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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

 

 

FORM 10-K

 

 

 

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

For the Fiscal Year Ended December 31, 2017

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 its charter)

 

 

 

DELAWARE		98-0375395
(State or other jurisdiction of incorporation or organization)		(IRS Employer Identification Number)

 

SUPERFUND OFFICE BUILDING P.O. BOX 1479 GRAND ANSE ST. GEORGE’S, GRENADA WEST INDIES		Not applicable
(Address of principal executive offices)		(Zip Code)

Registrant’s telephone number, including area code: (473) 439-2418

Securities registered pursuant to Section 12(b) of the Act: None

Securities registered pursuant to Section 12(g) of the Act:

Units of Limited Partnership Interest

(Title of Class)

 

 

Indicate by check mark if the registrant is a well-known seasoned issuer, as defined in Rule 405 of the Securities Act.    Yes  ☐    No  ☒

Indicate by check mark if the registrant is not required to file reports pursuant to Section 13 or Section 15(d) of the Act.    Yes  ☐    No  ☒

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 Website, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).    Yes  ☒    No  ☐

Indicate by check mark if disclosure of delinquent filers pursuant to Item 405 of Regulation S-K (§229.405 of this chapter) is not contained herein, and will not be contained, to the best of the registrant’s knowledge, in definitive proxy or information statements incorporated by reference in Part III of this Form 10-K or any amendment to this Form 10-K.  ☒

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		☒
				Emerging growth company		☐

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 13(a) of the Exchange Act.  ☐

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

State the aggregate market value of the voting and non-voting common equity held by non-affiliates computed by reference to the price at which the common equity was last sold, or the average bid and asked price of such common equity, as of the last business day of the registrant’s most recently completed second fiscal quarter.

Not applicable.

DOCUMENTS INCORPORATED BY REFERENCE

Prospectus dated May 1, 2013, included within Amendment No. 1 to the Registration Statement on Form S-1 (File No. 333-184998), is incorporated by reference into Item 1 and Item 5.

 

 

 

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TABLE OF CONTENTS

 

PART I			3
ITEM 1. BUSINESS			3
ITEM 1A. RISK FACTORS			4
ITEM 1B. UNRESOLVED STAFF COMMENTS			4
ITEM 2. PROPERTIES			4
ITEM 3. LEGAL PROCEEDINGS			4
ITEM 4. MINE SAFETY DISCLOSURES			4
PART II			4
ITEM 5. MARKET FOR REGISTRANT’S COMMON EQUITY, RELATED STOCKHOLDER MATTERS, AND ISSUER PURCHASES OF EQUITY SECURITIES			4
ITEM 6. SELECTED FINANCIAL DATA			5
ITEM 7. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS			5
ITEM 7A. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK			10
ITEM 8. FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA			10
ITEM 9. CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING AND FINANCIAL DISCLOSURE			10
ITEM 9A. CONTROLS AND PROCEDURES			11
ITEM 9B. OTHER INFORMATION			11
PART III			12
ITEM 10. DIRECTORS, EXECUTIVE OFFICERS AND CORPORATE GOVERNANCE			12
ITEM 11. EXECUTIVE COMPENSATION			13
ITEM 12. SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT AND RELATED STOCKHOLDER MATTERS			13
ITEM 13. CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS, AND DIRECTOR INDEPENDENCE			14
ITEM 14. PRINCIPAL ACCOUNTING FEES AND SERVICES			14
PART IV			15
ITEM 15. EXHIBITS, FINANCIAL STATEMENT SCHEDULES			15
EXHIBIT INDEX			54
SIGNATURES			55
Exhibit 31.01
Exhibit 31.02
Exhibit 32.01
Exhibit 32.02

 

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PART I

Item 1. Business.

Superfund Green, L.P. (the “Fund”) is a limited partnership which was organized on May 3, 2002 under the Delaware Revised Uniform Limited Partnership Act, as amended. In accordance with the Sixth Amended and Restated Limited Partnership Agreement (the “Limited Partnership Agreement”) under which it operates, the Fund is organized as two separate series of limited partnership units (the “Units”), Series A and Series B (each, a “Series”). Series B implements the Fund’s futures and forward trading program at a leverage level equal to approximately 1.5 times that implemented on behalf of Series A. Over the long term (periods of several years), the targeted average ratio of margin to equity for Series A is approximately 20% and approximately 30% for Series B. The leverage with which each of the Series is traded is the only difference between the Series.

The Fund operates as a commodity investment pool, whose purpose is speculative trading in the United States (“U.S.”) and international futures and forward markets. Specifically, the Fund trades a portfolio of more than 120 futures and forward contracts using a fully-automated, proprietary, computerized trading system. The general partner and trading manager of the Fund is Superfund Capital Management, Inc. (“Superfund Capital Management”), a Grenada corporation. Superfund Capital Management is registered as a commodity pool operator with the Commodity Futures Trading Commission (the “CFTC”) and is a member of the National Futures Association (the “NFA”) and is therefore subject to the provisions of the Commodity Exchange Act, the regulations of the CFTC and the rules of the NFA.

Narrative Description of the Business

A description of the business of the Fund, including trading approach, rights and obligations of the Unitholders, and compensation arrangements is contained in the Fund’s Prospectus dated May 1, 2013 included within the Registration Statement on Form S-1 (File No. 333-184998), under “Summary,” “The Risks You Face,” “Superfund Capital Management, Inc.,” “Conflicts of Interest,” and “Charges to Each Series” and such description is incorporated herein by reference from the Prospectus.

The Fund conducts its business in one industry segment: the speculative trading of futures and forward contracts and options thereon. The Fund is a market participant in the “managed futures” industry. Market participants include all types of investors, such as corporations, employee benefit plans, individuals and foreign investors. Service providers of the managed futures industry include (a) pool operators, which conduct and manage all aspects of trading funds, such as the Fund, (b) trading advisors, which make the specific trading decisions, and (c) commodity brokers, which execute and clear the trades pursuant to the instructions of the trading advisor. The Fund has no employees and does not engage in the sale of goods or services.

The Fund trades on domestic and international exchanges in more than 120 futures and forward contracts. Trading decisions are made using a fully-automated, proprietary, computerized trading system which emphasizes instruments with low correlation and high liquidity for order execution. The particular contracts traded by the Fund will vary from time to time.

The Fund may, in the future, experience increased competition for the commodity futures and other contracts in which it trades. Superfund Capital Management will recommend similar or identical trades for other accounts under its management. Such competition may also increase due to what Superfund Capital Management believes is an increasing utilization of computerized trading methods similar in general to those used by Superfund Capital Management.

Under the Commodity Exchange Act, commodity exchanges and commodity futures trading are subject to regulation by the CFTC. The NFA, a registered futures association under the Commodity Exchange Act, is the only non-exchange self-regulatory organization for commodity industry professionals. The CFTC has delegated to the NFA responsibility for the registration of “commodity trading advisors,” “commodity pool operators,” “futures commission merchants,” “introducing brokers,” “swap dealers” and their respective associated persons and “floor brokers.” The Commodity Exchange Act requires “commodity pool operators” such as Superfund Capital Management and “commodity brokers,” “futures commission merchants” or “swap dealers” such as the Fund’s commodity brokers and FX counterparties to be registered and to comply with various reporting and recordkeeping requirements. Superfund Capital Management and the Fund’s commodity brokers are members of the NFA. The CFTC may suspend a commodity pool operator’s registration if it finds that its trading practices tend to disrupt orderly market conditions, or as the result of violations of the Commodity Exchange Act or rules and regulations promulgated thereunder. In the event Superfund Capital Management’s registration as a commodity pool operator was terminated or suspended, Superfund Capital Management would be unable to continue to manage its business or the Fund. Should Superfund Capital Management’s registration be suspended, termination of the Fund might result.

In addition to such registration requirements, the CFTC and certain commodity exchanges have established limits on the maximum net long and net short positions which any person, including the Fund, may hold or control in certain futures contracts. Most exchanges also limit the maximum changes in futures contract prices that may occur during a single trading day. In November 2011, the CFTC adopted a new position limits regime for 28 so-called “exempt” (i.e., metals and energy) and agricultural futures and options contracts and their economically equivalent swap contracts. A U.S. District Court vacated the new position limits regime, but the CFTC proposed a new set of speculative position rules which are not yet finalized or effective. All accounts controlled by Superfund Capital

 

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Management, including the accounts of each Series, are combined for speculative position limit purposes. If positions in those accounts were to approach the level of the particular speculative position limit Superfund Capital Management may modify the trading decisions for the Fund or be forced to liquidate certain futures positions, possibly resulting in losses.

The Fund may also trade in dealer markets for forward and swap contracts. In addition, the Fund trades on foreign commodity exchanges, which are not currently subject to substantive regulation by any U.S. government agency. The Dodd-Frank Wall Street Reform and Consumer Protection Act (“Dodd-Frank”) was enacted in July 2010. As a result of rules adopted by the CFTC pursuant to Dodd-Frank, the regulatory landscape affecting the Fund is evolving. For example, Dodd-Frank mandates that certain standardized over-the-counter derivatives be executed in regulated markets and submitted for clearing to regulated clearinghouses. The mandates imposed by the CFTC pursuant to Dodd-Frank may result in the Fund bearing higher upfront and mark-to-market margin, less favorable trade pricing and the possible imposition of new or increased fees, including clearing account maintenance fees.

The Fund itself has no employees. Rather it is operated by Superfund Capital Management. Superfund Capital Management employs approximately four people on a full-time basis.

Item 1A. Risk Factors.

Not required.

Item 1B. Unresolved Staff Comments.

Not required.

Item 2. Properties.

The Fund does not own or use any physical properties in the conduct of its business. Its assets currently consist of futures and other contracts and cash. Superfund Capital Management’s office is located at Superfund Office Building, P.O. Box 1479, Grand Anse, St. George’s, Grenada, West Indies.

Item 3. Legal Proceedings.

None.

Item 4. Mine Safety Disclosures.

Not applicable.

PART II

Item 5. Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities.

 

(a)	Market Information

There is no trading market for the Units, and none is likely to develop. Units may be redeemed upon five (5) business days prior notice to Superfund Capital Management at their net asset value as of the last day of the month in which the redemption request is received.

 

(b)

Holders

As of February 28, 2018, there were 147 holders of Series A Units and 305 holders of Series B Units.

 

(c)

Dividends

Superfund Capital Management has sole discretion in determining what distributions, if any, the Fund will make to its Unitholders. Superfund Capital Management has not made any distributions as of the date hereof and has no present intention to make any.

 

(d)	Securities Authorized for Issuance Under Equity Compensation Plans

None.

 

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(e)	Recent Sales of Unregistered Securities; Use of Proceeds from Registered Securities

There have been no sales of unregistered securities of the Fund during 2017 or 2016. A description of the use of proceeds from the sale of registered securities is contained in the Fund’s current Prospectus dated May 1, 2013, included within the Registration Statement on Form S-1 (File No. 333-184998), under “Use of Proceeds” and such description is incorporated herein by reference from the Prospectus.

 

(f)	Purchases of Equity Securities by the Issuer and Affiliated Purchasers

Pursuant to the Fund’s Limited Partnership Agreement, Unitholders may redeem their Units at the end of each calendar month at the then current month-end net asset value per Unit. The redemption of Units has no impact on the value of the Units that remain outstanding, and Units are not reissued once redeemed.

The following tables summarize the redemptions by Unitholders during the fourth calendar quarter of 2017:

Series A:

 

Month		Units Redeemed				Net Asset Value per Unit ($)
October 31, 2017			39.308				1,083.89
November 30, 2017			10.843				1,082.43
December 31, 2017			24.705				1,099.78
Total			74.856

Series B:

Month		Units Redeemed				Net Asset Value per Unit ($)
October 31, 2017			42.551				1,302.80
November 30, 2017			70.041				1,307.33
December 31, 2017			102.718				1,359.98
Total			215.310

Item 6. Selected Financial Data.

Not required.

Item 7. 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 on May 1, 2014. For the year ended December 31, 2017, redemptions totaled $2,052,534 for the Fund as a whole, $833,296 in Series A and $1,219,238 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.

Trading in forward contracts introduces a possible further impact on liquidity. Because such contracts are executed “off exchange” between private parties, the time required to offset or “unwind” these positions may be greater than that for regulated instruments. This potential delay could be exacerbated to the extent a counterparty is not a U.S. person.

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

 

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Capital Resources

The Fund will raise additional capital only through the sale of Units offered pursuant to a new offering, if any, 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

2017

Series A:

Net results for the year ended December 31, 2017, were a gain of 11.4% in net asset value compared to the preceding year. In this period, Series A experienced a net increase in net assets from operations of $ 349,756. This increase consisted of investment income of $9,452, other income of $3,500, trading gain of $548,388 and total expenses of $211,584. Expenses included $62,910 in management fees, $5,100 in operating expenses, $136,019 in selling commissions, and $7,555 in other expenses. At December 31, 2017 and December 31, 2016, the net asset value per Unit of Series A was $1,099.78 and $989.50, respectively.

Series B:

Net results for the year ended December 31, 2017, were a gain of 30.2% in net asset value compared to the preceding year. In this period, Series B experienced a net increase in net assets from operations of $1,334,428. This increase consisted of investment income of $19,590, trading gains of $1,639,006 and total expenses of $324,168. Expenses included $95,715 in management fees, $7,761 in operating expenses, $206,953 in selling commissions, and $13,739 in other expenses. At December 31, 2017 and December 31, 2016, the net asset value per Unit of Series B was $1,359.98 and $1,049.03, respectively.

Fund results for the 4th Quarter 2017:

In December, the Fund’s managed futures strategy produced positive returns as encouraging returns in the stock indices sector led the way as Asian equities reaffirmed their status as this year’s best performing markets. Long positions in energy benefited from the renewed vigor in oil futures prices, as brent crude traded above $65 a barrel for the first time since 2015. Likewise, the currency sector was boosted by the strong performance on the Australian Dollar, as strong November employment data strengthened the likelihood of policy tightening by its central bank. The fund’s overall performance was slightly dented by the struggling bonds sector, which is now being heavily pressured by the favorable outlook in equity markets.

In November, the Fund’s managed futures strategy produced negative returns as encouraging returns in the bonds and stock indices sector were overshadowed by losses incurred in the currencies, metals, and agricultural markets sectors. Stock indices proved to be our best performing sector this month, as investors’ excitement picked up following signs of the Senate’s progress on a package of tax cuts. Long positions held in the metals sector, particularly gold, once again dented the fund’s overall returns as gold fell some 3.7% for the month of November. Likewise, our short positions on soybean meal returned losses, as the market surged on news of anticipated damages to the upcoming Argentinean crop.

In October, the Fund’s managed futures strategy produced positive returns, on the back of a strengthening US economy and a surging dollar, as positions in stock indices and energy markets proved favorable to the Fund. The fund’s returns in stock indices stood head and shoulders above the rest, as the Dow Jones Industrial Average broke the 23,000 point threshold for the first time in its history. The Nasdaq 100, KOSPI 200, and the Dow Jones Industrial Average were the fund’s strongest performers this month. With energy markets benefiting from the return of geopolitical tensions in the sector, the fund likewise was able to take advantage of the upward tick in prices.

Fund results for 3rd Quarter 2017:

In September, the Fund’s managed futures strategy yielded slightly negative returns. The Fund’s allocation to the metals sector, particularly its long positions in Comex gold, produced negative results as gold experienced its worst performing month of 2017. Other negatively performing sectors for the Fund included the bonds, currencies, grains, and agricultural markets sectors as markets proved volatile on geopolitical tensions and economic announcements. Helping to partially offset these returns, the Fund’s positions in stock indices and energy produced positive results. The Fund’s long positions in stock indices took advantage of the bullish trend experienced by almost all major indices this month.

 

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In August, the Fund’s managed futures strategy produced positive results, relying on strong performance in the bonds sector as prices gained amid increased tensions between the U.S. and North Korea and unchanging interest rates from major global players. The Fund’s allocation to the metals sector, particularly positions in LME copper and aluminum, also yielded positive returns as base metals rallied on stronger demand from China. The Fund’s positions in stock indices, currencies and energy produced negative returns.

In July, the Fund’s managed futures strategy produced strong positive returns, led by the Fund’s allocations to stock indices. In particular, the Fund’s long positions in the Hang Seng Index yielded strong results as positive economic news in China, coupled with decreased restrictions on investments on the mainland, benefited Chinese equity markets. The Fund’s positions in the currencies sector also performed positively. The Fund’s long positions in the Australian dollar yielded positive results on the back of a strengthening local economy and a weakening U.S. dollar. The Fund’s long positions in the energy sector also produced positive returns amid a decrease in global oil supply. The Fund’s positions in the bonds, grains, metals, and agricultural markets all produced negative results, but were not enough to offset the Fund’s positive performance.

Fund results for 2nd Quarter 2017:

In June, the Fund’s managed futures strategy yielded negative performance. The Fund’s long positions in the bonds sector produced the largest losses for the Fund, as global bond prices fell on higher interest rates and hints of a reduction in quantitative easing programs. The Fund’s positions in Euro-BOBL and the Canadian 10-year bond contributed the most to these losses. The Fund’s allocation to stock indices and currencies markets helped to lessen the Fund’s negative performance. In particular, the Fund’s positions in the MSCI Taiwan, KSE Kospi and CME Australian dollar all yielded positive returns.

In May, the Fund’s managed futures strategy produced strong positive returns. The Fund’s positions in equity markets delivered the highest gains for the Fund as a result of the bullish trend in global equities. In particular, the Fund’s positions in CME Nasdaq, KSE Kospi and FTSE China A50 all produced strong returns. The Fund’s allocations to the bonds and agricultural sectors also produced positive results. Losses attributed to the Fund’s positions in the currencies, energy and metals sectors offset some of the Fund’s gains.

In April, the Fund’s managed futures strategy produced negative results. The Fund’s allocations to the metals, energy, grains and currency sectors underperformed. The Fund’s positions in Comex silver, Euro-Bund and Euro-BOBL produced the largest negative yield as decreased demand for base metals and political movements in Europe placed a strain on performance. The Fund’s allocation to stock indices, bonds and agricultural markets helped to offset some of these losses. The Fund’s long Nasdaq 100 positions yielded positive returns as the global outlook on equity markets improved. Similarly, the Fund’s long positions in CME live cattle resulted in gains for the Fund as prices surged on increased demand and higher grain prices.

Fund results for 1st Quarter 2017:

In March, the Fund’s managed futures strategy produced negative results. The Fund’s positions in the metals sector contributed significantly to negative performance for the month. The Fund’s positions in Comex gold suffered as a result of unfavorable movements in the U.S. dollar. The Fund’s allocation to the bonds sector also yielded negative returns. The Fund’s positions in stock indices helped to offset some of these losses as global stock markets continued to rally.

In February, the Fund’s managed futures strategy yielded strong positive returns, as positions in stock indices and bonds proved to be top performers. The funds long positions in stock indices produced strong gains as U.S. stock indices surged amid investor optimism on tax cuts and regulatory reform. The Fund’s positions in bonds, particularly the Eurex Euro BOBL, benefitted from rising bond prices as geopolitical concerns led investors to safer assets.

In January, the Fund’s managed futures strategy produced positive results. The stock indices sector, particularly long positions in the Nasdaq index, was the strongest performing sector for the Fund. The Fund’s positions in the CBOE Volatility Index and LME Aluminum also yielded strong positive returns. The Fund’s allocation to the bonds sector yielded negative results, as did its positions in NYMEX Rbob Gas and NYMEX Platinum.

2016

Series A:

Net results for the year ended December 31, 2016, were a loss of 20.0% in net asset value compared to the preceding year. In this period, Series A experienced a net decrease in net assets from operations of $1,343,866. This decrease consisted of investment income of $2,447, trading losses of $938,701 and total expenses of $407,612. Expenses included $121,417 in management fees, $9,844 in

operating expenses, $262,522 in selling commissions, and $13,829 in other expenses. At December 31, 2016 and December 31, 2015, the net asset value per Unit of Series A was $989.50 and $1,222.26, respectively.

 

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Series B:

Net results for the year ended December 31, 2016, were a loss of 25.1% in net asset value compared to the preceding year. In this period, Series B experienced a net decrease in net assets from operations of $1,812,922. This decrease consisted of investment income of $3,344, trading losses of $1,388,710 and total expenses of $427,556. Expenses included $126,973 in management fees, $10,295 in operating expenses, $274,534 in selling commissions, and $15,754 in other expenses. At December 31, 2016 and December 31, 2015, the net asset value per Unit of Series B was $1,049.03 and $1,392.13, respectively.

Fund results for the 4th Quarter 2016:

In December, the Fund’s managed futures strategy produced results as positions in the currencies, grains, energy, metals and agricultural sectors proved unfavorable to the Fund. The Fund’s positions in CBT soybeans yielded negative returns as price declines resulted from a large surplus in South American. Similarly, the Fund’s positions in LME lead suffered as a rising surplus and lower demand led to falling prices. The Fund was able to offset some of these losses by taking advantage of rising equity markets. In particular, the Fund’s positions in the Canada’s S&P 60 Index generated positive returns. The Fund’s allocation to bond markets also yielded positive results, with the Fund’s positions in the Euro Bobl benefitting from the European Central Bank’s (“ECB”) decision to continue its bond buying program.

In November, the Fund’s managed futures strategy yielded negative returns as markets experienced volatility following the U.S. presidential election. The initial market response was similar to the Brexit reaction, as investors flooded government bonds while adding support to the U.S. dollar, which reached its highest level since 2003. Prospects of growing inflation and the confirmation of a rate increase by the U.S. Federal Reserve (the “Fed”) in December also affected markets, with industrial metals rising on prospects of a revival to American infrastructure and growing Chinese demand for copper. The Fund’s positions in the Canadian 10-year bond, Comex copper and CME live cattle contributed the most to the Fund’s negative performance for the month. Positive performance from the Fund’s positions in the Mexican peso, Japanese yen and LME copper helped to offset the Fund’s overall negative returns.

In October, the Fund’s managed futures strategy produced negative returns despite signs of a positive economic turnaround in global growth and increased likelihood of interest rate hike by the Fed. The Fund’s positions in the bonds sector yielded negative results as a worldwide sell-off send markets into a tailspin. Bonds took a major hit as yields rose to their highest levels since June as speculation grew that central banks would take a less aggressive approach in supporting monetary stimulus programs. The Fund’s positions in Euro-Bund, Euro Bobl and Euro BTP yielded the largest negative returns in the sector. Despite overall negative performance in all sectors, positive performance from the Fund’s positions in the Topix index, London coffee and Euro Buxl helped to offset some of the Fund’s losses.

Fund results for 3rd Quarter 2016:

In September, the Fund’s managed futures strategy produced negative returns, with positions in energy, bonds and grains contributing to this decline. The Fund’s allocations to the metals sector were the largest negative contributor, as investors remained skeptical of volatile movements in oil prices amidst concerns that the excess global crude supply could persist into 2017. The Fund’s allocations to agricultural and currencies markets helped to slightly offset the negative results in the month, as positions in the agricultural, currencies and indices markets all yielded positive returns, including the Fund’s allocations to LCE London coffee, CME live cattle and CME mini NASDAQ 100.

In August, the Fund’s managed futures strategy yielded negative results, as positions in the energies and metals sectors dragged on performance. The Fund’s positions in NYMEX crude oil and IPE gas oil produced negative returns, as the market moved adversely based on speculation that OPEC would limit oil prices. The Fund’s positions in COMEX silver also underperformed, as investors fled safe-haven assets. The Fund’s allocations to the indices, grains and agricultural markets all yielded positive returns, helping to offset some of the losses in other sectors.

In July, the Fund’s managed futures strategy produced strong positive returns in the midst of heightened market uncertainties and uneasiness as a result of the United Kingdom’s vote to withdraw from the European Union. The Fund’s allocation to indices, including positions in CBOE Volatility Index and CME mini NASDAQ 100, produced positive gains as its positions capitalized on recovering markets. The Fund’s allocations to the energies and metals sectors also produced positive returns, particularly its long positions in COMEX silver. The Fund’s positions in the agricultural and grains sectors produced negative results, as better than expected weather conditions for soybeans and increased demand for cotton resulted in adverse price movements to the Fund’s positions.

 

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Fund results for 2nd Quarter 2016:

In June, the Fund’s managed futures strategy produced positive returns, as the markets came to terms with the United Kingdom’s vote to withdraw from the European Union. In the midst of market volatility and heightened market skepticism, investors fled to safe haven assets. As a result, the Fund’s positions in bonds and metals markets produced gains for the Fund. In particular, the Fund’s positions in Euro Bund, Euro-Bobl and Comex gold yielded significant positive returns for the Fund. The Fund’s allocation to grain and agricultural markets also yielded positive results. The Fund’s positions in stock indices and currencies lost ground, partially offsetting the Fund’s gains in other markets.

In May, the Fund’s managed futures strategy yielded negative returns. Prospects of a rise in rates by the Fed in the coming months, as well as reservations about the state of the global economy, weighed on performance of markets worldwide. The Fund’s allocation to metals produced the largest negative returns, with position in Comex gold and silver being the largest contributor. The Fund’s short positions in soybean meal also yielded losses as a result of adverse weather conditions in major growth markets. The Fund’s positive positions in bonds helped to offset some of the Fund’s negative performance, as the Fund took advantage of declining Treasury prices as well as increasing European bond prices resulting from weak economic data.

In April, the Fund’s managed futures strategy resulted in negative returns. The Fund’s allocation to the bond and metal markets yielded losses amidst changing global monetary policies and fluctuating oil prices. The Fund’s positions in the grains sector also produced negative results. In particular, the Fund’s short positions in soybean meal suffered, as soybean prices rose as a result of the weakening U.S. dollar and bullish Chinese export data. The Fund’s allocation to the metals market, particularly long positions in Comex gold and silver, produced positive returns for the month, as metals saw strong gains throughout April.

Fund results for 1st Quarter 2016:

In March, the Fund’s managed futures strategy yielded negative results. The Fund’s allocation to the energy sector produced losses as the Fund’s short positions lost ground on rising oil prices in the month. The rise in oil prices also helped to rally the Hang Seng China Enterprises Index, generating a loss for the Fund’s short positions. The Fund’s long positions in bonds also produced negative results as a result of general rout in global bond prices. The Fund’s allocation to the agricultural market produced negative results, although its positions in London Commodity Exchange sugar helped to partially offset these losses by yielding positive returns. The Fund’s allocation to the currencies sector proved to be the sole positive performing sector for the month, with the Australian dollar trading at its highest level in recent weeks on better than expected economic data.

In February, the Fund’s managed futures strategy produced positive returns. The Fund’s allocation to the bonds market generated strong positive returns as bond prices advanced on fears of a global slowdown. The Fund’s positions in the energy sector also produced positive results, as the Fund’s long and short positions took advantage of volatile oil prices. The agricultural sector also produced positive returns for the Fund, as the Fund’s short positions in Chicago Board of Trade soybean meal benefitted from declining sales in the soybean market. The Fund’s positions in the currencies markets produced negative results as positions in the Japanese yen lost value as a result of stimulus measures imposed by the Bank of Japan.

In January, the Fund’s managed futures strategy yielded negative results. The Fund’s positions in indices generated losses, as global stock indices were negatively affected by a sell-off in China which spurred a stock market slump worldwide. The Fund’s allocation to the agricultural sector also produced negative returns, as the Fund’s long positions in cocoa suffered due to increased supplies, weaker demand and favorable weather for production. The Fund’s allocation to the bonds sector helped to partially offset these losses, producing positive returns as bond prices advanced.

Off-Balance Sheet Risk

The term “off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in a future obligation or loss. The Fund trades in futures and forward contracts and is therefore a party to financial instruments with elements of off-balance sheet market and credit risk. In entering into these contracts, there exists a market risk that such contracts may be significantly influenced by conditions, such as interest rate volatility, resulting in such contracts being less valuable. If the markets should move against all of the futures 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%.

 

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

Off-Balance Sheet Arrangements

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

Contractual Obligations

The Fund does not enter into contractual obligations or commercial commitments to make future payments of a type that would be typical for an operating company. The 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 December 31, 2017 and December 31, 2016.

Use of Estimates

The preparation of financial statements in conformity with U.S. GAAP requires 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. Management assesses the levels of the investments at each measurement date and has determined that there are no significant estimates.

Critical Accounting Policies – Valuation of the Fund’s Positions

Superfund Capital Management believes that the accounting policies that are 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 are exchange-traded futures contracts, which are valued daily at settlement prices published by the exchanges. Any forward foreign currency contracts held by the Fund are 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 are valued on a daily basis using objective measures.

Recently Adopted and/or Issued Accounting Pronouncements

ASU 2016-01

In January 2016, FASB issued ASU No. 2016-01, Financial Instruments – Overall (Subtopic 825-10) Recognition and Measurement of Financial Assets and Liabilities (“ASU 2016-01”). The amendments in ASU 2016-01 affect any entity that holds financial assets or owes financials liabilities. The guidance is effective for fiscal years beginning after December 15, 2017. The Fund adopted ASU 2016-01 as of January 1, 2018, and the adoption did not have a material impact on its financial statements.

Item 7A. Quantitative and Qualitative Disclosures about Market Risk.

Not required.

Item 8. Financial Statements and Supplementary Data.

Financial statements appear beginning on page 18 of this report. Supplementary data is not required.

Item 9. Changes in and Disagreements with Accountants on Accounting and Financial Disclosure.

None.

 

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Item 9A. Controls and Procedures.

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 annual report, and, based on their evaluation, have concluded that these disclosure controls and procedures are effective. There were no changes in Superfund Capital Management’s internal controls with respect to each Series individually, as well as the Fund as a whole, or in other factors applicable to each Series individually, as well as the Fund as a whole, that could materially affect these controls subsequent to the date of their evaluation.

Changes in Internal Control over Financial Reporting

Section 404 of the Sarbanes-Oxley Act of 2002 requires Superfund Capital Management to evaluate annually the effectiveness of its internal controls over financial reporting with respect to each Series individually, as well as the Fund as a whole, as of the end of each fiscal year, and to include in all annual reports a management report assessing the effectiveness of its internal control over financial reporting as defined in Rules 13a-15(f) and 15d-15(f) under the Securities Exchange Act. There were no changes in Superfund Capital Management’s internal control over financial reporting during the quarter-ended December 31, 2017 that have materially affected, or are reasonably likely to materially affect, Superfund Capital Management’s internal control over financial reporting.

Management’s Annual Report on Internal Control over Financial Reporting

Superfund Capital Management is responsible for establishing and maintaining adequate internal control over the financial reporting of each Series individually, as well as the Fund as a whole. Internal control over financial reporting is defined in Rules 13a-15(f) and 15d-15(f) under the Securities Exchange Act as a process designed by, or under the supervision of, a company’s principal executive and principal financial officers and effected by a company’s board of directors, management and other personnel to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with U.S. GAAP. Superfund Capital Management’s internal control over financial reporting includes those policies and procedures that:

 

•

pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of each Series individually, as well as the Fund as a whole;

 

•

provide reasonable assurance that transactions are recorded as necessary to permit preparation of each Series’, as well as the Fund’s, financial statements in accordance with U.S. GAAP, and that the receipts and expenditures of each Series individually, as well as the Fund as a whole, are being made only in accordance with authorizations of Superfund Capital Management’s management and directors; and

 

•

provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of the assets of each Series individually, as well as the Fund as a whole, that could have a material effect on the Series’ or the Fund’s financial statements.

Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements. Projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate.

The management of Superfund Capital Management assessed the effectiveness of its internal control over financial reporting with respect to each Series individually, as well as the Fund as a whole, as of December 31, 2017. In making this assessment, management used the criteria set forth by the Committee of Sponsoring Organizations of the Treadway Commission in Internal Control — Integrated Framework in 2013. Based on its assessment, management has concluded that, as of December 31, 2017, Superfund Capital Management’s internal control over financial reporting with respect to each Series individually, as well as the Fund as a whole, is effective based on those criteria.

The Rule 13a-14(a)/15d-14(a) Certification of Principal Executive Officer, Rule 13a-14(a)/15d-14(a) Certification of Principal Financial Officer, Section 1350 Certification of Principal Executive Officer and Section 1350 Certification of Principal Financial Officer, Exhibit 31.01, Exhibit 31.02, Exhibit 32.01 and Exhibit 32.02 hereto, respectively, are applicable with respect to each Series individually, as well as to the Fund as a whole.

Item 9B. Other Information.

There was no information required to be disclosed in a report on Form 8-K during the fourth quarter of 2017 that was not reported on Form 8-K.

 

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PART III

Item 10. Directors, Executive Officers and Corporate Governance.

Identification of Directors and Executive Officers

The Fund has no directors or executive officers. The Fund has no employees. It is managed by Superfund Capital Management in its capacity as general partner. Superfund Capital Management has been registered with the CFTC as a commodity pool operator since May 2001. Its main business address is Superfund Office Building, P.O. Box 1479, Grand Anse, St. George’s, Grenada, West Indies, (473) 439-2418. Superfund Capital Management’s directors and executive officers are as follows:

CRAIG BRANDAN SEAN LUCAS, age 36, was appointed as Managing Director of Superfund Capital Management on February 26, 2018. He has been registered with the National Futures Association (“NFA”) as an associate member and an associated person of Superfund Capital Management since March 1, 2018, and his registrations with the NFA as a principal and a swap associated person of Superfund Capital Management are currently pending. Mr. Lucas has been an employee of various affiliates of Superfund Capital Management since October 2006, except for a brief interruption of his tenure during which Mr. Lucas took time off work from December 2017 to February 2018. Mr. Lucas started as a Trader in October 2006, placing and checking orders to stock exchanges and FCM’s as well as working on market research. The job also involved operational risk assessment. This was with one of Superfund Capital Management’s affiliate companies named Superfund Trade Execution Limited which was an affiliate that handled order executions. Mr. Lucas rose in the Superfund Group of affiliated companies over the last 11 years to his current position. Mr. Lucas remained employed with Superfund Trade Execution Ltd until December 2010. He became Senior Trader in January 2011 with Superfund Brokerage Services, Inc. Mr. Lucas was registered with the NFA as an associate member and an associated person of Superfund Brokerage Services Inc. from August 2014 to December 2017, during which time he served as the Head of Trading and supervised all trading and execution operations for Superfund Brokerage Services, Inc. Mr. Lucas has extensive experience in trading operations and strategic planning. Mr. Lucas has been instrumental in organizing funds for the Superfund group of affiliated companies in several jurisdictions. Mr. Lucas possesses significant managerial experience and is highly experienced in working with people of different nationalities, cultures and languages. Mr. Lucas graduated, with honors, from the University Of Manchester, United Kingdom, in 2004 with a Bachelor’s Degree in Economics, specializing in Accounting & Finance. Mr. Lucas speaks French, English and Seychelles Creole, is a citizen of the Seychelles and a resident of Grenada, West Indies.

JIM JAMES DOUGLAS, age 40, was appointed Principal Financial Officer of Superfund Capital Management on March 8th, 2018. He has been registered with the NFA as an associate member and an associated person of Superfund Capital Management since August 15th, 2014, and as a swap associated person since August 18th, 2014. Mr. Douglas has been employed with Superfund Capital Management since April 2012, first as a Junior Trader then as an Assistant and Fund Accountant in the back-office department; he supervised all back-office operations from October 2014 to October 2015. Mr. Douglas graduated with honors from Alice Lloyd College in Kentucky, USA, in 2004 with a Bachelor’s Degree in Business, concentrating in Accounting. He further graduated from Keller Graduate School of Management in North Carolina, USA, in 2010, with a Master of Business Administration, concentrating in Accounting. Mr. Douglas is a citizen and resident of Grenada, West Indies.

CHRISTIAN BAHA, age 49, is Superfund Capital Management’s founder and ultimate sole owner. By December 1991, Mr. Baha began working independently to develop software for the technical analysis of financial data in Austria. In January 1995, Mr. Baha founded the first members of the Superfund group of affiliated companies specializing in managed futures funds and began to develop a worldwide distribution network. With profit sharing rights certificates, Mr. Baha launched an alternative investment vehicle for private investors. Launched on March 8, 1996, this product is called the Superfund Unternehmens-Beteiligungs-Aktiengesellschaft (Superfund Q-AG), and was formerly known as Quadriga Beteiligungs & Vermögens AG (Quadriga AG). In March 2003, a new generation of managed futures funds was internationally launched under the brand name “Superfund” and previously existing products have since been re-branded under this name. Simultaneously with the development of the Quadriga/Superfund group of affiliated companies, Mr. Baha founded the software company TeleTrader AG, which was listed on the Vienna Stock Exchange in March 2001. He was listed as a principal of Superfund Advisors, Inc., a CFTC registered commodity pool operator, from November 20, 2009 until November 26, 2011. He was registered as an associated person and listed as a principal of Superfund Asset Management, Inc., a CFTC registered introducing broker, effective as of July 23, 1999 and June 24, 1997, respectively, until it withdrew its registration on July 12, 2012. He was registered as an associated person and listed as a principal of Superfund Asset Management LLC, a CFTC registered introducing broker, effective as of June 11, 2012 and April 26, 2012, respectively, positions which he held until August 20, 2013. He has been listed as a principal of Superfund Capital Management since May 9, 2001. He was registered as an associated person of Superfund Capital Management on May 9, 2001 as well, however, such registration was subsequently withdrawn on February 17, 2009. Mr. Baha is listed as a principal of Superfund Capital Management because he indirectly, through holding companies, owns 100% of its equity securities. Mr. Baha was also listed as a principal of Superfund USA, Inc., a former broker dealer that was previously registered as a commodity pool operator with the CFTC from August 14, 2009 through September 4, 2010, from August 13, 2009 through September 4, 2010 because he is the sole owner of the foregoing entity. He is a graduate of the police academy in Vienna, Austria and studied at the Business University of Vienna, Austria. Mr. Baha is a citizen of Austria.

 

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Identification of Certain Significant Employees

None.

Family Relationships

None.

Business Experience

See “Identification of Directors and Executive Officers,” above.

Involvement in Certain Legal Proceedings

There has never been a material administrative, civil or criminal order, judgment, decree or finding against Superfund Capital Management or any of its directors, executive officers, promoters or control persons.

Code of Ethics

The Fund has no employees, officers or directors and is managed by Superfund Capital Management. Superfund Capital Management has adopted a code of ethics that applies to its principal executive officer, principal financial officer and its principal accounting officer. A copy of the code of ethics may be obtained at no charge by written request to the corporate secretary of Superfund Capital Management, Superfund Office Building, P.O. Box 1479, Grand Anse, St. George’s, Grenada, West Indies.

Board of Director Nominees

Not applicable.

Audit Committee Financial Expert

The Board of Directors of Superfund Capital Management, in its capacity as the audit committee for the Fund, has determined that Roman Gregorig qualifies as an “audit committee financial expert” in accordance with the applicable rules and regulations for the SEC. He is not independent of management.

Item 11. Executive Compensation.

The Fund has no employees, officers or directors and is managed by Superfund Capital Management. None of the directors or officers of Superfund Capital Management receive compensation from the Fund. Superfund Capital Management receives a monthly management fee of one-twelfth of 1.85% of month-end net assets (1.85% per annum) and a monthly fee of 25% of the aggregate cumulative appreciation (if any) in net asset value per Unit at the end of each month, exclusive of appreciation attributable to interest income. In addition, Superfund Brokerage Services, Inc., an affiliate of Superfund Capital Management, serves as the 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. An annual selling commission will be paid to Superfund USA, LLC (“Superfund USA”), an affiliate of Superfund Capital Management. The Units pay a commission of 4% of the month-end net asset value per Unit (1/12 of 4% per month); provided, however, the maximum cumulative selling commission per Unit sold pursuant to the Prospectus is 10% of the initial public offering price for such Unit. Each Series and Superfund USA were permitted to retain additional selling agents to assist with the placement of the Units. Units are no longer available for sale to the public. Superfund USA will pay all of the selling commission described above which it receives in respect of the Units sold by any additional selling agents to the additional selling agents that effected the sales.

Item 12. Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters.

Securities Authorized for Issuance Under Equity Compensation Plans

None.

Security Ownership of Certain Beneficial Owners

All of the Fund’s general partner interest is held by Superfund Capital Management.

 

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Security Ownership of Management

As of March 31, 2017, no Units were owned or held by officers of Superfund Capital Management. As of December 31, 2017, Superfund Capital Management owned 185.598 Units of Series A (non-voting), representing 6.13% of the total issued Units of Series A, and 222.064 Units of Series B (non-voting), representing 5.42% of the total issued Units of Series B, having a combined value of $ 506,122. Selling commissions over the 10% threshold in the amount of $6,850 were rebated to Superfund Capital Management during this period through the purchase of 6.6816 Units of Series A and selling commissions over the 10% threshold in the amount of $9,177 were rebated to Superfund Capital Management during this period through the purchase of 8.024 Units of Series B. See Note 6 of the audited financial statements. Superfund Capital Management did not make any other contributions to either Series during this period. Superfund Capital Management’s ownership of Units of Series A and Series B is included in the overall changes in capital activity reported in the Statements of Changes in Net Assets. Christian Baha is the ultimate beneficial holder of all of the equity of Superfund Capital Management.

Changes in Control

None.

Item 13. Certain Relationships And Related Transactions and Director Independence.

See “Item 10 Directors, Executive Officers and Corporate Governance,” “Item 11 Executive Compensation” and “Item 12 Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters.” In 2017, the Series A management fees totaled $62,910, the Series A selling commissions totaled $136,019 and the Series A brokerage commissions totaled $39,891. In 2017, the Series B management fees totaled $95,715, the Series B selling commissions totaled $206,953 and the Series B brokerage commissions totaled $98,741. In 2016, the Series A management fees totaled $121,417, the Series A selling commissions totaled $262,522 and the Series A brokerage commissions totaled $88,159. In 2016, the Series B management fees totaled $126,973, the Series B selling commissions totaled $274,534 and the Series B brokerage commissions totaled $139,005.

Item 14. Principal Accounting Fees And Services.

Audit Fees

The aggregate fees billed for professional services rendered by RSM US LLP in connection with its audit of the Fund’s financial statements, reviews of the financial statements included in the quarterly reports on Form 10-Q and other services normally provided in connection with statutory and regulatory filings or engagements for the years ended December 31, 2017 and December 31, 2016, were approximately $116,000 and $100,000, respectively.

Audit-Related Fees

There were no audit-related fees other than disclosed above for services rendered by RSM US LLP for the years ended December 31, 2017 and December 31, 2016.

Tax Fees

There were no fees for tax compliance, tax advice or tax planning rendered by RSM US LLP for the years ended December 31, 2017 and December 31, 2016.

All Other Fees

There were no other fees for products or services provided by RSM US LLP for the years ended December 31, 2017 and December 31, 2016.

Pre-Approval Policies

The Board of Directors and Audit Committee of Superfund Capital Management approved all of the services described above. The Board of Directors and Audit Committee have determined that the payments made to its independent accountants for these services are compatible with maintaining such auditors’ independence. The Board of Directors pre-approves all audit and non-audit services and all engagement fees and terms.

 

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PART IV

Item 15. Exhibits, Financial Statement Schedules.

 

(a)

The Following documents are filed as part of this report:

 

(1)

Financial Statements beginning on page 18 hereof.

 

(2)

Financial Statement Schedules:

Financial statement schedules have been omitted because they are not required or because equivalent information has been included in the financial statements or notes thereto.

 

(3)

Exhibits as required by Item 601 of Regulation S-K.

The following exhibits are included herewith.

 

Exhibit         Number		Description of Document
31.01		Rule 13a-14(a)/15d-14(a) Certification of Principal Executive Officer
31.02		Rule 13a-14(a)/15d-14(a) Certification of Principal Financial Officer
32.01		Section 1350 Certification of Principal Executive Officer
32.02		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

The following exhibits are incorporated by reference herein from the exhibit of the same description and number filed on April 12, 2013, with Amendment No. 1 to Superfund Green, L.P.’s Registration Statement on Form S-1 (File No. 333-184998).

3.01		Form of Sixth Amended and Restated Limited Partnership Agreement of Superfund Green, L.P.
10.02		Form of Subscription Agreement

The following exhibit is incorporated by reference herein from the exhibit of the same description and number filed on January 21, 2005, with Quadriga Superfund, L.P.’s Registration Statement on Form S-1 (Reg. No. 333-122229).

 

3.02		Certificate of Limited Partnership.

 

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Report of Independent Registered Public Accounting Firm

To the Partners

Superfund Green, L.P. – Series A and Superfund Green, L.P. – Series B

Opinion on the Financial Statements

We have audited the accompanying statements of assets and liabilities, including the consolidated condensed schedules of investments, of Superfund Green, L.P., Superfund Green, L.P. – Series A and Superfund Green, L.P. – Series B (collectively, the Funds) as of December 31, 2017 and 2016, the related statements of operations, changes in net assets and cash flows, for each of the two years in the period ended December 31, 2017, and the related notes (collectively referred to as the financial statements). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Funds as of December 31, 2017 and 2016, and the results of their operations and their cash flows for each of the two years in the period ended December 31, 2017, in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

/S/ RSM US LLP

We have served as the Funds’ auditor since 2013.

Chicago, Illinois

March 30, 2018

 

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SUPERFUND GREEN, L.P.

STATEMENTS OF ASSETS AND LIABILITIES

As of December 31, 2017 and December 31, 2016    

 

		December 31, 2017				December 31, 2016
ASSETS
Due from brokers		$	3,146,140			$	5,162,711
Unrealized appreciation on open forward contracts			—				25,475
Unrealized gain on futures contracts purchased			304,814				254,994
Unrealized gain on futures contracts sold			111,436				164,986
Cash			5,559,722				4,768,586
Total assets			9,122,112				10,376,752
LIABILITIES
Unrealized depreciation on open forward contracts			—				34,093
Unrealized loss on futures contracts purchased			103,106				211,351
Unrealized loss on futures contracts sold			99,629				145,611
Redemptions payable			166,865				1,180,571
Management fees payable			13,794				15,439
Fees payable			2,766				6,427
Total liabilities			386,160				1,593,492
NET ASSETS		$	8,735,952			$	8,783,260

See accompanying notes to financial statements.    

 

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SUPERFUND GREEN, L.P.

CONDENSED SCHEDULE OF INVESTMENTS

as of December 31, 2017

 

		Percentage of Net Assets				Fair Value
Futures Contracts Purchased
Currency			0.6	%		$	51,395
Energy			0.8				67,127
Financial			(0.6	)			(56,707	)
Food & Fiber			(0.2	)			(15,566	)
Indices			0.9				77,999
Metals			0.9				77,460
Total futures contracts purchased			2.4				201,708
Futures Contracts Sold
Currency			0.2				13,660
Energy			(0.4	)			(37,243	)
Financial			0.3				25,499
Food & Fiber			0.0	**			(816	)
Indices			0.2				18,185
Livestock			0.0	**			340
Metals			(0.1	)			(7,818	)
Total futures contracts sold			0.2				11,807
Total futures contracts, at fair value			2.6	%		$	213,515
Futures and Forward Contracts by Country Composition
Australia			0.0	**%		$	(3,670	)
Canada			0.0	**			(2,885	)
European Monetary Union			0.1				10,942
Great Britain			0.3				26,052
Japan			0.2				19,012
United States			1.8	*			159,128
Other			0.1				4,936
Total futures and forward contracts by country composition			2.5	%		$	213,515

 

*	No individual contract position constituted one percent or greater of net assets. Accordingly, the number of contracts and expiration dates are not presented.

**	Due to rounding – amount is less than 0.05%

See accompanying notes to financial statements.

 

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SUPERFUND GREEN, L.P.

CONDENSED SCHEDULE OF INVESTMENTS

as of December 31, 2016    

 

		Percentage of Net Assets				Fair Value
Forward contracts, at fair value
Unrealized appreciation on open forward contracts
Currency			0.3	%		$	25,475
Total unrealized appreciation on forward contracts			0.3				25,475
Unrealized depreciation on open forward contracts
Currency			(0.4	)			(34,093	)
Total unrealized depreciation on forward contracts			(0.4	)			(34,093	)
Total forward contracts, at fair value			(0.1	)%		$	(8,618	)
Futures Contracts Purchased
Currency			(0.4	)%		$	(35,971	)
Energy			0.4				34,774
Financial			1.1	*			93,546
Food & Fiber			(0.2	)			(17,290	)
Indices			0.5				43,062
Metals			(0.8	)			(74,478	)
Total futures contracts purchased			0.6				43,643
Futures Contracts Sold
Currency			0.2				16,460
Energy			(0.2	)			(13,920	)
Financial			(0.3	)			(26,976	)
Food & Fiber			0.1				7,644
Indices			(0.2	)			(20,077	)
Livestock			(0.5	)			(45,580	)
Metals			1.2	*			101,824
Total futures contracts sold			0.3				19,375
Total futures contracts, at fair value			0.9	%		$	63,018
Futures and Forward Contracts by Country Composition
Australia			0.0	**%		$	1,745
Canada			(0.1	)			(5,425	)
European Monetary Union			0.1				10,712
Great Britain			(0.1	)			(12,941	)
Japan			0.5				41,942
United States			(0.7	)			(64,154	)
Other			1.1				82,521
Total futures and forward contracts by country composition			0.8	%		$	54,400

 

*	No individual contract position constituted one percent or greater of net assets. Accordingly, the number of contracts and expiration dates are not presented.

**	Due to rounding – amount is less than 0.05%

See accompanying notes to financial statements.

 

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SUPERFUND GREEN, L.P.

STATEMENTS OF OPERATIONS

Years Ended December 31, 2017 and December 31, 2016    

 

		2017				2016
Investment Income
Interest income		$	26,389			$	5,791
Other income			6,153				—
Total investment income			32,542				5,791
Expenses
Selling commission			342,972				537,056
Management fee			158,625				248,390
Operating expenses			12,861				20,139
Other			21,294				29,583
Total expenses			535,752				835,168
Net investment loss		$	(503,210	)		$	(829,377	)
Realized and change in unrealized gain (loss) on investments
Net realized gain (loss) on futures and forward contracts		$	2,166,909			$	(1,984,219	)
Net change in unrealized appreciation (depreciation) on futures and forward contracts			159,117				(116,028	)
Brokerage commissions			(138,632	)			(227,164	)
Net gain (loss) on investments		$	2,187,394			$	(2,327,411	)
Net increase (decrease) in net assets from operations		$	1,684,184			$	(3,156,788	)

See accompanying notes to financial statements.    

 

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SUPERFUND GREEN, L.P.

STATEMENTS OF CHANGES IN NET ASSETS

Years Ended December 31, 2017 and December 31, 2016

 

		2017				2016
Increase (decrease) in net assets from operations
Net investment loss		$	(503,210	)		$	(829,377	)
Net realized gain (loss) on futures and forward contracts			2,166,909				(1,984,219	)
Net change in unrealized appreciation (depreciation) on futures and forward contracts			159,117				(116,028	)
Brokerage commissions			(138,632	)			(227,164	)
Net increase (decrease) in net assets from operations			1,684,184				(3,156,788	)
Capital Share transactions
Issuance of units			321,042				439,044
Redemption of units			(2,052,534	)			(4,439,736	)
Net increase (decrease) in net assets from capital share transactions			(1,731,492	)			(4,000,692	)
Net increase (decrease) in net assets			(47,308	)			(7,157,480	)
Net assets, beginning of year			8,783,260				15,940,740
Net assets, end of year		$	8,735,952			$	8,783,260

See accompanying notes to financial statements.    

 

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SUPERFUND GREEN, L.P.

STATEMENTS OF CASH FLOWS

Years Ended December 31, 2017 and December 31, 2016    

 

		2017				2016
Cash flows from operating activities
Net increase (decrease) in net assets from operations		$	1,684,184			$	(3,156,788	)
Adjustment to reconcile net increase (decrease) in net assets from operations to net cash provided by (used in) operating activities:
Changes in operating assets and liabilities:
(Increase) decrease in due from brokers			2,016,571				1,355,346
(Increase) decrease in unrealized appreciation on open forward contracts			25,475				(25,475	)
(Increase) decrease in futures contracts purchased			(158,065	)			39,701
Increase (decrease) in unrealized depreciation on open forward contracts			(34,093	)			34,093
(Increase) decrease in futures contracts sold			7,568				67,707
Increase (decrease) in management fees payable			(1,645	)			(9,773	)
Increase (decrease) in fees payable			(3,661	)			(4,230	)
Net cash provided by (used in) operating activities			3,536,334				(1,699,419	)
Cash flows from financing activities
Subscriptions, net of change in advanced subscriptions			321,042				439,044
Redemptions, net of change in redemptions payable			(3,066,240	)			(3,590,430	)
Net cash used in financing activities			(2,745,198	)			(3,151,386	)
Net increase (decrease) in cash			791,136				(4,850,805	)
Cash, beginning of year			4,768,586				9,619,391
Cash, end of year		$	5,559,722			$	4,768,586

See accompanying notes to financial statements.    

 

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SUPERFUND GREEN, L.P. – SERIES A

STATEMENTS OF ASSETS AND LIABILITIES

as of December 31, 2017 and December 31, 2016    

 

		December 31, 2017				December 31, 2016
ASSETS
Due from brokers		$	1,224,817			$	2,149,632
Unrealized appreciation on open forward contracts			—				4,792
Unrealized gain on futures contracts purchased			79,285				96,648
Unrealized gain on futures contracts sold			28,065				69,382
Cash			2,058,246				2,648,829
Total assets			3,390,413				4,969,283
LIABILITIES
Unrealized depreciation on open forward contracts			—				9,573
Unrealized loss on futures contracts purchased			25,178				84,541
Unrealized loss on futures contracts sold			29,848				57,076
Redemptions payable			27,170				1,150,674
Management fees payable			5,159				7,448
Fees payable			670				3,885
Total liabilities			88,025				1,313,197
NET ASSETS		$	3,302,388			$	3,656,086
Number of units			3,002.761				3,694.882
Net Asset Value per unit		$	1,099.78			$	989.50

See accompanying notes to financial statements.    

 

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SUPERFUND GREEN, L.P. – SERIES A

CONDENSED SCHEDULE OF INVESTMENTS

as of December 31, 2017    

 

		Percentage of Net Assets				Fair Value
Futures contracts purchased
Currency			0.4	%		$	14,668
Energy			0.5				16,418
Financial			(0.5	)			(15,601	)
Food & Fiber			(0.1	)			(4,093	)
Indices			0.7				23,490
Metals			0.6				19,225
Total futures contracts purchased			1.6				54,107
Futures contracts sold
Currency			0.1				3,866
Energy			(0.4	)			(12,562	)
Financial			0.2				8,110
Food & Fiber			(0.1	)			(3,850	)
Indices			0.3				5,018
Metals			(0.1	)			(2,365	)
Total futures contracts sold			0.0				(1,783	)
Total futures contracts, at fair value			1.6	%		$	52,324
Futures and Forward Contracts by Country Composition
Australia			0.0	**%		$	(1,003	)
Canada			0.0	**			(409	)
European Monetary Union			0.1				3,433
Great Britain			0.2				6,115
Japan			0.2				6,873
United States			1.0	*			34,994
Other			0.1				2,321
Total futures and forward contracts by country composition			1.6	%		$	52,324

 

*	No individual contract position constituted one percent or greater of net assets. Accordingly, the number of contracts and expiration dates are not presented.

**	Due to rounding – amount is less than 0.05%

See accompanying notes to financial statements.

 

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SUPERFUND GREEN, L.P. – SERIES A

CONDENSED SCHEDULE OF INVESTMENTS

as of December 31, 2016    

 

		Percentage of Net Assets				Fair Value
Forward contracts, at fair value
Unrealized appreciation on open forward contracts
Currency			0.1	%		$	4,792
Total unrealized appreciation on forward contracts			0.1				4,792
Unrealized depreciation on open forward contracts
Currency			(0.2	)			(9,573	)
Total unrealized depreciation on forward contracts			(0.2	)			(9,573	)
Total forward contracts, at fair value			(0.1	)%		$	(4,781	)
Futures contracts purchased
Currency			(0.4	)%		$	(13,680	)
Energy			0.3				10,380
Financial			1.0	*			34,827
Food & Fiber			(0.2	)			(6,327	)
Indices			0.7				24,618
Metals			(1.0	)*			(37,711	)
Total futures contracts purchased			0.4				12,107
Futures contracts sold
Currency			0.1				5,019
Energy			(0.2	)			(5,710	)
Financial			(0.3	)			(9,766	)
Food & Fiber			0.1				4,530
Indices			(0.2	)			(8,401	)
Livestock			(0.4	)			(18,160	)
Metals			1.2	*			44,794
Total futures contracts sold			0.3				12,306
Total futures contracts, at fair value			0.7	%		$	24,413
Futures and Forward Contracts by Country Composition
Australia			(0.0	)**%		$	(801	)
Canada			0.0	**			290
European Monetary Union			0.1				3,300
Great Britain			(0.1	)			(5,471	)
Japan			0.5				22,931
United States			(0.8	)			(28,600	)
Other			0.8				27,983
Total futures and forward contracts by country composition			0.5	%		$	19,632

 

*	No individual contract position constituted one percent or greater of net assets. Accordingly, the number of contracts and expiration dates are not presented.

**	Due to rounding – amount is less than 0.05%

See accompanying notes to financial statements.

 

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SUPERFUND GREEN, L.P. – SERIES A

STATEMENTS OF OPERATIONS

Years Ended December 31, 2017 and December 31, 2016    

 

		2017				2016
Investment Income
Interest income		$	9,452			$	2,447
Other income			3,500				—
Total investment income			12,952				2,447
Expenses
Selling commission			136,019				262,522
Management fee			62,910				121,417
Operating expenses			5,100				9,844
Other			7,555				13,829
Total expenses			211,584				407,612
Net investment loss		$	(198,632	)		$	(405,165	)
Realized and change in unrealized gain (loss) on investments
Net realized gain (loss) on futures and forward contracts		$	555,586			$	(809,248	)
Net change in unrealized appreciation (depreciation) on futures and forward contracts			32,693				(41,294	)
Brokerage commissions			(39,891	)			(88,159	)
Net gain (loss) on investments		$	548,388			$	(938,701	)
Net increase (decrease) in net assets from operations		$	349,756			$	(1,343,866	)
Net increase (decrease) in net assets from operations per unit (based upon weighted average number of units outstanding during year)*		$	108.39			$	(238.77	)
Net increase (decrease) in net assets from operations per unit (based upon change in net asset value per unit during year)		$	110.28			$	(232.76	)

 

*	Weighted average number of Units outstanding for Series A for the Years Ended December 31, 2017 and December 31, 2016: 3,226.87 and 5,628.22, respectively.

See accompanying notes to financial statements.

 

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SUPERFUND GREEN, L.P. – SERIES A

STATEMENTS OF CHANGES IN NET ASSETS

Years Ended December 31, 2017 and December 31, 2016

 

		2017				2016
Increase (decrease) in net assets from operations
Net investment loss		$	(198,632	)		$	(405,165	)
Net realized gain (loss) on futures and forward contracts			555,586				(809,248	)
Net change in unrealized appreciation (depreciation) on futures and forward contracts			32,693				(41,294	)
Brokerage commissions			(39,891	)			(88,159	)
Net increase (decrease) in net assets from operations			349,756				(1,343,866	)
Capital Share transactions
Issuance of units			129,842				198,833
Redemption of units			(833,296	)			(3,066,390	)
Net increase (decrease) in net assets from capital share transactions			(703,454	)			(2,867,557	)
Net increase (decrease) in net assets			(353,698	)			(4,211,423	)
Net assets, beginning of year			3,656,086				7,867,509
Net assets, end of year		$	3,302,388			$	3,656,086
Units, beginning of year			3,694.882				6,436.862
Issuance of units			127.146				175.325
Redemption of units			(819.267	)			(2,917.305	)
Units, end of year			3,002.761				3,694.882

See accompanying notes to financial statements.    

 

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SUPERFUND GREEN, L.P. – SERIES A

STATEMENTS OF CASH FLOWS

Years Ended December 31, 2017 and December 31, 2016    

 

		2017				2016
Cash flows from operating activities
Net increase (decrease) in net assets from operations		$	349,756			$	(1,343,866	)
Adjustment to reconcile net increase (decrease) in net assets from operations to net cash provided by (used in) operating activities:
Changes in operating assets and liabilities:
(Increase) decrease in due from brokers			924,815				495,859
(Increase) decrease in unrealized appreciation on open forward contracts			4,792				(4,792	)
(Increase) decrease in futures contracts purchased			(42,000	)			22,109
Increase (decrease) in unrealized depreciation on open forward contracts			(9,573	)			9,573
(Increase) decrease in futures contracts sold			14,089				14,405
Increase (decrease) in management fees payable			(2,289	)			(5,101	)
Increase (decrease) in fees payable			(3,215	)			(3,417	)
Net cash provided by (used in) operating activities			1,236,375				(815,230	)
Cash flows from financing activities
Subscriptions, net of change in advanced subscriptions			129,842				198,833
Redemptions, net of change in redemptions payable			(1,956,800	)			(2,147,334	)
Net cash used in financing activities			(1,826,958	)			(1,948,501	)
Net increase (decrease) in cash			(590,583	)			(2,763,731	)
Cash, beginning of year			2,648,829				5,412,560
Cash, end of year		$	2,058,246			$	2,648,829

See accompanying notes to financial statements.    

 

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SUPERFUND GREEN, L.P. – SERIES B

STATEMENTS OF ASSETS AND LIABILITIES

as of December 31, 2017 and December 31, 2016

 

		December 31, 2017				December 31, 2016
ASSETS
Due from brokers		$	1,921,323			$	3,013,079
Unrealized appreciation on open forward contracts			—				20,683
Unrealized gain on futures contracts purchased			225,529				158,346
Unrealized gain on futures contracts sold			83,371				95,604
Cash			3,501,476				2,119,757
Total assets			5,731,699				5,407,469
LIABILITIES
Unrealized depreciation on open forward contracts			—				24,520
Unrealized loss on futures contracts purchased			77,928				126,810
Unrealized loss on futures contracts sold			69,781				88,535
Redemptions payable			139,695				29,897
Management fees payable			8,635				7,991
Fees payable			2,096				2,542
Total liabilities			298,135				280,295
NET ASSETS		$	5,433,564			$	5,127,174
Number of units			3,995.325				4,887.522
Net Asset Value per unit		$	1,359.98			$	1,049.03

See accompanying notes to financial statements.    

 

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SUPERFUND GREEN, L.P. – SERIES B

CONDENSED SCHEDULE OF INVESTMENTS

as of December 31, 2017

 

		Percentage of Net Assets				Fair Value
Futures contracts purchased
Currency			0.7	%		$	36,727
Energy			0.9				50,709
Financial			(0.8	)			(41,106	)
Food & Fiber			(0.2	)			(11,473	)
Indices			1.0	*			54,509
Metals			1.1	*			58,235
Total futures contracts purchased			2.7				147,601
Futures contracts sold
Currency			0.2				9,794
Energy			(0.4	)			(24,681	)
Financial			0.3				17,389
Food & Fiber			0.1				3,034
Indices			0.2				13,167
Livestock			0.0	**			340
Metals			(0.1	)			(5,453	)
Total futures contracts sold			0.3				13,590
Total futures contracts, at fair value			3.0	%		$	161,191
Futures and Forward Contracts by Country Composition
Australia			0.0	**%		$	(2,667	)
Canada			0.0	**			(2,476	)
European Monetary Union			0.1				7,509
Great Britain			0.4				19,937
Japan			0.2				12,139
United States			2.3	*			124,134
Other			0.0	**			2,615
Total futures and forward contracts by country composition			3.0	%		$	161,191

 

*	No individual contract position constituted one percent or greater of net assets. Accordingly, the number of contracts and expiration dates are not presented.

**	Due to rounding – amount is less than 0.05%

See accompanying notes to financial statements.

 

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SUPERFUND GREEN, L.P. – SERIES B

CONDENSED SCHEDULE OF INVESTMENTS

as of December 31, 2016

 

		Percentage of Net Assets				Fair Value
Forward contracts, at fair value
Unrealized appreciation on open forward contracts
Currency			0.4	%		$	20,683
Total unrealized appreciation on forward contracts			0.4				20,683
Unrealized depreciation on open forward contracts
Currency			(0.5	)			(24,520	)
Total unrealized depreciation on forward contracts			(0.5	)			(24,520	)
Total forward contracts, at fair value			(0.1	)%		$	(3,837	)
Futures contracts purchased
Currency			(0.4	)%		$	(22,291	)
Energy			0.5				24,394
Financial			1.1	*			58,719
Food & Fiber			(0.2	)			(10,963	)
Indices			0.4				18,444
Metals			(0.7	)			(36,767	)
Total futures contracts purchased			0.7				31,536
Futures contracts sold
Currency			0.2				11,441
Energy			(0.2	)			(8,210	)
Financial			(0.3	)			(17,210	)
Food & Fiber			0.1				3,114
Indices			(0.2	)			(11,676	)
Livestock			(0.6	)			(27,420	)
Metals			1.1	*			57,030
Total futures contracts sold			0.1				7,069
Total futures contracts, at fair value			0.8	%		$	38,605
Futures and Forward Contracts by Country Composition
Australia			0.0	**%		$	2,546
Canada			(0.1	)			(5,715	)
European Monetary Union			0.1				7,412
Great Britain			(0.1	)			(7,470	)
Japan			0.4				19,011
United States			(0.7	)			(35,554	)
Other			1.1	*			54,538
Total futures and forward contracts by country composition			0.7	%		$	34,768

 

*	No individual contract position constituted one percent or greater of net assets. Accordingly, the number of contracts and expiration dates are not presented.

**	Due to rounding – amount is less than 0.05%

See accompanying notes to financial statements.

 

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SUPERFUND GREEN, L.P. – SERIES B

STATEMENTS OF OPERATIONS

Years Ended December 31, 2017 and December 31, 2016

 

		2017				2016
Investment Income
Interest income		$	16,937			$	3,344
Other income			2,653				—
Total investment income			19,590				3,344
Expenses
Selling commission			206,953				274,534
Management fee			95,715				126,973
Operating expenses			7,761				10,295
Other			13,739				15,754
Total expenses			324,168				427,556
Net investment loss		$	(304,578	)		$	(424,212	)
Realized and change in unrealized gain (loss) on investments
Net realized gain (loss) on futures and forward contracts		$	1,611,323			$	(1,174,971	)
Net change in unrealized appreciation (depreciation) on futures and forward contracts			126,424				(74,734	)
Brokerage commissions			(98,741	)			(139,005	)
Net gain (loss) on investments		$	1,639,006			$	(1,388,710	)
Net increase (decrease) in net assets from operations		$	1,334,428			$	(1,812,922	)
Net increase (decrease) in net assets from operations per unit (based upon weighted average number of units outstanding during year)*		$	305.04			$	(337.83	)
Net increase (decrease) in net assets from operations per unit (based upon change in net asset value per unit during year)		$	310.95			$	(343.10	)

 

*	Weighted average number of Units outstanding for Series B for the Years Ended December 31, 2017 and December 31, 2016: 4,374.54 and 5,366.30, respectively.

See accompanying notes to financial statements.

 

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SUPERFUND GREEN, L.P. – SERIES B

STATEMENTS OF CHANGES IN NET ASSETS

Years Ended December 31, 2017 and December 31, 2016

 

		2017				2016
Increase (decrease) in net assets from operations
Net investment loss		$	(304,578	)		$	(424,212	)
Net realized gain (loss) on futures and forward contracts			1,611,323				(1,174,971	)
Net change in unrealized appreciation (depreciation) on futures and forward contracts			126,424				(74,734	)
Brokerage commissions			(98,741	)			(139,005	)
Net increase (decrease) in net assets from operations			1,334,428				(1,812,922	)
Capital Share transactions
Issuance of units			191,200				240,211
Redemption of units			(1,219,238	)			(1,373,346	)
Net increase (decrease) in net assets from capital share transactions			(1,028,038	)			(1,133,135	)
Net increase (decrease) in net assets			306,390				(2,946,057	)
Net assets, beginning of year			5,127,174				8,073,231
Net assets, end of year		$	5,433,564			$	5,127,174
Units, beginning of year			4,887.522				5,799.188
Issuance of units			168.964				187.325
Redemption of units			(1,061.161	)			(1,098.991	)
Units, end of year			3,995.325				4,887.522

See accompanying notes to financial statements.    

 

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SUPERFUND GREEN, L.P. – SERIES B

STATEMENTS OF CASH FLOWS

Years Ended December 31, 2017 and December 31, 2016

 

		2017				2016
Cash flows from operating activities
Net increase (decrease) in net assets from operations		$	1,334,428			$	(1,812,922	)
Adjustment to reconcile net increase (decrease) in net assets from operations to net cash provided by (used in) operating activities:
Changes in operating assets and liabilities:
(Increase) decrease in due from brokers			1,091,756				859,487
(Increase) decrease in unrealized appreciation on open forward contracts			20,683				(20,683	)
Increase (decrease) in futures contracts purchased			(116,065	)			17,592
Increase (decrease) in unrealized depreciation on open forward contracts			(24,520	)			24,520
Increase (decrease) in futures contracts sold			(6,521	)			53,302
Increase (decrease) in management fees payable			644				(4,672	)
Increase (decrease) in fees payable			(446	)			(813	)
Net cash provided by (used in) operating activities			2,299,959				(884,189	)
Cash flows from financing activities
Subscriptions, net of change in advanced subscriptions			191,200				240,211
Redemptions, net of change in redemptions payable			(1,109,440	)			(1,443,096	)
Net cash used in financing activities			(918,240	)			(1,202,885	)
Net increase (decrease) in cash			1,381,719				(2,087,074	)
Cash, beginning of year			2,119,757				4,206,831
Cash, end of year		$	3,501,476			$	2,119,757

See accompanying notes to 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 FINANCIAL STATEMENTS

December 31, 2017

 

(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 of America (“U.S.”) and international commodity futures markets using a fully-automated computerized trading system. The Fund has issued two classes of Units, Series A and Series B (the “Series”). The two Series are traded and managed the same way except for the degree of leverage.

The term of the Fund shall continue until December 31, 2050, unless terminated earlier by the 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

 

(a)

Basis of Presentation

Pursuant to rules and regulations of the Securities and Exchange Commission (“SEC”), audited financial statements are prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and presented for the Fund as a whole, as the SEC registrant, and for Series A and Series B individually. For the avoidance of doubt, the debts, liabilities, obligations and expenses incurred, contracted for or otherwise existing with respect to a particular Series shall be enforceable only against the assets of such Series and not against the assets of the Fund generally or any other Series. Accordingly, the assets of one Series of the Fund include only those funds and other assets that are paid to, held by or distributed to the Fund on account of and for the benefit of that Series, including, without limitation, funds delivered to the Fund for the purchase of Units in that Series.

 

(b)

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.

 

(c)

Cash and Translation of Foreign Currency

The Fund maintains cash deposits with financial institutions in amounts that are in excess of the coverage limits adopted by the Federal Deposit Insurance Corporation. The Fund does not, however, believe it is exposed to significant credit risk on these holdings.

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 change in unrealized gain (loss) on investments in the statements of operations.

 

(d)

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 assets and liabilities as gross unrealized gain or loss, and any change in that amount from the prior period is reflected in the accompanying statement of operations. 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.

 

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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 December 31, 2017, Series A had on deposit $617,702 at ADM Investor Services, Inc., $3,238 at Merrill Lynch, Pierce, Fenner & Smith Inc. and $603,815 at INTL FCStone International Inc. As of December 31, 2017, Series B had on deposit $901,753 at ADM Investor Services, Inc., $4,597 at Merrill Lynch, Pierce, Fenner & Smith Inc. and $1,014,782 at INTL FCStone International Inc.

 

(e)

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 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, the Fund has determined no reserves for uncertain tax position are required to be recorded as a result of the application of ASC 740. The Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. As a result, no income tax liability or expense has been recorded in the accompanying financial statements. The Fund files federal and various state tax returns. The 2014 through 2017 tax years generally remain subject to examination by the U.S. federal and most state tax authorities.

 

(f)

Use of Estimates

The preparation of financial statements in conformity with U.S. GAAP requires 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.

 

(g)

Recently Adopted and/or Issued Accounting Pronouncements

ASU 2016-01

In January 2016, FASB issued ASU No. 2016-01, Financial Instruments – Overall (Subtopic 825-10) Recognition and Measurement of Financial Assets and Liabilities (“ASU 2016-01”). The amendments in ASU 2016-01 affect any entity that holds financial assets or owes financials liabilities. The guidance is effective for fiscal years beginning after December 15, 2017. Superfund Capital Management is evaluating the impact of ASU 2016-01 on the Fund’s financial statements and disclosures. The Fund adopted ASU 2016-01 as of January 1, 2018, and the adoption did not have a material impact on its financial statements.

 

(h)

Fair Value Measurements

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

 

 

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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. In determining fair value, the Fund separates its financial instruments into two categories: U.S. government securities and derivative contracts.

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. The Fund’s forward and swap positions are typically classified within level 2 of the fair value hierarchy.

Certain OTC derivatives traded in less liquid markets with limited pricing information, and the determination of fair value for these derivatives is inherently more difficult. Such instruments are classified within level 3 of the fair value hierarchy. Where the Fund does not have corroborating market evidence to support significant model inputs and cannot verify the model to market transactions, transaction price is initially used as the best estimate of fair value. Accordingly, when a pricing model is used to value such an instrument, the model is adjusted so that the model value at inception equals the transaction price. The valuations of these less liquid OTC derivatives are typically based on level 1 and/or level 2 inputs that can be observed in the market, as well as unobservable level 3 inputs. Subsequent to initial recognition, the Fund updates the level 1 and level 2 inputs to reflect observable market changes, with resulting gains and losses reflected within level 3. Level 3 inputs are only changed when corroborated by evidence such as similar market transactions, third-party pricing services and/or broker or dealer quotations, or other empirical market data. In circumstances where the Fund cannot verify the model value to market transactions, it is possible that a different valuation model could produce a materially different estimate of fair value. The Fund attempts to avoid holding less liquid OTC derivatives. However, once held, the market for any particular derivative contract could become less liquid during the holding period. There were no Level 3 holdings at December 31, 2017 or December 31, 2016 or during the periods then ended.

The following table summarizes the valuation of the Fund’s assets and liabilities measured at fair value on a recurring basis by the ASC 820 fair value hierarchy as of December 31, 2017:

Superfund Green, L.P.

 

		Balance December 31, 2017				Level 1				Level 2				Level 3
ASSETS
Unrealized appreciation on open forward contracts		$	—			$	—			$	—			$	—
Futures contracts sold			111,436				111,436				—				—
Futures contracts purchased			304,814				304,814				—				—
Total Assets Measured at Fair Value		$	416,250			$	416,250			$	—			$	—
LIABILITIES
Unrealized depreciation on open forward contracts		$	—			$	—			$	—			$	—
Futures contracts sold			99,629				99,629				—				—
Futures contracts purchased			103,106				103,106				—				—
Total Liabilities Measured at Fair Value		$	202,735			$	202,735			$	—			$	—

 

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Superfund Green, L.P. – Series A

 

		Balance December 31, 2017				Level 1				Level 2				Level 3
ASSETS
Unrealized appreciation on open forward contracts		$	—			$	—			$	—			$	—
Futures contracts sold			28,065				28,065				—				—
Futures contracts purchased			79,285				79,285				—				—
Total Assets Measured at Fair Value		$	107,350			$	107,350			$	—			$	—
LIABILITIES
Unrealized depreciation on open forward contracts		$	—			$	—			$	—			$	—
Futures contracts sold			29,848				29,848				—				—
Futures contracts purchased			25,178				25,178				—				—
Total Liabilities Measured at Fair Value		$	55,026			$	55,026			$	—			$	—

Superfund Green, L.P. – Series B

 

		Balance December 31, 2017				Level 1				Level 2				Level 3
ASSETS
Unrealized appreciation on open forward contracts		$	—			$	—			$	—			$	—
Futures contracts sold			83,371				83,371				—				—
Futures contracts purchased			225,529				225,529				—				—
Total Assets Measured at Fair Value		$	308,900			$	308,900			$	—			$	—
LIABILITIES
Unrealized depreciation on open forward contracts		$	—			$	—			$	—			$	—
Futures contracts sold			69,781				69,781				—				—
Futures contracts purchased			77,928				77,928				—				—
Total Liabilities Measured at Fair Value		$	147,709			$	147,709			$	—			$	—

 

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The following table summarizes the valuation of the Fund’s assets and liabilities measured at fair value on a recurring basis by the ASC 820 fair value hierarchy as of December 31, 2016:

Superfund Green, L.P.

 

		Balance December 31, 2016				Level 1				Level 2				Level 3
ASSETS
Unrealized appreciation on open forward contracts		$	25,475			$	—			$	25,475			$	—
Futures contracts sold			164,986				164,986				—				—
Futures contracts purchased			254,994				254,994				—				—
Total Assets Measured at Fair Value		$	445,455			$	419,980			$	25,475			$	—
LIABILITIES
Unrealized depreciation on open forward contracts		$	34,093			$	—			$	34,093			$	—
Futures contracts sold			145,611				145,611				—				—
Futures contracts purchased			211,351				211,351				—				—
Total Liabilities Measured at Fair Value		$	391,055			$	356,962			$	34,093			$	—

Superfund Green, L.P. – Series A

 

		Balance December 31, 2016				Level 1				Level 2				Level 3
ASSETS
Unrealized appreciation on open forward contracts		$	4,792			$	—			$	4,792			$	—
Futures contracts sold			69,382				69,382				—				—
Futures contracts purchased			96,648				96,648				—				—
Total Assets Measured at Fair Value		$	170,822			$	166,030			$	4,792			$	—
LIABILITIES
Unrealized depreciation on open forward contracts		$	9,573			$	—			$	9,573			$	—
Futures contracts sold			57,076				57,076				—				—
Futures contracts purchased			84,541				84,541				—				—
Total Liabilities Measured at Fair Value		$	151,190			$	141,617			$	9,573			$	—

Superfund Green, L.P. – Series B

 

		Balance December 31, 2016				Level 1				Level 2				Level 3
ASSETS
Unrealized appreciation on open forward contracts		$	20,683			$	—			$	20,683			$	—
Futures contracts sold			95,604				95,604				—				—
Futures contracts purchased			158,346				158,346				—				—
Total Assets Measured at Fair Value		$	274,633			$	253,950			$	20,683			$	—
LIABILITIES
Unrealized depreciation on open forward contracts		$	24,520			$	—			$	24,520			$	—
Futures contracts sold			88,535				88,535				—				—
Futures contracts purchased			126,810				126,810				—				—
Total Liabilities Measured at Fair Value		$	239,865			$	215,345			$	24,520			$	—

For the years ended December 31, 2017 and 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.

 

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(3)	Disclosure of derivative instruments and hedging activities

The Fund follows ASC 815, Disclosures about Derivative Instruments and Hedging Activities. 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 Statement of Operations for each Series.

The Fund engages in the speculative trading of forward contracts in currency and futures contracts in a wide range of commodities, including equity markets, interest rates, food and fiber, energy, livestock and metals. ASC 815 requires entities to recognize all derivatives instruments as either assets or liabilities at fair value in the statement of assets and liabilities. Investments in forward contracts and commodity futures contracts are recorded in the Statements of Assets and Liabilities as “unrealized appreciation or depreciation on open forward contracts and futures contracts purchased and futures contracts sold.” Since the derivatives held or sold by the Fund are for speculative trading purposes, the derivative instruments are not designated as hedging instruments under the provisions of ASC 815. Accordingly, all realized gains and losses, as well as any change in net unrealized gains or losses on open positions from the preceding period, are recognized as part of the Fund’s realized and change in unrealized gain (loss) on investments in the Statements of Operations.

Superfund Capital Management believes futures and forward unrealized gains and losses 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 December 31, 2017, is as follows:

 

Type of Instrument		Statement of Assets and Liabilities Location		Asset Derivatives at December 31, 2017				Liability Derivatives at December 31, 2017				Net
Futures contracts		Futures contracts purchased		$	304,814			$	(103,106	)			201,708
Futures contracts		Futures contracts sold			111,436				(99,629	)			11,807
Totals				$	416,250			$	(202,735	)		$	213,515

 

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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, 2016, is as follows:

 

Type of Instrument		Statement of Assets and Liabilities Location		Asset Derivatives at December 31, 2016		Liability Derivatives at December 31, 2016				Net
Foreign exchange contracts		Unrealized appreciation on open forward contracts		$25,475		$	—			$	25,475
Foreign exchange contracts		Unrealized depreciation on open forward contracts		—			(34,093	)			(34,093	)
Futures contracts		Futures contracts purchased		254,994			(211,351	)			43,643
Futures contracts		Futures contracts sold		164,986			(145,611	)			19,375
Totals				$445,455		$	(391,055	)		$	54,400

The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of December 31, 2017 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		$	98,331			$	—			$	—			$	98,331
INTL FCStone			115,184				—				—				115,184
Totals		$	213,515			$	—			$	—			$	213,515

The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of December 31, 2016 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		$	(62,704	)		$	—			$	—			$	(62,704	)
Merrill Lynch			117,104				—				—				117,104
Totals		$	54,400			$	—			$	—			$	54,400

Effects of derivative instruments on the Statement of Operations for the Year Ended December 31, 2017:

 

Derivatives not Designated as Hedging Instruments under ASC 815		Location of Gain on Derivatives in Statement of Operations		Net Realized Gain on Derivatives in Statement of Operations				Net Change in Unrealized Appreciation on Derivatives in Statement of Operations
Foreign exchange contracts		Net realized/unrealized gain (loss) on futures and forward contracts		$	23,848			$	8,619
Futures contracts		Net realized/unrealized gain (loss) on futures and forward contracts			2,143,061				150,498
Total				$	2,166,909			$	159,117

 

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Effects of derivative instruments on the Statement of Operations for the Year Ended December 31, 2016:

 

Derivatives not Designated as Hedging Instruments under ASC 815		Location of Loss on Derivatives in Statement of Operations		Net Realized Loss on Derivatives in Statement of Operations				Net Change in Unrealized Depreciation on Derivatives in Statement of Operations
Foreign exchange contracts		Net realized/unrealized loss on futures and forward contracts		$	(63,171	)		$	(8,620	)
Futures contracts		Net realized/unrealized loss on futures and forward contracts			(1,921,048	)			(107,408	)
Total				$	(1,984,219	)		$	(116,028	)

Superfund Green, L.P. gross and net unrealized gains and losses by long and short positions as of December 31, 2017:

 

		As of December 31, 2017
		Futures Contracts Purchased																Futures Contracts Sold
		Gains				% of Net Assets				Losses				% of Net Assets				Gains				% of Net Assets				Losses				% of Net Assets				Net Unrealized Gain (Loss) on Open Positions
Currency		$	51,395				0.6			$	—				—			$	18,884				0.2			$	(5,224	)			(0.1	)		$	65,055
Financial			5,595				0.1				(62,302	)			(0.7	)			29,936				0.3				(4,437	)			(0.1	)			(31,208	)
Food & Fiber			713				0.0	*			(16,279	)			(0.2	)			36,826				0.4				(37,642	)			(0.4	)			(16,382	)
Indices			102,526				1.2				(24,527	)			(0.3	)			23,260				0.3				(5,075	)			(0.1	)			96,184
Metals			77,460				0.9				—				—				463				0.0	*			(8,281	)			(0.1	)			69,642
Livestock			—				—				—				—				340				0.0	*			—				—				340
Energy			67,127				0.8				—				—				1,730				0.0	*			(38,973	)			(0.4	)			29,884
Totals		$	304,816				3.5			$	(103,108	)			(1.2	)		$	111,439				1.3			$	(99,632	)			(1.1	)		$	213,515

 

*	Due to rounding – amount is less than 0.05%

Superfund Green, L.P. gross and net unrealized gains and losses by long and short positions as of December 31, 2016:

 

		As of December 31, 2016
		Futures Contracts Purchased																Futures Contracts Sold
		Gains				% of Net Assets				Losses				% of Net Assets				Gains				% of Net Assets				Losses				% of Net Assets				Net Unrealized Gain (Loss) on Open Positions
Foreign Exchange		$	13,481				0.2			$	(14,738	)			(0.2	)		$	11,994				0.1			$	(19,355	)			(0.2	)		$	(8,618	)
Currency			2,976				0.0	*			(38,947	)			(0.4	)			20,015				0.2				(3,555	)			(0.0	)*			(19,511	)
Financial			105,659				1.2				(12,113	)			(0.1	)			1,789				0.0	*			(28,765	)			(0.3	)			66,570
Food & Fiber			13,543				0.2				(30,833	)			(0.4	)			28,124				0.3				(20,480	)			(0.2	)			(9,646	)
Indices			92,375				1.1				(49,313	)			(0.6	)			8,350				0.1				(28,427	)			(0.3	)			22,985
Metals			5,640				0.1				(80,118	)			(0.9	)			106,709				1.2				(4,885	)			(0.1	)			27,346
Livestock			—				—				—				—				—				—				(45,580	)			(0.5	)			(45,580	)
Energy			34,799				0.4				(25	)			(0.0	)*			—				—				(13,920	)			(0.2	)			20,854
Totals		$	268,473				3.1			$	(226,087	)			(2.6	)		$	176,981				2.0			$	(164,967	)			(1.9	)		$	54,400

 

*	Due to rounding – amount is less than 0.05%

 

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Superfund Green L.P. monthly contract volume: For the twelve months ended December 31, 2017, the monthly average futures and forward contracts bought was 1,658 and the monthly average futures and forward contracts sold was 493. For the twelve months ended December 31, 2016, the monthly average futures contracts bought was 1,826 and the monthly average futures contracts sold was 1,602.

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

 

		For the Year Ended December 31, 2017
		Net Realized Gains (Losses)				Change in Net Unrealized Gains (Losses)				Net Trading Gains (Losses)
Foreign Exchange		$	23,848			$	8,619			$	32,467
Currency			(133,277	)			84,566				(48,711	)
Financial			145,055				(97,777	)			47,278
Food & Fiber			(53,465	)			(6,737	)			(60,202	)
Indices			2,372,538				73,198				2,445,736
Metals			(129,164	)			42,296				(86,868	)
Livestock			(52,720	)			45,920				(6,800	)
Energy			(5,906	)			9,032				3,126
Total net trading gains in Statement of Operations		$	2,166,909			$	159,117			$	2,326,026

 

		For the Year Ended December 31, 2016
		Net Realized Gains (Losses)				Change in Net Unrealized Gains (Losses)				Net Trading Gains (Losses)
Foreign Exchange		$	(63,171	)		$	(8,618	)		$	(71,789	)
Currency			(562,974	)			79,612				(483,362	)
Financial			224,978				26,997				251,975
Food & Fiber			(187,222	)			(39,790	)			(227,012	)
Indices			23,696				(153,541	)			(129,845	)
Metals			(663,151	)			116,440				(546,711	)
Livestock			(95,670	)			(43,010	)			(138,680	)
Energy			(660,705	)			(94,118	)			(754,823	)
Total net trading losses in Statement of Operations		$	(1,984,219	)		$	(116,028	)		$	(2,100,247	)

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 December 31, 2017, is as follows:

 

Type of Instrument		Statement of Assets and Liabilities Location		Asset Derivatives at December 31, 2017				Liability Derivatives at December 31, 2017				Net
Futures contracts		Futures contracts purchased		$	79,285			$	(25,178	)		$	54,107
Futures contracts		Futures contracts sold			28,065				(29,848	)			(1,783	)
Totals				$	107,350			$	(55,026	)		$	52,324

 

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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, 2016, is as follows:

 

Type of Instrument		Statement of Assets and Liabilities Location		Asset Derivatives at December 31, 2016				Liability Derivatives at December 31, 2016				Net
Foreign exchange contracts		Unrealized appreciation on open forward contracts		$	4,792			$	—			$	4,792
Foreign exchange contracts		Unrealized depreciation on open forward contracts			—				(9,573	)			(9,573	)
Futures contracts		Futures contracts purchased			96,648				(84,541	)			12,107
Futures contracts		Futures contracts sold			69,382				(57,076	)			12,306
Totals				$	170,822			$	(151,190	)		$	19,632

The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of December 31, 2017 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		$	19,389			$	—			$	—			$	19,389
INTL FCStone			32,935				—				—				32,935
Totals		$	52,324			$	—			$	—			$	52,324

The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of December 31, 2016 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		$	(25,285	)		$	—			$	—			$	(25,285	)
Merrill Lynch			44,917				—				—				44,917
Totals		$	19,632			$	—			$	—			$	19,632

 

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Effects of derivative instruments on the Statement of Operations for the Year Ended December 31, 2017:

 

Derivatives not Designated as Hedging Instruments under ASC 815		Location of Gain on Derivatives in Statement of Operations		Net Realized Gain on Derivatives in Statement of Operations				Net Change in Unrealized Appreciation on Derivatives in Statement of Operations
Foreign exchange contracts		Net realized/unrealized gain (loss) on futures and forward contracts		$	7,153			$	4,781
Futures contracts		Net realized/unrealized gain (loss) on futures and forward contracts			548,433				27,912
Total				$	555,586			$	32,693

Effects of derivative instruments on the Statement of Operations for the Year Ended December 31, 2016:

 

Derivatives not Designated as Hedging Instruments under ASC 815		Location of Loss on Derivatives in Statement of Operations		Net Realized Loss on Derivatives in Statement of Operations				Net Change in Unrealized Depreciation on Derivatives in Statement of Operations
Foreign exchange contracts		Net realized/unrealized loss on futures and forward contracts		$	(22,124	)		$	(4,782	)
Futures contracts		Net realized/unrealized loss on futures and forward contracts			(787,124	)			(36,512	)
Total				$	(809,248	)		$	(41,294	)

Superfund Green, L.P. – Series A gross and net unrealized gains and losses by long and short positions as of December 31, 2017:

 

		As of December 31, 2017
		Futures Contracts Purchased																Futures Contracts Sold
		Gains				% of Net Assets				Losses				% of Net Assets				Gains				% of Net Assets				Losses				% of Net Assets				Net Unrealized Gain (Loss) on Open Positions
Currency		$	14,668				0.4			$	—				—			$	4,979				0.2			$	(1,113	)			(0.0	)*		$	18,534
Financial			1,865				0.1				(17,466	)			(0.5	)			8,110				0.2				—				—				(7,491	)
Food & Fiber			237				0.0	*			(4,330	)			(0.1	)			8,673				0.3				(12,523	)			(0.4	)			(7,943	)
Indices			26,872				0.8				(3,382	)			(0.1	)			6,303				0.2				(1,285	)			(0.0	)*			28,508
Metals			19,225				0.6				—				—				—				—				(2,365	)			(0.1	)			16,860
Energy			16,418				0.5				—				—				—				—				(12,562	)			(0.4	)			3,856
Totals		$	79,285				2.4			$	(25,178	)			(0.7	)		$	28,065				0.9			$	(29,848	)			(0.9	)		$	52,324

 

*	Due to rounding – amount is less than 0.05%

 

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Superfund Green, L.P. – Series A gross and net unrealized gains and losses by long and short positions as of December 31, 2016:

 

		As of December 31, 2016
		Futures Contracts Purchased																Futures Contracts Sold
		Gains				% of Net Assets				Losses				% of Net Assets				Gains				% of Net Assets				Losses				% of Net Assets				Net Unrealized Gain (Loss) on Open Positions
Foreign Exchange		$	1,557				0.0	*		$	(4,187	)			(0.1	)		$	3,235				0.1			$	(5,386	)			(0.1	)		$	(4,781	)
Currency			1,288				0.0	*			(14,968	)			(0.4	)			7,389				0.2				(2,370	)			(0.1	)			(8,661	)
Financial			37,316				1.0				(2,489	)			(0.1	)			750				0.0	*			(10,516	)			(0.3	)			25,061
Food & Fiber			5,428				0.1				(11,755	)			(0.3	)			11,771				0.3				(7,241	)			(0.2	)			(1,797	)
Indices			40,361				1.1				(15,743	)			(0.4	)			2,693				0.1				(11,094	)			(0.3	)			16,217
Metals			1,874				0.1				(39,585	)			(1.1	)			46,779				1.3				(1,985	)			(0.1	)			7,083
Livestock			—				—				—				—				—				—				(18,160	)			(0.5	)			(18,160	)
Energy			10,380				0.3				—				—				—				—				(5,710	)			(0.2	)			4,670
Totals		$	98,204				2.6			$	(88,727	)			(2.4	)		$	72,617				2.0			$	(62,462	)			(1.8	)		$	19,632

 

*	Due to rounding – amount is less than 0.05%

Series A monthly contract volume: For the twelve months ended December 31, 2017, the monthly average futures and forward contracts bought was 475 and the monthly average futures and forward contracts sold was 146. For the twelve months ended December 31, 2016, the monthly average futures contracts bought was 705 and the monthly average futures contracts sold was 627.

Series A trading results by market sector:

 

		For the Year Ended December 31, 2017
		Net Realized Gains (Losses)				Change in Net Unrealized Gains (Losses)				Net Trading Gains (Losses)
Foreign Exchange		$	7,153			$	4,781			$	11,934
Currency			(47,014	)			27,195				(19,819	)
Financial			28,548				(32,551	)			(4,003	)
Food & Fiber			(20,388	)			(6,148	)			(26,536	)
Indices			624,562				12,291				636,853
Metals			(39,560	)			9,777				(29,783	)
Livestock			(15,690	)			18,160				2,470
Energy			17,975				(812	)			17,163
Total net trading gains in Statement of Operations		$	555,586			$	32,693			$	588,279

 

		For the Year Ended December 31, 2016
		Net Realized Gains (Losses)				Change in Net Unrealized Gains (Losses)				Net Trading Gains (Losses)
Foreign Exchange		$	(22,124	)		$	(4,781	)		$	(26,905	)
Currency			(225,131	)			33,290				(191,841	)
Financial			88,433				6,157				94,590
Food & Fiber			(74,047	)			(9,198	)			(83,245	)
Indices			(36,803	)			(57,936	)			(94,739	)
Metals			(254,828	)			44,395				(210,433	)
Livestock			(29,480	)			(18,750	)			(48,230	)
Energy			(255,268	)			(34,471	)			(289,739	)
Total net trading losses in Statement of Operations		$	(809,248	)		$	(41,294	)		$	(850,542	)

 

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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 December 31, 2017, is as follows:

 

Type of Instrument		Statement of Assets and Liabilities Location		Asset Derivatives at December 31, 2017				Liability Derivatives at December 31, 2017				Net
Futures contracts		Futures contracts purchased		$	225,529			$	(77,928	)		$	147,601
Futures contracts		Futures contracts sold			83,371				(69,781	)			13,590
Totals				$	308,900			$	(147,709	)		$	161,191

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, 2016, is as follows:

 

Type of Instrument		Statement of Assets and Liabilities Location		Asset Derivatives at December 31, 2016				Liability Derivatives at December 31, 2016				Net
Foreign exchange contracts		Unrealized appreciation on open forward contracts		$	20,683			$	—			$	20,683
Foreign exchange contracts		Unrealized depreciation on open forward contracts			—				(24,520	)			(24,520	)
Futures contracts		Futures contracts purchased			158,346				(126,810	)			31,536
Futures contracts		Futures contracts sold			95,604				(88,535	)			7,069
Totals				$	274,633			$	(239,865	)		$	34,768

The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of December 31, 2017 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		$	78,942			$	—			$	—			$	78,942
INTL FCStone			82,249				—				—				82,249
Totals		$	161,191			$	—			$	—			$	161,191

The Fund’s financial assets, derivative assets and cash collateral held by counterparties as of December 31, 2016 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		$	(37,419	)		$	—			$	—			$	(37,419	)
Merrill Lynch			72,187				—				—				72,187
Totals		$	34,768			$	—			$	—			$	34,768

 

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Effects of derivative instruments on the Statement of Operations for the Year Ended December 31, 2017:

 

Derivatives not Designated as Hedging Instruments under ASC 815		Location of Gain on Derivatives in Statement Operations		Net Realized Gain on Derivatives in Statement Operations				Net Change in Unrealized Appreciation on Derivatives in Statement Operations
Foreign exchange contracts		Net realized/unrealized gain (loss) on futures and forward contracts		$	16,695			$	3,838
Futures contracts		Net realized/unrealized gain (loss) on futures and forward contracts			1,594,628				122,586
Total				$	1,611,323			$	126,424

Effects of derivative instruments on the Statement of Operations for the Year Ended December 31, 2016:

 

Derivatives not Designated as Hedging Instruments under ASC 815		Location of Loss on Derivatives in Statement Operations		Net Realized Loss on Derivatives in Statement Operations				Net Change in Unrealized Depreciation on Derivatives in Statement Operations
Foreign exchange contracts		Net realized/unrealized loss on futures and forward contracts		$	(41,047	)		$	(3,838	)
Futures contracts		Net realized/unrealized loss on futures and forward contracts			(1,133,924	)			(70,896	)
Total				$	(1,174,971	)		$	(74,734	)

Superfund Green, L.P. – Series B gross and net unrealized gains and losses by long and short positions as of December 31, 2017:

 

		As of December 31, 2017
		Futures Contracts Purchased																Futures Contacts Sold
		Gains				% of Net Assets				Losses				% of Net Assets				Gains				% of Net Assets				Losses				% of Net Assets				Net Unrealized Gain (Loss) on Open Positions
Currency		$	36,727				0.7			$	—				—			$	13,905				0.3			$	(4,111	)			(0.1	)		$	46,521
Financial			3,730				0.1				(44,836	)			(0.8	)			21,826				0.4				(4,437	)			(0.1	)			(23,717	)
Food & Fiber			474				0.0	*			(11,947	)			(0.2	)			28,150				0.5				(25,116	)			(0.5	)			(8,439	)
Indices			75,654				1.4				(21,145	)			(0.4	)			16,957				0.3				(3,790	)			(0.1	)			67,676
Metals			58,235				1.1				—				—				463				0.0	*			(5,916	)			(0.1	)			52,782
Livestock			—				—				—				—				340				0.0	*			—				—				340
Energy			50,709				0.9				—				—				1,730				0.0	*			(26,411	)			(0.5	)			26,028
Totals		$	225,529				4.2			$	(77,928	)			(1.4	)		$	83,371				1.5	%		$	(69,781	)			(1.4	)		$	161,191

 

*	Due to rounding – amount is less than 0.05%

 

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Superfund Green, L.P. – Series B gross and net unrealized gains and losses by long and short positions as of December 31, 2016:

 

		As of December 31, 2016
		Futures Contracts Purchased																Futures Contacts Sold
		Gains				% of Net Assets				Losses				% of Net Assets				Gains				% of Net Assets				Losses				% of Net Assets				Net Unrealized Gain (Loss) on Open Positions
Foreign Exchange		$	11,924				0.2			$	(10,551	)			(0.2	)		$	8,759				0.2			$	(13,969	)			(0.3	)		$	(3,837	)
Currency			1,688				0.0	*			(23,979	)			(0.5	)			12,626				0.2				(1,185	)			(0.0	)*			(10,850	)
Financial			68,343				1.3				(9,624	)			(0.2	)			1,039				0.0	*			(18,249	)			(0.4	)			41,509
Food & Fiber			8,115				0.2				(19,078	)			(0.4	)			16,353				0.3				(13,239	)			(0.3	)			(7,849	)
Indices			52,014				1.0				(33,570	)			(0.7	)			5,657				0.1				(17,333	)			(0.3	)			6,768
Metals			3,766				0.1				(40,533	)			(0.8	)			59,930				1.2				(2,900	)			(0.1	)			20,263
Livestock			—				—				—				—				—				—				(27,420	)			(0.5	)			(27,420	)
Energy			24,419				0.5				(25	)			(0.0	)*			—				—				(8,210	)			(0.2	)			16,184
Totals		$	170,269				3.3			$	(137,360	)			(2.8	)		$	104,364				2.0			$	(102,505	)			(2.1	)		$	34,768

 

*	Due to rounding – amount is less than 0.05%

Series B monthly contract volume: For the twelve months ended December 31, 2017, the monthly average futures and forward contracts bought was 1,183 and the monthly average futures and forward contracts sold was 347. For the twelve months ended December 31, 2016, the monthly average futures contracts bought was 1,121 and the monthly average futures contracts sold was 975.

Series B trading results by market sector:

 

		For the Year Ended December 31, 2017
		Net Realized Gains (Losses)				Change in Net Unrealized Gains (Losses)				Net Trading Gains (Losses)
Foreign Exchange		$	16,695			$	3,838			$	20,533
Currency			(86,263	)			57,371				(28,892	)
Financial			116,507				(65,226	)			51,281
Food & Fiber			(33,077	)			(589	)			(33,666	)
Indices			1,747,976				60,907				1,808,883
Metals			(89,604	)			32,519				(57,085	)
Livestock			(37,030	)			27,760				(9,270	)
Energy			(23,881	)			9,844				(14,037	)
Total net trading gains in Statement of Operations		$	1,611,323			$	126,424			$	1,737,747
		For the Year Ended December 31, 2016
		Net Realized Gains (Losses)				Change in Net Unrealized Gains (Losses)				Net Trading Gains (Losses)
Foreign Exchange		$	(41,047	)		$	(3,837	)		$	(44,884	)
Currency			(337,843	)			46,322				(291,521	)
Financial			136,545				20,840				157,385
Food & Fiber			(113,175	)			(30,592	)			(143,767	)
Indices			60,499				(95,605	)			(35,106	)
Metals			(408,323	)			72,045				(336,278	)
Livestock			(66,190	)			(24,260	)			(90,450	)
Energy			(405,437	)			(59,647	)			(465,084	)
Total net trading losses in Statement of Operations		$	(1,174,971	)		$	(74,734	)		$	(1,249,705	)

 

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(4)	Due from/to Brokers

Due from brokers consists of cash held at broker. Amounts due from brokers may be restricted to the extent that they serve as deposits for securities sold short. Amounts due to brokers represent margin borrowings that are collateralized by certain securities. As of December 31, 2017, 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.

 

(5)	Allocation of Net Profits and Losses

In accordance with the 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 December 31 for contributions of the subsequent month and do not participate in the earnings of the Fund until the following January.

 

(6)	Related Party Transactions

Superfund Capital Management shall be paid a management fee equal to one-twelfth of 1.85% of month-end net assets (1.85% per annum) of net assets, and monthly operating expenses equal to one-twelfth of 0.15% of month-end net assets (0.15% per annum), not to exceed the amount of actual expenses incurred. Superfund Capital Management will also be paid a monthly performance/incentive fee equal to 25% of the new appreciation without respect to interest income. Trading losses will be carried forward and no further performance/incentive fee may be paid until the prior losses have been recovered. In addition, Superfund Brokerage Services, Inc., an affiliate of Superfund Capital Management, serves as the introducing broker for the Fund’s futures transactions and receives a portion of the brokerage commissions paid by the Fund in connection with its futures trading. Superfund USA, an entity related to Superfund Capital Management by common ownership, shall be paid monthly selling commissions equal to one-twelfth of 4% (4% per annum) of the month-end net asset value of the Fund. However, the maximum cumulative selling commission per Unit is limited to 10% of the initial public offering price of Units sold. 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 statement of operations and amounts over the 10% selling commission threshold are rebated to the Limited Partner by purchasing Units of the Fund. For the year ended December 31, 2017, rebated selling commissions amounted to $129,842 for Series A and $191,200 for Series B.

As of December 31, 2017, Superfund Capital Management owned 185.598 Units of Series A, representing 6.13% of the total issued Units of Series A, and 222.064 Units of Series B, representing 5.42% of the total issued Units of Series B, having a combined value of $506,122. Selling commissions over the 10% threshold in the amount of $6,850 were rebated to Superfund Capital Management during this period through the purchase of 6.6816 Units of Series A and selling commissions over the 10% threshold in the amount of $9,177 were rebated to Superfund Capital Management during this period through the purchase of 8.024 Units of Series B. As of December 31, 2016, Superfund Capital Management owned 178.298 Units of Series A, representing 4.83% of the total issued Units of Series A, and 213.297 Units of Series B, representing 4.36% of the total issued Units of Series B, having a combined value of $401,907. Losses allocated to Units of Series A and Series B owned by Superfund Capital Management were $56,505 for the year ended December 31, 2016. Selling commissions over the 10% threshold in the amount of $10,752 were rebated to Superfund Capital Management during this period through the purchase of 8.423 Units of Series B. Superfund Capital Management did not make any contributions to either Series during the year ended December 31, 2017.

 

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(7)	Financial Highlights

Financial highlights for the year ended December 31, 2017, are as follows:

 

		SERIES A				SERIES B
Total return*
Total return before incentive fees			11.4	%			30.2	%
Incentive fees			0.0				0.0
Total return after incentive fees			11.4	%			30.2	%
Ratio to average partners’ capital
Operating expenses before incentive fees			(6.3	)%			(6.4	)%
Incentive fees			0.0				0.0
Total expenses			(6.3	)%			(6.4	)%
Net investment loss			(5.9	)%			(6.0	)%
Net asset value per unit, beginning of year		$	989.50			$	1,049.03
Net investment loss			(61.03	)			(69.18	)
Net gain on investments			171.31				380.13
Total gain from operations			110.28				310.95
Net asset value per unit, end of year		$	1,099.78			$	1,359.98

 

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

 

(1)	Operating expense before incentive fees do not include brokerage commissions.

 

(2)	Net Investment loss does not include the effect of brokerage commissions and net realized and change in unrealized gain (loss) on investments.

 

Other per Unit information:
Net increase (decrease) in net assets from operations per Unit (based upon weighted average Number of Units during year)		$	108.39			$	305.04
Net increase (decrease) in net assets from operations per Unit (based upon change in net asset value per Unit during year)		$	110.28			$	310.95

Financial highlights for the year ended December 31, 2016, are as follows:

 

		SERIES A				SERIES B
Total return*
Total return before incentive fees			(20.0	)%			(25.1	)%
Incentive fees			0.0				0.0
Total return after incentive fees			(20.0	)%			(25.1	)%

 

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Ratio to average partners’ capital
Operating expenses before incentive fees			(6.4	)%			(6.3	)%
Incentive fees			0.0				0.0
Total expenses			(6.4	)%			(6.3	)%
Net investment loss			(6.3	)%			(6.2	)%
Net asset value per unit, beginning of year		$	1,222.26			$	1,392.13
Net investment loss			(71.37	)			(78.76	)
Net loss on investments			(161.39	)			(264.34	)
Total loss from operations			(232.76	)			(343.10	)
Net asset value per unit, end of year		$	989.50			$	1,049.03

 

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

 

Other per Unit information:
Net increase (decrease) in net assets from operations per Unit (based upon weighted average Number of Units during year)		$	(238.77	)		$	(337.83	)
Net increase (decrease) in net assets from operations per Unit (based upon change in net asset value per Unit during year)		$	(232.76	)		$	(343.10	)

 

(8)	Reclassifications

Certain items for the year ended December 31, 2016 have been reclassified to conform to year end December 31, 2017 classifications with no effect on net asset classifications or changes in net assets.

 

(9)	Financial Instrument Risk

In the normal course of its business, the Fund is party to financial instruments with off-balance sheet risk, including derivative financial instruments and derivative commodity instruments. The term “off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in a future obligation or loss. These financial instruments may include forwards, futures and options, whose values are based upon an underlying asset, index or reference rate, and generally represent future commitments to exchange currencies or cash flows, to purchase or sell other financial instruments at specific terms at specific future dates, or, in the case of derivative commodity instruments, to have a reasonable possibility to be settled in cash, through physical delivery or with another financial instrument. These instruments may be traded on an exchange or OTC. Exchange traded instruments are standardized and include futures and certain option contracts. OTC contracts are negotiated between contracting parties and include forwards and certain options. Each of these instruments is subject to various risks similar to those related to the underlying financial instruments including market and credit risk. In general, the risks associated with OTC contracts are greater than those associated with exchange traded instruments because of the greater risk of default by the counterparty to an OTC contract.

For the Fund, gross unrealized gains and losses related to exchange traded futures were $416,250 and $202,735, respectively, at December 31, 2017. For the Fund, gross unrealized gains and losses related to exchange traded futures were $419,980 and $356,962, respectively, at December 31, 2016.

For Series A, gross unrealized gains and losses related to exchange traded futures were $ 107,350 and $ 55,026, respectively, at December 31, 2017. For Series A, gross unrealized gains and losses related to exchange traded futures were $166,030 and $141,617, respectively, at December 31, 2016.

 

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For Series B, gross unrealized gains and losses related to exchange traded futures were $ 308,900 and $ 147,709, respectively, at December 31, 2017. For Series B, gross unrealized gains and losses related to exchange traded futures were $253,950 and $215,345, respectively, at December 31, 2016.

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

Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. Credit risk with respect to exchange-traded instruments is reduced to the extent that an exchange or clearing organization acts as a counterparty to the transactions. The 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. (“ADMIS”) and Merrill Lynch, Pierce, Fenner & Smith Inc. (“Merrill Lynch”) and INTL FCStone Financial Inc.(“FCStone”).

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.

 

(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 withdrawal to Superfund Capital Management not less than five business days prior to the end of the month (or such shorter period as permitted by Superfund Capital Management) as of which redemption is to be effective. Redemptions will generally be paid within twenty days after the date of redemption. However, in special circumstances, including, but not limited to, inability to liquidate dealers’ positions as of a redemption date or default or delay in payments due to each Series from clearing brokers, banks or other persons or entities, each Series may in turn delay payment to persons requesting redemption of the proportionate part of the net assets of each Series represented by the sums that are the subject of such default or delay. The Fund’s prospectus provides “if the net asset value per Unit within a Series as of the end of any business day declines by 50% or more from either the prior year-end or the prior month-end Unit value of such Series, Superfund Capital Management will suspend trading activities, notify all Limited Partners within such Series of the relevant facts within seven business days and declare a special redemption period.”

 

(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 issued and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements.

 

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EXHIBIT INDEX

 

Exhibit Number		Description of Document
31.01		Rule 13a-14(a)/15d -14(a) Certification of Principal Executive Officer
31.02		Rule 13a-14(a)/15d-14(a) Certification of Principal Financial Officer
32.01		Section 1350 Certification of Principal Executive Officer
32.02		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

The following exhibits are incorporated by reference herein from the exhibits of the same description and number filed on April 12, 2013, with Amendment No. 1 to Superfund Green, L.P.’s Registration Statement on Form S-1 (File No. 333-184998).

 

3.01		Form of Sixth Amended and Restated Limited Partnership Agreement of Superfund Green, L.P.
10.02		Form of Subscription Agreement

The following exhibits are incorporated by reference herein from the exhibits of the same description and number filed on January 21, 2005, with Quadriga Superfund, L.P.’s Registration Statement on Form S-1 (Reg. No. 333-122229).

 

3.02		Certificate of Limited Partnership.

 

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SIGNATURES

Pursuant to the requirements of Section 13 or Section 15(d) of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized on March 30, 2018.

 

Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of Superfund Capital Management, the general partner of the registrant, and in the capacities and on the dates indicated.

 

Signature		Title with Superfund Capital Management		Date
/s/ Craig Lucas		Managing Director		March 30, 2018
Craig Lucas		(Principal Executive Officer)
/s/ Jim Douglas		Vice Head of Back Office		March 30, 2018
Jim Douglas		(Principal Financial Officer)

(Being the principal executive officer and the principal financial officer, and a majority of the board of directors of Superfund Capital Management)

 

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