XML 36 R24.htm IDEA: XBRL DOCUMENT v3.20.1
Derivative Instruments (Tables)
 12 Months Ended
Dec. 31, 2019
Derivative Instruments  
Summary of Fair Values of Derivative Instruments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Consolidated

 

Asset

 

Liability

 

 

 

 

 

Statements of Financial

 

Derivatives

 

Derivatives

 

 

 

 

    

Condition Location

    

12/31/2019

    

12/31/2019

    

Fair Value

 

 

 

 

 

 

 

 

 

 

 

 

Agricultural contracts

 

Net Unrealized gain (loss) on open futures contracts

 

$

201,399

 

$

(45,915)

 

$

155,484

 

 

 

 

 

 

 

 

 

 

 

 

Currencies contracts

 

Net Unrealized gain (loss) on open futures contracts

 

 

77,837

 

 

(71,524)

 

 

6,313

 

 

 

 

 

 

 

 

 

 

 

 

Energy contracts

 

Net Unrealized gain (loss) on open futures contracts

 

 

399,221

 

 

(314,480)

 

 

84,741

 

 

 

 

 

 

 

 

 

 

 

 

Interest rates contracts

 

Net Unrealized gain (loss) on open futures contracts

 

 

47,095

 

 

(324,965)

 

 

(277,870)

 

 

 

 

 

 

 

 

 

 

 

 

Meats contracts

 

Net Unrealized gain (loss) on open futures contracts

 

 

1,715

 

 

(5,030)

 

 

(3,315)

 

 

 

 

 

 

 

 

 

 

 

 

Metals contracts

 

Net Unrealized gain (loss) on open futures contracts

 

 

277,156

 

 

(152,572)

 

 

124,584

 

 

 

 

 

 

 

 

 

 

 

 

Soft commodities contracts

 

Net Unrealized gain (loss) on open futures contracts

 

 

56,283

 

 

(3,922)

 

 

52,361

 

 

 

 

 

 

 

 

 

 

 

 

Stock indices contracts

 

Net Unrealized gain (loss) on open futures contracts

 

 

325,154

 

 

(65,645)

 

 

259,509

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

1,385,860

 

$

(984,053)

 

$

401,807

 

 

 

 

 

 

 

 

 

 

 

 

Forward currency contracts

 

Net Unrealized gain (loss) on open forward currency contracts

 

$

67,730

 

$

(136,803)

 

$

(69,073)

 

 

 

 

 

 

 

 

 

 

 

 

Swap Contracts*

 

Net Unrealized gain (loss) on open swap contracts

 

$

3,650,232

 

$

(612,793)

 

$

3,037,439

 

 

 

 

 

 

 

 

 

 

 

 

*At December 31, 2019, the sector exposure of the CTA indices underlying the swaps was:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Deutsche Bank total return swap, termination date April 30, 2024

 

 

 

 

 

 

 

 

Agricultural contracts

 

3%

 

 

 

 

 

 

 

 

 

Energy contracts

 

3%

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

46%

 

 

 

 

 

 

 

 

 

Metals contracts

 

5%

 

 

 

 

 

 

 

 

 

Stock indices contracts

 

12%

 

 

 

 

 

 

 

 

 

Forward currency contracts

 

31%

 

 

 

 

 

 

 

 

 

Total

 

100%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

 

Interest rate contracts

 

39%

 

 

 

 

 

 

 

 

 

Stock indices contracts

 

22%

 

 

 

 

 

 

 

 

 

Forward currency contracts

 

39%

 

 

 

 

 

 

 

 

 

Total

 

100%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Consolidated

 

Asset

 

Liability

 

 

 

 

 

 

Statements of Financial

 

Derivatives

 

Derivatives

 

 

 

 

 

    

Condition Location

    

12/31/2018

    

12/31/2018

    

Fair Value

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agricultural contracts

 

Net Unrealized gain (loss) on open futures contracts

 

$

137,471

 

$

(21,434)

 

$

116,037

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currencies contracts

 

Net Unrealized gain (loss) on open futures contracts

 

 

319,952

 

 

(279,232)

 

 

40,720

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Energy contracts

 

Net Unrealized gain (loss) on open futures contracts

 

 

213,143

 

 

(29,596)

 

 

183,547

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rates contracts

 

Net Unrealized gain (loss) on open futures contracts

 

 

1,472,305

 

 

(230,289)

 

 

1,242,016

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Meats contracts

 

Net Unrealized gain (loss) on open futures contracts

 

 

34,138

 

 

(20,908)

 

 

13,230

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Metals contracts

 

Net Unrealized gain (loss) on open futures contracts

 

 

489,925

 

 

(224,143)

 

 

265,782

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Soft commodities contracts

 

Net Unrealized gain (loss) on open futures contracts

 

 

149,703

 

 

(25,803)

 

 

123,900

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Stock indices contracts

 

Net Unrealized gain (loss) on open futures contracts

 

 

135,976

 

 

(393,667)

 

 

(257,691)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

2,952,613

 

$

(1,225,072)

 

$

1,727,541

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Forward currency contracts

 

Net Unrealized gain (loss) on open forward currency contracts

 

$

142,015

 

$

(183,443)

 

$

(41,428)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swap Contracts*

 

Net Unrealized gain (loss) on open swap contracts

 

$

2,528,979

 

$

(595,870)

 

$

1,933,109

 

 

 

 

 

 

 

 

 

 

 

 

 

 

*At December 31, 2018, the sector exposure of the CTA indices underlying the swaps was:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

 

 

Agricultural contracts

 

4%

 

 

 

 

 

 

 

 

 

 

Energy contracts

 

2%

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

58%

 

 

 

 

 

 

 

 

 

 

Metals contracts

 

1%

 

 

 

 

 

 

 

 

 

 

Stock indices contracts

 

4%

 

 

 

 

 

 

 

 

 

 

Forward currency contracts

 

31%

 

 

 

 

 

 

 

 

 

 

Total

 

100%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

52%

 

 

 

 

 

 

 

 

 

 

Stock indices contracts

 

15%

 

 

 

 

 

 

 

 

 

 

Forward currency contracts

 

33%

 

 

 

 

 

 

 

 

 

 

Total

 

100%

 

 

 

 

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Years Ended December 31, 

Type of Contract

    

 

    

2019

    

2018

    

2017

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals contracts

 

Net gain (loss) from futures trading

 

$

(177,141)

 

$

(1,206,749)

 

$

(2,343,148)

Currencies contracts

 

Net gain (loss) from futures trading

 

 

(414,477)

 

 

(194,875)

 

 

(3,320,635)

Energy contracts

 

Net gain (loss) from futures trading

 

 

(728,265)

 

 

1,051,284

 

 

(4,612,712)

Interest rates contracts

 

Net gain (loss) from futures trading

 

 

5,434,332

 

 

882,364

 

 

(8,492,797)

Meats contracts

 

Net gain (loss) from futures trading

 

 

(97,912)

 

 

(376,875)

 

 

266,929

Metals contracts

 

Net gain (loss) from futures trading

 

 

530,405

 

 

(707,249)

 

 

(1,954,292)

Soft commodities contracts

 

Net gain (loss) from futures trading

 

 

(204,249)

 

 

966,280

 

 

220,619

Stock indices

 

Net gain (loss) from futures trading

 

 

1,720,644

 

 

(4,490,579)

 

 

23,817,809

Forward Currency Contracts

 

Net gain (loss) from forward trading

 

 

380,909

 

 

79,646

 

 

(2,371,940)

Swap Contracts

 

Net gain (loss) from swap trading

 

 

1,104,330

 

 

753,797

 

 

1,914,010

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

7,548,576

 

$

(3,242,956)

 

$

3,123,843

 

Schedule of Line Item in Consolidated Statement of Operations

 

 

 

 

 

 

 

 

 

 

Line Item in Consolidated Statements of Operations

 

For years ended December 31, 

 

    

2019

    

2018

    

2017

 

 

 

 

 

 

 

 

 

 

Net gain (loss) from futures trading

 

 

 

 

 

 

 

 

 

Realized

 

$

7,389,071

 

$

(3,159,282)

 

$

3,217,037

Change in unrealized

 

 

(1,325,734)

 

 

(917,117)

 

 

364,735

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

 

$

6,063,337

 

$

(4,076,399)

 

$

3,581,772

 

 

 

 

 

 

 

 

 

 

Net gain (loss) from forward trading

 

 

 

 

 

 

 

 

 

Realized

 

$

408,554

 

$

146,701

 

$

(2,396,861)

Change in unrealized

 

 

(27,645)

 

 

(67,055)

 

 

24,922

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

 

$

380,909

 

$

79,646

 

$

(2,371,939)

 

 

 

 

 

 

 

 

 

 

Net gain (loss) from swap trading

 

 

 

 

 

 

 

 

 

Change in unrealized

 

$

1,104,330

 

$

753,797

 

$

1,914,010

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

 

$

1,104,330

 

$

753,797

 

$

1,914,010

 

 

 

 

 

 

 

 

 

 

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

 

$

7,548,576

 

$

(3,242,956)

 

$

3,123,843

 

 

 

 

 

 

 

 

 

 

 

Schedule of Offsetting of Derivative Assets

 

Offsetting of Derivative Assets

As of December 31, 2019

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Amount of

 

 

 

 

 

 

Gross Amounts

 

Unrealized Gain/(Loss)

 

 

 

 

 

 

Offset in the

 

Presented in

 

 

 

Gross Amount of

 

Consolidated

 

the Consolidated

 

 

 

Recognized

 

Statements of

 

Statements of

 

Type of Instrument

    

Assets

    

Financial Condition

    

Financial Condition

 

 

 

 

 

 

 

 

 

 

 

 

U.S. and foreign futures contracts

 

$

1,385,860

 

$

(984,053)

 

$

401,807

 

Forward contracts

 

 

67,730

 

 

(136,803)

 

 

(69,073)

 

Swap contracts

 

 

3,650,232

 

 

(612,793)

 

 

3,037,439

 

Total derivatives

 

$

5,103,822

 

$

(1,733,649)

 

$

3,370,173

 

 

Offsetting of Derivative Assets

As of December 31, 2018

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Amount of

 

 

 

 

 

 

Gross Amounts

 

Unrealized Gain/(Loss)

 

 

 

 

 

 

Offset in the

 

Presented in

 

 

 

Gross Amount of

 

Consolidated

 

the Consolidated

 

 

 

Recognized

 

Statements of

 

Statements of

 

Type of Instrument

    

Assets

    

Financial Condition

    

Financial Condition

 

 

 

 

 

 

 

 

 

 

 

 

U.S. and foreign futures contracts

 

$

2,952,613

 

$

(1,225,072)

 

$

1,727,541

 

Forward contracts

 

 

142,015

 

 

(183,443)

 

 

(41,428)

 

Swap contracts

 

 

2,528,979

 

 

(595,870)

 

 

1,933,109

 

Total derivatives

 

$

5,623,607

 

$

(2,004,385)

 

$

3,619,222

 

 

Schedule of Offsetting of Derivative Liabilities

Offsetting of Derivative Liabilities

As of December 31, 2019

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Amount of

 

 

 

 

 

 

Gross Amounts

 

Unrealized Gain

 

 

 

 

 

 

Offset in the

 

Presented in

 

 

 

Gross Amount of

 

Consolidated

 

the Consolidated

 

 

 

Recognized

 

Statements of

 

Statements of

 

Type of Instrument

    

Liabilities

    

Financial Condition

    

Financial Condition

 

 

 

 

 

 

 

 

 

 

 

 

U.S. and foreign futures contracts

 

$

984,053

 

$

(984,053)

 

$

 —

 

Forward contracts

 

 

136,803

 

 

(136,803)

 

 

 —

 

Swap contracts

 

 

612,793

 

 

(612,793)

 

 

 —

 

Total derivatives

 

$

1,733,649

 

$

(1,733,649)

 

$

 —

 

 

Offsetting of Derivative Liabilities

As of December 31, 2018

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Amount of

 

 

 

 

 

 

Gross Amounts

 

Unrealized Gain

 

 

 

 

 

 

Offset in the

 

Presented in

 

 

 

Gross Amount of

 

Consolidated

 

the Consolidated

 

 

 

Recognized

 

Statements of

 

Statements of

 

Type of Instrument

    

Liabilities

    

Financial Condition

    

Financial Condition

 

 

 

 

 

 

 

 

 

 

 

 

U.S. and foreign futures contracts

 

$

1,225,072

 

$

(1,225,072)

 

$

 —

 

Forward contracts

 

 

183,443

 

 

(183,443)

 

 

 —

 

Swap contracts

 

 

595,870

 

 

(595,870)

 

 

 —

 

Total derivatives

 

$

2,004,385

 

$

(2,004,385)

 

$

 —

 

 

Schedule of Derivative Assets and Liabilities and Collateral Received by Counterparty

Derivatives Assets and Liabilities and Collateral Received by Counterparty

As of December 31, 2019

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Gross Amounts Not Offset in the Consolidated

 

 

 

 

 

 

 

 

 

Statements of Financial Condition

 

 

 

 

 

 

Net Amount of

 

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gain/(Loss)

 

 

 

 

 

 

 

 

 

 

 

 

Presented in

 

 

 

 

 

 

 

 

 

 

 

 

the Consolidated

 

 

 

 

 

 

 

 

 

 

 

 

Statements of

 

Financial

 

Cash Collateral

 

 

 

 

Counterparty

    

Financial Condition

    

Instruments

    

Received

    

Net Amount

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

ADM Investor Services, Inc.

 

$

(75,551)

 

$

 —

 

$

 —

 

$

(75,551)

 

Deutsche Bank AG

 

 

3,037,439

 

 

 —

 

 

 —

 

 

3,037,439

 

SG Americas Securities, LLC

 

 

408,285

 

 

 —

 

 

 —

 

 

408,285

 

Total

 

$

3,370,173

 

$

 —

 

$

 —

 

$

3,370,173

 

 

Derivatives Assets and Liabilities and Collateral Received by Counterparty

As of December 31, 2018

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Gross Amounts Not Offset in the Consolidated

 

 

 

 

 

 

 

 

 

Statements of Financial Condition

 

 

 

 

 

 

Net Amount of

 

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gain/(Loss)

 

 

 

 

 

 

 

 

 

 

 

 

Presented in

 

 

 

 

 

 

 

 

 

 

 

 

the Consolidated

 

 

 

 

 

 

 

 

 

 

 

 

Statements of

 

Financial

 

Cash Collateral

 

 

 

 

Counterparty

    

Financial Condition

    

Instruments

    

Received

    

Net Amount

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

ADM Investor Services, Inc.

 

$

104,888

 

$

 —

 

$

 —

 

$

104,888

 

Deutsche Bank AG

 

 

1,933,109

 

 

 —

 

 

 —

 

 

1,933,109

 

SG Americas Securities, LLC

 

 

1,625,006

 

 

 —

 

 

 —

 

 

1,625,006

 

UBS AG

 

 

(43,781)

 

 

 —

 

 

 —

 

 

(43,781)

 

Total

 

$

3,619,222

 

$

 —

 

$

 —

 

$

3,619,222