| TRADING ACTIVITIES AND RELATED RISKS | Note 11. TRADING ACTIVITIES AND RELATED RISKS The Fund engages in the speculative trading of U.S. and foreign futures contracts, forward currency contracts and centrally
cleared swap contracts (collectively, “derivatives”). Specifically, the Fund trades a portfolio focused on futures, forward, credit default index swap and interest rate swap contracts, which are instruments designed to hedge changes in interest
rates, currency exchange rates, stock index values, metals, energy, agriculture values, and credit risks. The Fund is exposed to both market risk, the risk arising from changes in the fair value of the contracts, and credit risk, the risk of
failure by another party to perform according to the terms of a contract. Market Risk For derivatives, risks arise from changes in the fair value of the contracts. Market movements result in frequent changes in the
fair value of the Fund’s open positions and, consequently, in its earnings and cash flow. The Fund’s market risk is influenced by a wide variety of factors, including the level and volatility of exchange rates, interest rates, equity price
levels, the fair value of financial instruments and contracts, the diversification effects among the Fund’s open positions and the liquidity of the markets in which it trades. Theoretically, the Fund is exposed to a market risk equal to the
notional contract value of futures and forward currency contracts purchased and unlimited liability on such contracts sold short. The value of an interest rate swap will change as market interest rates rise and fall in conjunction with whether
the contract is to receive or pay a fixed interest rate. As a purchaser of credit default index swaps, the Fund’s risk of loss is limited to any cash payments required under the swap contracts. Written credit default contracts (i.e., sell
protection) expose the Fund to a market risk equal to the notional value of such swap contracts and any cash payments required under the swap contracts. See Note 1.C. for an explanation of how the Fund determines its valuation for derivatives as
well as the netting of derivatives. The following tables summarize quantitative information required by ASC 815, Derivatives and Hedging, (“ASC 815”). ASC 815
provides enhanced disclosures about how and why an entity uses derivative instruments, how derivative instruments are accounted for, and how derivative instruments affect an entity’s financial position, financial performance and cash flows. The
fair value of the Fund’s derivatives by instrument type, as well as the location of those instruments on the Statements of Financial Condition, as of June 30, 2023 and December 31, 2022 is as follows:
Type of Instrument *
Statements of Financial Condition Location
Asset Derivatives at June 30, 2023
Liability Derivatives at June 30, 2023 Fair Value
Net
Agriculture Contracts
Net unrealized gain (loss) on open futures contracts
$
2,053,300
$
(2,483,099
)
$
(429,799
)
Energy Contracts
Net unrealized gain (loss) on open futures contracts
203,608
(1,073,510
)
(869,902
)
Metal Contracts
Net unrealized gain (loss) on open futures contracts
3,842,400
(2,169,415
)
1,672,985
Stock Indices Contracts
Net unrealized gain (loss) on open futures contracts
1,798,702
(720,414
)
1,078,288
Short-Term Interest Rate Contracts
Net unrealized gain (loss) on open futures contracts
1,394,303
(3,923
)
1,390,380
Long-Term Interest Rate Contracts
Net unrealized gain (loss) on open futures contracts
742,552
(354,024
)
388,528
Forward Currency Contracts
Net unrealized gain (loss) on open forward currency contracts
7,980,325
(8,602,126
)
(621,801
)
Credit Default Index Swap Contracts**
Credit default index swaps
3,190,855
(651,615
)
2,539,240
Interest Rate Swap Contracts**
Interest rate swaps
1,066,246
(631,248
)
434,998
Total
$
22,272,291
$
(16,689,374
)
$
5,582,917
*
Derivatives not designated as hedging instruments under ASC 815
**
Amount of centrally cleared swap contracts is not reconciled with the
statements of financial condition due to variation margin amount included within cash at swaps broker in the statements of financial condition.
Type of Instrument *
Statements of Financial Condition Location
Asset Derivatives at December 31, 2022 Fair Value
Liability Derivatives at December 31, 2022 Fair Value
Net
Agriculture Contracts
Net unrealized gain (loss) on open futures contracts
$
834,397
$
(1,584,948
)
$
(750,551
)
Energy Contracts
Net unrealized gain (loss) on open futures contracts
979,387
(96,944
)
882,443
Metal Contracts
Net unrealized gain (loss) on open futures contracts
2,320,449
(1,619,732
)
700,717
Stock Indices Contracts
Net unrealized gain (loss) on open futures contracts
648,552
(1,403,355
)
(754,803
)
Short-Term Interest Rate Contracts
Net unrealized gain (loss) on open futures contracts
777,755
(133,443
)
644,312
Long-Term Interest Rate Contracts
Net unrealized gain (loss) on open futures contracts
2,190,165
(1,953,629
)
236,536
Forward Currency Contracts
Net unrealized gain (loss) on open forward currency contracts
8,245,050
(7,553,616
)
691,434
Credit Default Index Swap Contracts**
Credit default index swaps
178,418
(44,492
)
133,926
Interest Rate Swap Contracts** Interest rate swaps 1,745,960 (594,935 ) 1,151,025
Total
$
17,920,133
$
(14,985,094
)
$
2,935,039
*
Derivatives not designated as hedging instruments under ASC 815
**
Amount of centrally cleared swap contracts is not reconciled with the statements of financial condition due to variation margin amount included within cash at swaps broker in the
statements of financial condition. The trading gains and losses of the Fund’s derivatives by instrument type, as well as the location of those gains and losses on
the Statements of Operations, for the three months and six months ended June 30, 2023 and 2022 are as follows:
Type of Instrument
Trading Gains (Losses) for the Three Months Ended
Trading Gains (Losses) for the Three Months Ended
Agriculture Contracts
$
621,014
$
1,279,268
Energy Contracts
(2,922,222
)
1,595,927
Metal Contracts
2,200,283
(500,534
)
Stock Indices Contracts
1,840,781
1,242,029
Short-Term Interest Rate Contracts
1,598,853
(178,968
)
Long-Term Interest Rate Contracts
(1,967,047
)
7,647,562
Forward Currency Contracts
(3,701,937
)
12,475,334
Credit Default Index Swap Contracts
1,043,167
(1,124,494
)
Interest Rate Swap Contracts
1,876,346
1,820,924
Total
$
589,238
$
24,257,048
Type of Instrument
Trading Gains (Losses) for the Six Months Ended
Trading Gains (Losses) for the Six Months Ended
Agriculture Contracts
$
458,136
$
3,544,568
Energy Contracts
(2,737,717
)
9,945,129
Metal Contracts
3,727,792
2,387,642
Stock Indices Contracts
2,026,509
1,670,993
Short-Term Interest Rate Contracts
1,996,111
1,900,049
Long-Term Interest Rate Contracts
(1,523,463
)
12,317,411
Forward Currency Contracts
894,129
19,984,950
Credit Default Index Swap Contracts
958,169
(1,736,167
)
Interest Rate Swap Contracts
1,788,327
2,625,400
Total
$
7,587,993
$
52,639,975
Line Item in the Statements of Operations
Trading Gains (Losses) for the Three Months Ended
Trading Gains (Losses) for the Three Months Ended
Futures trading gains (losses):
Realized**
$
1,836,307
$
13,769,611
Change in unrealized
(464,645
)
(2,684,327
)
Forward currency trading gains (losses):
Realized**
(2,626,994
)
11,382,796
Change in unrealized
(1,074,943
)
1,092,538
Swap trading gains (losses):
Realized
1,514,338
964,901
Change in unrealized
1,405,175
(268,471
)
Total
$
589,238
$
24,257,048
Line Item in the Statements of Operations
Trading Gains (Losses) for the Six Months Ended
Trading Gains (Losses) for the Six Months Ended
Futures trading gains (losses):
Realized***
$
1,675,542
$
31,804,485
Change in unrealized
2,271,826
(38,693
)
Forward currency trading gains (losses):
Realized***
2,207,364
14,594,799
Change in unrealized
(1,313,235
)
5,390,151
Swap trading gains (losses):
Realized
2,564,748
685,855
Change in unrealized
181,748
203,378
Total
$
7,587,993
$
52,639,975
**
For the three months ended June 30, 2023 and 2022, the amounts above include
gains (losses) on foreign currency cash balances at the futures brokers of $(9,871) and $(23,285), respectively, and gains (losses) on spot trades in connection with forward currency trading at the interbank market maker of $(761,218) and $200,081,
respectively.
***
For the six months ended June 30, 2023
and 2022, the amounts above include gains (losses) on foreign currency cash balances at the futures brokers of $(4,661) and $8,504,
respectively, and gains (losses) on spot trades in connection with forward currency trading at the interbank market maker of $(930,515)
and $(136,125), respectively. For the three months ended June 30, 2023 and 2022, the monthly average of futures contracts bought
and sold was approximately 22,400 and 12,900,
respectively, the monthly average of notional value of centrally cleared swap contracts was approximately $1,711,300,000 and $695,600,000, respectively, and the monthly average of notional value of forward currency contracts was $1,863,300,000 and $1,182,300,000, respectively. For the six months ended
June 30, 2023 and 2022,
the monthly average of futures contracts bought and sold was approximately 19,900 and 12,900, respectively, the monthly average of notional value of centrally cleared swap contracts was approximately $1,511,200,000 and $636,900,000, respectively, and the monthly
average of notional value of forward currency contracts was $1,847,000,000 and $1,284,800,000, respectively. Open contracts generally mature within three months; as of June 30, 2023, the latest maturity date for open
futures contracts is September 2024 September 2023 September 2028 Credit Risk The Fund trades futures contracts on exchanges that require margin deposits with the futures brokers and centrally cleared swap
contracts that require margin deposits with the swaps broker. Additional deposits may be necessary for any loss on contract value. The Commodity Exchange Act requires a futures broker or swaps broker to segregate all customer transactions and
assets from such future s broker’s or swaps broker’s proprietary activities. A customer’s cash and other property (for example, U.S. Treasury Bills) deposited with a futures broker or swaps broker are considered commingled with all other customer
funds subject to the futures broker’s or swaps broker’s segregation requirements. In the event of a futures broker’s or swaps broker’s insolvency, recovery may be limited to a pro rata share of segregated funds available. It is possible that the
recovered amount could be less than total cash and other property deposited. The Fund trades forward currency contracts in unregulated markets between principals and assumes the risk of loss from
counterparty nonperformance. Accordingly, the risks associated with forward currency contracts are generally greater than those associated with exchange traded contracts because of the greater risk of counterparty default. Additionally, the
trading of forward currency contracts typically involves delayed cash settlement. The Fund has a portion of its assets on deposit with PNC Bank. In the event of a financial institution’s insolvency, recovery of
the Fund’s assets on deposit may be limited to account insurance or other protection afforded such deposits. The Fund has entered into ISDA Agreements with UBS AG and NatWest. Under the terms of each ISDA Agreement, upon the designation of
an Event of Default, as defined in each ISDA Agreement, the non-defaulting party may set-off any sum or obligation owed by the defaulting party to the non-defaulting party against any sum or obligation owed by the non-defaulting party to the
defaulting party. If any sum or obligation is unascertained, the non-defaulting party may in good faith estimate that sum or obligation and set-off in respect to that estimate, accounting to the other party when such sum or obligation is
ascertained. Under the terms of each master netting agreement with UBS Securities LLC and Goldman, Sachs & Co., upon occurrence of a
default by the Fund, as defined in respective account documents, UBS Securities LLC and Goldman, Sachs & Co. have the right to close out any or all open contracts held in the Fund’s account; sell any or all of the securities held; and borrow
or buy any securities, contracts or other property for the Fund’s account. The Fund would be liable for any deficiency in its account resulting from such transactions. The amount of required margin and good faith deposits with the futures brokers and interbank market maker usually range from 10% to 30% of Net Asset Value. The
fair value of securities held to satisfy such requirements at June 30, 2023 and December 31, 2022 was $18,428,514 and $18,539,186,
respectively, which equals approximately 11% and 11% of Net Asset Value, respectively. Included in cash deposits with the futures brokers, swaps broker and interbank market maker at June 30, 2023 and December 31, 2022 was restricted cash for margin requirements of $27,941,261 and $24,254,313, respectively, which equals approximately 17% and 15% of Net Asset Value,
respectively. There were no cash deposits held at UBS Securities LLC or UBS AG, a futures broker and interbank market maker,
respectively, at June 30, 2023 and December 31, 2022. Set forth below are tables which disclose both gross information and net information about instruments and transactions eligible
for offset in the Statements of Financial Condition and instruments and transactions that are subject to a master netting agreement as well as amounts related to financial collateral (including U.S. Treasury Bills and cash collateral) held at
clearing brokers and counterparties. Margin reflected in the collateral tables is limited to the net amount of unrealized loss at each counterparty. Actual margin amounts required at each counterparty are based on the notional amounts or the
number of contracts outstanding and may exceed the margin presented in the collateral tables.
Offsetting of Derivative Assets by Counterparty
As of June 30, 2023
Type of Instrument
Counterparty
Gross Amounts of Recognized Assets
Gross Amounts Offset in the Statements of Financial Condition
Net Amounts of Unrealized Gain Statements of Financial Condition
Futures contracts
Goldman, Sachs & Co.
$
10,034,865
$
(6,804,385
)
$
3,230,480
Forward currency contracts
NatWest Markets Plc
7,980,325
(7,980,325
)
0
Centrally cleared swap contracts*
Centrally Cleared
4,257,101
(1,282,863
)
2,974,238
Total derivatives
$
22,272,291
$
(16,067,573
)
$
6,204,718
*
Amount of centrally cleared swap contracts is not reconciled with the statements of financial condition due to variation margin amount included within cash at swaps broker in the statements of financial condition.
Derivative Assets and Collateral Received by Counterparty
As of June 30, 2023
Net Amounts of Unrealized Gain Presented in the
Gross Amounts Not Offset in the Statements of Financial Condition
Counterparty
Statements of
Financial Instruments
Cash Collateral
Net Amount
Goldman, Sachs & Co.
$
3,230,480
$
0
$
0
$
3,230,480
NatWest Markets Plc
0
0
0
0
Centrally Cleared
2,974,238
0
0
2,974,238
Total
$
6,204,718
$
0
$
0
$
6,204,718
Offsetting of Derivative Liabilities by Counterparty
As of June 30, 2023
Type of Instrument
Counterparty
Gross Amounts of Recognized Liabilities
Gross Amounts Offset in the Statements of Financial Condition
Net Amounts of Unrealized Loss Presented in the Statements of Financial Condition
Futures contracts
Goldman, Sachs & Co.
$
6,804,385
$
(6,804,385
)
$
0
Forward currency contracts
NatWest Markets Plc
8,602,126
(7,980,325
)
621,801
Centrally cleared swap contracts
Centrally Cleared
1,282,863
(1,282,863
)
0
Total derivatives
$
16,689,374
$
(16,067,573
)
$
621,801
Derivative Liabilities and Collateral Pledged by Counterparty
As of June 30, 2023
Net Amounts of Presented in the
Gross Amounts Not Offset in the Statements of Financial Condition
Counterparty
Statements of
Financial Instruments
Cash Collateral
Net Amount
Goldman, Sachs & Co.
$
0
$
0
$
0
$
0
NatWest Markets Plc
621,801
0
(621,801
)
0
Centrally Cleared
0
0
0
0
Total
$
621,801
$
0
$
(621,801
)
$
0
Offsetting of Derivative Assets by Counterparty
As of December 31, 2022
Type of Instrument
Counterparty
Gross Amounts of Recognized Assets
Gross Amounts Offset in the Statements of Financial Condition
Net Amounts of Unrealized Gain Presented in the Statements of Financial Condition
Futures contracts
Goldman, Sachs & Co.
$
7,750,705 $ (6,792,051 ) $ 958,654
Forward currency contracts
NatWest Markets Plc
8,245,050
(7,553,616
)
691,434
Centrally cleared swap contracts*
Centrally Cleared
1,924,378
(639,427
)
1,284,951
Total derivatives
$
17,920,133
$
(14,985,094
)
$
2,935,039
*
Amount of centrally cleared swap contracts is not reconciled with the statements of financial condition due to variation margin amount included within cash at swaps broker in the statements of financial condition.
Derivative Assets and Collateral Received by Counterparty
As of December 31, 2022
Net Amounts of Unrealized Gain Presented in the
Gross Amounts Not Offset in the Statements of Financial Condition
Counterparty
Statements of
Financial Instruments
Cash Collateral
Net Amount
Goldman, Sachs & Co.
$
958,654
$
0
$
0
$
958,654
NatWest Markets Plc
691,434
0
0
691,434
Centrally Cleared
1,284,951
0
0
1,284,951
Total
$
2,935,039
$
0
$
0
$
2,935,039
Offsetting of Derivative Liabilities by Counterparty
As of December 31, 2022
Type of Instrument
Counterparty
Gross Amounts of Recognized Liabilities
Gross Amounts Offset in the Financial Condition
Net Amounts of Unrealized Loss Presented in the Financial Condition
Futures contracts
Goldman, Sachs & Co.
$
6,792,051
$
(6,792,051
)
$
0
Forward currency contracts
NatWest Markets Plc
7,553,616
(7,553,616
)
0
Centrally cleared swap contracts
Centrally Cleared
639,427
(639,427
)
0
Total derivatives
$
14,985,094
$
(14,985,094
)
$
0
Derivative Liabilities and Collateral Pledged by Counterparty
As of December 31, 2022
Net Amounts of Unrealized Loss Presented in the
Gross Amounts Not Offset in the Statements of Financial Condition
Counterparty
Statements of Financial Condition
Financial
Cash Collateral
Net Amount
Goldman, Sachs & Co.
$
0
$
0
$
0
$
0
NatWest Markets Plc
0
0
0
0
Centrally Cleared
0
0
0
0
Total
$
0
$
0
$
0
$
0 Campbell & Company has established procedures to actively monitor market risk and minimize credit risk, although there can be
no assurance that it will, in fact, succeed in doing so. Campbell & Company’s basic market risk control procedures consist of continuously monitoring open positions, diversification of the portfolio and maintenance of a margin-to-equity ratio
that rarely exceeds 30%. Campbell & Company’s attempt to manage the risk of the Fund’s open positions is essentially the same in
all market categories traded. Campbell & Company applies risk management policies to its trading which generally limit the total exposure that may be taken per “risk unit” of assets under management. In addition, Campbell & Company
follows diversification guidelines (often formulated in terms of the balanced volatility between markets and correlated groups), as well as reducing position sizes dynamically in response to trading losses. Campbell & Company controls the
risk of the Fund’s non-trading fixed income instruments by limiting the duration of such instruments and requiring a minimum credit quality of the issuers of those instruments. Campbell & Company seeks to minimize credit risk primarily by depositing and maintaining the Fund’s assets at financial
institutions and brokers which Campbell & Company believes to be credit worthy. The limited partners bear the risk of loss only to the extent of the market value of their respective investments and, in certain specific circumstances,
distributions and redemptions received. |
