts				5,590,102				(5,590,102	)			0
Forward currency contracts	UBS AG			4,617,454				(2,734,364	)			1,883,090
Forward currency contracts	Royal Bank of Scotland			4,615,938				(2,734,429	)			1,881,509
Total  forward  currency contracts				9,233,392				(5,468,793	)			3,764,599
Total derivatives			$	14,823,494			$	(11,058,895	)		$	3,764,599

 

Derivatives Liabilities and Collateral Pledged by Counterparty

As of September 30, 2017