Derivative Financial Instruments and Concentrations of Credit Risk (Tables) - Man-AHL Diversified Trading Company L.P. [Member]
|
9 Months Ended |
Sep. 30, 2026 |
|---|
| Derivatives, Fair Value [Line Items] |
|
| Fair Value and Notional Amounts of Credit Default Swaps |
As at September 30, 2026 and December 31, 2025, the total fair value and notional amounts of credit default swaps on indices where the Trading Company is the seller is presented in the following table by contract terms:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value and Notional Amounts by Contract Term |
|
|
|
September 30, 2026 |
|
|
December 31, 2025 |
|
|
|
1-5 years |
|
|
1-5 years |
|
Credit spread (in basis points) |
|
Fair Value |
|
|
Notional
Amount |
|
|
Fair Value |
|
|
Notional
Amount |
|
0-100 |
|
$ |
(180,678 |
) |
|
$ |
243,907,250 |
|
|
$ |
138,199 |
|
|
$ |
244,272,000 |
|
101-250 |
|
|
- |
|
|
|
- |
|
|
|
144,195 |
|
|
|
35,256,000 |
|
251-350 |
|
|
(468,164 |
) |
|
|
88,311,250 |
|
|
|
65,846 |
|
|
|
30,000,000 |
|
351-450 |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
451+ |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
Total |
|
$ |
(648,842 |
) |
|
$ |
332,218,500 |
|
|
$ |
348,240 |
|
|
$ |
309,528,000 |
|
|
| Schedule of Derivative Contracts Traded or Settled During Period |
During the three and nine months ended September 30, 2026 and 2025, the Trading Company traded the following derivative contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the three months ended
September 30, |
|
|
For the nine months ended September 30, |
|
Number of contracts traded/settled |
|
2026 |
|
|
2025 |
|
|
2026 |
|
|
2025 |
|
Exchange-traded futures contracts |
|
|
16,688 |
|
|
|
19,766 |
|
|
|
57,850 |
|
|
|
71,153 |
|
Forward contracts |
|
|
23,085 |
|
|
|
20,783 |
|
|
|
66,559 |
|
|
|
75,096 |
|
Swap agreements |
|
|
282 |
|
|
|
260 |
|
|
|
685 |
|
|
|
807 |
|
|
| Schedule of Gross Notional Value of Derivative Contracts |
As at September 30, 2026 and December 31, 2025, the gross notional value of open derivatives contracts is as follows:
|
|
|
|
|
|
|
|
|
Gross notional value of open contracts |
|
September 30, 2026 |
|
|
December 31, 2025 |
|
Exchange-traded futures contracts |
|
$ |
1,394,885,982 |
|
|
$ |
1,972,977,407 |
|
Commodity forwards |
|
$ |
208 |
|
|
$ |
225 |
|
Forward contracts |
|
$ |
1,066,882,067 |
|
|
$ |
892,459,991 |
|
Swap agreements |
|
$ |
357,218,500 |
|
|
$ |
309,528,000 |
|
|
| Schedule of Fair Value of Trading Company's Derivative Instruments |
The following table presents the fair value of the Trading Company’s derivative instruments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
September 30, 2026 |
|
|
|
Asset Derivatives |
|
|
Liability Derivatives |
|
Primary Risk Exposure |
|
Statements of Financial Condition* |
|
Fair Value |
|
|
Statements of Financial Condition* |
|
Fair Value |
|
Open futures contracts
Agricultural |
|
Gross unrealized trading appreciation on open futures contracts |
|
$ |
683,366 |
|
|
Gross unrealized trading depreciation on open futures contracts |
|
$ |
(1,065,137 |
) |
Currencies |
|
|
|
|
266,523 |
|
|
|
|
|
- |
|
Energy |
|
|
|
|
980,704 |
|
|
|
|
|
(303,958 |
) |
Indices |
|
|
|
|
577,227 |
|
|
|
|
|
(665,510 |
) |
Interest rates |
|
|
|
|
4,028,100 |
|
|
|
|
|
(108,370 |
) |
Metals |
|
|
|
|
42,950 |
|
|
|
|
|
(184,635 |
) |
Total open futures contracts |
|
|
|
|
6,578,870 |
|
|
|
|
|
(2,327,610 |
) |
Open forward contracts
Currencies |
|
Gross unrealized trading appreciation on open forward contracts |
|
|
7,251,092 |
|
|
Gross unrealized trading depreciation on open forward contracts |
|
|
(6,463,740 |
) |
Metals |
|
|
|
|
541,466 |
|
|
|
|
|
(557,620 |
) |
Total open forward
contracts |
|
|
|
|
7,792,558 |
|
|
|
|
|
(7,021,360 |
) |
Open swap agreements
Credit |
|
Gross unrealized trading appreciation on open swap agreements |
|
|
49,272 |
|
|
Gross unrealized trading depreciation on open swap agreements |
|
|
(669,987 |
) |
Total open swap agreements |
|
|
|
|
49,272 |
|
|
|
|
|
(669,987 |
) |
Total Derivatives |
|
|
|
$ |
14,420,700 |
|
|
|
|
$ |
(10,018,957 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2025 |
|
|
|
Asset Derivatives |
|
|
Liability Derivatives |
|
Primary Risk Exposure |
|
Statements of Financial Condition* |
|
Fair Value |
|
|
Statements of Financial Condition* |
|
Fair Value |
|
Open futures contracts
Agricultural |
|
Gross unrealized trading appreciation on open futures contracts |
|
$ |
1,210,182 |
|
|
Gross unrealized trading depreciation on open futures contracts |
|
$ |
(639,874 |
) |
Currencies |
|
|
|
|
- |
|
|
|
|
|
(6,157 |
) |
Energy |
|
|
|
|
462,866 |
|
|
|
|
|
(257,484 |
) |
Indices |
|
|
|
|
1,372,584 |
|
|
|
|
|
(317,730 |
) |
Interest rates |
|
|
|
|
919,410 |
|
|
|
|
|
(364,737 |
) |
Metals |
|
|
|
|
1,443,756 |
|
|
|
|
|
- |
|
Total open futures contracts |
|
|
|
|
5,408,798 |
|
|
|
|
|
(1,585,982 |
) |
Open forward contracts
Currencies |
|
Gross unrealized trading appreciation on open forward contracts |
|
|
6,911,154 |
|
|
Gross unrealized trading depreciation on open forward contracts |
|
|
(3,489,653 |
) |
Metals |
|
|
|
|
1,557,080 |
|
|
|
|
|
(80,008 |
) |
Total open forward
contracts |
|
|
|
|
8,468,234 |
|
|
|
|
|
(3,569,661 |
) |
Open swap agreements
Credit |
|
Gross unrealized trading appreciation on open swap agreements |
|
|
348,240 |
|
|
Gross unrealized trading depreciation on open swap agreements |
|
|
- |
|
Total open swap agreements |
|
|
|
|
348,240 |
|
|
|
|
|
- |
|
Total Derivatives |
|
|
|
$ |
14,225,272 |
|
|
|
|
$ |
(5,155,643 |
) |
* Net cumulative unrealized appreciation/(depreciation) on futures contracts, forward contracts and centrally cleared swaps respectively, are reported in the Statements of Financial Condition.
|
| Impact of Derivative Instruments on Statements of Operations |
The following table presents the impact of derivative instruments in the Statements of Operations:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the three months ended September 30, |
|
|
For the nine months ended September 30, |
|
|
|
2026 |
|
|
2025 |
|
|
2026 |
|
|
2025 |
|
|
|
Gain/(Loss) on |
|
|
Gain/(Loss) on |
|
|
Gain/(Loss) on |
|
|
Gain/(Loss) on |
|
Location of gain or loss recognized in income on derivatives |
|
derivatives* |
|
|
derivatives* |
|
|
derivatives* |
|
|
derivatives* |
|
Forward contracts |
|
|
|
|
|
|
|
|
|
|
|
|
Currencies |
|
$ |
(576,977 |
) |
|
$ |
(381,804 |
) |
|
$ |
10,745,183 |
|
|
$ |
(2,259,011 |
) |
Metals |
|
|
(43,215 |
) |
|
|
(469,863 |
) |
|
|
2,962,970 |
|
|
|
(1,239,843 |
) |
Net realized trading gains/(losses) on closed contracts/agreements |
|
$ |
(620,192 |
) |
|
$ |
(851,667 |
) |
|
$ |
13,708,153 |
|
|
$ |
(3,498,854 |
) |
Currencies |
|
$ |
(764,406 |
) |
|
$ |
738,355 |
|
|
$ |
(2,634,149 |
) |
|
$ |
(7,933,532 |
) |
Metals |
|
|
674,120 |
|
|
|
629,551 |
|
|
|
(1,493,226 |
) |
|
|
117,349 |
|
Net change in unrealized trading appreciation/(depreciation) on open
contracts/agreements |
|
$ |
(90,286 |
) |
|
$ |
1,367,906 |
|
|
$ |
(4,127,375 |
) |
|
$ |
(7,816,183 |
) |
Futures contracts |
|
|
|
|
|
|
|
|
|
|
|
|
Agricultural |
|
$ |
(4,140,720 |
) |
|
$ |
2,079,734 |
|
|
$ |
(5,289,870 |
) |
|
$ |
1,168,297 |
|
Currencies |
|
|
(17,231 |
) |
|
|
(61,990 |
) |
|
|
(81,457 |
) |
|
|
22,976 |
|
Energy |
|
|
5,361,988 |
|
|
|
(16,805 |
) |
|
|
10,004,829 |
|
|
|
(4,317,474 |
) |
Indices |
|
|
(195,667 |
) |
|
|
8,774,413 |
|
|
|
7,049,543 |
|
|
|
3,000,983 |
|
Interest rates |
|
|
5,938,643 |
|
|
|
(1,551,002 |
) |
|
|
6,194,340 |
|
|
|
(7,859,017 |
) |
Metals |
|
|
(579,017 |
) |
|
|
785,059 |
|
|
|
2,011,931 |
|
|
|
3,408,728 |
|
Net realized trading gains/(losses) on closed contracts/agreements |
|
$ |
6,367,996 |
|
|
$ |
10,009,409 |
|
|
$ |
19,889,316 |
|
|
$ |
(4,575,507 |
) |
Agricultural |
|
$ |
680,431 |
|
|
$ |
(258,215 |
) |
|
$ |
(952,079 |
) |
|
$ |
287,616 |
|
Currencies |
|
|
89,537 |
|
|
|
(138,235 |
) |
|
|
272,680 |
|
|
|
(213,474 |
) |
Energy |
|
|
1,230,244 |
|
|
|
364,229 |
|
|
|
471,364 |
|
|
|
292,308 |
|
Indices |
|
|
(983,238 |
) |
|
|
536,192 |
|
|
|
(1,143,137 |
) |
|
|
2,911,862 |
|
Interest rates |
|
|
4,673,369 |
|
|
|
(36,480 |
) |
|
|
3,365,057 |
|
|
|
(1,087,920 |
) |
Metals |
|
|
281,765 |
|
|
|
3,492,708 |
|
|
|
(1,585,441 |
) |
|
|
3,486,909 |
|
Net change in unrealized trading appreciation/(depreciation) on open
contracts/agreements |
|
$ |
5,972,108 |
|
|
$ |
3,960,199 |
|
|
$ |
428,444 |
|
|
$ |
5,677,301 |
|
Swap agreements |
|
|
|
|
|
|
|
|
|
|
|
|
Credit default swaps |
|
$ |
553,183 |
|
|
$ |
2,265,392 |
|
|
$ |
563,638 |
|
|
$ |
1,561,012 |
|
Net realized trading gains/(losses) on closed contracts/agreements |
|
$ |
553,183 |
|
|
$ |
2,265,392 |
|
|
$ |
563,638 |
|
|
$ |
1,561,012 |
|
Credit default swaps |
|
$ |
(840,737 |
) |
|
$ |
(309,379 |
) |
|
$ |
(968,955 |
) |
|
$ |
995,655 |
|
Net change in unrealized trading appreciation/(depreciation) on open
contracts/agreements |
|
$ |
(840,737 |
) |
|
$ |
(309,379 |
) |
|
$ |
(968,955 |
) |
|
$ |
995,655 |
|
* Amounts in the table above exclude foreign exchange spot contracts.
|
| Schedule of Additional Disclosures Regarding Offsetting of Derivative Assets |
The following table provides additional disclosures regarding the offsetting of derivative assets presented in the Statements of Financial Condition:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gross Amounts Not Offset in
the Statements of Financial
Condition |
|
|
|
|
|
|
Gross Amounts
of Recognized
Assets |
|
|
Gross Amount
Offset in the
Statements of
Financial
Condition |
|
|
Net Amounts of
Assets presented
in the
Statements of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash
Collateral
Received |
|
|
Net Amount |
|
As at September 30, 2026 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Open futures contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Bank of America Merrill Lynch |
|
$ |
3,503,257 |
|
|
$ |
(1,392,840 |
) |
|
$ |
2,110,417 |
|
|
$ |
- |
|
|
$ |
(2,110,417 |
) |
|
$ |
- |
|
Goldman Sachs |
|
|
1,018,723 |
|
|
|
(132,485 |
) |
|
|
886,238 |
|
|
|
- |
|
|
|
- |
|
|
|
886,238 |
|
J.P. Morgan Chase |
|
|
2,056,890 |
|
|
|
(802,285 |
) |
|
|
1,254,605 |
|
|
|
- |
|
|
|
(931,561 |
) |
|
|
323,044 |
|
Total Open futures contracts |
|
$ |
6,578,870 |
|
|
$ |
(2,327,610 |
) |
|
$ |
4,251,260 |
|
|
$ |
- |
|
|
$ |
(3,041,978 |
) |
|
$ |
1,209,282 |
|
Open forward contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BNP Paribas |
|
$ |
977,444 |
|
|
$ |
(545,937 |
) |
|
$ |
431,507 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
431,507 |
|
BNY Mellon |
|
|
16,531 |
|
|
|
(4,858 |
) |
|
|
11,673 |
|
|
|
- |
|
|
|
- |
|
|
|
11,673 |
|
Citigroup |
|
|
1,606,235 |
|
|
|
(1,606,235 |
) |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
HSBC |
|
|
3,225,042 |
|
|
|
(2,834,122 |
) |
|
|
390,920 |
|
|
|
- |
|
|
|
- |
|
|
|
390,920 |
|
J.P. Morgan Chase |
|
|
541,466 |
|
|
|
(541,466 |
) |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
Natwest
f/k/a Royal Bank of Scotland |
|
|
1,425,840 |
|
|
|
(1,025,823 |
) |
|
|
400,017 |
|
|
|
- |
|
|
|
- |
|
|
|
400,017 |
|
Total Open forward contracts |
|
$ |
7,792,558 |
|
|
$ |
(6,558,441 |
) |
|
$ |
1,234,117 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
1,234,117 |
|
Open swap agreements |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
J.P.Morgan Chase |
|
$ |
49,272 |
|
|
$ |
(49,272 |
) |
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
Total Open swap agreements |
|
$ |
49,272 |
|
|
$ |
(49,272 |
) |
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
As at December 31, 2025 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Open futures contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Bank of America Merrill Lynch |
|
$ |
3,046,528 |
|
|
$ |
(784,959 |
) |
|
$ |
2,261,569 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
2,261,569 |
|
Goldman Sachs |
|
|
1,402,398 |
|
|
|
(68,823 |
) |
|
|
1,333,575 |
|
|
|
- |
|
|
|
(746,752 |
) |
|
|
586,823 |
|
J.P. Morgan Chase |
|
|
959,872 |
|
|
|
(732,200 |
) |
|
|
227,672 |
|
|
|
- |
|
|
|
(14,701 |
) |
|
|
212,971 |
|
Total Open futures contracts |
|
$ |
5,408,798 |
|
|
$ |
(1,585,982 |
) |
|
$ |
3,822,816 |
|
|
$ |
- |
|
|
$ |
(761,453 |
) |
|
$ |
3,061,363 |
|
Open forward contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BNP Paribas |
|
$ |
745,598 |
|
|
$ |
(181,299 |
) |
|
$ |
564,299 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
564,299 |
|
BNY Mellon |
|
|
1,339 |
|
|
|
- |
|
|
|
1,339 |
|
|
|
- |
|
|
|
- |
|
|
|
1,339 |
|
Citigroup |
|
|
1,641,721 |
|
|
|
(778,825 |
) |
|
|
862,896 |
|
|
|
- |
|
|
|
- |
|
|
|
862,896 |
|
HSBC |
|
|
2,713,002 |
|
|
|
(1,873,431 |
) |
|
|
839,571 |
|
|
|
- |
|
|
|
- |
|
|
|
839,571 |
|
J.P. Morgan Chase |
|
|
1,557,080 |
|
|
|
(80,008 |
) |
|
|
1,477,072 |
|
|
|
- |
|
|
|
- |
|
|
|
1,477,072 |
|
Natwest
f/k/a Royal Bank of Scotland |
|
|
1,809,494 |
|
|
|
(656,098 |
) |
|
|
1,153,396 |
|
|
|
- |
|
|
|
- |
|
|
|
1,153,396 |
|
Total Open forward contracts |
|
$ |
8,468,234 |
|
|
$ |
(3,569,661 |
) |
|
$ |
4,898,573 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
4,898,573 |
|
Open swap agreements |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Barclays |
|
$ |
44,084 |
|
|
$ |
- |
|
|
$ |
44,084 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
44,084 |
|
Goldman Sachs |
|
|
238,310 |
|
|
|
- |
|
|
|
238,310 |
|
|
|
- |
|
|
|
(238,310 |
) |
|
|
- |
|
J.P.Morgan Chase |
|
|
65,846 |
|
|
|
- |
|
|
|
65,846 |
|
|
|
- |
|
|
|
(10,009 |
) |
|
|
55,837 |
|
Total Open swap agreements |
|
$ |
348,240 |
|
|
$ |
- |
|
|
$ |
348,240 |
|
|
$ |
- |
|
|
$ |
(248,319 |
) |
|
$ |
99,921 |
|
|
| Schedule of Additional Disclosures Regarding Offsetting of Derivative Liabilities |
The following table provides additional disclosures regarding the offsetting of derivative liabilities presented in the Statements of Financial Condition:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gross Amounts Not Offset in
the Statements of Financial
Condition |
|
|
|
|
|
|
Gross Amounts
of Recognized
Liabilities |
|
|
Gross Amount
Offset in the
Statements of
Financial
Condition |
|
|
Net Amounts of
Liabilities
Presented in the
Statements of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash
Collateral
Pledged |
|
|
Net Amount |
|
As at September 30, 2026 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Open futures contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Bank of America Merrill Lynch |
|
$ |
1,392,840 |
|
|
$ |
(1,392,840 |
) |
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
Goldman Sachs |
|
|
132,485 |
|
|
|
(132,485 |
) |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
J.P. Morgan Chase |
|
|
802,285 |
|
|
|
(802,285 |
) |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
Total Open futures contracts |
|
$ |
2,327,610 |
|
|
$ |
(2,327,610 |
) |
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
Open forward contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BNP Paribas |
|
$ |
545,937 |
|
|
$ |
(545,937 |
) |
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
BNY Mellon |
|
|
4,858 |
|
|
|
(4,858 |
) |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
Citigroup |
|
|
2,053,000 |
|
|
|
(1,606,235 |
) |
|
|
446,765 |
|
|
|
- |
|
|
|
- |
|
|
|
446,765 |
|
HSBC |
|
|
2,834,122 |
|
|
|
(2,834,122 |
) |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
J.P. Morgan Chase |
|
|
557,620 |
|
|
|
(541,466 |
) |
|
|
16,154 |
|
|
|
- |
|
|
|
- |
|
|
|
16,154 |
|
Natwest
f/k/a Royal Bank of Scotland |
|
|
1,025,823 |
|
|
|
(1,025,823 |
) |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
Total Open forward contracts |
|
$ |
7,021,360 |
|
|
$ |
(6,558,441 |
) |
|
$ |
462,919 |
|
|
$ |
- |
|
|
$ |
— |
|
|
$ |
462,919 |
|
Open swap agreements |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Barclays |
|
$ |
65,899 |
|
|
$ |
- |
|
|
$ |
65,899 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
65,899 |
|
Goldman Sachs |
|
|
196,229 |
|
|
|
- |
|
|
|
196,229 |
|
|
|
- |
|
|
|
(196,229 |
) |
|
|
- |
|
J.P. Morgan Chase |
|
|
407,859 |
|
|
|
(49,272 |
) |
|
|
358,587 |
|
|
|
- |
|
|
|
- |
|
|
|
358,587 |
|
Total Open swap agreements |
|
$ |
669,987 |
|
|
$ |
(49,272 |
) |
|
$ |
620,715 |
|
|
$ |
- |
|
|
$ |
(196,229 |
) |
|
$ |
424,486 |
|
As at December 31, 2025 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Open futures contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Bank of America Merrill Lynch |
|
$ |
784,959 |
|
|
$ |
(784,959 |
) |
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
Goldman Sachs |
|
|
68,823 |
|
|
|
(68,823 |
) |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
J.P. Morgan Chase |
|
|
732,200 |
|
|
|
(732,200 |
) |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
Total Open futures contracts |
|
$ |
1,585,982 |
|
|
$ |
(1,585,982 |
) |
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
Open forward contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BNP Paribas |
|
$ |
181,299 |
|
|
$ |
(181,299 |
) |
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
Citigroup |
|
|
778,825 |
|
|
|
(778,825 |
) |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
HSBC |
|
|
1,873,431 |
|
|
|
(1,873,431 |
) |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
J.P. Morgan Chase |
|
|
80,008 |
|
|
|
(80,008 |
) |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
Natwest
f/k/a Royal Bank of Scotland |
|
|
656,098 |
|
|
|
(656,098 |
) |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
Total Open forward contracts |
|
$ |
3,569,661 |
|
|
$ |
(3,569,661 |
) |
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
|