XML 34 R24.htm IDEA: XBRL DOCUMENT v3.6.0.2
Derivative Instruments (Tables)
 12 Months Ended
Dec. 31, 2016
Derivative Instruments  
Summary of Fair Values of Derivative Instruments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Consolidated

 

Asset

 

Liability

 

 

 

 

 

Statements of Financial

 

Derivatives

 

Derivatives

 

 

 

 

    

Condition Location

   

12/31/2016

  

12/31/2016

    

Fair Value

 

 

 

 

 

 

 

 

 

 

 

 

Agricultural contracts

 

Net Unrealized gain (loss) on open futures contracts

 

$
121,013

 

$
(261,721)

 

$
(140,708)

 

 

 

 

 

 

 

 

 

 

 

 

Currencies contracts

 

Net Unrealized gain (loss) on open futures contracts

 

 
763,565

 

 
(345,781)

 

 
417,784

 

 

 

 

 

 

 

 

 

 

 

 

Energy contracts

 

Net Unrealized gain (loss) on open futures contracts

 

 
562,341

 

 
(18,461)

 

 
543,880

 

 

 

 

 

 

 

 

 

 

 

 

Interest rates contracts

 

Net Unrealized gain (loss) on open futures contracts

 

 
578,244

 

 
(326,726)

 

 
251,518

 

 

 

 

 

 

 

 

 

 

 

 

Meats contracts

 

Net Unrealized gain (loss) on open futures contracts

 

 
79,821

 

 
(10,487)

 

 
69,334

 

 

 

 

 

 

 

 

 

 

 

 

Metals contracts

 

Net Unrealized gain (loss) on open futures contracts

 

 
1,604,965

 

 
(1,282,731)

 

 
322,234

 

 

 

 

 

 

 

 

 

 

 

 

Soft commodities contracts

 

Net Unrealized gain (loss) on open futures contracts

 

 
344,652

 

 
(86,579)

 

 
258,073

 

 

 

 

 

 

 

 

 

 

 

 

Stock indices contracts

 

Net Unrealized gain (loss) on open futures contracts

 

 
1,111,526

 

 
(553,717)

 

 
557,809

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$
5,166,127

 

$
(2,886,203)

 

$
2,279,924

 

 

 

 

 

 

 

 

 

 

 

 

Forward currency contracts

 

Net Unrealized gain (loss) on open forward currency contracts

 

$
556,627

 

$
(555,922)

 

$
705

 

 

 

 

 

 

 

 

 

 

 

 

Swap Contracts*

 

Net Unrealized gain (loss) on open swap contracts

 

$
404,566

 

$
(1,139,264)

 

$
(734,698)

 

 

 

 

 

 

 

 

 

 

 

 

*At December 31, 2016, the sector exposure of the CTA indices underlying the swaps was:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Deutsche Bank total return swap, termination date March 29, 2019

 

 

 

 

 

 

 

 

Agricultural contracts

 

3%

 

 

 

 

 

 

 

 

 

Energy contracts

 

1%

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

53%

 

 

 

 

 

 

 

 

 

Metals contracts

 

3%

 

 

 

 

 

 

 

 

 

Stock indices contracts

 

15%

 

 

 

 

 

 

 

 

 

Forward currency contracts

 

25%

 

 

 

 

 

 

 

 

 

Total

 

100%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Deutsche Bank total return swap, termination date July 1, 2020

 

 

 

 

 

 

 

 

Interest rate contracts

 

61%

 

 

 

 

 

 

 

 

 

Stock indices contracts

 

10%

 

 

 

 

 

 

 

 

 

Forward currency contracts

 

29%

 

 

 

 

 

 

 

 

 

Total

 

100%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Consolidated

 

Asset

 

Liability

 

 

 

 

 

 

Statements of Financial

 

Derivatives

 

Derivatives

 

 

 

 

 

    

Condition Location

    

12/31/2015

    

12/31/2015

    

Fair Value

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agricultural contracts

 

Net Unrealized gain (loss) on open futures contracts

 

$
708,940

 

$
(192,304)

 

$
516,636

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currencies contracts

 

Net Unrealized gain (loss) on open futures contracts

 

 
1,586,035

 

 
(488,106)

 

 
1,097,929

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Energy contracts

 

Net Unrealized gain (loss) on open futures contracts

 

 
1,861,351

 

 
(1,035,133)

 

 
826,218

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rates contracts

 

Net Unrealized gain (loss) on open futures contracts

 

 
853,598

 

 
(2,119,167)

 

 
(1,265,569)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Meats contracts

 

Net Unrealized gain (loss) on open futures contracts

 

 
18,294

 

 
(165,939)

 

 
(147,645)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Metals contracts

 

Net Unrealized gain (loss) on open futures contracts

 

 
1,206,519

 

 
(912,776)

 

 
293,743

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Soft commodities contracts

 

Net Unrealized gain (loss) on open futures contracts

 

 
101,389

 

 
(273,791)

 

 
(172,402)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Stock indices contracts

 

Net Unrealized gain (loss) on open futures contracts

 

 
614,583

 

 
(935,898)

 

 
(321,315)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$
6,950,709

 

$
(6,123,114)

 

$
827,595

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Forward currency contracts

 

Net Unrealized gain (loss) on open forward currency contracts

 

$
682,325

 

$
(922,984)

 

$
(240,659)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swap Contracts*

 

Net Unrealized gain (loss) on open swap contracts

 

$
1,168,100

 

$

 —

 

$
1,168,100

 

 

 

 

 

 

 

 

 

 

 

 

 

 

*At December 31, 2015, the sector exposure of the CTA indices underlying the swap was:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

43%

 

 

 

 

 

 

 

 

 

 

Forward currency contracts

 

42%

 

 

 

 

 

 

 

 

 

 

Stock indices and stock index options

 

15%

 

 

 

 

 

 

 

 

 

 

Total

 

100%

 

 

 

 

 

 

 

 

 

 

 

Schedule of Effect of Derivative Instruments on the Consolidated Statement of Operations

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Years Ended December 31, 

Type of Contract

    

 

 

2016

    

2015

    

2014

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals contracts

 

Net gain (loss) from futures trading

 

$
1,009,750

 

$
(5,823,922)

 

$
4,048,911

Currencies contracts

 

Net gain (loss) from futures trading

 

 
(2,202,100)

 

 
(1,033,607)

 

 
14,766,227

Energy contracts

 

Net gain (loss) from futures trading

 

 
(4,239,891)

 

 
7,578,021

 

 
10,731,474

Interest rates contracts

 

Net gain (loss) from futures trading

 

 
19,692,367

 

 
(546,752)

 

 
32,913,449

Meats contracts

 

Net gain (loss) from futures trading

 

 
(161,655)

 

 
40,851

 

 
3,446,508

Metals contracts

 

Net gain (loss) from futures trading

 

 
(2,242,748)

 

 
(493,305)

 

 
(7,747,986)

Soft commodities contracts

 

Net gain (loss) from futures trading

 

 
(785,394)

 

 
(1,501,617)

 

 
3,171,146

Stock indices

 

Net gain (loss) from futures trading

 

 
4,103,539

 

 
(10,362,726)

 

 
(13,390,190)

Forward Currency Contracts

 

Net gain (loss) from forward trading

 

 
325,950

 

 
(2,077,514)

 

 
(1,940,807)

Swap Contracts

 

Net gain (loss) from swap trading

 

 
(1,902,797)

 

 
1,168,100

 

 

 —

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$
13,597,021

 

$
(13,052,471)

 

$
45,998,732

 

Schedule of Line Item in Consolidated Statement of Operations

 

 

 

 

 

 

 

 

 

 

Line Item in Consolidated Statement of Operations

 

For years ended December 31, 

 

 

2016

    

2015

    

2014

 

 

 

 

 

 

 

 

 

 

Net gain (loss) from futures trading

 

 

 

 

 

 

 

 

 

Realized

 

$
13,721,540

 

$
(1,421,184)

 

$
61,055,762

Change in unrealized

 

 
1,452,328

 

 
(10,721,873)

 

 
(13,116,223)

Total realized and change in unrealized net gain (loss) from futures trading

 

$
15,173,868

 

$
(12,143,057)

 

$
47,939,539

 

 

 

 

 

 

 

 

 

 

Net gain (loss) from forward trading

 

 

 

 

 

 

 

 

 

Realized

 

$
84,586

 

$
(2,018,078)

 

$
(994,524)

Change in unrealized

 

 
241,364

 

 
(59,436)

 

 
(946,283)

Total realized and change in unrealized net gain (loss) from forward trading

 

$
325,950

 

$
(2,077,514)

 

$
(1,940,807)

 

 

 

 

 

 

 

 

 

 

Net gain (loss) from swap trading

 

 

 

 

 

 

 

 

 

Change in unrealized

 

$
(1,902,797)

 

 
1,168,100

 

 

 —

Total realized and change in unrealized net gain (loss) from swap trading

 

$
(1,902,797)

 

$
1,168,100

 

$

 —

 

 

 

 

 

 

 

 

 

 

Total realized and change in unrealized net gain (loss) from futures, forward and swap trading

 

$
13,597,021

 

$
(13,052,471)

 

$
45,998,732

 

 

 

 

 

 

 

 

 

 

 

Schedule of Offsetting of Derivative Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Amount of

 

 

 

 

 

 

Gross Amounts

 

Unrealized Gain

 

 

 

 

 

 

Offset in the

 

Presented in

 

 

 

Gross Amount of

 

Consolidated

 

the Consolidated

 

 

 

Recognized

 

Statement of

 

Statement of

 

Type of Instrument

    

Assets

    

Financial Condition

    

Financial Condition

 

 

 

 

 

 

 

 

 

 

 

 

U.S. and foreign futures contracts

 

$

5,166,127

 

$

(2,886,203)

 

$

2,279,924

 

Forward contracts

 

 

556,627

 

 

(555,922)

 

 

705

 

Swap contracts

 

 

404,566

 

 

(1,139,264)

 

 

(734,698)

 

Total derivatives

 

$

6,127,320

 

$

(4,581,389)

 

$

1,545,931

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Amount of

 

 

 

 

 

 

Gross Amounts

 

Unrealized Gain

 

 

 

 

 

 

Offset in the

 

Presented in

 

 

 

Gross Amount of

 

Consolidated

 

the Consolidated

 

 

 

Recognized

 

Statement of

 

Statement of

 

Type of Instrument

    

Assets

    

Financial Condition

    

Financial Condition

 

 

 

 

 

 

 

 

 

 

 

 

U.S. and foreign futures contracts

 

$
6,950,709

 

$
(6,123,114)

 

$
827,595

 

Forward contracts

 

 
682,325

 

 
(922,984)

 

 
(240,659)

 

Swap contracts

 

 
1,168,100

 

 

 —

 

 
1,168,100

 

Total derivatives

 

$
8,801,134

 

$
(7,046,098)

 

$
1,755,036

 

 

Schedule of Offsetting of Derivative Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Amount of

 

 

 

 

 

 

Gross Amounts

 

Unrealized Gain

 

 

 

 

 

 

Offset in the

 

Presented in

 

 

 

Gross Amount of

 

Consolidated

 

the Consolidated

 

 

 

Recognized

 

Statement of

 

Statement of

 

Type of Instrument

    

Liabilities

    

Financial Condition

    

Financial Condition

 

 

 

 

 

 

 

 

 

 

 

 

U.S. and foreign futures contracts

 

$

2,886,203

 

$

(2,886,203)

 

$

 —

 

Forward contracts

 

 

555,922

 

 

(555,922)

 

 

 —

 

Swap contracts

 

 

1,139,264

 

 

(1,139,264)

 

 

 —

 

Total derivatives

 

$

4,581,389

 

$

(4,581,389)

 

$

 —

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Amount of

 

 

 

 

 

 

Gross Amounts

 

Unrealized Gain

 

 

 

 

 

 

Offset in the

 

Presented in

 

 

 

Gross Amount of

 

Consolidated

 

the Consolidated

 

 

 

Recognized

 

Statement of

 

Statement of

 

Type of Instrument

    

Liabilities

    

Financial Condition

    

Financial Condition

 

 

 

 

 

 

 

 

 

 

 

 

U.S. and foreign futures contracts

 

$
6,123,114

 

$
(6,123,114)

 

$

 —

 

Forward contracts

 

 
922,984

 

 
(922,984)

 

 

 —

 

Swap contracts

 

 

 —

 

 

 —

 

 

 —

 

Total derivatives

 

$
7,046,098

 

$
(7,046,098)

 

$

 —

 

 

Schedule of Derivative Assets and Liabilities and Collateral Received by Counterparty

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Gross Amounts Not Offset in the Consolidated

 

 

 

 

 

 

 

 

 

Statement of Financial Condition

 

 

 

 

 

 

Net Amount of

 

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gain

 

 

 

 

 

 

 

 

 

 

 

 

Presented in

 

 

 

 

 

 

 

 

 

 

 

 

the Consolidated

 

 

 

 

 

 

 

 

 

 

 

 

Statement of

 

Financial

 

Cash Collateral

 

 

 

 

Counterparty

    

Financial Condition

    

Instruments

    

Received

    

Net Amount

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Deutsche Bank AG

 

$
(734,698)

 

$

 —

 

$

 —

 

$
(734,698)

 

SG Americas Securities, LLC

 

 
1,582,067

 

 

 —

 

 

 —

 

 
1,582,067

 

UBS Securities LLC

 

 
(40,113)

 

 

 —

 

 

 —

 

 
(40,113)

 

Wells Fargo Securities, LLC

 

 
738,675

 

 

 —

 

 

 —

 

 
738,675

 

Total

 

$

1,545,931

 

$

 —

 

$

 —

 

$
1,545,931

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Gross Amounts Not Offset in the Consolidated

 

 

 

 

 

 

 

 

 

Statement of Financial Condition

 

 

 

 

 

 

Net Amount of

 

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gain

 

 

 

 

 

 

 

 

 

 

 

 

Presented in

 

 

 

 

 

 

 

 

 

 

 

 

the Consolidated

 

 

 

 

 

 

 

 

 

 

 

 

Statement of

 

Financial

 

Cash Collateral

 

 

 

 

Counterparty

    

Financial Condition

    

Instruments

    

Received

    

Net Amount

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Deutsche Bank AG

 

$
1,168,100

 

$

 —

 

$

 —

 

$
1,168,100

 

ED&F Man Capital Markets Inc

 

 
525,206

 

 

 

 

 

 

 

 
525,206

 

SG Americas Securities, LLC

 

 
281,024

 

 

 —

 

 

 —

 

 
281,024

 

UBS Securities LLC

 

 
(219,294)

 

 

 —

 

 

 —

 

 
(219,294)

 

Total

 

$
1,755,036

 

$

 —

 

$

 —

 

$
1,755,036