UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549

 

FORM 10-Q

 

(X) QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d)

 

OF THE SECURITIES EXCHANGE ACT OF 1934

 

For the Quarterly Period Ended September 30, 2009

 

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 0-50271

 

ORION FUTURES FUND L.P.

(Exact name of registrant as specified in its charter)

 

 

c/o Ceres Managed Futures LLC
55 East 59^th Street – 10th Floor
New York, New York 10022

(Address of principal executive offices) (Zip Code)

 

(212) 559-2011

 

(Registrant’s telephone number, including area code)

 

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 X  No  

 

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, 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 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. (Check one):

 

 

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).

 

Yes    No X

 

As of October 31, 2009, 281,480.3142 Limited Partnership Redeemable Units were outstanding.

ORION FUTURES FUND L.P.

 

FORM 10-Q

 

INDEX

 

Orion Futures Fund L.P.
Statements of Financial Condition
(Unaudited)

 

 

See accompanying notes to financial statements.

Orion Futures Fund L.P.
Schedule of Investments
September 30, 2009
(Unaudited)

 

			Number of							% of Partners’
			contracts				Fair Value			Capital
Futures Contracts Purchased
Currencies			388			$	1,026,937				0.14	%
Grains			122				13,725				0.00	*
Interest Rates U.S.			388				310,969				0.04
Interest Rates Non-U.S.			412				196,233				0.02
Metals			254				529,525				0.07
Softs			234				146,896				0.02
Total futures contracts purchased							2,224,285				0.29
Futures Contracts Sold
Currencies			194				95,234				0.01
Energy			252				(974,941	)			(0.13	)
Grains			223				306,838				0.04
Interest Rates U.S.			97				(9,150	)			(0.00	)*
Interest Rates Non-U.S.			97				(4,674	)			(0.00	)*
Livestock			55				(20,070	)			(0.00	)*
Metals			143				(147,850	)			(0.02	)
Total futures contracts sold							(754,613	)			(0.10	)
Unrealized Appreciation on Open Forward Contracts
Metals			92				2,467,781				0.33
Total unrealized appreciation on open forward contracts							2,467,781				0.33
Unrealized Depreciation on Open Forward Contracts
Metals			110				(2,361,433	)			(0.31	)
Total unrealized depreciation on open forward contracts							(2,361,433	)			(0.31	)
Investment in Partnerships
AAA Master Fund LLC							305,713,895				40.46
CMF Willowbridge Argo Master Fund LP							138,253,880				18.30
CMF Winton Master LP							244,778,625				32.39
Total investment in Partnerships							688,746,400				91.15
Total fair value						$	690,322,420				91.36	%

 

See accompanying notes to financial statements.

		Number of								% of Partners’
		Contracts				Fair Value				Capital
Futures Contracts Purchased
Currencies			114			$	127,205				0.02	%
Energy			19				(55,290	)			(0.01	)
Grains			190				260,336				0.04
Metals			19				44,650				0.01
Interest Rates U.S.			190				607,238				0.09
Interest Rates Non-U.S.			161				567,778				0.09
Softs			38				90,950				0.01
Total futures contracts purchased							1,642,867				0.25
Futures Contracts Sold
Metals			38				(116,550	)			(0.02	)
Total futures contracts sold							(116,550	)			(0.02	)
Unrealized Appreciation on Open Forward Contracts
Metals			214				3,283,299				0.50
Total unrealized appreciation on open forward contracts							3,283,299				0.50
Unrealized Depreciation on Open Forward Contracts
Metals			184				(3,139,143	)			(0.48	)
Total unrealized depreciation on open forward contracts							(3,139,143	)			(0.48	)
Investment in Partnerships
AAA Master Fund LLC							265,560,308				40.93
CMF Willowbridge Argo Master Fund LP							137,021,864				21.12
CMF Winton Master LP							207,588,888				31.99
Total investment in Partnerships							610,171,060				94.04
Total fair value						$	611,841,533				94.29	%

See accompanying notes to financial statements.

		Three Months Ended								Nine Months Ended
		September 30,								September 30,
		2009				2008				2009				2008
Income:
Net gains (losses) on trading of commodity interests and investment in Partnerships:
Net realized gains (losses) on closed contracts		$	(4,855,184	)		$	2,246,419			$	(5,606,585	)		$	9,319,273
Net realized gains (losses) on investment in Partnerships			(6,668,146	)			16,982,079				121,488,416				53,381,790
Change in net unrealized gains (losses) on open contracts			1,170,075				(1,520,879	)			(94,453	)			(240,637	)
Change in net unrealized gains (losses) on investment in Partnerships			7,997,677				9,569,011				(115,408,975	)			84,253,534
Gain (loss) from, trading net			(2,355,578	)			27,276,630				378,403				146,713,960
Interest income			22,621				255,190				60,700				659,646
Interest income from investment in Partnerships			151,965				1,500,094				428,088				4,923,018
Total income (loss)			(2,180,992	)			29,031,914				867,191				152,296,624
Expenses:
Brokerage commissions including clearing fees			2,251,687				1,774,020				5,556,620				5,536,372
Management fees			3,427,414				2,796,871				9,687,324				7,834,775
Administrative fees			928,856				757,089				2,625,301				2,144,949
Incentive fees			1,035,966				7,533,291				4,138,088				29,334,244
Other			124,495				168,705				374,447				413,160
Total expenses			7,768,418				13,029,976				22,381,780				45,263,500
Net income (loss)			(9,949,410	)			16,001,938				(21,514,589	)			107,033,124
Additions — Limited Partner			107,453,226				39,412,000				242,185,226				133,428,000
Additions — General Partner			—				—				—				1,973,412
Redemptions — Limited Partners			(26,558,490	)			(35,096,381	)			(113,952,130	)			(95,505,564	)
Net increase (decrease) in Partners’ Capital			70,945,326				20,317,557				106,718,507				146,928,972
Partners’ Capital, beginning of period			684,660,034				587,017,171				648,886,853				460,405,756
Partners’ Capital, end of period		$	755,605,360			$	607,334,728			$	755,605,360			$	607,334,728
Net Asset Value per Unit (274,813.5025 and 234,873.9438 Units outstanding at September 30, 2009 and 2008, respectively)		$	2,749.52			$	2,585.79			$	2,749.52			$	2,585.79
Net income (loss) per Redeemable Unit of Limited Partnership Interest and General Partner Unit equivalent		$	(37.87	)		$	66.99			$	(87.41	)		$	453.20
Weighted average units outstanding			268,549.9973				239,017.5072				250,370.2244				235,808.4396

 

See accompanying notes to financial statements.

Orion Futures Fund L.P.
Notes to Financial Statements
September 30, 2009
(Unaudited)

 

 

Orion Futures Fund L.P., (formerly Citigroup Orion Futures Fund L.P.), (the “Partnership”), is a limited partnership which was organized on March 22, 1999 under the partnership laws of the State of New York to engage, directly and indirectly, in the speculative trading of a diversified portfolio of commodity interests, including futures contracts, options, swaps and forward contracts on United States exchanges and certain foreign exchanges. The sectors traded include currencies, energy, grains, livestock, U.S. and non-U.S. interest rates, softs and metals. The Partnership commenced trading on June 10, 1999. The Partnership and the Funds, (as defined in Note 5 “Investment in Partnerships”) may trade futures, forwards and options contracts of any kind. In addition, the Partnership may enter into swap contracts on energy-related products. The Partnership privately and continuosly offers up to 400,000 redeemable units of Limited Partnership Interest (“Redeemable Units”) to qualified investors. There is no maximum number of Redeemable Units that may be sold by the Partnership. The commodity interests that are traded by the Partnership are volatile and involve a high degree of market risk.

 

Ceres Managed Futures LLC (formerly Citigroup Managed Futures LLC), a Delaware limited liability company, acts as the general partner (the “General Partner”) and commodity pool operator of the Partnership. The General Partner is wholly owned by Morgan Stanley Smith Barney Holdings LLC (“MSSB Holdings”), a newly registered non-clearing futures commission merchant and a member of the National Futures Association (“NFA”). Morgan Stanley, indirectly through various subsidiaries, owns 51% of MSSB Holdings. Citigroup Global Markets Inc. (“CGM”), the commodity broker and a selling agent for the Partnership, owns 49% of MSSB Holdings. Citigroup Inc. (“Citigroup”), indirectly through various subsidiaries, wholly owns CGM. Prior to July 31, 2009, the date as of which MSSB Holdings became its owner, the General Partner was wholly owned by Citigroup Financial Products Inc., a wholly owned subsidiary of Citigroup Global Markets Holdings Inc., the sole owner of which is Citigroup.

 

As of September 30, 2009, all trading decisions are made by Willowbridge Associates Inc., (“Willowbridge”), Winton Capital Management Limited (“Winton”) and AAA Capital Management Advisors, Ltd. (successor to AAA Capital Management, Inc.) (“AAA”) (each an “Advisor” and, collectively, the “Advisors”) each of which is a registered commodity trading advisor. Willowbridge trades the Argo, Vulcan, Consolidated Commodities Technical and Consolidated Commodities Fundamental trading systems for the Partnership.

 

The General Partner and each limited partner of the Partnership each, a (“Limited Partner”) share in the profits and losses of the Partnership in proportion to the amount of Partnership interest owned by each except that no Limited Partner shall be liable for obligations of the Partnership in excess of their initial capital contribution and profits, if any, net of distributions.

 

The accompanying financial statements are unaudited but, in the opinion of management, include all adjustments, consisting only of normal recurring adjustments, necessary for a fair statement of the Partnership’s financial condition at September 30, 2009 and December 31, 2008, and the results of its operations and changes in partners’ capital for the three and nine months ended September 30, 2009 and 2008. These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. You should read these financial statements together with the financial statements and notes included in the Partnership’s Annual Report on Form 10-K filed with the Securities and Exchange Commission (the “SEC”) for the year ended December 31, 2008.

 

The preparation of financial statements in conformity with U.S. generally accepted accounting principles (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, income and expenses, and related disclosures of contingent assets and liabilities in the financial statements and accompanying notes. In making these estimates and assumptions, management has considered the effects, if any, of events occurring after the date of the Partnership’s Statements of Financial Condition through November 16, 2009, which is the date the financial statements were issued. As a result, actual results could differ from these estimates.

 

On July 1, 2009, the Financial Accounting Standards Board (“FASB”) issued Statement of Financial Accounting Standards (“SFAS”) No. 168, The FASB Accounting Standards Codification and the Hierarchy of Generally Accepted Accounting Principles, also known as FASB Accounting Standards Codification (“ASC”) 105-10, “Generally Accepted Accounting Principles” (“ASC 105-10”) (the “Codification”). ASC 105-10 established the exclusive authoritative reference for U.S. GAAP for use in financial statements except for SEC rules and interpretive releases, which are also authoritative GAAP for SEC registrants. The Codification supersedes all existing non-SEC accounting and reporting standards. Codification became the single source of authoritative accounting principles generally accepted in the United States and applies to all financial statements issued after September 15, 2009.

 

The Partnership is not required to provide a Statement of Cash Flows as permitted by ASC 230-10-15 Statement of Cash Flows (formerly, FAS No. 102, “Statement of Cash Flows—Exemption of Certain Enterprises and Classification of Cash Flows from Certain Securities Acquired for Resale”).

 

Due to the nature of commodity trading, the results of operations for the interim periods presented should not be considered indicative of the results that may be expected for the entire year.

 

Certain prior period amounts have been reclassified to conform to current period presentation.

 

Orion Futures Fund L.P.
Notes to Financial Statements
September 30, 2009
(Unaudited)

 

 

Changes in the Net Asset Value per Redeemable Unit of Limited Partnership Interest for the three and nine months ended September 30, 2009 and 2008 were as follows:

 

		Three Months Ended								Nine Months Ended
		September 30								September 30
		2009				2008				2009				2008
Net realized and unrealized gains (losses) *		$	(17.49	)		$	106.74			$	(21.06	)		$	597.43
Interest income			0.67				7.34				1.97				23.79
Expenses **			(21.05	)			(47.09	)			(68.32	)			(168.02	)
Increase (decrease) for the period			(37.87	)			66.99				(87.41	)			453.20
Net Asset Value per Redeemable Unit of Limited Partnership Interest, beginning of period			2,787.39				2,518.80				2,836.93				2,132.59
Net Asset Value per Redeemable Unit of Limited Partnership Interest, end of period		$	2,749.52			$	2,585.79			$	2,749.52			$	2,585.79

 

 

 

 

The above ratios may vary for individual investors based on the timing of capital transactions during the period. Additionally, these ratios are calculated for the Limited Partner class using the Limited Partners’ share of income, expenses and average net assets.

 

 

The Partnership was formed for the purpose of trading contracts in a variety of commodity interests, including derivative financial instruments and derivative commodity instruments. The results of the Partnership’s trading activities are shown in the Statements of Income and Expenses and Changes in Partners’ Capital.

 

Orion Futures Fund L.P.
Notes to Financial Statements
September 30, 2009
(Unaudited)

 

The customer agreement between the Partnership and CGM gives the Partnership the legal right to net unrealized gains and losses on open futures and forward contracts. The Partnership nets, for financial reporting purposes, the unrealized gains and losses on open futures and forward contracts on the Statements of Financial Condition as the criteria under ASC 210-20-15, Balance Sheet (formerly, FIN No. 39, “Offsetting of Amounts Related to Certain Contracts”) have been met.

 

All of the commodity interests owned by the Partnership are held for trading purposes. The average fair values of these interests during the nine and twelve months ended September 30, 2009 and December 31, 2008, based on a monthly calculation, were $1,889,227 and $1,886,112, respectively. The fair values of these commodity interests, including options and swaps thereon, if applicable, at September 30, 2009 and December 31, 2008, were $1,576,020 and $1,670,473, respectively. Fair values for exchange traded commodity futures and options are based on quoted market prices for those futures and options. Fair values for all other financial instruments for which market quotations are not readily available are based on other measures of fair values deemed appropriate by the General Partner.

 

Brokerage commissions are based on the number of trades executed by the Advisors.

 

The Partnership adopted ASC 815-10 Derivatives and Hedging (formerly, FAS No. 161 “Disclosures about Derivative Instruments and Hedging Activities”) as of January 1, 2009 which requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of and gains and losses on derivative instruments, and disclosures about credit-risk-related contingent features in derivative agreements. ASC 815-10 only expands the disclosure requirements for derivatives instruments and related hedged activities and has no impact on the Statements of Financial Condition or Statements of Income and Expenses and Changes in Partners’ Capital. The contracts outstanding at the period ended September 30, 2009 are indicative of the volume traded during the period. See the Schedule of Investments. The following table indicates the fair values of derivative instruments of futures and forward contracts and options owned as separate assets and liabilities.

 

Assets		September 30, 2009				Assets		September 30, 2009
Futures Contracts						Forward Contracts
Currencies		$	1,155,472			Metals		$	2,467,781
Grains			323,013
Interest Rates U.S.			310,969
Interest Rates Non-U.S.			196,233
Metals			599,362
Softs			177,001
Total unrealized appreciation on open futures contracts		$	2,762,050			Total unrealized appreciation on open forward contracts		$	2,467,781
Liabilities		September 30, 2009				Liabilities		September 30, 2009
Futures Contracts						Forward Contracts
Currencies		$	(33,300	)		Metals		$	(2,361,433	)
Energy			(974,941	)
Grains			(2,450	)
Interest Rates U.S.			(9,150	)
Interest Rates Non-U.S.			(4,674	)
Livestock			(20,070	)
Metals			(217,688	)
Softs			(30,105	)
Total unrealized depreciation on open futures contracts		$	(1,292,378	)		Total unrealized depreciation on open forward contracts		$	(2,361,433	)
Net unrealized appreciation on open futures contracts		$	1,469,672	*		Net unrealized appreciation on open forwards contract		$	106,348	**

 

 

Orion Futures Fund L.P.
Notes to Financial Statements
September 30, 2009
(Unaudited)

 

The following table indicates the Partnership’s trading gains and losses, by market sector, on derivative instruments for the three and nine months ended September 30, 2009.

		Three Month Ended				Nine Month Ended
		September 30, 2009				September 30, 2009
Sector		Gain (loss) from trading				Gain (loss) from trading
Currencies		$	(1,588,471	)		$	(1,850,206	)
Energy			(1,080,215	)			(1,005,044	)
Grains			60,989				1,097,454
Interest rates U.S.			(127,718	)			(1,586,493	)
Interest rates Non-U.S.			(334,859	)			(1,219,116	)
Metals			(38,540	)			246,275
Softs			(122,084	)			(928,467	)
Livestock			(454,211	)			(455,441	)
		$	(3,685,109	)		$	(5,701,038	)

 

Investments.  All commodity interests (including derivative financial instruments and derivative commodity instruments) are held for trading purposes. The commodity interests are recorded on trade date and open contracts are recorded at fair value (as described below) at the measurement date. Investments in commodity interests denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Gains or losses are realized when contracts are liquidated. Unrealized gains or losses on open contracts are included as a component of equity in futures trading account on the Statements of Financial Condition. Realized gains or losses and any change in net unrealized gains or losses from the preceding period are reported in the Statements of Income and Expenses and Changes in Partners’ Capital.

 

Fair Value Measurements.  The Partnership and the Funds adopted ASC 820-10 Fair Value Measurements and Disclosures (formerly FAS No. 157, “Fair Value Measurements”) as of January 1, 2008, which defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. ASC 820-10 establishes a framework for measuring fair value and expands disclosures regarding fair value measurements in accordance with GAAP. The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to fair values derived from unobservable inputs (Level 3). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. The Partnership and the Funds did not apply the deferral allowed by ASC 820-10 for nonfinancial assets and nonfinancial liabilities measured at fair value on a nonrecurring basis.

 

Orion Futures Fund L.P.
Notes to Financial Statements
September 30, 2009
(Unaudited)

 

The Partnership and the Funds consider prices for exchange traded commodity futures, forwards and options contracts to be based on unadjusted quoted prices in active markets for identical assets (Level 1). The values of non exchange traded forwards, swaps and certain options contracts for which market quotations are not readily available are priced by broker-dealers who derive fair values for those assets from observable inputs (Level 2). Investments in partnerships (other commodity pools) where there are no other rights or obligations inherent within the ownership interest held by the Partnership are priced based on the end of the day net asset value (Level 2). The value of the Partnership’s investments in partnerships reflects its proportional interest in the partnerships. As of and for the periods ended September 30, 2009 and December 31, 2008, the Partnership and the Funds did not hold any derivative instruments that are priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3).

 

 

Orion Futures Fund L.P.
Notes to Financial Statements
September 30, 2009
(Unaudited)

 

 

On September 1, 2001, the assets allocated to AAA for trading were invested in AAA Master Fund LLC, formerly Citigroup AAA Master Fund LLC, (“AAA Master”), a New York limited liability company organized under the limited liability company laws of the State of New York (respectively). The Partnership purchased 5,173.4381 Units of AAA Master with cash of $5,173,438. AAA Master was formed in order to permit accounts managed now or in the future by AAA using the Energy Program – Futures and Swaps, to invest together in one trading vehicle. The General Partner is also the managing member of AAA Master. Individual and pooled accounts currently managed by AAA, including the Partnership, are permitted to be non-managing members of AAA Master. The General Partner and AAA believe that trading through this structure should promote efficiency and economy in the trading process.

 

On November 1, 2004, the assets allocated to Winton for trading were invested in CMF Winton Master L.P. (“Winton Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 35,389.8399 Units of Winton Master with cash of $33,594,083 and a contribution of open commodity futures and forward contracts with a fair value of $1,795,757. Winton Master was formed in order to permit accounts managed now or in the future by Winton using the Diversified Program to invest together in one trading vehicle. The General Partner is also the general partner of Winton Master. Individual and pooled accounts currently managed by Winton, including the Partnership, are permitted to be limited partners of Winton Master. The General Partner and Winton believe that trading through this structure should promote efficiency and economy in the trading process.

 

On July 1, 2005, the assets allocated to Willowbridge for trading were invested in CMF Willowbridge Argo Master Fund L.P. (“Willowbridge Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 33,529.1186 units of Willowbridge Master with cash of $29,866,194 and a contribution of open commodity futures and forward contracts with a fair value of $3,662,925. Willowbridge Master was formed in order to permit accounts managed now or in the future by Willowbridge using the Argo Trading Program to invest together in one trading vehicle. The General Partner is also the general partner of Willowbridge Master. Individual and pooled accounts managed by Willowbridge, including the Partnership are permitted to be limited partners of Willowbridge Master. The General Partner and Willowbridge believe that trading through this structure should promote efficiency and economy in the trading process.

 

The General Partner is not aware of any material changes to the trading programs discussed above during the fiscal quarter ended September 30, 2009.

 

AAA Master’s, Willowbridge Master’s and Winton Master’s (the “Funds”) trading of futures, forwards, swaps and options contracts, if applicable, on commodities is done primarily on United States of America commodity exchanges and foreign commodity exchanges. The Funds engage in such trading through commodity brokerage accounts maintained with CGM.

 

A limited partner/non-managing member of the Funds may withdraw all or part of its capital contribution and undistributed profits, if any, from the Funds in multiples of the Net Asset Value per Redeemable Unit of Limited Partnership

 

Orion Futures Fund L.P.
Notes to Financial Statements
September 30, 2009
(Unaudited)

 

Interest as of the end of any day (the “Redemption Date”) after a request for redemption has been made to the general partner/managing member at least 3 days in advance of the Redemption Date. The units are classified as a liability when the limited partner/non-managing member elects to redeem and informs the Funds.

 

Management, administrative and incentive fees are charged at the Partnership level. All exchange, clearing, user, give-up, floor brokerage and NFA fees are borne by the Partnership directly and through its investment in the Funds. All other fees, including CGM’s direct brokerage commission, are charged at the Partnership level.

 

At of September 30, 2009, the Partnership owned approximately 23.0%, 58.1% and 46.7% of AAA Master, Willowbridge Master and Winton Master, respectively. At of December 31, 2008, the Partnership owned approximately 19.8%, 46.1% and 37.9% of AAA Master, Willowbridge Master and Winton Master, respectively. It is the Partnership’s intention to continue to invest in the Funds. The performance of the Partnership is directly affected by the performance of the Funds. Expenses to investors as a result of the investment in the Funds are approximately the same and redemption rights are not affected.

 

Summarized information reflecting the Total Assets, Liabilities and Capital of the Funds are shown in the following tables.

 

		September 30, 2009
		Total Assets				Total Liabilities				Total Capital
AAA Master		$	1,933,729,139			$	605,566,558			$	1,328,162,581
Willowbridge Master			238,192,320				30,172				238,162,148
Winton Master			524,755,608				442,584				524,313,024
Total		$	2,696,677,067			$	606,039,314			$	2,090,637,753

 

 

Orion Futures Fund L.P.
Notes to Financial Statements
September 30, 2009
(Unaudited)

 

Summarized information reflecting the net gain (loss) from trading, total income (loss) and net income (loss) for the Funds are shown in the following tables.

		For the three months ended September 30, 2009
		Gain (Loss) from
		Trading, net				Total Income (Loss)				Net Income (Loss)
AAA Master		$	40,194,995			$	40,401,333			$	39,460,830
Winton Master			7,322,348				7,447,037				7,339,274
Willowbridge Master			(20,085,700	)			(20,026,877	)			(20,139,642	)
Total		$	27,431,643			$	27,821,493			$	26,660,462

		For the nine months ended September 30, 2009
		Gain (Loss) from
		Trading, net				Total Income (Loss)				Net Income (Loss)
AAA Master		$	143,718,324			$	144,327,480			$	141,598,562
Winton Master			(29,310,166	)			(28,936,214	)			(29,217,064	)
Willowbridge Master			(23,802,080	)			(23,622,469	)			(23,895,630	)
Total		$	90,606,078			$	91,768,797			$	88,485,868

		For the three months ended September 30, 2008
		Gain (Loss) from
		Trading, net				Total Income (Loss)				Net Income (Loss)
AAA Master		$	193,315,855			$	194,927,645			$	193,836,326
Winton Master			(39,233,959	)			(37,573,727	)			(37,692,795	)
Willowbridge Master			8,930,938				9,817,051				9,686,363
Total		$	163,012,834			$	167,170,969			$	165,829,894

		For the nine months ended September 30, 2008
		Gain (Loss) from
		Trading, net				Total Income (Loss)				Net Income (Loss)
AAA Master		$	395,536,118			$	400,447,961			$	397,460,650
Winton Master			59,111,379				64,841,142				64,405,072
Willowbridge Master			87,588,256				90,440,613				90,089,941
Total		$	542,235,753			$	555,729,716			$	551,955,663

 

Summarized information reflecting the Partnership’s investments in, and the operations of, the Funds are as shown in the following tables.

 

 

 

Orion Futures Fund L.P.
Notes to Financial Statements
September 30, 2009
(Unaudited)

 

		September 30, 2009												For the nine months ended September 30, 2009
		% of												Expenses
		Partnership’s				Fair				Income												Net				Investment		Redemption
Investment		Net Assets				Value				(Loss)				Commissions				Other				Income (loss)				Objective		Permitted
AAA Master			40.46	%		$	305,713,895			$	29,137,670			$	473,840			$	101,679			$	28,562,151			Energy Markets		Monthly
Willowbridge Master			18.30	%			138,253,880				(11,263,564	)			125,780				21,365				(11,410,709	)		Commodity Portfolio		Monthly
Winton Master			32.39	%			244,778,625				(11,366,577	)			107,240				11,436				(11,485,253	)		Commodity Portfolio		Monthly
Total						$	688,746,400			$	6,507,529			$	706,860			$	134,480			$	5,666,189

		December 31, 2008												For the three months ended September 30, 2008
		% of												Expenses
		Partnership’s				Fair				Income												Net				Investment		Redemption
Investment		Net Assets				Value				(Loss)				Commissions				Other				Income (loss)				Objective		Permitted
AAA Master			40.93	%		$	265,560,308			$	37,472,417			$	161,680			$	48,070			$	37,262,667			Energy Markets		Monthly
Willowbridge Master			21.12	%			137,021,864				4,516,430				54,124				4,133				4,458,173			Commodity Portfolio		Monthly
Winton Master			31.99	%			207,588,888				(13,937,663	)			41,077				3,463				(13,982,203	)		Commodity Portfolio		Monthly
Total						$	610,171,060			$	28,051,184			$	256,881			$	55,666			$	27,738,637

		December 31, 2008												For the nine months ended September 30, 2008
		% of												Expenses
		Partnership’s				Fair				Income												Net				Investment		Redemption
Investment		Net Assets				Value				(Loss)				Commissions				Other				Income (loss)				Objective		Permitted
AAA Master			40.93	%		$	265,560,308			$	75,635,358			$	442,024			$	111,949			$	75,081,385			Energy Markets		Monthly
Willowbridge Master			21.12	%			137,021,864				41,096,023				145,113				12,266				40,938,644			Commodity Portfolio		Monthly
Winton Master			31.99	%			207,588,888				25,826,961				157,302				10,198				25,659,461			Commodity Portfolio		Monthly
Total						$	610,171,060			$	142,558,342			$	744,439			$	134,413			$	141,679,490

 

 

In the normal course of its business, the Partnership and the Funds are parties to financial instruments with off-balance sheet risk, including derivative financial instruments and derivative commodity instruments. These financial instruments may include forwards, futures, options and swaps, whose values are based upon an underlying asset, index, or reference rate, and generally represent future commitments to exchange currencies or cash balances , or to purchase or sell other financial instruments on specific terms at specified 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 over-the-counter (“OTC”). Exchange traded instruments are standardized and include futures and option contracts. OTC contracts are negotiated between contracting parties and include swaps and certain forwards and options contracts. 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.

 

Orion Futures Fund L.P.
Notes to Financial Statements
September 30, 2009
(Unaudited)

 

Market risk is the potential for changes in the value of the financial instruments traded by the Partnership/Funds due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity or security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. The Partnership/Funds are exposed to a market risk equal to the value of futures and forward contracts purchased and unlimited liability on such contracts sold short.

 

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. The Partnership’s and the Funds’ risk of loss in the event of a counterparty default is typically limited to the amounts recognized in the Statements of Financial Condition and not represented by the contract or notional amounts of the instruments. The Partnership’s and the Funds’ risk of loss is reduced through the use of legally enforceable master netting agreements with counterparties that permit the Partnership and the Funds to offset unrealized gains and losses and other assets and liabilities with such counterparties upon the occurrence of certain events. The Partnership and the Funds have credit risk and concentration risk because the sole counterparty or broker with respect to the Partnership’s and the Funds’ assets is CGM or a CGM affiliate. Credit risk with respect to exchange-traded instruments is reduced to the extent that through CGM, the Partnership’s and the Funds’ counterparty is an exchange or clearing organization.

 

As both a buyer and seller of options, the Partnership/Funds pay or receive a premium at the outset and then bear the risk of unfavorable changes in the price of the contract underlying the option. Written options expose the Partnership/Funds to potentially unlimited liability; for purchased options the risk of loss is limited to the premiums paid. Certain written put options permit cash settlement and do not require the option holder to own the reference asset. The Partnership/Funds do not consider these contracts to be guarantees as described in ASC 460-10 Guarantees (formerly, FAS No. 45 “Guarantor’s Accounting and Disclosure Requirements for Guarantees”).

 

The general partner/managing member monitors and controls the Partnership’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 Partnership/Funds are subject. These monitoring systems allow the general partner/managing member 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, forwards and options positions by sector, margin requirements, gain and loss transactions and collateral positions.

 

The majority of these instruments mature within one year of the inception date. However, due to the nature of the Partnership’s/Funds’ businesses, these instruments may not be held to maturity.

 

Liquidity and Capital Resources

 

The Partnership does not engage in sales of goods or services. Its assets are its (i) investment in Partnerships (ii) equity in futures trading account consisting of cash, net unrealized appreciation on open futures and forwards contracts, and (iii) interest receivables. Because of the low margin deposits normally required in commodity futures trading, relatively small price movements may result in substantial losses to the Partnership. While substantial losses could lead to a material decrease in liquidity, no such losses occurred in the third quarter of 2009.

 

The Partnership’s capital consists of the capital contributions of the partners as increased or decreased by realized and/or unrealized gains or losses on trading and by expenses, interest income, additions and redemptions of Redeemable Units and distributions of profits, if any.

 

For the nine months ended September 30, 2009, Partnership capital increased 16.4% from $648,886,853 to $755,605,360. This increase was attributable to the addition of 86,861.0612 Redeemable units of Limited Partnership Interests totalling $242,185,226, which was partially offset by a net loss from operations of $21,514,589, coupled with the redemptions of 40,776.1064 Redeemable Units of Limited Partnership Interest totaling $113,952,130. Future redemptions can impact the amount of funds available for investment in commodity contract positions in subsequent periods.

 

Critical Accounting Policies

 

Use of Estimates.  The preparation of financial statements and accompanying notes in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, income and expenses, and related disclosures of contingent assets and liabilities in the financial statements and accompanying notes. As a result, actual results could differ from these estimates.

 

Statement of Cash Flows.   The Partnership is not required to provide a Statement of Cash Flows as permitted by ASC 230-10.

 

Investments.  All commodity interests (including derivative financial instruments and derivative commodity instruments) are held for trading purposes. The commodity interests are recorded on trade date and open contracts are recorded at fair value (as described below) at the measurement date. Investments in commodity interests denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Gains or losses are realized when contracts are liquidated. Unrealized gains or losses on open contracts are included as a component of equity in trading account on the Statement of Financial Condition. Realized gains or losses and any change in net unrealized gains or losses from the preceding period are reported in the Statements of Income and Expenses and Changes in Partners’ Capital.

 

Fair Value Measurements.  The Partnership and the Funds (as defined in note 5 “Investment in Partnerships”) adopted ASC 820-10 as of January 1, 2008, which defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The Partnership and the Funds did not apply the deferral allowed by ASC 820-10 for nonfinancial assets and nonfinancial liabilities measured at fair value on a nonrecurring basis.

     The Partnership and the Funds consider prices for exchange traded commodity futures, forwards and options contracts to be based on unadjusted quoted prices in active markets for identical assets (Level 1). The values of non exchange traded forwards, swaps and certain options contracts for which market quotations are not readily available are priced by broker-dealers who derive fair values for those assets from observable inputs (Level 2). Investments in partnerships (other commodity pools) where there are no other rights or obligations inherent within the ownership interest held by the Partnership are priced based on the end of the day net asset value (Level 2). The value of the Partnership’s investments in partnerships reflects its proportional interest in the partnerships. As of and for the period ended September 30, 2009, the Partnership and the Funds did not hold any derivative instruments that are priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3).

 

Futures Contracts.  The Partnership and the Funds trade futures contracts. A futures contract is a firm commitment to buy or sell a specified quantity of investments, currency or a standardized amount of a deliverable grade commodity, at a specified price on a specified future date, unless the contract is closed before the delivery date, or if the delivery quantity is something where physical delivery cannot occur (such as S&P 500 Index), whereby such contract is settled in cash. Payments (“variation margin”) may be made or received by the Partnership and the Funds each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the Partnership and Funds. When the contract is closed, the Partnership and the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Because transactions in futures contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the futures broker, directly with the exchange on which the contracts are traded, credit exposure is limited. Realized gains (losses) and changes in unrealized gains (losses) on futures contracts are included in the Statements of Income and Expenses and Changes in Partners’ Capital.

 

Forward Foreign Currency Contracts. Foreign currency contracts are those contracts where the Partnership and the Funds agree to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed future date. Foreign currency contracts are valued daily, and the Partnership’s net equity therein, representing unrealized gain or loss on the contracts as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward rates at the reporting date, is included in the Statements of Financial Condition. Realized gains (losses) and changes in unrealized gains (losses) on foreign currency contracts are recognized in the period in which the contract is closed or the changes occur, respectively, and are included in the Statements of Income and Expenses and Changes in Partners’ Capital.

 

The Partnership 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 gain (loss) on investments in the Statements of Income and Expenses and Changes in Partners’ Capital.

 

London Metals Exchange Forward Contracts.  Metal contracts traded on the London Metals Exchange (“LME”) represent a firm commitment to buy or sell a specified quantity of Aluminum, Copper, Lead, Nickel, Tin or Zinc. LME contracts traded by the Partnership and the Funds are cash settled based on prompt dates published by the LME. Payments (“variation margin”) may be made or received by the Partnership and the Funds each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the Partnership and the Funds. A contract is considered offset when all long positions have been matched with short positions. When the contract is closed at the prompt date, the Partnership and the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Because transactions in LME contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the broker, directly with the LME, credit exposure is limited. Realized gains (losses) and changes in unrealized gains (losses) on metal contracts are included in the Statements of Income and Expenses and Changes in Partners’ Capital.

 

Options.  The Partnership and Funds may purchase and write (sell) both exchange listed and over-the-counter, options on commodities or financial instruments. An option is a contract allowing, but not requiring, its holder to buy (call) or sell (put) a specific or standard commodity or financial instrument at a specified price during a specified time period. The option premium is the total price paid or received for the option contract. When the Partnership and the Funds write an option, the premium received is recorded as a liability in the Statements of Financial Condition and marked to market daily. When the Partnership and the Funds purchase an option, the premium paid is recorded as an asset in the Statements of Financial Condition and marked to market daily. Realized gains (losses) and changes in unrealized gains (losses) on options contracts are included in the Statements of Income and Expenses and Changes in Partners’ Capital.

 

Brokerage Commissions.  Commission charges to open and closed futures and exchange traded swap contracts are expensed at the time the positions are opened. Commission charges on option contracts are expensed at the time the position is established and when the option contract is closed.

 

Income Taxes.  Income taxes have not been provided as each partner is individually liable for the taxes, if any, on their share of the Partnership’s income and expenses.

 

In 2007, the Partnership adopted ASC 740-10 Income Taxes (formerly, FAS No. 48, “Accounting for Uncertainty in Income Taxes”). ASC 740-10 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. ASC 740-10 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Partnership’s financial statements to determine whether the tax positions are “more-likely-than-not” to be sustained by the applicable tax authority. Tax positions with respect to tax at the partnership level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. The General Partner has continued to evaluate the application of ASC 740-10 and has concluded that the adoption of ASC 740-10 had no impact on the operations of the Partnership for the nine months ended September 30, 2009 and that no provision for income tax is required in the Partnership’s financial statements.

 

The following is the major tax jurisdictions for the Partnership and the earliest tax year subject to examination: United States – 2005.

 

Recent Accounting Pronouncements. In 2009, the Partnership adopted ASC 820-10-65 Fair Value Measurements (formerly, FAS No. 157-4, “Determining Fair Value When the Volume and Level of Activity for the Asset or Liability Have Significantly Decreased and Identifying Transactions That Are Not Orderly”). ASC 820-10-65 reaffirms that fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. ASC 820-10-65 also reaffirms the need to use judgment in determining if a formerly active market has become inactive and in determining fair values when the market has become inactive. The application of ASC 820-10-65 is required for interim and annual reporting periods ending after June 15, 2009. Management has concluded that based on available information in the marketplace, that there has not been a decrease in the volume and level of activity in the Partnerships level 2 assets and liabilities. The adoption of ASC 820-10-65 had no effect on the Partnership’s Financial Statements.

 

Subsequent Events. In 2009, the Partnership adopted ASC 855-10 Subsequent Events (formerly FAS No. 165 “Subsequent Events”). The objective of ASC 855-10 is to establish general standards of accounting for and disclosure of events that occur after the balance sheet date but before financial statements are issued or available to be issued.

 

Results of Operations

 

During the Partnership’s third quarter of 2009 the Net Asset Value per Redeemable Unit decreased 1.4% from $2,787.39 to $2,749.52 as compared to an increase of 2.7% in the third quarter of 2008. The Partnership experienced a net trading loss before brokerage commissions and related fees in the third quarter of 2009 of $2,355,578. Losses were primarily attributable to the Partnership’s / Funds’ trading of currencies, energy, indices and livestock and were partially offset by gains in grains, U.S. and non-U.S. interest rates, metals, and softs. The Partnership experienced a net trading gain before brokerage commissions and related fees in the third quarter of 2008 of $27,276,630. Gains were primarily attributable to the Partnership’s / Funds’ trading of currencies, energy, U.S. interest rates, indices and lumber and were partially offset by losses in grains non-U.S. interest rates, livestock, metals and softs.

 

Markets around the world rose again in the third quarter of 2009. Economic activity in the U.S. further stabilized with many important sectors of the economy demonstrating marked improvements over the depressed levels reached earlier this year. The overall economy continued to face headwinds with employment further contracting, albeit at a much slower pace. Consumer confidence has increased from record lows but remains well below historical averages. The Partnership realized losses for the quarter, primarily in energy and equity indices.

 

Despite upgraded demand forecasts from OPEC, petroleum prices continued to weaken. U.S. government data showed unexpected increases in inventories as both imports and domestic output continued to rise. Following a period of sustained declines, natural gas prices unexpectedly rallied, contributing to losses in the energy sector. The combination of strong growth news, benign inflation data and accommodative monetary policy stances from key central banks has continued to support the price action in risky assets. Losses were also recorded in equities as positions were slow to turn early in the quarter.

 

During the Partnership’s nine months ended September 30, 2009 the Net Asset Value per Redeemable Unit decreased 3.1% from $2,836.93 to $2,749.52 as compared to an increase of 21.3% in the same period of 2008. The Partnership experienced a net trading gain before brokerage commissions and related fees for the nine months ended September 30, 2009 of $378,403. Gains were primarily attributable to the Partnership’s / Funds’ trading of energy, grains, and metals and were partially offset by losses in currencies, U.S. and non-U.S. interest rates, livestock, softs, lumber and indices. The Partnership experienced a net trading gain before brokerage commissions and related fees for the nine months ended September 30, 2008 of $146,713,960. Gains were primarily attributable to the Partnership’s / Funds’ trading of currencies, energy, grains, U.S. and non-U.S. interest rates, metals, indices and lumber and were partially offset by losses in livestock and softs

 

Commodity futures markets are highly volatile. The potential for broad and rapid price fluctuations increases the risks involved in commodity trading, but also increases the possibility of profit. The profitability of the Partnerships/Funds depends on the existence of major price trends and the ability of the Advisors to correctly identify those price trends. Price trends are influenced by, among other things, changing supply and demand relationships, weather, governmental, agricultural, commercial and trade programs and policies, national and international political and economic events and changes in interest rates. To the extent that market trends exist and the Advisors are able to identify them, the Partnership expects to increase capital through operations.

Interest income is earned on 100% of the Partnership’s average daily equity maintained in cash in its account during each month at a 30-day U.S. Treasury bill rate determined weekly by CGM based on the average non-competitive yield on 3-month U.S. Treasury bills maturing in 30 days from the date on which such weekly rate is determined. CGM may continue to maintain the Partnership’s assets in cash and/or place all of the Partnership’s assets in 90-day Treasury bills and pay the Partnership 100% of the interest earned on Treasury bills purchased. Interest income for the three and nine months ended September 30, 2009 decreased by $1,580,698 and $5,093,876, respectively, as compared to the corresponding periods in 2008. The decrease is due to lower U.S. Treasury bill rates for the three and nine months ended September 30, 2009, as compared to the corresponding periods in 2008.

 

Brokerage commissions are based on the number of trades executed by the Advisors. Brokerage commissions and fees for the three and nine months ended September 30, 2009 increased by $477,667 and $20,248, respectively as compared to the corresponding periods in 2008. The increase in brokerage commissions and fees is primarily due to an increase in the number of trades during the three and nine months ended September 30, 2009, as compared to the corresponding periods in 2008.

 

Management fees are calculated as a percentage of the Partnership’s net asset value as of the end of each month and are affected by trading performance, additions and redemptions. Management fees for the three and nine months ended September 30, 2009 increased by $630,543 and $1,852,549, respectively as compared to the corresponding periods in 2008. The increase of management fees is due to an increase in average net assets during the three and nine months ended September 30, 2009, as compared to the corresponding periods in 2008.

 

Administrative fees are paid to the General Partner for administering the business and affairs of the Partnership. These fees are calculated as a percentage of the Partnership’s net asset value as of the end of each month and are affected by trading performance, additions and redemptions. Administrative fees for the three and nine months ended September 30, 2009 increased by $171,767 and $480,352, respectively as compared to the corresponding periods in 2008. The increase in administrative fees is due to an increase in average net assets during the three and nine months ended September 30, 2009, as compared to the corresponding periods in 2008.

 

Incentive fees paid by the Partnership are based on the new trading profits generated by each Advisor at the end of the quarter, as defined in the management agreements between the Partnership, the General Partner and each Advisor. Trading performance for the three and nine months ended September 30, 2009 resulted in incentive fees of $1,035,966 and $4,138,088, respectively. Trading performance for the three and nine months ended September 30, 2008 resulted in incentive fees of $7,533,291 and $29,334,244, resceptively.

 

     In allocating the assets of the Partnership among the trading advisors, the General Partner considers past performance, trading style, volatility of markets traded and fee requirements. The General Partner may modify or terminate the allocation of assets among the trading advisors and may allocate assets to additional advisors at any time.

 

 

The Partnership/Funds are speculative commodity pools. The market sensitive instruments held by the them are acquired for speculative trading purposes, and all or substantially all of the Partnership’s/Funds’ assets are subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Partnership’s main lines of business.

 

     The risk to the Limited Partners that have purchased interests in the Partnership is limited to the amount of their capital contributions to the Partnership and their share of the Partnership’s assets and undistributed profits. This limited liability is a consequence of the organization of the Partnership as a limited partnership under applicable law.

 

Market movements result in frequent changes in the fair value of the Partnership’s/Funds’ open contracts and, consequently, in their earnings and cash balances. The Partnership’s/Funds’ market risk is influenced by a wide variety of factors, including the level and volatility of interest rates, exchange rates, equity price levels, the fair value of financial instruments and contracts, the diversification effects among the Partnership’s/Funds’ open contracts and the liquidity of the markets in which they trade.

 

The Partnership/Funds rapidly acquire and liquidate both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the Partnership’s/Funds’ past performances are not necessarily indicative of their future results.

 

Value at Risk is a measure of the maximum amount which the Partnership/Funds could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Partnership’s/Funds’ speculative trading and the recurrence in the markets traded by the Partnership/Funds of market movements far exceeding expectations could result in actual trading or non-trading losses far beyond the indicated Value at Risk or the Partnership’s/Funds’ experience to date (i.e., “risk of ruin”). In light of the foregoing, as well as the risks and uncertainties intrinsic to all future projections, the inclusion of the quantification in this section should not be considered to constitute any assurance or representation that the Partnership’s/Funds’ losses in any market sector will be limited to Value at Risk or by the Partnership’s/Funds’ attempts to manage their market risk.

 

Exchange maintenance margin requirements have been used by the Partnership/Funds as the measure of their Value at Risk. Maintenance margin requirements are set by exchanges to equal or exceed the maximum losses reasonably expected to be incurred in the fair value of any given contract in 95%-99% of any one-day interval. Maintenance margin has been used rather than the more generally available initial margin, because initial margin includes a credit risk component, which is not relevant to Value at Risk.

 

The following tables indicate the trading Value at Risk associated with the Partnership’s direct investments and its indirect investments in the Funds by market category as of September 30, 2009 and the highest, lowest and average value during the three months ended September 30, 2009. All open position trading risk exposures of the Partnership and the Funds have been included in calculating the figures set forth below. There has been no material change in the trading Value at Risk information previously disclosed in the Partnership’s Annual Report on Form 10-K for the year ended December 31, 2008.

 

As of September 30, 2009, the Partnership’s total capital was $755,605,360. As of September 30, 2009, the Partnerships Value at Risk for the portion of its assets that are traded directly was as follows:

 

September 30, 2009
(Unaudited)