Attached files
| file | filename |
|---|---|
| EX-31.1 - EX-31.1 - CERES ABINGDON L.P. | y02783exv31w1.htm |
| EX-32.1 - EX-32.1 - CERES ABINGDON L.P. | y02783exv32w1.htm |
| EX-31.2 - EX-31.2 - CERES ABINGDON L.P. | y02783exv31w2.htm |
| EX-32.2 - EX-32.2 - CERES ABINGDON L.P. | y02783exv32w2.htm |
| EX-10.2(C) - EX-10.2(C) - CERES ABINGDON L.P. | y02783exv10w2xcy.htm |
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 10-K
(X) ANNUAL REPORT PURSUANT TO SECTION 13 or 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934
OF THE SECURITIES EXCHANGE ACT OF 1934
For the fiscal year ended December 31, 2009
OR ( ) TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934
OF THE SECURITIES EXCHANGE ACT OF 1934
For
the transition period from to
Commission File Number 0-53210
ABINGDON FUTURES FUND L.P.
| New York | 20-3845005 | |
| (State or other jurisdiction of incorporation or organization) |
(I.R.S. Employer Identification No.) |
c/o Ceres Managed Futures LLC
55 East 59th Street — 10th Floor
New York, New York 10022
55 East 59th Street — 10th Floor
New York, New York 10022
(212) 559-2011
Securities registered
pursuant to Section 12(b)
of the Act:
|
None | |
Securities registered
pursuant to Section 12(g)
of the Act:
|
Redeemable Units of Limited
Partnership Interest (Title of Class) |
Indicate by check mark if the registrant is a well-known seasoned issuer, as defined in Rule 405 of
the Securities Act.
Yes o No þ
Indicate by check mark if the registrant is not required to file reports pursuant to section 13 or
section 15(d) of the Act.
Yes o No þ
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 þ No o
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 during the preceding
12 months (or for such shorter period that the registrant was required to
submit and post such files).
Yes o No o
Indicate by check mark if disclosure of delinquent filers pursuant to Item 405 of Regulation S-K is
not contained herein, and will not be contained, to the best of registrant’s knowledge, in
definitive proxy or information statements incorporated by reference in Part III of this Form 10-K
or any amendment to this form 10-K þ.
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a
non-accelerated file 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):
| Large accelerated filer o | Accelerated filer o | Non-accelerated filer þ (Do not check if a smaller reporting company) | Smaller reporting company o |
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the
Exchange Act)
Yes o No þ
Limited Partnership Redeemable Units with an aggregate value of
$120,590,111 were outstanding and
held by non-affiliates as of the last business day of the registrant’s most recently completed
second calendar month.
As of February 28, 2010, 114,261.2120 Limited Partnership Redeemable Units were outstanding.
DOCUMENTS INCORPORATED BY REFERENCE
[None]
PART I
| Item 1. | Business. |
(a) General Development of Business. Abingdon Futures Fund L.P. (formerly, Citigroup
Abingdon Futures Fund L.P.) (the “Partnership”) is a limited partnership which was formed on
November 8, 2005, under the partnership laws of the State of New York to engage in the speculative
trading of a diversified portfolio of commodity interests including futures contracts, options,
swaps and forward contracts. The sectors traded include currencies, energy, grains, indices, U.S.
and non-U.S. interest rates, livestock, lumber, metals and softs. The Partnership commenced trading
on February 1, 2007. The commodity interests that are traded by the Master (as defined below) are
volatile and involve a high degree of market risk. The Partnership privately and continuously
offers up to 300,000 redeemable units of Limited Partnership Interest (“Redeemable Units”) in the
Partnership to qualified investors. There is no maximum number of Redeemable Units that may be sold
by the Partnership.
Sales of additional Redeemable Units and additional general partner contributions and
redemptions of Redeemable Units for the years ended December 31, 2009, 2008 and for the period from
February 1, 2007 (commencement of trading operations) to December 31, 2007 are reported in the
Statements of Changes in Partners’ Capital on page F-11 under “Item 8. Financial Statements and
Supplementary Data.”
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.
On February 1, 2007, the Partnership allocated substantially all of its capital to the CMF Winton
Master L.P. (the “Master”), a limited partnership organized under the partnership laws of the
state of New York, having the same investment objective as the Partnership. The Partnership
purchased 9,017.0917 units of the Master with cash equal to $12,945,000. The Master was
formed in order to permit accounts managed by Winton Capital Management Limited (“Winton” or the
“Advisor”) using the Diversified Program, the Advisor’s proprietary, systematic trading program, to
invest together in one trading vehicle. A description of the trading activities and focus of the Advisor is included on
page 8 under “Item 7. Management’s Discussion and
Analysis of Financial Condition and Results of Operations.”
The General Partner is also the general partner of the
Master. The General Partner and the Advisor believe
that trading through this master/feeder structure promotes efficiency and economy in the trading
process. Expenses to investors as a result of the investment
in the Master are approximately the same and redemption rights are not affected.
The financial
statements of the Master, including the Condensed Schedule of Investments, are contained,
elsewhere in this report and should be read together with the Partnership’s financial statements.
For the period January 1, 2009 through
December 31, 2009, the approximate average market sector distribution for the Partnership was as follows:
As of December 31, 2009 and 2008, the Partnership owned approximately 21.4% and 21.7%,
respectively, of the Master. The Partnership intends to continue to invest substantially all of its
assets in the Master. The performance of the Partnership is directly affected by the performance of
the Master.
The Master’s 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 Master engages in such trading through a commodity brokerage account maintained with
CGM.
The Partnership will be liquidated upon the first to occur of the following: December 31,
2025; when the Net Asset Value per Redeemable Unit decreases to less than $400 per Redeemable Unit
as of the close
of business on any business day; a decline in net assets after trading commences to less than
$1,000,000; or under certain circumstances as defined in the Limited Partnership Agreement of the
Partnership (the “Limited Partnership Agreement”).
2
The General Partner administers the business and affairs of the Partnership. The Partnership
pays the General Partner a monthly administrative fee in return for its services to the Partnership
equal to 1/24 of 1% (0.5% per year) of month-end Net Assets of the Partnership. Month-end Net
Assets, for the purpose of calculating administrative fees are Net Assets, as defined in the
Limited Partnership Agreement, prior to the reduction of the
current month’s management fee, incentive fee accrual, the
General Partner’s administrative fee and any redemptions or
distributions as of the end of such month. This fee
may be increased or decreased at the discretion of the General Partner.
The General Partner, on behalf of the Partnership, has entered
into a management agreement (the “Management
Agreement”) with the Advisor. The Management Agreement
provides that the Advisor has sole discretion in determining the
investment of the assets of the Partnership allocated to the
Advisor by the General Partner. The Partnership is obligated to
pay the Advisor a monthly management fee equal to
1/6
of 1% (2% per year) of month-end Net Assets allocated to the
Advisor. Month-end Net Assets, for the purpose of calculating
management fees are Net Assets, as defined in the Limited
Partnership Agreement, prior to the reduction of the current
month’s management fee, incentive fee accrual, the General
Partner’s administrative fee and any redemptions or
distributions as of the end of such month. The Management
Agreement may be terminated upon notice by either party.
In addition, the Partnership is obligated to pay the Advisor an
incentive fee, payable quarterly, equal to 20% of the New
Trading Profits, as defined in the Management Agreement,
allocated pro-rata from the Master, earned by the Advisor for
the Partnership during each calender quarter. The Advisor will
not be paid incentive fees until the Advisor recovers the net
loss incurred and earns additional new trading profits for the
Partnership.
The Partnership has entered into a customer agreement (the
“Customer Agreement”) which provides that the
Partnership will pay CGM a monthly brokerage commission equal to
4.5% per year of
month-end
Net Assets, allocated pro rata from the Master, in lieu of
brokerage commissions on a per trade basis. Month-end Net
Assets, for the purpose of calculating commissions are Net
Assets, as defined in the Limited Partnership Agreement, prior
to the reduction of the current month’s brokerage
commissions, management fee, incentive fee accrual, the General
Partner’s administrative fee, other expenses and any
redemptions or distributions as of the end of such month.
Brokerage commissions will be paid for the life of the
Partnership, although the rate at which such commissions are
paid may be changed. CGM will pay a portion of its brokerage
commissions to financial advisors who have sold Redeemable Units
in the Partnership. All NFA fees, exchange, clearing, user,
give-up and
floor brokerage fees (collectively the “clearing
fees”) will be borne by the Master and allocated to the
Partnership through its investment in the Master. The
Partnership’s assets, not held in the Master’s account
at CGM, are held in the Partnership’s account at CGM. The
Partnership’s cash was deposited by CGM in segregated bank
accounts to the extent required by Commodity Futures Trading
Commission regulations. CGM has agreed to pay the Partnership
interest on its allocable share of 80% of the average daily
equity maintained in cash in the Master’s account during
each month at a
30-day
U.S. Treasury bill rate determined weekly by CGM based on
the average noncompetitive yield on
3-month
U.S. Treasury bills maturing in 30 days from the date
on which such weekly rate is determined.
CGM will pay such interest to the Partnership out of its own funds whether or not it is able to earn the interest it has obligated itself to pay.
Alternatively, CGM may
place up to all of the Master’s assets in 90-day U.S.
Treasury bills and pay the Partnership its allocable share of
80% of the interest earned on Treasury bills purchased. Twenty
percent of the interest earned on Treasury bills purchased may
be retained by CGM and/or credited to the General Partner.
The Customer Agreement between the Partnership and CGM
and the Master and CGM gives the Partnership and the Master,
respectively, the legal right to net unrealized gains and losses. The Customer Agreement may be
terminated upon notice by either party.
(b) Financial Information about Industry Segments. The Partnership’s business consists
of only one segment, speculative trading of commodity interests. The Partnership does not engage in
sales of goods or services. The Partnership’s net income (loss) from operations for the years ended
December 31, 2009, 2008 and for the period from February 1, 2007 (commencement of trading
operations) to December 31, 2007 is set forth under “Item 6. Selected Financial Data.” The
Partnership’s Capital as of December 31, 2009 was $120,785,979.
(c) Narrative Description of Business.
See Paragraphs (a) and (b) above.
(i) through (xii) — Not applicable.
3
(xiii) — The Partnership has no employees.
(d) Financial Information About Geographic Areas. The Partnership does not engage in
sales of goods or services or own any long lived assets, and therefore this item is not applicable.
(e) Available Information. The Partnership does not have an internet address. The
Partnership will provide paper copies of its annual report on Form 10-K, quarterly reports on Form
10-Q, current reports on Form 8-K and any amendments to these reports free of charge upon request.
(f) Reports to Security Holders. Not applicable.
(g) Enforceability of Civil Liabilities Against Foreign Persons. Not applicable.
(h) Smaller Reporting Companies. Not applicable.
| Item 1A. | Risk Factors. |
As a result of leverage, small changes in the price of the Partnership’s positions may result
in major losses.
The trading of commodity interests is speculative, volatile and involves a high degree of
leverage. A small change in the market price of a commodity interest contract can produce major
losses for the Partnership. Market prices can be influenced by, among other things, changing supply and demand
relationships, governmental, agricultural, commercial and trade programs and policies,
national and international political and economic events, weather and climate conditions,
insects and plant disease, purchases and sales by foreign countries and changing interest
rates.
An investor may lose all of their investment.
Due to the speculative nature of trading commodity interests, an investor could lose all of
their investment in the Partnership.
The Partnership will pay substantial fees and expenses regardless of profitability.
Regardless of its trading performance, the Partnership will incur fees and expenses, including
brokerage and management fees. Fees will be paid to the trading Advisor even if the Partnership
experiences a net loss for the full year.
An investor’s ability to redeem or transfer units is limited.
An investor’s ability to redeem units is limited, and no market exists for the units.
Conflicts of interest exist.
The Partnership is subject to numerous conflicts of interest including those that arise from
the facts that:
| 1. | The General Partner and commodity broker are affiliates; | ||
| 2. | The Advisor, the commodity broker and their principals and affiliates may trade in commodity interests for their own accounts; and | ||
| 3. | An investor’s financial advisor will receive ongoing compensation for providing services to the investor’s account. |
Investing in units might not provide the desired diversification of an investor’s overall
portfolio.
The Partnership will not provide any benefit of diversification of an investor’s overall
portfolio unless it is profitable and produces returns that are independent from stock and bond
market returns.
Past performance is no assurance of future results.
The Advisor’s trading strategies may not perform as they have performed in the past. The Advisor
has from time to time incurred
4
substantial losses in trading on behalf of clients.
An investor’s tax liability may exceed cash distributions.
Investors are taxed on their share of the Partnership’s income, even though the Partnership
does not intend to make any distributions.
Regulatory changes could restrict the Partnership’s operations.
Regulatory changes could adversely affect the
Partnership by restricting its markets or activities, limiting its trading and/or increasing the taxes to which investors are subject.
The General Partner is not aware of any definitive regulatory developments that might adversely affect the Partnership; however, since
June 2008, several bills have been proposed in the U.S. Congress in response to record energy and agricultural prices and the financial
crisis. Some of the pending legislation, if enacted, could impact the manner in which swap contracts are traded and/or settled and limit
trading by speculators (such as the Partnership) in futures and over-the-counter markets. One of the proposals would authorize the CFTC
and the Commission to regulate swap transactions. Other potentially adverse regulatory initiatives could develop suddenly and without
notice.
Speculative position and trading limits may reduce profitability.
The CFTC and U.S. exchanges have established
speculative position limits on the maximum net long or net short positions which any person may hold or control in particular futures and
options on futures. The trading instructions of an advisor may have to be modified, and positions held by the Partnership may have to be
liquidated in order to avoid exceeding these limits. Such modification or liquidation could adversely affect the operations and
profitability of the Partnership by increasing transaction costs to liquidate positions and foregoing potential profits.
5
Item 2. Properties.
The Partnership does not own or lease any properties. The General Partner operates out of
facilities provided by its affiliate, Citigroup.
Item 3. Legal Proceedings.
This section describes the major pending legal proceedings, other than ordinary routine
litigation incidental to the business, to which CGM is a party or to which
any of their property is subject. There are no material legal proceedings pending against the
Partnership or the General Partner.
CGM is a New York corporation with its principal place of business at 388 Greenwich St., New
York, New York 10013. CGM is registered as a broker-dealer and futures commission merchant (“FCM”),
and provides futures brokerage and clearing services for institutional and retail participants in
the futures markets. CGM and its affiliates also provide investment banking and other financial
services for clients worldwide.
There have been no material administrative, civil or criminal actions within the past five
years against CGM (formerly known as Salomon Smith Barney) or any of its
individual principals and no such actions are currently pending, except as follows.
Mutual Funds
Several issues in the mutual fund industry have come under the scrutiny of federal and state
regulators. Citigroup has received subpoenas and other requests for information from various
government regulators regarding market timing, financing, fees, sales practices and other mutual
fund issues in connection with various investigations. Citigroup is cooperating with all such
reviews. Additionally, Citigroup Global Markets has entered into a settlement agreement with the
SEC with respect to revenue sharing and sales of classes of funds.
On May 31, 2005, Citigroup announced that Smith Barney Fund Management LLC and Citigroup Global
Markets completed a settlement with the SEC resolving an investigation by the SEC into matters
relating to arrangements between certain Smith Barney mutual funds, an affiliated transfer agent
and an unaffiliated sub-transfer agent. Under the terms of the settlement, Citigroup agreed to pay
fines totaling $208.1 million. The settlement, in which Citigroup neither admitted nor denied any
wrongdoing or liability, includes allegations of willful misconduct by Smith Barney Fund Management
LLC and Citigroup Global Markets in failing to disclose aspects of the transfer agent arrangements
to certain mutual fund investors.
In May 2007, Citigroup Global Markets finalized its settlement agreement with the NYSE and the New
Jersey Bureau of Securities on the matter related to its market-timing practices prior to September
2003.
FINRA Settlement
On October 12, 2009, FINRA announced its acceptance of an Award Waiver and Consent (“AWC”) in which
Citigroup Global Markets, without admitting or denying the findings, consented to the entry of the
AWC and a fine and censure of $600,000. The AWC includes findings that Citigroup Global Markets
failed to adequately supervise the activities of its equities trading desk in connection with swap
and related hedge trades in U.S. and Italian equities that were designed to provide certain
perceived tax advantages. Citigroup Global Markets was charged with failing to provide for
effective written procedures with respect to the implementation of the trades, failing to monitor
Bloomberg messages and failing to properly report certain of the trades to the NASDAQ.
Auction Rate Securities
On May 31, 2006, the SEC instituted and simultaneously settled proceedings against Citigroup Global
Markets and 14 other broker-dealers regarding practices in the Auction Rate Securities market. The
SEC alleged that the broker-dealers violated Section 17(a)(2) of the Securities Act of 1933. The
broker-dealers, without admitting or denying liability, consented to the entry of an SEC
cease-and-desist order providing for censures, undertakings and penalties. Citigroup Global
Markets paid a penalty of $1.5 million.
On August 7, 2008, Citigroup reached a settlement with the New York Attorney General, the SEC, and
other state regulatory agencies, pursuant to which Citigroup agreed to offer to purchase at par
Auction Rate Securities from all Citigroup individual investors, small institutions (as defined by
the terms of the settlement), and charities that purchased Auction Rate Securities from Citigroup
prior to February 11, 2008. In addition, Citigroup agreed to pay a $50 million fine to the State
of New York and a $50 million fine to the other state regulatory agencies.
Subprime-Mortgage Related Actions
Citigroup and certain of its affiliates are subject to formal and informal investigations, as well
as subpoenas and/or requests for information, from various governmental and self-regulatory
agencies relating to subprime mortgage—related activities. Citigroup and its affiliates are
cooperating fully and are engaged in discussions on these matters.
Credit Crisis Related Matters
Beginning in the fourth quarter of 2007, certain of Citigroup’s, and Citigroup Global Market’s
regulators and other state and federal government agencies commenced formal and informal
investigations and inquiries, and issued subpoenas and requested information, concerning
Citigroup’s subprime mortgage-related conduct and business activities. Citigroup and certain of
its affiliates, including Citigroup Global Markets, are involved in discussions with certain of its
regulators to resolve certain of these matters.
Certain of these regulatory matters assert claims for substantial or indeterminate damages. Some
of these matters already have been resolved, either through settlements or court proceedings,
including the complete dismissal of certain complaints or the rejection of certain claims following
hearings.
In the course of its business, CGM, as a major futures commission merchant and broker-dealer, is a
party to various civil actions, claims and routine regulatory investigations and proceedings that
the general partner believes do not have a material effect on the business of CGM.
Item 4. [Removed and Reserved]
6
PART II
Item 5. Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer
Purchases of Equity Securities.
(a) Market Information. The Partnership has issued no stock. There is no public market
for the Redeemable Units.
(b) Holders. The number of holders of Redeemable Units as of December 31, 2009 was
959.
(c) Dividends. The Partnership did not declare a distribution in 2009, 2008 or 2007. The
Partnership does not intend to declare distributions in the foreseeable future.
(d) Securities Authorized for Issuance Under Equity Compensation Plans. None.
(e) Performance Graph. Not Applicable.
(f) Recent Sales of Unregistered Securities. For the twelve months ended December 31, 2009, there were
additional sales of 50,991.4781 Redeemable Units totaling $58,153,000 and General Partner’s
contribution representing 945.3583 Unit equivalents totaling $1,000,000. For the twelve months
ended December 31, 2008, there were additional sales of 60,151.8730 Redeemable Units totaling
$67,639,000 and General Partner’s contribution representing 889.6955 Unit equivalents totaling
$1,000,000. For the period from February 1, 2007 (commencement of trading operations) to December
31, 2007, there were additional sales of 88,597.1994 Redeemable Units totaling $84,382,000 and
General Partner’s contribution representing 1,732.0884 Unit equivalents totaling $1,527,076.
The Redeemable Units were issued in reliance upon applicable exemptions from registration
under Section 4(2) of the Securities Act of 1933, as amended, and Section 506 of Regulation D
promulgated thereunder. The Redeemable Units were purchased by
accredited investors, as described
in Regulation D, and a small number of persons who are non-accredited investors.
Proceeds from the sale of additional Redeemable Units are used in the trading of commodity
interests including futures contracts, options, swaps and forward contracts.
(g) Purchases of Equity Securities by the Issuer and Affiliated Purchasers.
The following chart sets forth the purchases of Redeemable Units by the Partnership.
| (d) Maximum Number | ||||||||||||||||||||||
| (or Approximate | ||||||||||||||||||||||
| (c) Total Number | Dollar Value) of | |||||||||||||||||||||
| (a) Total | of Redeemable Units | Redeemable Units that | ||||||||||||||||||||
| Number of | (b) Average | Purchased as Part | May Yet Be | |||||||||||||||||||
| Redeemable | Price Paid per | of Publicly Announced | Purchased Under the | |||||||||||||||||||
| Period | Units Purchased* | Redeemable Unit** | Plans or Programs | Plans or Programs | ||||||||||||||||||
October 1, 2009 -
October 31, 2009 |
1,886.1600 | $ | 1,055.86 | N/A | N/A | |||||||||||||||||
November 1, 2009 -
November 30, 2009 |
3,561.1755 | $ | 1,103.05 | N/A | N/A | |||||||||||||||||
December 1, 2009 -
December 31, 2009 |
1,549.5890 | $ | 1,066.54 | N/A | N/A | |||||||||||||||||
| 6,996.9245 | $ | 1,082.24 | ||||||||||||||||||||
| * | Generally, Limited Partners are permitted to redeem their Redeemable Units as of the end of each month on 10 days’ notice to the General Partner. Under certain circumstances, the General Partner can compel redemption but to date the General Partner has not exercised this right. Purchases of Redeemable Units by the Partnership reflected in the chart above were made in the ordinary course of the Partnership’s business in connection with effecting redemptions for Limited Partners. | |
| ** | Redemptions of Redeemable Units are effected as of the last day of each month at the Net Asset Value per Redeemable Unit as of that day. |
Item 6. Selected Financial Data.
Net
realized and unrealized trading gains (losses), interest income, net
income (loss), increase
(decrease) in Net Asset Value per Unit and Net Asset Value per Unit for the years ended December 31, 2009, 2008 and
for the period from February 1, 2007 (commencement of trading operations) to December 31, 2007, and
total assets at December 31, 2009, 2008 and 2007 were as follows:
| 2009 | 2008 | 2007 | ||||||||||
Net realized and unrealized trading gains (losses) net of
expenses allocated from Master, brokerage commissions
(including clearing fees) of $5,574,180, $5,061,166, and $2,526,887,
respectively |
$ | (11,732,036 | ) | $ | 21,503,248 | $ | 9,521,062 | |||||
Interest income including interest income allocated from Master |
86,538 | 1,127,937 | 1,825,352 | |||||||||
| $ | (11,645,498 | ) | $ | 22,631,185 | $ | 11,346,414 | ||||||
Net income (loss) |
$ | (15,052,188 | ) | $ | 15,682,974 | $ | 8,236,695 | |||||
Increase (decrease) in Net Asset Value per Unit |
(137.66 | ) | $ | 161.77 | $ | 42.43 | ||||||
Net Asset Value per Unit |
$ | 1,066.54 | $ | 1,204.20 | $ | 1,042.43 | ||||||
Total assets |
$ | 123,296,613 | $ | 119,320,005 | $ | 92,726,408 | ||||||
7
Item 7. Management’s Discussion and Analysis of Financial Condition and Results of
Operations.
Overview
The
Partnership, through its investment in the Master, aims to achieve substantial capital
appreciation through speculative trading, directly and indirectly, in U.S. and international
markets for currencies, interest rates, stock indices, agricultural and energy products and
precious and base metals. The Partnership, through its investment in the Master may employ futures,
options on futures, forward and swap contracts in those markets.
The General Partner manages all business of the Partnership/Master. The General Partner has
delegated its responsibility for the investment of the Partnership’s assets to the Advisor. The
Partnership has invested these assets in the Master. The General Partner employs a team of
approximately 20 professionals whose primary emphasis is on attempting to maintain quality control
among the advisors to the Partnerships operated or managed by the General Partner. A full-time
staff of due diligence professionals use proprietary technology and on-site evaluations to monitor
new and existing futures money managers. The accounting and operations staff provide processing of
trading activity and reporting to limited partners and regulatory authorities. In selecting the
Advisor for the Partnership/Master, the General Partner considered past performance, trading style,
volatility of markets traded and fee requirements. The General
Partner may modify or terminate the allocation of assets to the
Advisor at any time.
Responsibilities of the General Partner include:
| • | due diligence examinations of the Advisor; | ||
| • | selection, appointment and termination of the Advisor; | ||
| • | negotiation of the Management Agreement; and | ||
| • | monitoring the activity of the Advisor. |
In addition, the General Partner prepares the books and records and provides the
administrative and compliance services that are required by law or regulation from time to time in
connection with the operation of the Partnership/Master. These services include the preparation of
required books and records and reports to Limited Partners, government agencies and regulators;
computation of Net Asset Value; calculation of fees; effecting subscriptions, redemptions and
Limited Partner communications; and preparation of offering documents and sales literature.
The General Partner shall seek the best prices and services available in its commodity futures
brokerage transactions.
The Partnership’s assets allocated to the Advisor for trading are not invested in commodity
interests directly. The Advisor’s allocation of the Partnership’s assets is currently invested in
the Master. The Advisor trades the Master’s, and thereby the Partnership’s, assets in accordance
with its Diversified Program for the Partnership/Master.
The Diversified Program trades approximately 95 futures and forward contracts on United States
and non- United States exchanges and markets.
Winton
employs a fully systematic, computerized, technical, trend-following trading system
developed by its principals. This system tracks the daily price movements from these markets
around the world, and carries out certain computations to determine each day how long or short
the portfolio should be in an attempt to maximize profit within a certain range of risk. If rising
prices in a particular market are anticipated, a long position will be established in that market; if
prices in a particular market are expected to fall, a short position in that market will be
established.
Technical analysis refers to analysis based on data intrinsic to a market, such as price and
volume. In contrast, fundamental analysis relies on factors external to a market, such as supply
and demand. The Diversified Program employs no fundamental factors.
A trend-following system is one that attempts to take advantage of the observable tendency of the
markets to trend, and to tend to make exaggerated movements in both upward and downward
directions as a result of such trends. These exaggerated movements are largely explained as a
result of the influence of crowd psychology or the “herd instinct” among market participants.
A trend-following system does not anticipate a trend. In fact, trend-following systems are
frequently unprofitable for long periods of time in particular markets or market groups, and
occasionally they are unprofitable for periods of more than a year. However, the principals believe
that such an approach will, in the long term, be profitable.
Trade selection is not subject to intervention by Winton’s principals and therefore is not subject to
the influences of individual judgment. As a mechanical trading system, the Winton model
embodies all the expert knowledge required to analyze market data and direct trades, thus
eliminating the risk of basing a trading program on one indispensable person. Equally as
important is the fact that mechanical systems can be tested in simulation for long periods of time
and the model’s empirical characteristics can be measured.
The system’s output is rigorously adhered to in trading the portfolio and intentionally no
importance is given to any external or fundamental factors. While it may be seen as unwise to
ignore information of obvious value, such as that pertaining to political or economic
developments, Winton believes that the disadvantage of this approach is far outweighed by the
advantage of the discipline that rigorous adherence to such a system instills. Winton believes that
significant profits may be realized by the Winton system by holding on to positions for much
longer than conventional wisdom would dictate. Winton believes that a trader who pays attention
to day-to-day events could be distracted from the chance of fully capitalizing on such trends.
The Winton system trades in all liquid U.S. and non-U.S. futures and forward contracts. Forward
markets include major currencies and precious and base metals, the latter two categories being
traded on the London Metal Exchange. Winton seeks out new opportunities to add additional
markets to the portfolio, with the goal of increasing the portfolio’s diversification.
Winton believes that taking positions in a variety of unrelated markets will, over time, decrease
system volatility. By employing a sophisticated and systematic method for placing orders in a
wide array of markets, Winton believes that profits can be realized over time.
8
As a managed futures partnership, the Partnership’s/Master’s performance is dependent upon the
successful trading of the Partnership’s/Master’s Advisor to achieve the Partnership’s/Master’s
objectives. It is the business of the General Partner to monitor the Advisor’s performance to
ensure compliance with the Partnership’s/Master’s trading policies and to determine if the
Advisor’s performance is meeting the Partnership’s/Master’s objectives.
(a) Liquidity.
The Partnership does not engage in sales of goods or services. Its only assets are its
investment in the Master and cash. The Master does not engage in sales of goods of services.
Because of the low margin deposits normally required in commodity futures trading, relatively small
price movements may result in substantial losses to the Partnership, through its investment in the
Master. While substantial losses could lead to a material decrease in liquidity, no such illiquidity
occurred during the year ended December 31, 2009.
To minimize this risk relating to low margin deposits, the Master follows certain trading
policies, including:
| (i) | The Master invests its assets only in commodity interests that the Advisor believes are traded in sufficient volume to permit ease of taking and liquidating positions. Sufficient volume, in this context, refers to a level of liquidity that the Advisor believes will permit it to enter and exit trades without noticeably moving the market. | |
| (ii) | The Advisor will not initiate additional positions in any commodity if these positions would result in aggregate positions requiring a margin of more than 66 2/3% of the Master’s net assets allocated to the Advisor. | |
| (iii) | The Master may occasionally accept delivery of a commodity. Unless such delivery is disposed of promptly by retendering the warehouse receipt representing the delivery to the appropriate clearinghouse, the physical commodity position is fully hedged. | |
| (iv) | The Master does not employ the trading technique commonly known as “pyramiding,” in which the speculator uses unrealized profits on existing positions as margin for the purchases or sale of additional positions in the same or related commodities. | |
| (v) | The Master does not utilize borrowings other than short-term borrowings if the Master takes delivery of any cash commodities. | |
| (vi) | The Advisor may, from time to time, employ trading strategies such as spreads or straddles on behalf of the Master. The term “spread” or “straddle” describes a commodity futures trading strategy involving the simultaneous buying and selling of futures contracts on the same commodity but involving different delivery dates or markets and in which the trader expects to earn a profit from a widening or narrowing of the difference between the prices of the two contracts. | |
| (vii) | The Master will not permit the churning of its commodity trading account. The term “churning” refers to the practice of entering and exiting trades with a frequency unwarranted by legitimate efforts to profit from the trades, driven by the desire to generate commission income. |
From January 1, 2009 through December 31, 2009,
the Partnership’s average margin to equity ratio (i.e., the percentage of assets on deposit required for margin) was approximately 6%.
The foregoing margin to equity ratio takes into account cash held in the Partnership’s name, as well as the allocable value of the
positions and cash held on behalf of the Partnership in the name of the Master.
In the normal course of its business, the Partnership, through its investment in the Master,
is party 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, to
purchase or sell other financial instruments at 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 certain forwards and option contracts. OTC contracts are negotiated between
contracting parties and include swaps and certain forwards and option 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
9
because of the greater risk of default by the counterparty to an OTC contract.
Market risk is the potential for changes in the value of the financial instruments traded by
the Partnership/Master 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/Master is 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/Master’s 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/ Master’s risk of loss is reduced through the use of legally enforceable master
netting agreements with counterparties that permit the Partnership/Master to offset unrealized
gains and losses and other assets and liabilities with such counterparties upon the occurrence of
certain events. The Partnership/Master have credit risk and concentration risk as the sole
counterparty or broker with respect to the Partnership’s/Master’s 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/Master’s counterparty is an exchange or clearing organization.
As both a buyer and seller of options, the Master pays or receives a premium at the outset and
then bears the risk of unfavorable changes in the price of the contract underlying the option.
Written options expose the Master 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 Master does not consider these
contracts to be guarantees as described in
ASC 460, Guarantees (formerly, FAS No. 45,“Guarantor’s Accounting and Disclosure Requirements
for Guarantees”).
The General Partner monitors and attempts to control the Master’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 Master may be
subject. These monitoring systems generally allow the General Partner 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, swaps and options positions by
sector, margin requirements, gain and loss transactions and collateral positions. (See also “Item
8. Financial Statements and Supplementary Data” for further information on financial
instrument risk included in the notes to financial statements.)
Other
than the risks inherent in commodity futures and other derivatives trading, the Master knows of no
trends, demands, commitments, events or uncertainties which will result in or which are reasonably
likely to result in the Master’s liquidity increasing or decreasing in any material way. The
Limited Partnership Agreement provides that the General Partner may, in its discretion, cause the
Partnership to cease trading operations under certain circumstances including a decrease in Net
Asset Value per Redeemable Unit to less than $400 as of the close of business on any business day.
(b) Capital Resources.
(i) The Partnership has made no material commitments for capital expenditures.
(ii) The Partnership’s capital consists of the capital contributions of the partners as
increased or decreased by gains or losses on trading and by expenses, interest income, redemptions
of Redeemable Units and distributions of profits, if any. Gains or losses on trading cannot be
predicted. Market movements in commodities are dependent upon fundamental and technical factors which
the Advisor may or may not be able to identify, such as changing supply and demand relationships,
weather, government agricultural, commercial and trade programs and policies, national and
international political and economic events and changes in interest rates. Partnership expenses
consist of, among other things, commissions, advisory fees and administrative fees. The level of
these expenses is dependent
10
upon
trading performance and the level of Net Assets maintained. In
addition, the amount of interest income payable by CGM is dependent upon interest rates over which
the Partnership has no control.
No forecast can be made as to the level of redemptions in any given period. A Limited Partner
may require the Partnership to redeem his Redeemable Units at their Net Asset Value as of the last
day of a month on 10 days’ notice to the General Partner. For the purpose of a redemption, any
accrued liability for reimbursement of offering and organization expenses for the Initial Offering
Period will not reduce Net Asset Value per Redeemable Unit. There is no fee charged to Limited
Partners in connection with redemptions.
Redemptions generally are funded out of the Partnership’s cash holdings.
For the year ended December 31, 2009, 32,096.1158
Redeemable Units were redeemed totaling $36,076,960 and General Partner’s redemption representing
1,877.9696 Unit equivalents totaling $1,982,873. For the year ended December 31, 2008, 52,757.7969
Redeemable Units were redeemed totalling $60,271,990. For the period from February 1, 2007
(commencement of trading operations) to December 31, 2007, 3,325.9916 Redeemable Units were
redeemed totalling $3,350,755.
For the year ended December 31, 2009, there were additional sales of 50,991.4781 Redeemable
Units totaling $58,153,000 and General Partner’s contribution representing 945.3583 Unit
equivalents totaling $1,000,000. For the year ended December 31, 2008, there were additional sales
of 60,151.8730 Redeemable Units totaling $67,639,000 and General Partner’s contribution
representing 889.6955 Unit equivalents totaling $1,000,000. For the period from February 1, 2007
(commencement of trading operations) to December 31, 2007, there were additional sales of
88,597.1994 Redeemable Units totaling $84,382,000 and General Partner’s contribution representing
1,732.0884 Unit equivalents totaling $1,527,076.
(c) Results of Operations.
For the year ended December 31, 2009, the Net Asset Value per Redeemable Unit decreased 11.4%
from $1,204.20 to $1,066.54. For the year ended December 31, 2008, the Net Asset Value per
Redeemable Unit increased 15.5% from $1,042.43 to $1,204.20. For the period from February 1, 2007
(commencement of trading operations) to December 31, 2007, the Net Asset Value per Redeemable Unit
increased 4.2% from $1,000.00 to $1,042.43.
The Partnership, through its investment in the Master, experienced a net trading loss
(comprised of realized gains (losses) on closed positions allocated from the Master and change in
unrealized gains (losses) on open positions allocated from the Master) before brokerage commissions
and related fees of $6,064,987 for the year ended December 31, 2009. Losses were primarily
attributable to the Master’s trading of currencies, energy, U.S. and non-U.S. interest rates,
lumber, softs and indices and were partially offset by gains in
grains, livestock, and metals.
2009 was a volatile year for the financial markets. The U.S. stock market entered 2009
reeling from the financial turmoil of 2008. The results of the sub-prime fallout, bank
bailouts, auto industry bankruptcies, and capitulating economic data overwhelmed not
just stock prices, but fueled extraordinarily high levels of risk aversion. The market’s
recovery was driven by stability in the banking sector and a rapid recovery in global
markets. By mid-year 2009, the market had hit bottom in March, banks were seeking
to return TARP bailout money and other leading indicators were recovering.
The Partnership recorded losses in currencies, energy, fixed income, softs and stock
indices and profits in grains, livestock and metals.
In
currencies, the Partnership registered losses as the U.S. Dollar reversed the strong trend
earlier in the year and started weakening against the other major currencies. Trading in
Japanese Yen also contributed to these losses following speculation
that the Japanese government
may interfere in the markets to reverse a strong Yen. In the energy sector, most of the
products did not exhibit any strong trends and mostly remained range bound after the
reversals earlier in the year. This pattern of sharp reversal followed by non-directional
volatility attributed to the losses in this sector. The fixed income
sector also incurred losses. With the economic backdrop of 2008, yields started to exhibit asymmetric volatility
due to extreme uncertainty prevailing in the longer time horizon. Encouraged by the
continuing fiscal and monetary efforts of the U.S. government to stabilize the economy,
the markets finally began to recover. In softs, the Partnership recorded losses in
cocoa, cotton and coffee. In stock indices, the sharp reversal of trends earlier in the
year caused losses that could be only modestly offset by the gains later in the year when
strong bullish trends emerged.
In agricultural commodities, gains were recorded primarily from wheat trading. In
livestock, the Partnership was profitable in hogs and cattle futures trading. The
Partnership recorded gains in the metals sector primarily from gold. Investors across the
world chose to buy gold through ETFs and bullion as a hedge against inflation, driven by
the massive monetary influx of the central banks.
The Partnership, through its investment in the Master, experienced a net trading gain
(comprised of realized gains (losses) on closed positions allocated from the Master and change in
unrealized gains (losses) on open positions allocated from the Master) before brokerage commissions
and related fees of $26,674,700 for the year ended December 31, 2008. Gains were primarily
attributable to the Master’s trading of currencies, energy,
grains, U.S. and non-U.S. interest rates, livestock,
metals, softs and indices.
In 2008, the liquidity crisis that began in 2007 rapidly spread to all corners of the globe,
significantly pushing down global economic growth and presenting the economies with some of the
hardest challenges. During the year, the world’s credit markets virtually seized up, commodity
prices plunged and most major equity indices declined dramatically, while some of the large
financial institutions were under pressure. Faced with unprecedented and rapid deterioration in
economic data and outlook, and fearing a snowball adverse effect of the credit crunch, global
central banks reacted with aggressive campaigns of interest rate cuts and coordinated capital
injections. As the markets re-priced the cost of risk, several strong trends emerged. The
Partnership strongly capitalized on the trends and was profitable in all the sectors: currencies,
energy, grains, interest rates, metals, agricultural softs and stock indices.
The
Partnership was well positioned to capitalize on the strong trends
that emerged in currencies and realized gains for the year. The U.S. Dollar was relatively strong compared with most of
the other developed economy currencies. The Euro was put to its first
major test since its inception. The UK, Germany and France continued
to show weak growth early in the year and as the situations
worsened in the latter part of the year, these countries officially
entered recession. The Japanese Yen
remained an exception and showed extraordinary strength as the carry trade reversed.
The Partnership realized profits in the energy sector by capturing both the bullish and the
bearish trends. In the earlier part of the year, crude oil pushed towards a historic high of $147
per barrel and in the latter part, the trend suddenly reversed and a strong
11
negative trend emerged with crude oil dropping to about $32 per barrel. Natural gas also
contributed to profits as prices plunged from $14 to about $5 per
MMBtu.
In grains and agricultural softs, the Partnership was profitable as the trading strategy
successfully navigated the trend reversal period and captured the bullish and bearish legs of the
trend across several products. Corn prices continued to show a strong correlation to the energy
prices and while peaking at 800 cents around mid year, closed the year around 400 cents.
The
Partnership was profitable in interest rates as the yields on the shorter end of the yield
curve dropped to almost unphysical levels. Short term U.S. Treasury bills were in such high demand
due to flight-to-quality that the yields dropped below zero. While
the 10 Yr T-bill yielded on an
average between 3.5%-4% most of the year, the yield dropped to 2% in December. Non-U.S. interest
rates also showed tremendous volatility as the rates dropped precipitously due to the actions of
the central banks.
The Partnership registered gains in the metals sector primarily from the industrials. Precious
metals did not demonstrate a very strong directional trend, but the industrial metals reflected the
general economic malaise. Copper, which is usually considered essential for growth, dropped from 4
cents to 1.5 cents per pound.
Global stock indices also contributed to the gains as the indices continued to test multi-year
lows. As banks continued to write off the assets and as bankruptcies loomed, investors lost
confidence in the equity markets. Futures markets offered greater flexibility as the SEC
temporarily banned short selling in the equity markets.
Interest income on 80% of the Partnership’s daily average equity allocated to it by the Master was earned 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. CGM may continue to maintain the Master’s assets in cash and/or place all of the Master’s assets in 90-day Treasury bills and pay the
Partnership its allocable share of 80% of the interest earned on the Treasury bills purchased. Twenty percent of the interest earned on Treasury bills purchased may be retained by CGM and/or credited to the General Partner. Interest income allocated from the Master for the three and twelve months ended December 31, 2009 decreased by $29,008 and $1,041,399, respectively as compared to the corresponding periods in 2008. The decrease in interest income is primarily due to lower U.S.
Treasury bill rates during the three and twelve months ended December 31, 2009 as compared to the corresponding periods in 2008.
Interest earned by the Partnership will increase the net asset value of the Partnership.
Brokerage commissions are calculated as a percentage of the Partnership’s adjusted net asset value on the last day of each month and are affected by trading performance, additions and redemptions. Accordingly, they must be compared in relation to the fluctuations in the monthly net asset values. Brokerage commissions and fees for the three and twelve months ended December 31,
2009 increased by $86,272 and $513,014, respectively as compared to the corresponding periods in 2008. The increase in brokerage commissions and fees is due to higher net assets during the three and twelve months ended December 31, 2009 as compared to the corresponding periods in 2008.
Management fees are calculated as a percentage of the Partnership’s adjusted 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 twelve months ended December 31, 2009 increased by $37,620 and $224,768, respectively as compared to the corresponding periods in 2008.
The increase in management fees is due to higher net assets during the three and twelve months ended December 31, 2009 as compared to the corresponding periods in 2008.
Administrative fees are calculated as a percentage of the Partnership’s adjusted 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 twelve months ended December 31, 2009 increased by $9,405 and $56,190, respectively as compared to the corresponding periods in 2008.
The increase in administrative fees is due to higher net assets during the three and twelve months ended December 31, 2009 as compared to the corresponding periods in 2008.
Incentive fees paid by the Partnership are based on the new trading
profits generated by the Advisor at the end of the quarter, as defined in the management agreement. There were no incentive fees for the three and twelve months ended December 31, 2009. Trading performance for the three and twelve months ended December 31, 2008 resulted in incentive fees of $379,396 and $3,721,366, respectively. The Advisor will not be paid incentive fees until the Advisor recovers the net loss incurred and earns additional new trading profits for the Partnership.
The Partnership, through its investment in the Master, experienced a net trading gain
(comprised of realized gains (losses) on closed positions allocated from the Master and change in
unrealized gains (losses) on open positions allocated from the Master) before brokerage commissions
and related fees of $12,166,099 for the period from February 1, 2007 (commencement of trading
operations) to December 31, 2007. Gains were attributable to the Master’s trading of currencies,
U.S. and non-U.S. interest rates, metals and indices and were primarily offset by losses incurred
in the trading of energy.
In the General Partner’s opinion, the Advisor continues to employ its trading methods in a
consistent and disciplined manner and its results are consistent with the objectives of the
Partnership and expectations for the Advisor’s programs. The General Partner continues to monitor
the Advisor’s performance on a daily, weekly, monthly and annual
basis to ensure that these objectives
are met.
Commodity 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 Partnership depends on the existence of major price trends and the ability
of the Advisor to correctly identify those price trends correctly. 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 Advisor is
able to identify them, the Partnership expects to increase capital through operations.
In allocating substantially all of the assets of the Partnership to the Master, the General Partner
considered the Advisor’s past performance, trading style, volatility of markets traded and fee
requirements. The General Partner may modify or terminate the allocation of assets to the Advisor
at any time.
(d)
Off-Balance Sheet Arrangements. None.
(e) Contractual Obligations. None.
(f) Operational Risk.
The Partnership, through its investment in the Master is directly exposed to market risk and
credit risk, which arise in the normal course of its business activities. Slightly less direct, but
of critical importance, are risks pertaining to operational and back office support. This is
particularly the case in a rapidly changing and increasingly global environment with increasing
transaction volumes and an expansion in the number and complexity of products in the marketplace.
12
Such risks include:
Operational/Settlement Risk — the risk of financial and opportunity loss and legal liability
attributable to operational problems, such as inaccurate pricing of transactions, untimely trade
execution, clearance and/or settlement, or the inability to process large volumes of transactions.
The Partnership/Master are subject to increased risks with respect to their trading activities in
emerging market securities, where clearance, settlement, and custodial risks are often greater than
in more established markets.
Technological Risk — the risk of loss attributable to technological limitations or hardware
failure that constrain the Partnership’s/Master’s ability to gather, process, and communicate
information efficiently and securely, without interruption, to customers, and in the markets where
the Partnership/Master participates
Legal/Documentation Risk — the risk of loss attributable to deficiencies in the documentation
of transactions (such as trade confirmations) and customer relationships (such as master netting
agreements) or errors that result in noncompliance with applicable legal and regulatory
requirements.
Financial Control Risk — the risk of loss attributable to limitations in financial systems and
controls. Strong financial systems and controls ensure that assets are safeguarded, that
transactions are executed in accordance with management’s authorization, and that financial
information utilized by management and communicated to external parties, including the
Partnership’s Redeemable Unit holders, creditors, and regulators, is free of material errors.
(g) 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. 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 the date the financial statements were issued. 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, 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”).
Partnership’s
Investments. The Partnership values its investment in the Master at its net asset value per
unit as calculated by the Master. The Master values its investments as described in note 2 of the
Master’s notes to the annual financial statements as of December 31, 2009.
Partnership’s and Master’s
Fair Value Measurements. The Partnership and the Master adopted
ASC 820, 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. The
Partnership and the Master did not apply the deferral allowed by ASC 820 for nonfinancial
assets and nonfinancial liabilities measured at fair value on a nonrecurring basis.
The Partnership
values investments in the Master where there are no other rights or obligations
inherent within the ownership interest held by the Partnership based on the end of the day net
asset value of the Master (Level 2). The value of the Partnership’s investment in the Master
reflects its proportional interest in the Master. As of and for the years ended December 31, 2009
and 2008, the Partnership did not hold any derivative instruments that are are based on unadjusted
quoted prices in active markets for identical assets (Level 1) or priced at fair value using
unobservable inputs through the application of management’s assumptions and internal valuation
pricing models (Level 3).
The Master considers 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). As of and for the years ended December 31, 2009 and 2008,
the Master did not hold any derivative instruments for which market quotations are not readily
available and which are priced by broker-dealers who derive fair values for those assets from observable
inputs (Level 2) or that are priced at fair value using unobservable inputs through the application
of management’s assumptions and internal valuation pricing models (Level 3).
13
Futures Contracts. The Master 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 the S&P 500 Index), whereby such contract is settled in cash. Payments
(“variation margin”) may be made or received by the Master 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 Master. When the contract is closed, the Master records 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.
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 Master are cash settled based on prompt dates
published by the LME. Payments (“variation margin”) may be made or received by the Master 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 Master. 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 Master records 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.
Options. The Master 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 Master writes an option, the premium
received is recorded as a liability in the Statements of Financial Condition and marked to market
daily. When the Master purchases an option, the premiumpaid is recorded as an asset in the
Statements of Financial Condition andmarked tomarket daily. Realized gains (losses) and changes in
unrealized gains (losses) on options contracts are included in the Statements of Income and
Expenses.
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, Income Taxes (formerly, FAS No. 48, “Accounting
for Uncertainty in Income Taxes”). ASC 740 provides guidance for how uncertain tax positions
should be recognized, measured, presented and disclosed in the financial statements. ASC 740
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 pplicable 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 concluded that
no provision for income tax is required in the Partnership’s financial statements
The
following is the major tax jurisdiction for the Partnership and the earliest tax year
subject to examination: United States – 2007.
Subsequent
Events. In 2009, the Partnership adopted ASC 855, Subsequent Events (formerly,
FAS No. 165, “Subsequent Events”). The objective of ASC 855 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. Management has determined that there were no subsequent events requiring
adjustment or disclosure in the financial statements.
Recent Accounting Pronouncements. In January 2010, the FASB issued Accounting Standards Update
No. 2010-06 (“ASU 2010-06”), “Improving Disclosures about Fair Value Measurements”, which , among
other things, amends ASC 820 to require entities to separately present purchases, sales, issuances,
and settlements in their reconciliation of Level 3 fair value measurements (i.e. to
present such items on a gross basis rather than on a net basis), and which clarifies existing
disclosure requirements provided by ASC 820 regarding the level of disaggregation and the inputs
and valuation techniques used to measure fair value for measurements that fall within either Level
2 or Level 3 of the fair value hierarchy. ASU 2010-06 is effective for interim and annual periods
beginning after December 15, 2009, except for the disclosures about purchases, sales, issuances,
and settlements in the roll forward of activity in Level 3 fair value measurements (which are
effective for fiscal years beginning after December 15, 2010, and for interim periods within those
fiscal years). Management is currently assessing the impact that the adoption of ASU 2010-06 will
have on the Partnership’s financial statements disclosures.
In February 2010, the FASB issued Accounting Standards Update
No. 2010-09
(“ASU
2010-09”),
“Subsequent Events (Topic 855): Amendments to Certain
Recognition and Disclosure Requirements,” which among other
things amended ASC 855 to remove the requirement for an SEC
filer to disclose the date through which subsequent events have
been evaluated. This change alleviates potential conflicts
between ASC 855 and
the SEC’s requirements. All of the amendments in this
update are effective upon issuance of this update. Management
has included the provisions of these amendments in the financial statements.
Certain prior period amounts have been reclassified to conform to the current year
presentation.
14
Item 7A. Quantitative and Qualitative Disclosures About Market Risk
Introduction
The Master is a speculative commodity pool. The market sensitive instruments held by it are
acquired for speculative trading purposes, and all or substantially all of the Partnership’s assets
are subject to the risk of trading loss through its investment in the Master. Unlike an operating
company, the risk of market sensitive instruments is integral, not incidental, to the Master’s and
Partnership’s main line of business.
The
risk to the Limited Partners that have purchased Redeemable Units is limited
to the amount of their capital contributions to the Partnership and their share of Partnership
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 market value of the Master’s open
positions and, consequently, in its earnings and cash flow. The Master’s and Partnership’s market
risk is influenced by a wide variety of factors, including the level and volatility of interest
rates, exchange rates, equity price levels, the market value of financial instruments and
contracts, the diversification effects among the Master’s open positions and the liquidity of the
markets in which it trades.
The Master rapidly acquires and liquidates 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 Master’s past performance is not necessarily indicative
of its future results.
Value at Risk is a measure of the maximum amount which the Master could reasonably be expected
to lose in a given market sector. However, the inherent uncertainty of the Master’s speculative
trading and the recurrence in the markets traded by the Master of market movements far exceeding
expectations could result in actual trading or non-trading losses far beyond the indicated Value at
Risk or the Master’s 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 Master’s losses in any market sector will be limited to Value at Risk or by
the Master’s attempts to manage its market risk.
Materiality
as used in this section, “Qualitative and Quantitative Disclosures About Market
Risk,” is based on an assessment of reasonably possible market movements and the potential losses
caused by such movements, taking into account the leverage, optionality and multiplier features of
the Partnership’s market sensitive instruments.
Quantifying the Partnership’s/Master’s Trading Value at Risk
The following quantitative disclosures regarding the Master’s market risk exposures contain
“forward-looking statements” within the meaning of the safe harbor from civil liability provided
for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section
27A of the Securities Act of 1933, as amended (the “Securities Act”) and Section 21E of the
Securities Exchange Act of 1934), as amended (the “Exchange Act”). All quantitative disclosures in
this section are deemed to be forward-looking statements for purposes of the safe harbor except for
statements of historical fact (such as the terms of particular contracts and the number of market
risk sensitive instruments held during or at the end of the reporting period).
The Master’s risk exposure in the various market sectors traded by the Advisor is quantified
below in terms of Value at Risk. Due to the Master’s mark-to-market accounting, any loss in the
fair value of the Master’s open positions is directly reflected in the Partnership’s earnings
(realized or unrealized allocated from Master). Exchange maintenance margin requirements have been
used by the Master as the measure of its 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 intervals. The maintenance margin levels are
established by dealers and exchanges using historical price studies as well as an assessment of
current market volatility (including the implied volatility of the options on a given futures
contract) and economic fundamentals to provide a probabilistic estimate of the maximum expected
near-term one-day price fluctuation. 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.
In the case of market sensitive instruments which are not exchange traded (almost exclusively
currencies in the case of the Master) the margin requirements for the equivalent futures positions
have been used as Value at Risk. In those rare cases in which a futures-equivalent margin is not
available, dealers’ margins have been used.
The fair value of the Master’s futures and forward positions does not have any optionality
component. However, the Advisor may trade commodity options. Where this instrument is a futures
contract, the futures margin, and where this instrument is a physical commodity, the
futures-equivalent maintenance margin has been used. This calculation is conservative in that it
assumes that the fair value of an option will decline by the same amount as the fair value of the
underlying instrument, whereas, in fact, the fair values of the options traded by the Master in
almost all cases fluctuate to a lesser extent than those of the underlying instruments.
In quantifying the Master’s Value at Risk, 100% positive correlation in the different
positions held in each market risk category has been assumed. Consequently, the margin requirements
applicable to the open contracts have simply been added to determine each trading category’s
aggregate Value at Risk. The diversification effects resulting from the fact that the Master’s
positions are rarely, if ever, 100% positively correlated have not been reflected.
15
The Master’s Trading Value at Risk in Different Market Sectors
Value
at Risk tables represent a probabilistic assessment of the risk of
loss in market risk sensitive instruments. The following tables indicate the trading Value at Risk associated with the Master’s open
positions by market category as of December 31, 2009 and December 31, 2008, and the highest, lowest
and average value at any point during the years. All open position trading risk exposures of the
Master have been included in calculating the figures set forth below.
As of December 31, 2009, the
Master’s total capitalization was $574,408,313 and the Partnership owned approximately 21.4% of the Master. The
Partnership invests substaintially all of its assets in the Master. The Partnership’s Value at Risk for the
portion of its assets that are traded indirectly through its investment in the Master as of December 31, 2009 was as follows:
December 31, 2009
| Low | Average | |||||||||||||||||||
| % of Total | High | Value at | Value at | |||||||||||||||||
| Market Sector | Value at Risk | Capitalization | Value at Risk | Risk | Risk* | |||||||||||||||
Currencies |
$ | 4,596,005 | 0.80 | % | $ | 10,700,900 | $ | 3,479,307 | $ | 6,740,750 | ||||||||||
Energy |
556,296 | 0.10 | % | 2,627,998 | 228,335 | 1,092,646 | ||||||||||||||
Grains |
1,098,663 | 0.19 | % | 1,976,399 | 864,083 | 1,388,868 | ||||||||||||||
Interest Rates U.S. |
1,030,011 | 0.18 | % | 6,518,610 | 716,705 | 2,896,261 | ||||||||||||||
Interest Rates Non-U.S. |
4,507,567 | 0.78 | % | 11,661,822 | 2,841,339 | 5,786,393 | ||||||||||||||
Livestock |
169,800 | 0.03 | % | 425,655 | 59,475 | 207,937 | ||||||||||||||
Metals |
5,057,067 | 0.88 | % | 5,057,067 | 849,000 | 2,780,563 | ||||||||||||||
Softs |
955,200 | 0.17 | % | 1,269,508 | 385,375 | 791,384 | ||||||||||||||
Indices |
16,589,011 | 2.89 | % | 16,589,011 | 1,261,608 | 6,511,470 | ||||||||||||||
Total |
$ | 34,559,620 | 6.02 | % | ||||||||||||||||
| * | Annual average based on of month-end Value at Risk. |
As
of December 31, 2008, the Master’s total capitalization was $547,751,543 and the
Partnership owned approximately 21.7% of the Master. The Partnership invests substantially all of
its assets in the Master. The Partnership’s Value at Risk for the portion of its assets that are
traded indirectly through its investment in the Master as of December 31, 2008 was as follows:
December 31, 2008
| Low | Average | |||||||||||||||||||
| % of Total | High | Value at | Value at | |||||||||||||||||
| Market Sector | Value at Risk | Capitalization | Value at Risk | Risk | Risk* | |||||||||||||||
Currencies |
$ | 4,842,125 | 0.88 | % | $ | 6,844,904 | $ | 2,234,600 | $ | 4,333,162 | ||||||||||
Energy |
1,417,010 | 0.26 | % | 6,750,850 | 581,600 | 3,815,788 | ||||||||||||||
Grains |
1,912,314 | 0.35 | % | 4,647,430 | 41,072 | 2,278,577 | ||||||||||||||
Interest Rates U.S. |
3,213,000 | 0.59 | % | 4,165,350 | 160,797 | 2,234,433 | ||||||||||||||
Interest Rates Non-U.S. |
6,633,201 | 1.21 | % | 6,862,943 | 1,875,349 | 4,923,678 | ||||||||||||||
Livestock |
87,200 | 0.02 | % | 350,900 | 32,205 | 165,842 | ||||||||||||||
Lumber |
1,100 | 0.00 | %** | 5,400 | 1,100 | 2,500 | ||||||||||||||
Metals |
1,408,458 | 0.25 | % | 4,997,086 | 797,395 | 2,496,016 | ||||||||||||||
Softs |
762,259 | 0.14 | % | 2,273,575 | 354,777 | 896,692 | ||||||||||||||
Indices |
1,768,247 | 0.32 | % | 12,018,105 | 1,433,950 | 5,538,325 | ||||||||||||||
Total |
$ | 22,044,914 | 4.02 | % | ||||||||||||||||
| * | Annual average of month-end Value at Risk. | |
| ** | Due to Rounding. |
16
Material Limitations on Value at Risk as an Assessment of Market Risk
The face value of the market sector instruments held by the Master is typically many times the
applicable maintenance margin requirement (margin requirements generally range between 2% and 15%
of contract face value) as well as many times the capitalization of the Master. The magnitude of
the Master’s open positions creates a “risk of ruin” not typically found in most other investment
vehicles. Because of the size of its positions, certain market conditions — unusual, but
historically recurring from time to time — could cause the Master to incur severe losses over a
short period of time. The foregoing Value at Risk table — as well as the past performance of the
Partnership/Master — give no indication of this “risk of ruin.”
Non-Trading Risk
The Master has non-trading market risk on its foreign cash balances not needed for margin.
However, these balances (as well as any market risk they represent) are immaterial.
Qualitative Disclosures Regarding Primary Trading Risk Exposures
The following qualitative disclosures regarding the Master’s market risk exposures — except
for (i) those disclosures that are statements of historical fact and (ii) the descriptions of how
the Master manages its primary market risk exposures — constitute forward-looking statements
within the meaning of Section 27A of the Securities Act and Section 21E of the Exchange Act. The
Master’s primary market risk exposures as well as the strategies used and to be used by the General
Partner and the Advisor for managing such exposures are subject to numerous uncertainties,
contingencies and risks, any one of which could cause the actual results of the Master’s risk
controls to differ materially from the objectives of such strategies. Government interventions,
defaults and expropriations, illiquid markets, the emergence of dominant fundamental factors,
political upheavals, changes in historical price relationships, an influx of new market
participants, increased regulation and many other factors could result in material losses as well
as in material changes to the risk exposures and the management strategies of the Master. There can
be no assurance that the Master’s current market exposure and/or risk management strategies will
not change materially or that any such strategies will be effective in either the short- or long-
term. Investors must be prepared to lose all or substantially all of their investment in the
Partnership.
The
following were the primary trading risk exposures of the Master as of December 31, 2009,
by market sector.
Interest Rates. Interest rate movements directly affect the price of the futures
positions held by the Master and indirectly the value of its stock index and currency positions.
Interest rate movements in one country as well as relative interest rate movements between
countries materially impact the Master’s profitability. The Master’s primary interest rate exposure
is to interest rate fluctuations in the United States and the other G-8 countries. However, the
Master also takes futures positions on the government debt of smaller nations — e.g., Australia.
Currencies. The Master’s currency exposure is to exchange rate fluctuations, primarily
fluctuations which disrupt the historical pricing relationships between different currencies and
currency pairs. These fluctuations are influenced by interest rate changes as well as political and
general economic conditions. The General Partner does not anticipate that the risk profile of the
Master’s currency sector will change significantly in the future. The currency trading Value at
Risk figure includes foreign margin amounts converted into U.S. dollars with an incremental
adjustment to reflect the exchange rate risk inherent to the dollar-based Partnership in expressing
Value at Risk in a functional currency other than U.S. dollars.
Stock Indices. The Master’s primary equity exposure is to equity price risk in the G-8
countries. The stock index futures traded by the Master are limited to futures on broadly based
indices. As of December 31, 2009, the Master’s primary exposures were in the EUREX and Euro Stoxx
indices. The General Partner anticipates little, if any, trading in non-G-8 stock indices. The
Master is primarily exposed to the risk of adverse price trends or static markets in the major
U.S., European and Japanese indices. (Static markets would not cause major market changes but would
make it difficult for the Master to avoid being “whipsawed” into numerous small losses.)
Metals.
The Master’s primary metal market exposure is to fluctuations in
the price of gold and
copper.
17
Energy. The Master’s primary energy market exposure is to gas and oil price movements,
often resulting from political developments in the Middle East. Oil prices can be volatile and
substantial profits and losses have been and are expected to continue to be experienced in this
market.
Qualitative Disclosures Regarding Non-Trading Risk Exposure
The
following were the only non-trading risk exposures of the Master as of December 31, 2009.
Foreign Currency Balances. The Master’s primary foreign currency balances are in
Japanese yen, British pounds, Singapore dollar and Swiss francs. The Advisor regularly converts
foreign currency balances to dollars in an attempt to control the Master’s non-trading risk.
Qualitative Disclosures Regarding Means of Managing Risk Exposure
The General Partner monitors and controls the Partnership’s, through its investment in the
Master 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 Master is subject.
The General Partner monitors the Master’s performance and the concentration of its open
positions, and consults with the Advisor concerning the Master’s overall risk profile. If the
General Partner felt it necessary to do so, the General Partner could require the Advisor to close
out individual positions as well as enter certain positions traded on behalf of the Master.
However, any such intervention would be a highly unusual event. The General Partner primarily
relies on the Advisor’s own risk control policies while maintaining a general supervisory overview
of the Master’s market risk exposures.
The Advisor applies its own risk management policies to its trading. The Advisor often follows
diversification guidelines, margin limits and stop loss points to exit a position. The Advisor’s
research of risk management often suggests ongoing modifications to its trading programs.
As part of the General Partner’s risk management, the General Partner periodically meets with
the Advisor to discuss its risk management and to look for any material changes to the Advisor’s
portfolio balance and trading techniques. The Advisor is required to notify the General Partner of
any material changes to its programs.
18
Item 8. Financial Statements and Supplementary Data.
Abingdon Futures Fund L.P.
INDEX TO FINANCIAL STATEMENTS
| Page Number |
||
Oath or Affirmation
|
F-2 | |
Management’s Report on Internal Control over Financial Reporting
|
F-3 | |
Reports of Independent Registered Public Accounting Firms
|
F-4 – F-8 | |
Statements of Financial Condition at December 31, 2009 and 2008
|
F-9 | |
Statements of Income and Expenses for the years ended December
31, 2009, 2008 and for the period from February 1, 2007 (commencement
of trading operations) to December 31, 2007 |
F-10 | |
Statements of Changes in Partners’ Capital for the years ended
December 31, 2009, 2008 and for the period from February 1,
2007
(commencement of trading operations) to December 31, 2007
|
F-11 | |
Notes to Financial Statements
|
F-12 – F-23 | |
Selected Unaudited Quarterly Financial Data
|
F-24 | |
Financial Statements of the Master: |
||
Oath or Affirmation
|
F-25 | |
Reports of Independent Registered Public Accounting Firms
|
F-26 – F-28 | |
Statements of Financial Condition at December 31, 2009 and 2008
|
F-29 | |
Condensed
Schedules of Investments at December 31, 2009 and 2008
|
F-30 – F-31 | |
Statements of Income and Expenses for the years ended December
31, 2009, 2008 and 2007
|
F-32 | |
Statements of Changes in Partners’ Capital for the years ended
December 31, 2009, 2008 and 2007
|
F-33 | |
Notes to Financial Statements
|
F-34 – F-43 | |
Selected Unaudited Quarterly Financial Data
|
F-44 |
F-1
To the Limited
Partners of
Abingdon Futures Fund L.P.
Abingdon Futures Fund L.P.
To the best of the knowledge and belief of the undersigned, the
information contained herein is accurate and complete.
| By: |
Jennifer Magro Chief Financial Officer and Director Ceres Managed Futures LLC General Partner, Abingdon Futures Fund L.P. |
Ceres Managed Futures LLC
55 East 59th Street
10th Floor
New York, N.Y. 10022
212-559-5046
55 East 59th Street
10th Floor
New York, N.Y. 10022
212-559-5046
F-2
Management’s
Report on Internal Control Over Financial Reporting
The management of Abingdon Futures Fund L.P. (formerly,
Citigroup Abingdon Futures Fund L.P.) (the Partnership), Ceres
Managed Futures LLC, (formerly, Citigroup Managed Futures LLC),
is responsible for establishing and maintaining adequate
internal control over financial reporting as defined in
Rules 13a - 15(f) and 15d - 15(f) under the Securities
Exchange Act of 1934 and for our assessment of internal control
over financial reporting. The Partnership’s internal
control over financial reporting is a process designed to
provide reasonable assurance regarding the reliability of
financial reporting and the preparation of financial statements
for external purposes in accordance with accounting principles
generally accepted in the United States of America. The
Partnership’s internal control over financial reporting
includes those policies and procedures that:
(i) pertain to the maintenance of records that, in
reasonable detail, accurately and fairly reflect the
transactions and dispositions of the assets of the Partnership;
(ii) provide reasonable assurance that transactions are
recorded as necessary to permit preparation of financial
statements in accordance with accounting principles generally
accepted in the United States of America, and that receipts and
expenditures of the Partnership are being made only in
accordance with authorizations of management and directors of
the Partnership; and
(iii) provide reasonable assurance regarding prevention or
timely detection and correction of unauthorized acquisition, use
or disposition of the Partnership’s assets that could have
a material effect on the financial statements.
Because of its inherent limitations, internal control over
financial reporting may not prevent or detect misstatements.
Also, projections of any evaluation of effectiveness to future
periods are subject to the risk that controls may become
inadequate because of changes in conditions, or that the degree
of compliance with the policies or procedures may deteriorate.
The management of Abingdon Futures Fund L.P. has assessed
the effectiveness of the Partnership’s internal control
over financial reporting as of December 31, 2009. In making
this assessment, management used the criteria set forth in the
Internal Control—Integrated Framework issued by the
Committee of Sponsoring Organizations of the Treadway Commission
(COSO). Based on our assessment, management concluded that the
Partnership maintained effective internal control over financial
reporting as of December 31, 2009 based on the criteria
referred to above.
The Partnership’s independent registered public accounting
firm, Deloitte & Touche LLP, has audited the effectiveness
of the Partnership’s internal control over financial
reporting as of December 31, 2009, as stated in their
report dated March 19, 2010 which appears herein.
Jennifer Magro
Chief Financial Officer and Director
Ceres Managed Futures LLC
General Partner,
Abingdon Futures Fund L.P.
Chief Financial Officer and Director
Ceres Managed Futures LLC
General Partner,
Abingdon Futures Fund L.P.
F-3
REPORT
OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Partners of
Abingdon Futures Fund L.P.:
Abingdon Futures Fund L.P.:
We have audited the accompanying statement of financial condition of Abingdon Futures Fund L.P. (the
“Partnership”) as of December 31, 2009, and the related statements of income and expenses, and
changes in partners’ capital for the year then ended. We also have audited the Partnership’s internal
control over financial reporting as of December 31, 2009, based on
criteria established in Internal Control
— Integrated Framework issued by the Committee of Sponsoring Organizations of the Treadway
Commission. The Partnership’s management is responsible for these financial statements, for maintaining
effective internal control over financial reporting, and for its assessment of the effectiveness of internal
control over financial reporting, included in the accompanying Management’s Report on Internal Control
over Financial Reporting. Our responsibility is to express an opinion on these financial statements and an
opinion on the Partnership’s internal control over financial reporting based on our audit. The financial
statements of the Partnership for the year ended December 31, 2008 and for the period February 1, 2007
(commencement of trading operations) to December 31, 2007 were audited by other auditors whose
reports, dated March 26, 2009 and March 24, 2008, respectively, expressed unqualified opinions on
those statements.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight
Board (United States). Those standards require that we plan and perform the audit to obtain reasonable
assurance about whether the financial statements are free of material misstatement and whether effective
internal control over financial reporting was maintained in all material respects. Our audit of the financial
statements included examining, on a test basis, evidence supporting the amounts and disclosures in the
financial statements, assessing the accounting principles used and significant estimates made by
management, and evaluating the overall financial statement presentation. Our audit of internal control
over financial reporting included obtaining an understanding of internal control over financial reporting,
assessing the risk that a material weakness exists, and testing and evaluating the design and operating
effectiveness of internal control based on the assessed risk. Our audit also included performing such
other procedures as we considered necessary in the circumstances. We believe that our audit provides a
reasonable basis for our opinion.
A partnership’s internal control over financial reporting is a process designed by, or under the supervision of, the partnership’s principal executive
and principal financial officers, or persons performing similar functions, and effected by the partnership’s general partner, management, and other personnel to provide reasonable assurance regarding the reliability of financial reporting and
the preparation of financial statements for external purposes in accordance with generally accepted accounting principles.
A partnership’s internal control over financial reporting includes those policies and procedures that
(1) pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the partnership; (2) provide reasonable assurance that transactions are recorded as necessary to
permit preparation of financial statements in accordance with generally accepted accounting principles, and that receipts and expenditures of the partnership are being made only in accordance with authorizations of management and general partner of
the partnership; and (3) provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use, or disposition of the Partnership’s assets
that could have a material effect on the financial statements.
F-4
Because of the inherent limitations of internal control over financial reporting, including the possibility of collusion or
improper management override of controls, material misstatements due to error or fraud may not be prevented or detected on a
timely basis. Also, projections of any evaluation of the effectiveness of the internal control over financial reporting to future
periods are subject to the risk that the controls may become inadequate because of changes in conditions, or that the degree of
compliance with the policies or procedures may deteriorate.
In our opinion, the financial statements referred to above present fairly, in
all material respects, the financial position of Abingdon Futures Fund L.P. as of December 31, 2009, and the results of its operations
and its changes in partners’ capital for the year then ended, in conformity with accounting principles generally accepted in the
United States of America. Also, in our opinion, the Partnership maintained, in all material respects, effective internal control over
financial reporting as of
December 31, 2009, based on the criteria established in Internal
Control — Integrated Framework issued by the Committee of Sponsoring
Organizations of the Treadway Commission.
/s/
Deloitte & Touche LLP
New York, New York
March 19, 2010
New York, New York
March 19, 2010
F-5
Report of
Independent Registered Public Accounting Firm
To the Partners of
Abingdon Futures Fund L.P.:
Abingdon Futures Fund L.P.:
In our opinion, the accompanying statement of financial condition, the related statement of income and
expenses, and statement of changes in partners’ capital present fairly, in all material respects, the
financial position of Abingdon Futures Fund L.P. (formerly known as Citigroup Abingdon Futures Fund
L.P.) at December 31, 2008 and the results of its operations for the year then ended in conformity with
accounting principles generally accepted in the United States of America. Also in our opinion, the
Partnership maintained, in all material respects, effective internal control over financial reporting as of
December 31, 2008, based on criteria established in Internal
Control — Integrated Framework issued by
the Committee of Sponsoring Organizations of the Treadway Commission (COSO). The Partnership’s
management is responsible for these financial statements, for maintaining effective internal control over
financial reporting and for its assessment of the effectiveness of internal control over financial reporting,
included in the accompanying Management’s Report on Internal Control over Financial Reporting. Our
responsibility is to express opinions on these financial statements and on the Partnership’s internal
control over financial reporting based on our integrated audit. We conducted our audit in accordance with
the standards of the Public Company Accounting Oversight Board (United States). Those standards
require that we plan and perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement and whether effective internal control over financial
reporting was maintained in all material respects. Our audit of the financial statements included
examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements,
assessing the accounting principles used and significant estimates made by management, and evaluating
the overall financial statement presentation. Our audit of internal control over financial reporting included
obtaining an understanding of internal control over financial reporting, assessing the risk that a material
weakness exists, and testing and evaluating the design and operating effectiveness of internal control
based on the assessed risk. Our audit also included performing such other procedures as we considered
necessary in the circumstances. We believe that our audit provides a reasonable basis for our opinion.
A company’s internal control over financial reporting is a process designed to provide reasonable
assurance regarding the reliability of financial reporting and the preparation of financial statements for
external purposes in accordance with generally accepted accounting principles. A company’s internal
control over financial reporting includes those policies and procedures that (i) pertain to the maintenance
of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the
assets of the company; (ii) provide reasonable assurance that transactions are recorded as necessary to
permit preparation of financial statements in accordance with generally accepted accounting principles,
and that receipts and expenditures of the company are being made only in accordance with
authorizations of management and directors of the company; and (iii) provide reasonable assurance
regarding prevention or timely detection of unauthorized acquisition, use, or disposition of the company’s
assets that could have a material effect on the financial statements.
F-6
Because of its inherent limitations, internal control over financial reporting may not prevent or detect
misstatements. Also, projections of any evaluation of effectiveness to future periods are subject to the
risk that controls may become inadequate because of changes in conditions, or that the degree of
compliance with the policies or procedures may deteriorate.
/s/ PricewaterhouseCoopers LLP
New York, New York
March 26, 2009
New York, New York
March 26, 2009
F-7
Report of Independent Registered Public Accounting Firm
The Partners
Abingdon Futures Fund L.P.:
Abingdon Futures Fund L.P.:
We have audited the accompanying statements of income and expenses and changes in partners’ capital
of Abingdon Futures Fund L.P. (formerly, Citigroup Abingdon Futures Fund L.P.) for the period from
February 1, 2007 (commencement of trading operations) to December 31, 2007. These financial
statements are the responsibility of the Partnership’s management. Our responsibility is to
express an opinion on these financial statements based on our audit.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight
Board (United States). Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material misstatement. An
audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the
financial statements, assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation. We believe that
our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present fairly, in all material
respects, the results of operations and changes in partners’ capital of Abingdon Futures Fund L.P.
for the period from February 1, 2007 to December 31, 2007, in conformity with U.S. generally
accepted accounting principles.
/s/ KPMG LLP
New York, New York
March 24, 2008
March 24, 2008
F-8
Abingdon Futures
Fund L.P.
Statements of Financial Condition
December 31, 2009 and 2008
Statements of Financial Condition
December 31, 2009 and 2008
| 2009 | 2008 | |||||||
|
Assets:
|
||||||||
|
Investment in Master, at fair value (Note 1)
|
$ | 123,045,654 | $ | 119,196,221 | ||||
|
Cash (Note 3c)
|
250,959 | 123,784 | ||||||
|
Total assets
|
$ | 123,296,613 | $ | 119,320,005 | ||||
|
Liabilities and Partners’ Capital
|
||||||||
|
Liabilities:
|
||||||||
|
Accrued expenses:
|
||||||||
|
Brokerage commissions (Note 3c)
|
$ | 462,362 | $ | 447,450 | ||||
|
Management fees (Note 3b)
|
204,490 | 197,963 | ||||||
|
Administrative fees (Note 3a)
|
51,123 | 49,491 | ||||||
|
Incentive fees (Note 3b)
|
— | 379,396 | ||||||
|
Professional fees
|
131,575 | 80,503 | ||||||
|
Other (Note 6)
|
8,385 | 14,198 | ||||||
|
Redemptions payable (Note 5)
|
1,652,699 | 3,406,004 | ||||||
|
Total liabilities
|
2,510,634 | 4,575,005 | ||||||
|
Partners’ Capital: (Notes 1 and 5)
|
||||||||
|
General Partner, 1,689.1726 and 2,621.7839 Unit equivalents
outstanding at December 31, 2009 and 2008, respectively
|
1,801,570 | 3,157,152 | ||||||
|
Limited Partners, 111,560.6462 and 92,665.2839 Redeemable Units
of Limited Partnership Interest outstanding at December 31,
2009 and 2008, respectively
|
118,984,409 | 111,587,848 | ||||||
|
Total partners’ capital
|
120,785,979 | 114,745,000 | ||||||
|
Total liabilities and partners’ capital
|
$ | 123,296,613 | $ | 119,320,005 | ||||
See accompanying notes to financial statements.
F-9
Abingdon Futures
Fund L.P.
Statements of Income and Expenses
for the years ended December 31, 2009, 2008
and for the period from February 1, 2007
Statements of Income and Expenses
for the years ended December 31, 2009, 2008
and for the period from February 1, 2007
(commencement of trading operations)
to December 31, 2007
| 2009 | 2008 | 2007 | ||||||||||
|
Income:
|
||||||||||||
|
Net realized gains (losses) on closed contracts allocated from
Master
|
$ | (4,959,083 | ) | $ | 25,725,112 | $ | 12,991,820 | |||||
|
Change in net unrealized gains (losses) on open contracts
allocated from Master
|
(1,105,904 | ) | 949,588 | (825,721 | ) | |||||||
|
Interest income allocated from Master
|
86,538 | 1,127,937 | 1,825,352 | |||||||||
|
Expenses allocated from Master
|
(92,869 | ) | (110,286 | ) | (118,150 | ) | ||||||
|
Total income (loss)
|
(6,071,318 | ) | 27,692,351 | 13,873,301 | ||||||||
|
Expenses:
|
||||||||||||
|
Brokerage commissions (Note 3c)
|
5,574,180 | 5,061,166 | 2,526,887 | |||||||||
|
Management fees (Note 3b)
|
2,465,031 | 2,240,263 | 1,118,553 | |||||||||
|
Incentive fees (Note 3b)
|
— | 3,721,366 | 1,604,374 | |||||||||
|
Administrative fees (Note 3a)
|
616,256 | 560,066 | 279,637 | |||||||||
|
Professional fees
|
272,846 | 376,037 | 68,000 | |||||||||
|
Other
|
52,557 | 50,479 | 39,155 | |||||||||
|
Total expenses
|
8,980,870 | 12,009,377 | 5,636,606 | |||||||||
|
Net income (loss)
|
$ | (15,052,188 | ) | $ | 15,682,974 | $ | 8,236,695 | |||||
|
Net income (loss) per Redeemable Unit of Limited Partnership
Interest and General Partner Unit equivalent (Notes 1 and 7)
|
$ | (137.66 | ) | $ | 161.77 | $ | 42.43 | |||||
|
Weighted average units outstanding
|
111,135.6454 | 97,726.0217 | 56,062.0590 | |||||||||
See accompanying notes to financial statements.
F-10
Abingdon Futures
Fund L.P.
Statements of Changes in Partners’ Capital
for the years ended December 31, 2009, 2008
and for the period from February 1, 2007
(commencement of trading operations)
to December 31, 2007
Statements of Changes in Partners’ Capital
for the years ended December 31, 2009, 2008
and for the period from February 1, 2007
(commencement of trading operations)
to December 31, 2007
|
Limited |
General |
|||||||||||
| Partners | Partner | Total | ||||||||||
|
Initial capital contributions, 1 Redeemable Unit of Limited
Partnership Interest and General Partner’s contribution
representing 1 Unit equivalent
|
$ | 1,000 | $ | 1,000 | $ | 2,000 | ||||||
|
Proceeds from offering of 12,943.0000 Redeemable Units of
Limited Partnership Interest (Note 1)
|
12,943,000 | — | 12,943,000 | |||||||||
|
Offering costs (Note 6)
|
(100,000 | ) | — | (100,000 | ) | |||||||
|
Opening Partners’ capital for operations
|
12,844,000 | 1,000 | 12,845,000 | |||||||||
|
Sale of 75,653.1994 Redeemable Units of Limited Partnership
Interest and 1,731.0884 General Partner Unit equivalents
|
71,438,000 | 1,526,076 | 72,964,076 | |||||||||
|
Redemption of 3,325.9916 Redeemable Units of Limited Partnership
Interest
|
(3,350,755 | ) | — | (3,350,755 | ) | |||||||
|
Net income (loss)
|
7,958,190 | 278,505 | 8,236,695 | |||||||||
|
Partners’ Capital at December 31, 2007
|
88,889,435 | 1,805,581 | 90,695,016 | |||||||||
|
Sale of 60,151.8730 Redeemable Units of Limited Partnership
Interest and 889.6955 General Partner Unit equivalents
|
67,639,000 | 1,000,000 | 68,639,000 | |||||||||
|
Redemption of 52,757.7969 Redeemable Units of Limited
Partnership Interest
|
(60,271,990 | ) | — | (60,271,990 | ) | |||||||
|
Net income (loss)
|
15,331,403 | 351,571 | 15,682,974 | |||||||||
|
Partners’ Capital at December 31, 2008
|
111,587,848 | 3,157,152 | 114,745,000 | |||||||||
|
Sale of 50,991.4781 Redeemable Units of Limited Partnership
Interest and 945.3583 General Partner Unit equivalents
|
58,153,000 | 1,000,000 | 59,153,000 | |||||||||
|
Redemption of 32,096.1158 Redeemable Units of Limites
Partnership Interest and 1,877.9696 General Partner Unit
equivalents
|
(36,076,960 | ) | (1,982,873 | ) | (38,059,833 | ) | ||||||
|
Net income (loss)
|
(14,679,479 | ) | (372,709 | ) | (15,052,188 | ) | ||||||
|
Partners’ Capital at December 31, 2009
|
$ | 118,984,409 | $ | 1,801,570 | $ | 120,785,979 | ||||||
Net Asset Value per Unit:
|
2007:
|
$ | 1,042.43 | ||
|
2008:
|
$ | 1,204.20 | ||
|
2009:
|
$ | 1,066.54 | ||
See accompanying notes to financial statements.
F-11
Abingdon Futures
Fund L.P.
Notes to Financial Statements
December 31, 2009
Notes to Financial Statements
December 31, 2009
| 1. | Partnership Organization: |
Abingdon Futures Fund L.P. (formerly, Citigroup Abingdon
Futures Fund L.P.) (the “Partnership”) is a
limited partnership which was formed on November 8, 2005,
under the partnership laws of the State of New York to engage in
the speculative trading of a diversified portfolio of commodity
interests including futures contracts, options, swaps and
forward contracts. The sectors traded include currencies,
energy, grains, indices, U.S. and
non-U.S.
interest rates, livestock, lumber, metals and softs. The
Partnership commenced trading on February 1, 2007. The
commodity interests that are traded by the Partnership are
volatile and involve a high degree of market risk. The
Partnership privately and continuously offers up to 300,000
redeemable units of Limited Partnership Interest
(“Redeemable Units”) in the Partnership to qualified
investors. There is no maximum number of Redeemable Units that
may be sold by the Partnership.
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.
On February 1, 2007, the Partnership allocated
substantially all of its capital to the CMF Winton Master L.P.
(the “Master”), a limited partnership organized under
the partnership laws of the state of New York, having the same
investment objective as the Partnership. The Partnership
purchased 9,017.0917 units of the Master with cash equal to
$12,945,000. The Master was formed in order to permit accounts
managed by Winton Capital Management Limited (the
“Advisor”) using the Diversified Program, the
Advisor’s proprietary systematic trading program, to invest
together in one trading vehicle. The General Partner is also the
general partner of the Master. Individual and pooled accounts
currently managed by the Advisor, including the Partnership, are
permitted to be limited partners of the Master. The General
Partner and the Advisor believe that trading through this
master/feeder structure promotes efficiency and economy in the
trading process. Expenses to investors as a result of the
investment in the Master are approximately the same and
redemption rights are not affected.
The financial statements of the Master, including the Condensed
Schedule of Investments, are contained elsewhere in this report
and should be read together with the Partnership’s
financial statements.
As of December 31, 2009 and 2008, the Partnership owned
approximately 21.4% and 21.7%, respectively, of the Master. The
Partnership intends to continue to invest substantially all of
its assets in the Master. The performance of the Partnership is
directly affected by the performance of the Master.
The General Partner and each 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 Partnership will be liquidated upon the first to occur of
the following: December 31, 2025; when the Net Asset Value
per Redeemable Unit decreases to less than $400 per Redeemable
Unit as of the close of business on any business day; a decline
in net assets after trading commences to less than $1,000,000;
or under certain circumstances as defined in the Limited
Partnership Agreement of the Partnership (the “Limited
Partnership Agreement”).
On July 1, 2009, the Financial Accounting Standards Board
(“FASB”) issued Statement of Financial Accounting
Standards (“FAS”) No. 168, The FASB Accounting
Standards Codification and the Hierarchy of Generally Accepted
Accounting Principles, also known as FASB Accounting Standards
Codification
F-12
Abingdon Futures
Fund L.P.
Notes to Financial Statements
December 31, 2009
Notes to Financial Statements
December 31, 2009
(“ASC”) 105, “Generally Accepted Accounting
Principles” (“ASC 105”) (the
“Codification”). ASC 105 established the
exclusive authoritative reference for U.S. Generally
Accepted Accounting Principles (“GAAP”) for use in
financial statements except for Securities and Exchange
Commission (“SEC”) rules and interpretive releases,
which are also authoritative GAAP for SEC registrants. The
Codification supersedes all existing non-SEC accounting and
reporting standards. The Codification is the single source of
authoritative accounting principles generally accepted in the
United States and applies to all financial statements issued
after September 15, 2009.
| 2. | Accounting Policies: |
a. 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. 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 the date the financial
statements were issued. As a result, actual results could differ
from these estimates.
b. Statement of Cash
Flows. The Partnership is not required to provide
a Statement of Cash Flows as permitted by ASC 230, 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”).
c. Partnership’s
Investments. The Partnership values its
investment in the Master at its net asset value per unit as
calculated by the Master. The Master values its investments as
described in note 2 of the Master’s notes to the annual
financial statements as of December 31, 2009.
Partnership’s Fair Value
Measurements. The Partnership adopted ASC 820,
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 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 did not apply the deferral allowed
by ASC 820 for nonfinancial assets and nonfinancial liabilities
measured at fair value on a nonrecurring basis.
In 2009, the Partnership adopted amendments to ASC 820, Fair
Value Measurements and Disclosures (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”) which
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. These amendments to ASC 820
also reaffirm 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. These
amendments to ASC 820 are required for interim and annual
reporting periods ending after June 15, 2009. Management
has concluded that based on available information in the
marketplace, there has not been a decrease in the volume and
level of activity in the Partnership’s Level 2 assets
and liabilities. The adoption of the amendments to ASC 820 had
no effect on the Partnership’s Financial Statements.
The Partnership values investments in the Master where there are
no other rights or obligations inherent within the ownership
interest held by the Partnership based on the end of the day net
F-13
Abingdon Futures
Fund L.P.
Notes to Financial Statements
December 31, 2009
Notes to Financial Statements
December 31, 2009
asset value of the Master (Level 2). The value of the
Partnership’s investments in the Master reflects its
proportional interest in the Master. As of and for the years
ended December 31, 2009 and 2008, the Partnership did not
hold any derivative instruments that are based on unadjusted
quoted prices in active markets for identical assets
(Level 1) or priced at fair value using unobservable
inputs through the application of management’s assumptions
and internal valuation pricing models (Level 3).
|
Quoted Prices |
||||||||||||||||
|
in Active Markets |
Significant Other |
Significant |
||||||||||||||
|
for Identical |
Observable Inputs |
Unobservable |
||||||||||||||
| 12/31/2009 | sets (Level 1) | (Level 2) | Inputs (Level 3) | |||||||||||||
|
Assets
|
||||||||||||||||
|
Investment in Master
|
$ | 123,045,654 | $ | — | $ | 123,045,654 | $ | — | ||||||||
|
Total fair value
|
$ | 123,045,654 | $ | — | $ | 123,045,654 | $ | — | ||||||||
|
Quoted Prices |
||||||||||||||||
|
in Active Markets |
Significant Other |
Significant |
||||||||||||||
|
for Identical |
Observable Inputs |
Unobservable |
||||||||||||||
| 12/31/2008 | Assets (Level 1) | (Level 2) | Inputs (Level 3) | |||||||||||||
|
Assets
|
||||||||||||||||
|
Investment in Master
|
$ | 119,196,221 | $ | — | $ | 119,196,221 | $ | — | ||||||||
|
Total fair value
|
$ | 119,196,221 | $ | — | $ | 119,196,221 | $ | — | ||||||||
Master’s Investments. All commodity
interests of the Master (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
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.
Master’s Fair Value Measurements. The
Master adopted ASC 820, 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 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 Master did
not apply the deferral allowed by ASC 820 for nonfinancial
assets and nonfinancial liabilities measured at fair value on a
nonrecurring basis.
The Master considers 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). As of and for the years ended
December 31, 2009 and 2008, the Master did not hold any
derivative instruments for which market quotations are not
readily available and which are priced by broker-dealers who
derive fair values for those assets
F-14
Abingdon Futures
Fund L.P.
Notes to Financial Statements
December 31, 2009
Notes to Financial Statements
December 31, 2009
from observable inputs (Level 2) or that are priced at
fair value using unobservable inputs through the application of
management’s assumptions and internal valuation pricing
models (Level 3).
|
Quoted Prices |
Significant |
|||||||||||||||
|
in Active |
Other |
Significant |
||||||||||||||
|
Markets for |
Observable |
Unobservable |
||||||||||||||
|
Identical Assets |
Inputs |
Inputs |
||||||||||||||
| 12/31/2009 | (Level 1) | (Level 2) | (Level 3) | |||||||||||||
|
Assets
|
||||||||||||||||
|
Futures
|
$ | 144,283 | $ | 144,283 | $ | — | $ | — | ||||||||
|
Forwards
|
1,698,400 | 1,698,400 | — | — | ||||||||||||
|
Options owned
|
17,723 | 17,723 | — | — | ||||||||||||
|
Total Assets
|
1,860,406 | 1,860,406 | — | — | ||||||||||||
|
Liabilities
|
||||||||||||||||
|
Options written
|
40,733 | 40,733 | — | — | ||||||||||||
|
Total Liabilities
|
40,733 | 40,733 | — | — | ||||||||||||
|
Total fair value
|
$ | 1,819,673 | $ | 1,819,673 | $ | — | $ | — | ||||||||
|
Quoted Prices |
Significant |
|||||||||||||||
|
in Active |
Other |
Significant |
||||||||||||||
|
Markets for |
Observable |
Unobservable |
||||||||||||||
|
Identical Assets |
Inputs |
Inputs |
||||||||||||||
| 12/31/2008 | (Level 1) | (Level 2) | (Level 3) | |||||||||||||
|
Assets
|
||||||||||||||||
|
Futures
|
$ | 6,936,356 | $ | 6,936,356 | $ | — | $ | — | ||||||||
|
Forwards
|
2,179,569 | 2,179,569 | — | — | ||||||||||||
|
Total Assets
|
9,115,925 | 9,115,925 | — | — | ||||||||||||
|
Total fair value
|
$ | 9,115,925 | $ | 9,115,925 | $ | — | $ | — | ||||||||
Futures Contracts. The Master trades 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 can not occur (such as the
S&P 500 Index), whereby such contract is settled in cash.
Payments (“variation margin”) may be made or received
by the Master 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 Master. When the
contract is closed, the Master records 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.
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 Master are cash
settled based on prompt dates published by the LME. Payments
(“variation margin”) may be made or received by the
Master 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 Master. A contract is
considered offset when all long positions have been matched with
short positions. When the contract is
F-15
Abingdon Futures
Fund L.P.
Notes to Financial Statements
December 31, 2009
Notes to Financial Statements
December 31, 2009
closed at the prompt date, the Master records 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.
Options. The Master 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 Master writes an option, the premium
received is recorded as a liability in the Statements of
Financial Condition and marked to market daily. When the Master
purchases 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.
d. 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, Income Taxes
(formerly, FAS No. 48, “Accounting for
Uncertainty in Income Taxes”). ASC 740 provides guidance
for how uncertain tax positions should be recognized, measured,
presented and disclosed in the financial statements. ASC 740
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 concluded that no provision for income tax is required
in the Partnership’s financial statements
The following is the major tax jurisdiction for the Partnership
and the earliest tax year subject to examination: United
States — 2007.
| e. | Subsequent Events. In 2009, the Partnership adopted ASC 855, Subsequent Events (formerly, FAS No. 165, “Subsequent Events”). The objective of ASC 855 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. Management has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements. |
f. Recent Accounting
Pronouncements. In January 2010, the FASB issued
Accounting Standards Update
No. 2010-06
(“ASU
2010-06”),
“Improving Disclosures about Fair Value Measurements, which
, among other things, amends ASC 820 to require entities to
separately present purchases, sales, issuances, and settlements
in their reconciliation of Level 3 fair value measurements
(i.e. to present such items on a gross basis rather than on a
net basis), and which clarifies existing disclosure requirements
provided by ASC 820 regarding the level of disaggregation and
the inputs and valuation techniques used to measure fair value
for measurements that fall within either Level 2 or
Level 3 of the fair value hierarchy. ASU
2010-06 is
effective for interim and annual periods beginning after
December 15, 2009, except for the disclosures about
purchases, sales, issuances, and settlements in the roll forward
of activity in Level 3 fair value measurements (which are
effective for fiscal years beginning after December 15,
2010, and for interim periods within those fiscal years).
Management is currently assessing the impact that the adoption
of ASU
2010-06 will
have on the Partnership’s financial statements disclosures.
F-16
Abingdon Futures
Fund L.P.
Notes to Financial Statements
December 31, 2009
Notes to Financial Statements
December 31, 2009
In February 2010, the FASB issued Accounting Standards Update
No. 2010-09
(“ASU
2010-09”),
“Subsequent Events (Topic 855): Amendments to Certain
Recognition and Disclosure Requirements,” which among other
things amended ASC 855 to remove the requirement for an SEC
filer to disclose the date through which subsequent events have
been evaluated. This change alleviates potential conflicts
between ASC 855 and the SEC’s requirements. All of the
amendments in this update are effective upon issuance of this
update. Management has included the provisions of these
amendments in the financial statements.
g. Certain prior period amounts have been
reclassified to conform to the current year presentation.
h. Net Income (Loss) per Redeemable Unit.
Net income (loss) per Redeemable Unit is
calculated in accordance with investment company guidance. See
footnote 7 for Financial Highlights.
| 3. | Agreements: |
a. Limited Partnership Agreement:
The General Partner administers the business and affairs of the
Partnership. The Partnership pays the General Partner a monthly
administrative fee in return for its services to the Partnership
equal to
1/24
of 1% (0.5% per year) of month-end Net Assets of the
Partnership. Month-end Net Assets, for the purpose of
calculating administrative fees are Net Assets, as defined in
the Limited Partnership Agreement, prior to the reduction of the
current month’s management fee, incentive fee accrual, the
General Partner’s administrative fee and any redemptions or
distributions as of the end of such month. This fee may be
increased or decreased at the discretion of the General Partner.
b. Management Agreement:
The General Partner, on behalf of the Partnership, has entered
into a management agreement (the “Management
Agreement”) with the Advisor. The Management Agreement
provides that the Advisor has sole discretion in determining the
investment of the assets of the Partnership allocated to the
Advisor by the General Partner. The Partnership is obligated to
pay the Advisor a monthly management fee equal to
1/6
of 1% (2% per year) of month-end Net Assets allocated to the
Advisor. Month-end Net Assets, for the purpose of calculating
management fees are Net Assets, as defined in the Limited
Partnership Agreement, prior to the reduction of the current
month’s management fee, incentive fee accrual, the General
Partner’s administrative fee and any redemptions or
distributions as of the end of such month. The Management
Agreement may be terminated upon notice by either party.
In addition, the Partnership is obligated to pay the Advisor an
incentive fee, payable quarterly, equal to 20% of the New
Trading Profits, as defined in the Management Agreement,
allocated pro-rata from the Master, earned by the Advisor for
the Partnership during each calender quarter. The Advisor will
not be paid incentive fees until the Advisor recovers the net
loss incurred and earns additional new trading profits for the
Partnership.
In allocating substantially all of the assets of the Partnership
to the Master, the General Partner considered the Advisor’s
past performance, trading style, volatility of markets traded
and fee requirements. The General Partner may modify or
terminate the allocation of assets to the Advisor at any time.
c. Customer Agreement:
The Partnership has entered into a customer agreement (the
“Customer Agreement”) which provides that the
Partnership will pay CGM a monthly brokerage commission equal to
4.5% per year of
month-end
Net Assets, allocated pro rata from the Master, in lieu of
brokerage commissions on a per trade basis. Month-end Net
Assets, for the purpose of calculating commissions are Net
Assets, as defined in the Limited Partnership Agreement, prior
to the reduction of the current month’s brokerage
commissions, management fee, incentive fee accrual, the General
F-17
Abingdon Futures
Fund L.P.
Notes to Financial Statements
December 31, 2009
Notes to Financial Statements
December 31, 2009
Partner’s administrative fee, other expenses and any
redemptions or distributions as of the end of such month.
Brokerage commissions will be paid for the life of the
Partnership, although the rate at which such commissions are
paid may be changed. CGM will pay a portion of its brokerage
commissions to financial advisors who have sold Redeemable Units
in the Partnership. All NFA fees, exchange, clearing, user,
give-up and
floor brokerage fees (collectively the “clearing
fees”) will be borne by the Master and allocated to the
Partnership through its investment in the Master. The
Partnership’s assets, not held in the Master’s account
at CGM, are held in the Partnership’s account at CGM. The
Partnership’s cash was deposited by CGM in segregated bank
accounts to the extent required by Commodity Futures Trading
Commission regulations. CGM has agreed to pay the Partnership
interest on its allocable share of 80% of the average daily
equity maintained in cash in the Master’s account during
each month at a
30-day
U.S. Treasury bill rate determined weekly by CGM based on
the average noncompetitive yield on
3-month
U.S. Treasury bills maturing in 30 days from the date
on which such weekly rate is determined. Alternatively, CGM may
place up to all of the Master’s assets in 90-day U.S.
Treasury bills and pay the Partnership its allocable share of
80% of the interest earned on Treasury bills purchased. Twenty
percent of the interest earned on Treasury bills purchased may
be retained by CGM and/or credited to the General Partner. The
Customer Agreement may be terminated upon notice by either party.
4. Trading
Activities:
The Partnership’s pro-rata share of the results of the
Master’s trading activities are shown in the Statements of
Income and Expenses.
The Customer Agreements between the Partnership and CGM and the
Master and CGM gives the Partnership and the Master,
respectively, the legal right to net unrealized gains and losses
on open futures and forward contracts. The Master 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, Balance Sheet
(formerly, FASB Interpretation No. 39,
“Offsetting of Amounts Related to Certain Contracts”)
have been met.
Brokerage commissions are calculated as a percentage of the
Partnership’s adjusted net asset value on the last day of
each month and are affected by trading performance, additions
and redemptions.
The Master adopted ASC 815, 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 only
expands the disclosure requirements for derivative instruments
and related hedging activities and has no impact on the
Statements of Financial Condition, Statements of Income and
Expenses and Statements of Changes in Partners’ Capital.
All of the commodity interests owned by the Master are held for
trading purposes. The average number of futures, metal forward
and options contracts traded for the year ended
December 31, 2009 based on a quarterly
F-18
Abingdon Futures
Fund L.P.
Notes to Financial Statements
December 31, 2009
Notes to Financial Statements
December 31, 2009
calculation, was 15,248. The following table indicates the fair
values of derivative instruments of futures, forward and options
contracts as separate assets and liabilities.
| December 31, 2009 | ||||
|
Assets
|
||||
|
Futures Contracts
|
||||
|
Currencies
|
$ | 410,679 | ||
|
Energy
|
128,203 | |||
|
Grains
|
629,534 | |||
|
Indices
|
3,222,389 | |||
|
Interest Rates U.S.
|
639,524 | |||
|
Interest Rates
Non-U.S.
|
1,473,596 | |||
|
Livestock
|
53,810 | |||
|
Metals
|
771,738 | |||
|
Softs
|
598,000 | |||
|
Total unrealized appreciation on open futures contracts
|
$ | 7,927,473 | ||
| December 31, 2009 | ||||
|
Liabilities
|
||||
|
Futures Contracts
|
||||
|
Currencies
|
$ | (2,470,714 | ) | |
|
Energy
|
(516,987 | ) | ||
|
Grains
|
(361,398 | ) | ||
|
Indices
|
(349,439 | ) | ||
|
Interest Rates U.S.
|
(969,559 | ) | ||
|
Interest Rates
Non-U.S.
|
(1,620,668 | ) | ||
|
Livestock
|
(71,810 | ) | ||
|
Metals
|
(1,188,985 | ) | ||
|
Softs
|
(233,630 | ) | ||
|
Total unrealized depreciation on open futures contracts
|
$ | (7,783,190 | ) | |
|
Net unrealized appreciation on open futures contracts
|
$ | 144,283 | * | |
| * | This amount is in “Net unrealized appreciation on open futures contracts” on the Master’s Statements of Financial Condition. |
F-19
Abingdon Futures
Fund L.P.
Notes to Financial Statements
December 31, 2009
Notes to Financial Statements
December 31, 2009
| December 31, 2009 | ||||
|
Assets
|
||||
|
Forward Contracts
|
||||
|
Metals
|
$ | 2,433,189 | ||
|
Total unrealized appreciation on open forward contracts
|
$ | 2,433,189 | ||
|
Liabilities
|
||||
|
Forward Contracts
|
||||
|
Metals
|
$ | (734,789 | ) | |
|
Total unrealized depreciation on open forward contracts
|
$ | (734,789 | ) | |
|
Net unrealized appreciation on open forward contracts
|
$ | 1,698,400 | ** | |
|
Assets
|
||||
|
Options Owned
|
||||
|
Indices
|
$ | 17,723 | ||
|
Total options owned
|
$ | 17,723 | *** | |
|
Liabilities
|
||||
|
Options Written
|
||||
|
Indices
|
$ | (40,733 | ) | |
|
Total options written
|
$ | (40,733 | )**** | |
| ** | This amount is in “Net unrealized appreciation on open forward contracts” on the Master’s Statements of Financial Condition. | |
| *** | This amount is in “Options owned, at fair value” on the Master’s Statements of Financial Condition. | |
| **** | This amount is in “Options written, at fair value” on the Master’s Statements of Financial Condition. |
F-20
Abingdon Futures
Fund L.P.
Notes to Financial Statements
December 31, 2009
Notes to Financial Statements
December 31, 2009
The following table indicates the trading gains and losses, by
market sector, on derivative instruments for the year ended
December 31, 2009.
|
December 31, 2009 |
||||
|
Sector
|
Gain (Loss) from Trading | |||
|
Currencies
|
$ | (3,376,768 | ) | |
|
Energy
|
(8,697,471 | ) | ||
|
Grains
|
1,313,879 | |||
|
Indices
|
(11,148,536 | ) | ||
|
Interest Rates U.S.
|
(3,881,924 | ) | ||
|
Interest Rates
Non-U.S.
|
(1,931,326 | ) | ||
|
Livestock
|
1,189,446 | |||
|
Softs
|
(1,068,956 | ) | ||
|
Lumber
|
(4,378 | ) | ||
|
Metals
|
2,572,570 | |||
|
Total
|
$ | (25,033,464 | )***** | |
| ***** | This amount is in “Gain (loss) from trading, net” on the Master’s Statements of Income and Expenses. |
| 5. | Subscriptions, Distributions and Redemptions: |
Subscriptions are accepted monthly from investors and they
become Limited Partners on the first day of the month after
their subscription is processed. Distributions of profits, if
any, will be made at the sole discretion of the General Partner
and at such times as the General Partner may decide. A Limited
Partner may require the Partnership to redeem their Redeemable
Units at their Net Asset Value per Redeemable Unit as of the
last day of each month ending at least three months after their
issuance on 10 days notice to the General Partner. For the
purpose of a redemption, any accrued liability for reimbursement
of offering and organization expenses for the initial offering
period will not reduce redemption value per Redeemable Unit.
There is no fee charged to Limited Partners in connection with
redemptions.
| 6. | Offering and Organization Costs: |
Offering and organization costs of $100,000 relating to the
issuance and marketing of the Partnership’s Redeemable
Units offered were initially paid by CGM. These costs were
recorded as due to CGM in the Statement of Financial Condition.
These costs were reimbursed to CGM by the Partnership in
12 monthly installments (together with interest at the
prime rate quoted by JPMorgan Chase & Co.).
For the year ended December 31, 2009, all of these costs
have been reimbursed to CGM by the Partnership. In addition, the
Partnership has recorded interest expense of $0, $2,855 and
$6,155 for the years ended December 31, 2009, 2008 and
2007, which is included in other expenses in the Statements of
Income and Expenses.
F-21
Abingdon Futures
Fund L.P.
Notes to Financial Statements
December 31, 2009
Notes to Financial Statements
December 31, 2009
| 7. | Financial Highlights: |
Changes in the Net Asset Value per Redeemable Unit of Limited
Partnership Interest for the years ended December 31, 2009,
2008 and the period from February 1, 2007 (commencement of
trading operations) to December 31, 2007 were as follows.
| 2009 | 2008 | 2007 | ||||||||||
|
Net realized and unrealized gains (losses)*
|
$ | (107.51 | ) | $ | 222.04 | $ | 59.47 | |||||
|
Interest income
|
0.79 | 11.65 | 30.82 | |||||||||
|
Expenses**
|
(30.94 | ) | (71.92 | ) | (47.86 | ) | ||||||
|
Increase (decrease) for the period
|
(137.66 | ) | 161.77 | 42.43 | ||||||||
|
Net Asset Value per Redeemable Unit, beginning of period
|
1,204.20 | 1,042.43 | 1,000.00 | |||||||||
|
Net Asset Value per Redeemable Unit, end of period
|
1,066.54 | 1,204.20 | 1,042.43 | |||||||||
|
Redemption/subscription value per Redeemable Unit versus Net
Asset Value per Redeemable Unit
|
— | — | 0.67 | |||||||||
|
Redemption/subscription value per Redeemable Unit, end of
period***
|
$ | 1,066.54 | $ | 1,204.20 | $ | 1,043.10 | ||||||
| * | Includes brokerage commissions. | |
| ** | Excludes brokerage commissions. | |
| *** | For the purpose of a redemption/subscription, any remaining accrued liability for reimbursement of offering and organization costs will not reduce redemption/subscription net asset value per redeemable unit. |
| 2009 | 2008 | 2007 | ||||||||||
|
Ratios to Average Net Assets:
|
||||||||||||
|
Net investment income (loss) before incentive fees****
|
(7.6 | )% | (6.9 | )% | (4.2 | )%***** | ||||||
|
Operating expenses
|
7.7 | % | 8.0 | % | 7.5 | %***** | ||||||
|
Incentive fees
|
— | % | 3.5 | % | 2.7 | %***** | ||||||
|
Total expenses
|
7.7 | % | 11.5 | % | 10.2 | %***** | ||||||
|
Total return:
|
||||||||||||
|
Total return before incentive fees
|
(11.4 | )% | 19.3 | % | 6.1 | % | ||||||
|
Incentive fees
|
— | % | (3.8 | )% | (1.9 | )% | ||||||
|
Total return after incentive fees
|
(11.4 | )% | 15.5 | % | 4.2 | % | ||||||
| **** | Interest income less total expenses. |
| ***** | Annualized. |
The above ratios may vary for individual investors based on the
timing of capital transactions during the year. Additionally,
these ratios are calculated for the Limited Partner class using
the Limited Partners’ share of income, expenses and average
net assets.
| 8. | Financial Instrument Risks: |
In the normal course of its business, the Partnership, through
its investment in the Master, is party 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 at 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.
F-22
Abingdon Futures
Fund L.P.
Notes to Financial Statements
December 31, 2009
Notes to Financial Statements
December 31, 2009
These instruments may be traded on an exchange or
over-the-counter
(“OTC”). Exchange traded instruments are standardized
and include futures and certain forwards and option contracts.
OTC contracts are negotiated between contracting parties and
include certain forwards and option 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.
Market risk is the potential for changes in the value of the
financial instruments traded by the Partnership/Master 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/Master is 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/Master’s 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/ Master’s risk of loss
is reduced through the use of legally enforceable master netting
agreements with counterparties that permit the
Partnership/Master to offset unrealized gains and losses and
other assets and liabilities with such counterparties upon the
occurrence of certain events. The Partnership/Master have credit
risk and concentration risk as the sole counterparty or broker
with respect to the Partnership’s/Master’s 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/Master’s counterparty
is an exchange or clearing organization.
As both a buyer and seller of options, the Master pays or
receives a premium at the outset and then bears the risk of
unfavorable changes in the price of the contract underlying the
option. Written options expose the Master 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 Master does not consider these contracts to
be guarantees as described in ASC 460, Guarantees (formerly,
FAS No. 45,“Guarantor’s Accounting and
Disclosure Requirements for Guarantees”).
The General Partner monitors and attempts to control the
Partnership’s/Master’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/Master may be subject. These
monitoring systems generally allow the General Partner 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/Master’s business, these instruments may
not be held to maturity.
F-23
Selected
unaudited quarterly financial data for the years ended
December 31, 2009 and 2008 are summarized below:
| For the period from | For the period from | For the period from | For the period from | |||||||||||||
| October 1, 2009 to | July 1, 2009 to | April 1, 2009 to | January 1, 2009 to | |||||||||||||
| December 31, 2009 | September 30, 2009 | June 30, 2009 | March 31, 2009 | |||||||||||||
Net realized and unrealized trading
gains (losses), expenses and interest income allocated from Master, net of brokerage
commissions |
$ | (295,014 | ) | $ | 360,500 | $ | (9,241,652 | ) | $ | (2,469,332 | ) | |||||
Net income (loss) |
$ | (1,082,423 | ) | $ | (487,520 | ) | $ | (10,103,617 | ) | $ | (3,378,628 | ) | ||||
Increase (decrease) in Net Asset
Value per Unit |
$ | (9.57 | ) | $ | (4.76 | ) | $ | (90.64 | ) | $ | (32.69 | ) | ||||
| For the period | For the period | For the period | For the period | |||||||||||||
| from | from | from | from | |||||||||||||
| October 1, 2008 to | July 1, 2008 to | April 1, 2008 to | January 1, 2008 to | |||||||||||||
| December 31, 2008 | September 30, 2008 | June 30, 2008 | March 31, 2008 | |||||||||||||
Net realized and
unrealized trading
gains (losses), expenses and interest income allocated from Master, net
of brokerage
commissions |
$ | 13,091,023 | $ | (9,415,300 | ) | $ | 7,085,549 | $ | 11,869,913 | |||||||
Net income (loss) |
$ | 11,759,091 | $ | (10,206,412 | ) | $ | 5,112,950 | $ | 9,017,345 | |||||||
Increase (decrease)
in Net Asset Value
per Unit |
$ | 119.17 | $ | (104.91 | ) | $ | 48.77 | $ | 98.74 | |||||||
F-24
To the Limited
Partners of
CMF Winton Master L.P.
CMF Winton Master L.P.
To the best of the knowledge and belief of the undersigned, the
information contained herein is accurate and complete.
| By: |
Jennifer Magro Chief Financial Officer and Director |
Ceres Managed Futures LLC
General Partner,
CMF Winton Master L.P.
Ceres Managed Futures LLC
55 East 59th Street
10th Floor
New York, N.Y. 10022
212-559-2011
F-25
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Partners of
CMF Winton Master L.P.:
CMF Winton Master L.P.:
We have audited the accompanying statement of financial condition of CMF Winton Master L.P.
(the “Partnership”), including the condensed schedule of investments, as of December 31, 2009, and the related statements of income and expenses, and changes in partners’ capital for the year then ended. These financial statements
are the responsibility of the Partnership’s management. Our responsibility is to express an opinion on these financial statements based on our audit. The financial statements of the Partnership for the years ended December 31, 2008 and 2007
were audited by other auditors whose reports, dated March 26, 2009 and March 24, 2008, expressed unqualified opinions on those statements.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about
whether the financial statements are free of material misstatement. The Partnership is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audit included consideration of internal
control over financial reporting
as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Partnership’s internal control over financial reporting. Accordingly, we express
no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as
evaluating the overall financial statement presentation. We believe that our audit provides a reasonable basis for our opinion.
In our opinion, such financial statements present fairly, in all material respects, the financial position of CMF Winton Master L.P. as of December 31, 2009, and the results of its operations and its changes in
partners’
capital for the year then ended, in conformity with accounting principles generally accepted in the United States of America.
/s/
Deloitte & Touche LLP
New York, New York
March 19, 2010
New York, New York
March 19, 2010
F-26
Report of Independent Auditors
To the Partners of
CMF Winton Master L.P.:
CMF Winton Master L.P.:
In our opinion, the accompanying statement of financial condition, including the
condensed
schedule of
investments, and the related statement of income and expenses, and statement of changes in
partners’ capital present fairly, in all material respects, the financial position of CMF Winton Master
L.P. at December 31, 2008, and the results of its operations for the year then ended in conformity with
accounting principles generally accepted in the United States of America. These financial statements
are the responsibility of the Company’s management. Our responsibility is to express an opinion on
these financial statements based on our audit. We conducted our audit of these statements in
accordance with auditing standards generally accepted in the United States of America. Those
standards require that we plan and perform the audit to obtain reasonable assurance about whether the
financial statements are free of material misstatement. An audit includes examining, on a test basis,
evidence supporting the amounts and disclosures in the financial statements, assessing the accounting
principles used and significant estimates made by management, and evaluating the overall financial
statement presentation. We believe that our audit provides a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
New York, New York
March 26, 2009
New York, New York
March 26, 2009
F-27
Report of Independent Registered Public Accounting Firm
The Partners
CMF Winton Master Fund L.P.:
CMF Winton Master Fund L.P.:
We have audited the accompanying statements of income and expenses and changes in partners’ capital
of CMF Winton Master Fund L.P. for the year ended December 31, 2007. These financial statements
are the responsibility of the Partnership’s management. Our responsibility is to express an
opinion on these financial statements based on our audit.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight
Board (United States). Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material misstatement. An
audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the
financial statements, assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation. We believe that
our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present fairly, in all material
respects, the results of operations and changes in partners’ capital of CMF Winton Master Fund L.P.
for the year ended December 31, 2007, in conformity with U.S. generally accepted accounting
principles.
/s/ KPMG LLP
New York, New York
March 24, 2008
March 24, 2008
F-28
CMF Winton Master
L.P.
Statements of Financial Condition
December 31, 2009 and 2008
Statements of Financial Condition
December 31, 2009 and 2008
| 2009 | 2008 | |||||||
|
Assets:
|
||||||||
|
Equity in trading account:
|
||||||||
|
Cash (Note 3c)
|
$ | 533,704,028 | $ | 512,248,576 | ||||
|
Cash margin (Note 3c)
|
38,915,256 | 26,405,684 | ||||||
|
Net unrealized appreciation on open futures contracts
|
144,283 | 6,936,356 | ||||||
|
Net unrealized appreciation on open forward contracts
|
1,698,400 | 2,179,569 | ||||||
|
Options owned, at fair value (cost $34,613 at December 31,
2009)
|
17,723 | — | ||||||
|
Total assets
|
$ | 574,479,690 | $ | 547,770,185 | ||||
|
Liabilities and Partners’ Capital:
|
||||||||
|
Liabilities:
|
||||||||
|
Options written, at fair value (premium $77,101 at December 31,
2009)
|
$ | 40,733 | $ | — | ||||
|
Accrued expenses:
|
||||||||
|
Professional fees
|
30,644 | 18,642 | ||||||
|
Total liabilities
|
71,377 | 18,642 | ||||||
|
Partners’ Capital:
|
||||||||
|
General Partner, 0.0000 Unit equivalents at December 31,
2009 and 2008
|
— | — | ||||||
|
Limited Partners’ Capital, 298,540.2381 and 270,994.4921
Redeemable Units of Limited Partnership Interest outstanding at
December 31, 2009 and 2008, respectively
|
574,408,313 | 547,751,543 | ||||||
|
Total liabilities and partners’ capital
|
$ | 574,479,690 | $ | 547,770,185 | ||||
See accompanying notes to financial statements.
F-29
CMF Winton Master
L.P.
Condensed Schedule of Investments
December 31, 2009
Condensed Schedule of Investments
December 31, 2009
|
Number of |
% of Partners’ |
|||||||||||
| Contracts | Fair Value | Capital | ||||||||||
|
Futures Contracts Purchased
|
||||||||||||
|
Currencies
|
2,173 | $ | (1,932,735 | ) | (0.34 | )% | ||||||
|
Energy
|
81 | 105,489 | 0.02 | |||||||||
|
Grains
|
396 | 285,441 | 0.05 | |||||||||
|
Indices
|
3,920 | 2,883,282 | 0.50 | |||||||||
|
Interest Rates U.S.
|
1,552 | (374,223 | ) | (0.06 | ) | |||||||
|
Interest Rates
Non-U.S.
|
4,180 | (115,797 | ) | (0.02 | ) | |||||||
|
Livestock
|
76 | 38,000 | 0.01 | |||||||||
|
Metals
|
664 | (417,248 | ) | (0.07 | ) | |||||||
|
Softs
|
356 | 476,861 | 0.08 | |||||||||
|
Total futures contracts purchased
|
949,070 | 0.17 | ||||||||||
|
Futures Contracts Sold
|
||||||||||||
|
Currencies
|
227 | (127,300 | ) | (0.02 | ) | |||||||
|
Energy
|
192 | (494,271 | ) | (0.09 | ) | |||||||
|
Grains
|
501 | (17,304 | ) | (0.00 | )* | |||||||
|
Indices
|
12 | (10,333 | ) | (0.00 | )* | |||||||
|
Interest Rates U.S.
|
180 | 44,187 | 0.01 | |||||||||
|
Interest Rates
Non-U.S.
|
166 | (31,275 | ) | (0.01 | ) | |||||||
|
Livestock
|
111 | (56,000 | ) | (0.01 | ) | |||||||
|
Softs
|
129 | (112,491 | ) | (0.02 | ) | |||||||
|
Total futures contracts sold
|
(804,787 | ) | (0.14 | ) | ||||||||
|
Unrealized Appreciation on Open Forward Contracts
|
||||||||||||
|
Metals
|
310 | 2,433,189 | 0.43 | |||||||||
|
Total unrealized appreciation on open forward contracts
|
2,433,189 | 0.43 | ||||||||||
|
Unrealized Depreciation on Open Forward Contracts
|
||||||||||||
|
Metals
|
163 | (734,789 | ) | (0.13 | ) | |||||||
|
Total unrealized depreciation on open forward contracts
|
(734,789 | ) | (0.13 | ) | ||||||||
|
Options Owned
|
||||||||||||
|
Puts
|
||||||||||||
|
Indices
|
65 | 17,723 | 0.00 | * | ||||||||
|
Total options owned
|
17,723 | 0.00 | ||||||||||
|
Options Written
|
||||||||||||
|
Puts
|
||||||||||||
|
Indices
|
65 | (40,733 | ) | (0.01 | ) | |||||||
|
Total options written
|
(40,733 | ) | (0.01 | ) | ||||||||
|
Total fair value
|
$ | 1,819,673 | 0.32 | % | ||||||||
* Due to rounding
See accompanying notes to financial statements.
F-30
CMF Winton Master
L.P.
Condensed Schedule of Investments
December 31, 2008
Condensed Schedule of Investments
December 31, 2008
|
Number of |
% of Partners |
|||||||||||
| Contracts | Fair Value | Capital | ||||||||||
|
Futures Contracts Purchased
|
||||||||||||
|
Currencies
|
496 | $ | 928,233 | 0.17 | % | |||||||
|
Indices
|
5 | 1,935 | 0.00 | * | ||||||||
|
Interest Rates U.S.
|
2,417 | 4,977,464 | 0.91 | |||||||||
|
Interest Rates
Non-U.S.
|
4,453 | 6,479,517 | 1.18 | |||||||||
|
Livestock
|
30 | 30,960 | 0.01 | |||||||||
|
Softs
|
97 | 218,297 | 0.04 | |||||||||
|
Total futures contracts purchased
|
12,636,406 | 2.31 | ||||||||||
|
Futures Contracts Sold
|
||||||||||||
|
Currencies
|
896 | (3,144,184 | ) | (0.57 | ) | |||||||
|
Energy
|
208 | 727,901 | 0.13 | |||||||||
|
Grains
|
891 | (2,623,430 | ) | (0.48 | ) | |||||||
|
Indices
|
252 | (239,475 | ) | (0.05 | ) | |||||||
|
Interest Rates U.S.
|
58 | (13,766 | ) | (0.00 | )* | |||||||
|
Livestock
|
71 | 86,500 | 0.02 | |||||||||
|
Lumber
|
1 | 3,806 | 0.00 | * | ||||||||
|
Metals
|
90 | (478,272 | ) | (0.09 | ) | |||||||
|
Softs
|
426 | (19,130 | ) | (0.00 | )* | |||||||
|
Total futures contracts sold
|
(5,700,050 | ) | (1.04 | ) | ||||||||
|
Unrealized Appreciation on Open Forward Contracts
|
||||||||||||
|
Metals
|
276 | 2,996,261 | 0.55 | |||||||||
|
Total unrealized appreciation on open forward contracts
|
2,996,261 | 0.55 | ||||||||||
|
Unrealized Depreciation on Open Forward Contracts
|
||||||||||||
|
Metals
|
138 | (816,692 | ) | (0.15 | ) | |||||||
|
Total unrealized depreciation on open forward contracts
|
(816,692 | ) | (0.15 | ) | ||||||||
|
Total fair value
|
$ | 9,115,925 | 1.67 | % | ||||||||
* Due to rounding.
See accompanying notes to financial statements.
F-31
CMF Winton Master
L.P.
Statements of Income and Expenses
for the years ended
December 31, 2009, 2008 and 2007
Statements of Income and Expenses
for the years ended
December 31, 2009, 2008 and 2007
| 2009 | 2008 | 2007 | ||||||||||
|
Income:
|
||||||||||||
|
Net gains (losses) on trading of commodity interests:
|
||||||||||||
|
Net realized gains (losses) on closed contracts
|
$ | (17,779,700 | ) | $ | 121,322,866 | $ | 67,378,983 | |||||
|
Change in net unrealized gains (losses) on open contracts
|
(7,253,764 | ) | 2,525,164 | (3,420,940 | ) | |||||||
|
Gain (loss) from trading, net
|
(25,033,464 | ) | 123,848,030 | 63,958,043 | ||||||||
|
Interest income
|
409,649 | 5,909,704 | 14,456,282 | |||||||||
|
Total income (loss)
|
(24,623,815 | ) | 129,757,734 | 78,414,325 | ||||||||
|
Expenses:
|
||||||||||||
|
Clearing fees
|
341,844 | 478,086 | 861,888 | |||||||||
|
Professional fees
|
55,604 | 35,866 | 33,468 | |||||||||
|
Total expenses
|
397,448 | 513,952 | 895,356 | |||||||||
|
Net income (loss)
|
$ | (25,021,263 | ) | $ | 129,243,782 | $ | 77,518,969 | |||||
|
Net income (loss) per Redeemable Unit of Limited Partnership
Interest (Notes 1 and 6)
|
$ | (95.69 | ) | $ | 453.53 | $ | 276.81 | |||||
|
Weighted average units outstanding
|
282,761.8879 | 291,655.3789 | 262,984.3411 | |||||||||
See accompanying notes to financial statements.
F-32
CMF Winton Master
L.P.
Statements of Changes in Partners’ Capital
for the years ended
December 31, 2009, 2008 and 2007
Statements of Changes in Partners’ Capital
for the years ended
December 31, 2009, 2008 and 2007
|
Partners’ |
||||
| Capital | ||||
|
Partners’ Capital at December 31, 2006
|
$ | 272,883,158 | ||
|
Net income (loss)
|
77,518,969 | |||
|
Sale of 123,458.3915 Redeemable Units of Limited Partnership
Interest
|
172,636,530 | |||
|
Redemption of 35,253.7082 Redeemable Units of Limited
Partnership Interest
|
(51,537,242 | ) | ||
|
Distribution of interest income to feeder funds
|
(14,456,282 | ) | ||
|
Partners’ Capital at December 31, 2007
|
457,045,133 | |||
|
Net income (loss)
|
129,243,782 | |||
|
Sale of 85,029.5477 Redeemable Units of Limited Partnership
Interest
|
154,723,207 | |||
|
Redemption of 101,798.8498 Redeemable Units of Limited
Partnership Interest
|
(187,350,875 | ) | ||
|
Distribution of interest income to feeder funds
|
(5,909,704 | ) | ||
|
Partners’ Capital at December 31, 2008
|
547,751,543 | |||
|
Net income (loss)
|
(25,021,263 | ) | ||
|
Sale of 144,987.2822 Redeemable Units of Limited Partnership
Interest
|
282,055,852 | |||
|
Redemption of 117,441.5362 Redeemable Units of Limited
Partnership Interest
|
(229,968,170 | ) | ||
|
Distribution of interest income to feeder funds
|
(409,649 | ) | ||
|
Partners’ Capital at December 31, 2009
|
$ | 574,408,313 | ||
|
Net Asset Value per Redeemable Unit of Limited Partnership
Interest:
|
||||
|
2007:
|
$ | 1,588.26 | ||
|
2008:
|
$ | 2,021.26 | ||
|
2009:
|
$ | 1,924.06 | ||
See accompanying notes to financial statements.
F-33
CMF Winton Master
L.P.
Notes to Financial Statements
December 31, 2009
Notes to Financial Statements
December 31, 2009
| 1. | Partnership Organization: |
CMF Winton Master L.P. (the “Master”) is a limited
partnership which was organized under the partnership laws of
the State of New York to engage in the speculative trading of a
diversified portfolio of commodity interests including futures
contracts, options, swaps and forward contracts. The sectors
traded include currencies, energy, grains, indices, U.S. and
non-U.S. interest rates, livestock, lumber, metals and softs.
The commodity interests that are traded by the Master are
volatile and involve a high degree of market risk. The Master is
authorized to sell an unlimited number of redeemable units of
Limited Partnership Interest (“Redeemable Units”).
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 Master. 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 Master, 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.
On November 1, 2004 (commencement of trading operations),
CMF Winton Feeder I L.P. (“Winton Feeder”) allocated
substantially all of its capital, and Diversified Multi-Advisor
Futures Fund L.P. (formerly, Smith Barney Diversified
Futures Fund L.P.) (“Diversified”) and Orion
Futures Fund L.P. (formerly, Citigroup Orion Futures
Fund L.P.) (“Orion”) allocated a portion of their
capital to the Master. Winton Feeder purchased 2,000.0000
Redeemable Units with cash equal to $2,000,000. Orion purchased
35,389.8399 Redeemable Units with cash equal to $33,594,083 and
a contribution of open commodity futures and forward positions
with a fair value of $1,795,757. Diversified purchased
15,054.1946 Redeemable Units with cash equal to $14,251,586 and
a contribution of open commodity futures and forward positions
with a fair value of $802,609. On December 1, 2004,
Tactical Diversified Futures Fund L.P. (formerly, Citigroup
Diversified Futures Fund L.P.) (“Tactical
Diversified”) allocated a portion of its capital to the
Master and purchased 52,981.2908 Redeemable Units with cash
equal to $57,471,493. On July 1, 2005, Institutional
Futures Portfolio L.P. (formerly, CMF Institutional Futures
Portfolio L.P. (“Institutional Portfolio”) allocated a
portion of its capital to the Master and purchased 5,741.8230
Redeemable Units with cash equal to $7,000,000. On May 1,
2006, Alera Portfolios SPC. (“Alera SPC”) allocated a
portion of its capital to the Master and purchased 3,711.7321
Redeemable Units with cash equal to $4,909,537. On June 1,
2006 Legion Strategies LLC (“Winton Legion”) allocated
a portion of its capital to the Master and purchased 2,355.4605
Redeemable Units with cash equal to $3,000,000. On
February 1, 2007 Abingdon Futures Fund L.P. (formerly,
Citigroup Abingdon Futures Fund L.P.)
(“Abingdon”) allocated a portion of its capital to the
Master and purchased 9,017.0917 Redeemable Units with cash equal
to $12,945,000. On March 1, 2007, Global Futures
Fund Ltd. (formerly, Citigroup Global Futures
Fund Ltd.) (“Global Futures”) allocated a portion
of its capital to the Master and purchased 1,875.7046 Redeemable
Units with cash equal to $2,500,000. On April 1, 2009,
Orion Futures Fund (Cayman) Ltd. (formerly, Citigroup Orion
Futures Fund (Cayman) Ltd.) (“Orion Cayman”) allocated
a portion of its capital to the Master and purchased 319.5126
Redeemable Units with cash equal to $640,000. On March 31,
2007, Alera SPC redeemed its entire investment in the Master.
This amounted to 1,446.6172 Redeemable Units with a fair
value of $1,850,255, which includes interest income of $7,907.
On December 31, 2007, Winton Legion redeemed its entire
investment in the Master. This amounted to
2,182.2006 Redeemable Units with a fair value of
$3,474,547, which includes interest income of $8,634. The Master
was formed to permit commodity pools managed now or in the
future by Winton Capital Management Limited (the
“Advisor”)
F-34
CMF Winton Master
L.P.
Notes to Financial Statements
December 31, 2009
Notes to Financial Statements
December 31, 2009
using the Diversified Program, the Advisor’s proprietary
systematic trading program, to invest together in one vehicle.
The Master’s investors consist of Diversified, Orion,
Winton Feeder, Tactical Diversified, Institutional Portfolio,
Abingdon, Global Futures and Orion Cayman (each a
“Feeder,” collectively the “Funds”) with
approximately 1.7%, 51.1%, 0.8%, 17.2%, 3.2%, 21.4%, 4.0%, and
0.6% investments in the Master at December 31, 2009,
respectively. Diversified, Orion, Winton Feeder, Tactical
Diversified, Institutional Portfolio, Abingdon, and Global
Futures had approximately 2.6%, 37.9%, 4.1%, 27.4%, 2.7%, 21.7%,
and 3.6% investments in the Master at December 31, 2008,
respectively.
The Master will be liquidated upon the first to occur of the
following: December 31, 2024: or under certain other
circumstances as defined in the Limited Partnership Agreement of
the Master (the “Limited Partnership Agreement”).
On July 1, 2009, the Financial Accounting Standards Board
(“FASB”) issued Statement of Financial Accounting
Standards (“FAS”) No. 168, The FASB Accounting
Standards Codification and the Hierarchy of Generally Accepted
Accounting Principles, also known as FASB Accounting Standards
Codification (“ASC”) 105, “Generally Accepted
Accounting Principles” (“ASC 105”) (the
“Codification”). ASC 105 established the
exclusive authoritative reference for U.S. Generally
Accepted Accounting Principles (“GAAP”) for use in
financial statements except for Securities and Exchange
Commission (“SEC”) rules and interpretive releases,
which are also authoritative GAAP for SEC registrants. The
Codification supersedes all existing non-SEC accounting and
reporting standards. The Codification is the single source of
authoritative accounting principles generally accepted in the
United States and applies to all financial statements issued
after September 15, 2009.
| 2. | Accounting Policies: |
| a. | 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. In making these estimates and assumptions, management has considered the effects, if any, of events occurring after the date of the Master’s Statements of Financial Condition through the date the financial statements were issued. As a result, actual results could differ from these estimates. | |
| b. | Statement of Cash Flows. The Master is not required to provide a Statement of Cash Flows as permitted by ASC 230, 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”). | |
| c. | Master’s Investments. All commodity interests of the Master (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 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. |
Master’s Fair Value Measurements. The
Master adopted ASC 820, 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
F-35
CMF Winton Master
L.P.
Notes to Financial Statements
December 31, 2009
Notes to Financial Statements
December 31, 2009
an orderly transaction between market participants at the
measurement date. ASC 820 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 Master did not apply the deferral allowed by
ASC 820 for nonfinancial assets and nonfinancial liabilities
measured at fair value on a nonrecurring basis.
In 2009, the Master adopted amendments to ASC 820, Fair Value
Measurements and Disclosures (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”) which
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. These amendments to ASC 820
also reaffirm 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. These
amendments to ASC 820 are required for interim and annual
reporting periods ending after June 15, 2009. Management
has concluded that based on available information in the
marketplace, there has not been a decrease in the volume and
level of activity in the Master’s Level 2 assets and
liabilities. The adoption of the amendments to ASC 820 had no
effect on the Master’s Financial Statements.
The Master considers 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). As of and for the years ended December 31,
2009 and December 31, 2008, the Master did not hold any
derivative instruments for which market quotations are not
readily available and which are priced by broker-dealers who
derive fair values for those assets from observable inputs
(Level 2) or that are priced at fair value using
unobservable inputs through the application of management’s
assumptions and internal valuation pricing models (Level 3).
|
Quoted Prices |
Significant |
|||||||||||||||
|
in Active |
Other |
Significant |
||||||||||||||
|
Markets for |
Observable |
Unobservable |
||||||||||||||
|
Identical Assets |
Inputs |
Inputs |
||||||||||||||
| 12/31/2009 | (Level 1) | (Level 2) | (Level 3) | |||||||||||||
|
Assets
|
||||||||||||||||
|
Futures
|
$ | 144,283 | $ | 144,283 | $ | — | $ | — | ||||||||
|
Forwards
|
1,698,400 | 1,698,400 | — | — | ||||||||||||
|
Options owned
|
17,723 | 17,723 | — | — | ||||||||||||
|
Total Assets
|
1,860,406 | 1,860,406 | — | — | ||||||||||||
|
Liabilities
|
||||||||||||||||
|
Options written
|
40,733 | 40,733 | — | — | ||||||||||||
|
Total Liabilities
|
40,733 | 40,733 | — | — | ||||||||||||
|
Total fair value
|
$ | 1,819,673 | $ | 1,819,673 | $ | — | $ | — | ||||||||
F-36
CMF Winton Master
L.P.
Notes to Financial Statements
December 31, 2009
Notes to Financial Statements
December 31, 2009
|
Quoted Prices |
Significant |
|||||||||||||||
|
in Active |
Other |
Significant |
||||||||||||||
|
Markets for |
Observable |
Unobservable |
||||||||||||||
|
Identical Assets |
Inputs |
Inputs |
||||||||||||||
| 12/31/2008 | (Level 1) | (Level 2) | (Level 3) | |||||||||||||
|
Assets
|
||||||||||||||||
|
Futures
|
$ | 6,936,356 | $ | 6,936,356 | $ | — | $ | — | ||||||||
|
Forwards
|
2,179,569 | 2,179,569 | — | — | ||||||||||||
|
Total Assets
|
9,115,925 | 9,115,925 | — | — | ||||||||||||
|
Total fair value
|
$ | 9,115,925 | $ | 9,115,925 | $ | — | $ | — | ||||||||
| d. | Futures Contracts. The Master trades 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 can not occur (such as the S&P 500 Index), whereby such contract is settled in cash. Payments (“variation margin”) may be made or received by the Master 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 Master. When the contract is closed, the Master records 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. | |
| e. | Options. The Master 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 Master writes an option, the premium received is recorded as a liability in the Statements of Financial Condition and marked to market daily. When the Master purchases 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. |
| f. | 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 Master are cash settled based on prompt dates published by the LME. Payments (“variation margin”) may be made or received by the Master 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 Master. 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 Master records 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. |
F-37
CMF Winton Master
L.P.
Notes to Financial Statements
December 31, 2009
Notes to Financial Statements
December 31, 2009
| g. | Income and Expenses Recognition. All of the income and expenses and realized and unrealized gains and losses on trading of commodity interests are determined on each valuation day and allocated pro rata among the Funds at the time of such determination. | |
| h. | Income Taxes. Income taxes have not been provided as each partner is individually liable for the taxes, if any, on their share of the Master’s income and expenses. |
In 2007, the Master adopted ASC 740, Income Taxes (formerly,
FAS No. 48, “Accounting for Uncertainty in Income
Taxes”). ASC 740 provides guidance for how uncertain tax
positions should be recognized, measured, presented and
disclosed in the financial statements. ASC 740 requires the
evaluation of tax positions taken or expected to be taken in the
course of preparing the Master’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 Master 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 concluded that no provision for income tax is required
in the Master’s financial statements.
The following is the major tax jurisdiction for the Master and
the earliest tax year subject to examination: United
States — 2006.
| i. | Subsequent Events. In 2009, the Master adopted ASC 855, Subsequent Events (formerly, FAS No. 165, “Subsequent Events”). The objective of ASC 855 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. Management has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements. | |
| j. | Recent Accounting Pronouncements. In January 2010, the FASB issued Accounting Standards Update No. 2010-06 (“ASU 2010-06”), “Improving Disclosures about Fair Value Measurements, which , among other things, amends ASC 820 to require entities to separately present purchases, sales, issuances, and settlements in their reconciliation of Level 3 fair value measurements (i.e. to present such items on a gross basis rather than on a net basis), and which clarifies existing disclosure requirements provided by ASC 820 regarding the level of disaggregation and the inputs and valuation techniques used to measure fair value for measurements that fall within either Level 2 or Level 3 of the fair value hierarchy. ASU 2010-06 is effective for interim and annual periods beginning after December 15, 2009, except for the disclosures about purchases, sales, issuances, and settlements in the roll forward of activity in Level 3 fair value measurements (which are effective for fiscal years beginning after December 15, 2010, and for interim periods within those fiscal years). Management is currently assessing the impact that the adoption of ASU 2010-06 will have on the Master’s financial statements disclosures. |
In February 2010, the FASB issued Accounting Standards Update
No. 2010-09
(“ASU
2010-09”),
“Subsequent Events (Topic 855): Amendments to Certain
Recognition and Disclosure Requirements,” which among other
things amended ASC 855 to remove the requirement for an SEC
filer to disclose the date through which subsequent events have
been evaluated. This change alleviates potential conflicts
between ASC 855 and the SEC’s requirements. All of the
amendments in this update are effective upon issuance of this
update. Management has included the provisions of these
amendments in the financial statements.
| k. | Certain prior period amounts have been reclassified to conform to current period presentation. |
| l. | Net Income (Loss) per Redeemable Unit. Net income (loss) per Redeemable Unit is calculated in accordance with investment company guidance. See footnote 6 for Financial Highlights. |
F-38
CMF Winton Master
L.P.
Notes to Financial Statements
December 31, 2009
Notes to Financial Statements
December 31, 2009
| 3. | Agreements: |
| a. | Limited Partnership Agreement: |
The General Partner administers the business and affairs of the
Master including selecting one or more advisors to make trading
decisions for the Master.
| b. | Management Agreement: |
The General Partner, on behalf of the Master, has entered into a
management agreement (the “Management Agreement”) with
the Advisor, a registered commodity trading advisor. The Advisor
is not affiliated with the General Partner or CGM and is not
responsible for the organization or operation of the Master. The
Management Agreement provides that the Advisor has sole
discretion in determining the investment of the assets of the
Master. All management fees in connection with the Management
Agreement are borne by the Funds. The Management Agreement may
be terminated upon notice by either party.
| c. | Customer Agreement: |
The Master has entered into a customer agreement (the
“Customer Agreement”) with CGM whereby CGM provides
services which include, among other things, the execution of
transactions for the Master’s account in accordance with
orders placed by the Advisor. All exchange, clearing, user,
give-up,
floor brokerage and NFA fees (collectively the “clearing
fees”) are borne by the Master. All other fees including
CGM’s direct brokerage commission shall be borne by the
Funds. All of the Master’s assets are deposited in the
Master’s account at CGM. The Master’s cash is
deposited by CGM in segregated bank accounts to the extent
required by Commodity Futures Trading Commission regulations. At
December 31, 2009 and 2008, the amount of cash held by the
Master for margin requirements was $38,915,256 and $26,405,684,
respectively. The Customer Agreement may be terminated upon
notice by either party.
| 4. | Trading Activities: |
The Master was formed for the purpose of trading contracts in a
variety of commodity interests, including derivative financial
instruments and derivative commodity interests. The results of
the Master’s trading activities are shown in the Statements
of Income and Expenses.
The Customer Agreement between the Master and CGM gives the
Master the legal right to net unrealized gains and losses on
open futures and forward contracts. The Master 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, Balance
Sheet (formerly, FASB Interpretation No. 39,
“Offsetting of Amounts Related to Certain Contracts”)
have been met.
All of the commodity interests owned by the Master are held for
trading purposes. The average number of futures, metal forward
and options contracts traded for the year ended
December 31, 2009 based on a quarterly calculation, was
15,248.
The Master adopted ASC 815, 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 only
expands the disclosure requirements for derivative instruments
and related hedging activities and has no impact on the
Statements of Financial Condition, Statements of Income and
Expenses and Statements of Changes in Partners’ Capital.
The following table indicates the fair values of derivative
instruments of futures, forward and options contracts as
separate assets and liabilities.
F-39
CMF Winton Master
L.P.
Notes to Financial Statements
December 31, 2009
Notes to Financial Statements
December 31, 2009
|
December 31, |
December 31, |
|||||||||
| 2009 | 2009 | |||||||||
|
Assets
|
Assets | |||||||||
|
Futures Contracts
|
Forward Contracts | |||||||||
|
Currencies
|
$ | 410,679 | Metals | $ | 2,433,189 | |||||
|
Energy
|
128,203 | Total unrealized appreciation on open | ||||||||
|
Grains
|
629,534 | forward contracts | $ | 2,433,189 | ||||||
|
Indices
|
3,222,389 | Liabilities | ||||||||
|
Interest Rates U.S.
|
639,524 | Forward Contracts | ||||||||
|
Interest Rates
Non-U.S.
|
1,473,596 | Metals | $ | (734,789 | ) | |||||
|
Livestock
|
53,810 | Total unrealized depreciation on open | ||||||||
|
Metals
|
771,738 | forward contracts | $ | (734,789 | ) | |||||
|
Softs
|
598,000 | Net unrealized appreciation on open | ||||||||
| forward contracts | $ | 1,698,400 | ** | |||||||
|
Total unrealized appreciation on open futures contracts
|
$ | 7,927,473 | ||||||||
|
Liabilities
|
Assets | |||||||||
|
Futures Contracts
|
Options Owned | |||||||||
|
Currencies
|
$ | (2,470,714 | ) | Indices | $ | 17,723 | ||||
|
Energy
|
(516,987 | ) | Total options owned | $ | 17,723 | *** | ||||
|
Grains
|
(361,398 | ) | ||||||||
|
Indices
|
(349,439 | ) | ||||||||
|
Interest Rates U.S.
|
(969,559 | ) | Liabilities | |||||||
|
Interest Rates
Non-U.S.
|
(1,620,668 | ) | Options Written | |||||||
|
Livestock
|
(71,810 | ) | Indices | $ | (40,733 | ) | ||||
|
Metals
|
(1,188,985 | ) | Total options written | $ | (40,733 | )**** | ||||
|
Softs
|
(233,630 | ) | ||||||||
|
Total unrealized depreciation on open futures contracts
|
$ | (7,783,190 | ) | |||||||
|
Net unrealized appreciation on open futures contracts
|
$ | 144,283 | * | |||||||
| * | This amount is in “Net unrealized appreciation on open futures contracts” on the Statements of Financial Condition. | |
| ** | This amount is in “Net unrealized appreciation on open forward contracts” on the Statements of Financial Condition. | |
| *** | This amount is in “Options owned, at fair value” on the Statements of Financial Condition. | |
| **** | This amount is in “Options written, at fair value” on the Statements of Financial Condition. |
F-40
CMF Winton Master
L.P.
Notes to Financial Statements
December 31, 2009
Notes to Financial Statements
December 31, 2009
The following table indicates the trading gains and losses, by
market sector, on derivative instruments for the year ended
December 31, 2009.
|
December 31, 2009 |
||||
|
Sector
|
Gain (Loss) from Trading | |||
|
Currencies
|
$ | (3,376,768 | ) | |
|
Energy
|
(8,697,471 | ) | ||
|
Grains
|
1,313,879 | |||
|
Indices
|
(11,148,536 | ) | ||
|
Interest Rates U.S.
|
(3,881,924 | ) | ||
|
Interest Rates
Non-U.S.
|
(1,931,326 | ) | ||
|
Livestock
|
1,189,446 | |||
|
Softs
|
(1,068,956 | ) | ||
|
Lumber
|
(4,378 | ) | ||
|
Metals
|
2,572,570 | |||
|
Total
|
$ | (25,033,464 | )***** | |
| ***** |
This amount is in “Gain (loss) from trading, net” on
the Statements of Income and Expenses.
|
| 5. | Subscriptions, Distributions and Redemptions: |
Subscriptions are accepted monthly from investors and they
become Limited Partners on the first day of the month after
their subscription is processed. A Limited Partner may withdraw
all or part of their capital contribution and undistributed
profits, if any, from the Master in multiples of the Net Asset
Value per Redeemable Unit of Limited Partnership Interest as of
the end of any day (the “Redemption Date”) after
a request for redemption has been made to the General Partner at
least 3 days in advance of the Redemption Date. The
Redeemable Units are classified as a liability when the Limited
Partner elects to redeem and informs the Master.
| 6. | Financial Highlights: |
Changes in the Net Asset Value per Redeemable Unit of Limited
Partnership Interest for the years ended December 31, 2009,
2008 and 2007 were as follows:
| 2009 | 2008 | 2007 | ||||||||||
|
Net realized and unrealized gains (losses)*
|
$ | (97.03 | ) | $ | 433.13 | $ | 220.96 | |||||
|
Interest income
|
1.51 | 20.53 | 55.98 | |||||||||
|
Expenses**
|
(0.17 | ) | (0.13 | ) | (0.13 | ) | ||||||
|
Increase (decrease) for the year
|
(95.69 | ) | 453.53 | 276.81 | ||||||||
|
Distribution of interest income to feeder funds
|
(1.51 | ) | (20.53 | ) | (55.98 | ) | ||||||
|
Net Asset Value per Redeemable Unit of Limited Partnership
Interest, beginning of year
|
2,021.26 | 1,588.26 | 1,367.43 | |||||||||
|
Net Asset Value per Redeemable Unit of Limited Partnership
Interest, end of year
|
$ | 1,924.06 | $ | 2,021.26 | $ | 1,588.26 | ||||||
| * | Includes clearing fees. | |
| ** | Excludes clearing fees. |
F-41
CMF Winton Master
L.P.
Notes to Financial Statements
December 31, 2009
Notes to Financial Statements
December 31, 2009
| 2009 | 2008 | 2007 | ||||||||||
|
Ratios to average net assets:
|
||||||||||||
|
Net investment income (loss)***
|
0.0 | %**** | 1.0 | % | 3.7 | % | ||||||
|
Operating expenses
|
0.1 | % | 0.1 | % | 0.2 | % | ||||||
|
Total return
|
(4.7 | )% | 28.6 | % | 20.2 | % | ||||||
| *** | Interest income less total expenses. | |
| **** | Due to rounding. |
The above ratios may vary for individual investors based on the
timing of capital transactions during the year. Additionally,
these ratios are calculated for the Limited Partner class using
the Limited Partners’ share of income, expenses and average
net assets.
| 7. | Financial Instrument Risks: |
In the normal course of its business, the Master is party 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 at
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 certain forwards and option contracts.
OTC contracts are negotiated between contracting parties and
include certain forwards and option 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.
Market risk is the potential for changes in the value of the
financial instruments traded by the Master 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 Master is
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 Master’s risk of loss in the event of
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 Master’s risk of loss is reduced through
the use of legally enforceable master netting agreements with
counterparties that permit the Master to offset unrealized gains
and losses and other assets and liabilities with such
counterparties upon the occurrence of certain events. The Master
has credit risk and concentration risk as the sole counterparty
or broker with respect to the Master’s assets is CGM or a
CGM affiliate. Credit risk with respect to exchange-traded
instruments is reduced to the extent that through CGM, the
Master’s counterparty is an exchange or clearing
organization.
As both a buyer and seller of options, the Master pays or
receives a premium at the outset and then bears the risk of
unfavorable changes in the price of the contract underlying the
option. Written options expose the Master 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 Master does not consider these contracts to
be guarantees as described in
F-42
CMF Winton Master
L.P.
Notes to Financial Statements
December 31, 2009
Notes to Financial Statements
December 31, 2009
ASC 460, Guarantees (formerly,
FAS No. 45,“Guarantor’s Accounting and
Disclosure Requirements for Guarantees”).
The General Partner monitors and attempts to control the
Master’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 Master may be
subject. These monitoring systems generally allow the General
Partner 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 Master’s
business, these instruments may not be held to maturity.
F-43
Selected
unaudited quarterly financial data for Winton Master for the years ended December 31,
2009 and 2008 are summarized below.
| For the period from | For the period from | For the period from | For the period from | |||||||||||||
| October 1, 2009 to | July 1, 2009 to | April 1, 2009 to | January 1, 2009 to | |||||||||||||
| December 31, 2009 | September 30, 2009 | June 30, 2009 | March 31, 2009 | |||||||||||||
Net realized and unrealized trading
gains (losses) net of brokerage
commissions and clearing fees
including interest income |
$ | 4,223,995 | $ | 7,348,002 | $ | (31,808,843 | ) | $ | (4,728,813 | ) | ||||||
Net income (loss) |
$ | 4,195,801 | $ | 7,339,274 | $ | (31,818,295 | ) | $ | (4,738,043 | ) | ||||||
Increase (decrease) in Net Asset
Value per Redeemable Unit |
$ | 16.77 | $ | 26.25 | $ | (120.99 | ) | $ | (17.72 | ) | ||||||
| For the period | For the period | For the period | ||||||||||||||
| from | from | For the period | from | |||||||||||||
| October 1, 2008 to | July 1, 2008 to | from April 1, 2008 | January 1, 2008 to | |||||||||||||
| December 31, 2008 | September 30, 2008 | to June 30, 2008 | March 31, 2008 | |||||||||||||
Net realized and
unrealized trading
gains (losses) net
of brokerage
commissions and
clearing fees
including interest
income |
$ | 64,847,978 | $ | (37,683,528 | ) | $ | 38,151,732 | $ | 63,963,466 | |||||||
Net income (loss) |
$ | 64,838,710 | $ | (37,692,795 | ) | $ | 38,142,296 | $ | 63,955,571 | |||||||
Increase (decrease)
in Net Asset Value
per Redeemable Unit |
$ | 241.14 | $ | (136.12 | ) | $ | 129.68 | $ | 218.83 | |||||||
F-44
Item 9. Changes in and
Disagreements with Accountants on Accounting and Financial
Disclosure.
KPMG LLP (“KPMG”) was previously the principal accountant for the Partnership
through June 26, 2008. On June 27, 2008, KPMG was dismissed as principal
accountant and PricewaterhouseCoopers LLP (“PwC”) was engaged as the
independent registered public accounting firm. From June 27, 2008 through July
22, 2009, PwC was the principal accountant for the Partnership. On July 22,
2009, PwC was dismissed as principal accountant and on July 23, 2009
Deloitte & Touche LLP (“Deloitte”) was engaged as the independent registered
public accounting firm. The decision to change accountants was approved by the
General Partner of the Partnership.
In connection with the audit of the fiscal year ended December 31, 2008, and
through July 22, 2009, and the audit of the fiscal year ended December 31,
2007, and through June 26, 2008, there were no disagreements with PwC or
KPMG, respectively, on any matter of accounting principles or practices, financial
statement disclosure, or auditing scope or procedures, which disagreements if
not resolved to their satisfaction would have caused them to make reference
thereto in their report on the financial statements for the corresponding year.
The respective audit report of PwC and KPMG on the financial statements of the
Partnership as of and for the years ended December 31, 2008 and 2007,
respectively, did not contain any adverse opinion or disclaimer of opinion, nor
was it qualified or modified as to uncertainty, audit scope, or accounting principle.
Item 9A(T). Controls and Procedures.
The Partnership’s disclosure controls and procedures are designed to ensure that information
required to be disclosed disclosure controls and procedures are designed to ensure that information required to be disclosed by the Partnership
on the reports that it files or submits under the Exchange Act is recorded, processed, summarized and reported within the time periods
expected in the Commission’s rules and forms. Disclosed controls and procedures include controls and procedures to ensure that information
required to be disclosed by the Partnership in the reports it files is accumulated and communicated to management,
including the Chief Executive Officer (“CEO”) and
Chief Financial Officer (“CFO”) of the General
Partner, to allow for timely decisions regarding required disclosure and appropriate SEC filings.
Management is responsible for ensuring that there is an adequate and effective process for
establishing, maintaining and evaluating disclosure controls and procedures for the Partnership’s
external disclosures.
The General Partner’s CEO and CFO have evaluated the effectiveness of the Partnership’s
disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the Exchange
Act) as of December 31, 2009 and, based on that evaluation, the CEO and CFO have concluded that at
that date the Partnership’s disclosure controls and procedures were effective.
The Partnership’s internal control over financial reporting is a process under the supervision
of the General Partner’s CEO and CFO to provide reasonable assurance regarding the reliability of
financial reporting and the preparation of financial statements in
accordance with GAAP. These controls include policies and procedures that:
| • | pertain to the maintenance of records that in reasonable detail accurately and fairly reflect the transactions and dispositions of the assets of the Partnership; | ||
| • | provide reasonable assurance that (i) transactions are recorded as necessary to permit preparation of financial statements in accordance with GAAP, and (ii) the Partnership’s receipts are handled and expenditures are made only pursuant to authorizations of the General Partner; and | ||
| • | provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of the Partnership’s assets that could have a material effect on the financial statements. |
The
report included in “Item 8. Financial Statements and Supplementary
Data.” includes management’s report on internal control over financial reporting (“Management’s Report”) and an attestation report of the Partnership’s registered public accounting firm regarding internal control
over financial reporting.
Management’s Report was not required to be audited by the
Partnership’s registered public accounting firm pursuant to
temporary rules of the SEC that permit the Partnership to provide only management’s report in this annual report. Management elected to have its
internal control over financial reporting audited.
There were no changes in the Partnership’s internal control over financial reporting during
the fiscal quarter ended December 31, 2009 that materially affected, or are reasonably likely to
materially affect, the Partnership’s internal control over financial reporting.
Item 9B. Other Information.
None
19
PART III
Item 10. Directors, Executive Officers and Corporate Governance.
The Partnership has no officers, directors or significant employees and its affairs are
managed by its General Partner. Investment decisions are made by the Advisor.
The officers and directors of the General Partner
are Jerry Pascucci (President, Chief Investment Officer and Director), Jennifer Magro (Chief Financial Officer, Vice President and
Director), Daryl Dewbrey (Secretary and Director), Shelley Deavitt Ullman (Senior Vice President and Director) and Raymond Nolte
(Director). Each director holds office until his or her successor is elected, or until his or her earlier death, resignation or removal.
Vacancies on the board of directors may be filled by appointment by the sole member of the General Partner, Morgan Stanley Smith Barney
Holdings LLC which wholly owns the General Partner, or by unanimous vote of the remaining directors, depending on the circumstances of the
vacancy. The officers of the General Partner are designated by the General Partner’s board of directors. Each officer holds office until
his or her death, resignation or removal.
Mr. Pascucci, age 40, is President, Chief
Investment Officer and Director of the General Partner (since March 2007, May 2005 and June 2005, respectively). Mr. Pascucci’s principal
status was approved by the National Futures Association (“NFA”) in June 2005. He is also registered as an associated person of the General
Partner (since June 2009) and of Morgan Stanley Smith Barney LLC (“Morgan Stanley Smith Barney”) (since August 2009). From March 2007 to
July 2009, Mr. Pascucci was a Managing Director of Citigroup Alternative Investments LLC (“CAI”), a division of Citigroup Inc.
(“Citigroup”) that administers its hedge fund and fund of funds businesses, and until July 2009, its commodity pool business. He was also
Chief Investment Officer of CAI’s Hedge Fund Management Group from March 2007 to July 2009. He was registered as an associated person of
Citigroup Global Markets Inc. (“Citigroup Global Markets”) from February 2006 to July 2009. Mr. Pascucci has been responsible for trading
advisor selection, due diligence and portfolio construction for managed futures funds and accounts since May 1999. Between May 1996 and
May 1999, Mr. Pascucci served as a Senior Credit Risk Officer for Citigroup Global Markets, focused primarily on market and counterparty
risks associated with Citigroup Global Markets’ commodity pool and hedge fund clients. Prior to joining Citigroup Global Markets in May
1996, Mr. Pascucci was employed (from October 1992) by ABN AMRO North America at its European American Bank subsidiary as a corporate
banking officer where he facilitated the establishment of credit lines and other loan facilities for corporate clients.
Ms. Magro, age 38, is Chief Financial Officer,
Director and Vice President of the General Partner (since October 2006, May 2005 and August 2001, respectively). Ms. Magro’s principal
status was approved by the NFA in June 2005. She was also a Managing Director of CAI and Chief Operating Officer of CAI’s Hedge Fund
Management Group from October 2006 to July 2009. Ms. Magro is responsible for the financial, administrative and operational functions of
the General Partner. She is also responsible for the accounting and financial and regulatory reporting of the General Partner’s managed
futures funds. From March 1999 to July 2009, Ms. Magro was responsible for the accounting and financial and regulatory reporting of
Citigroup’s managed futures funds. She had similar responsibilities with CAI’s Hedge Fund Management Group (from October 2006 to July
2009). Prior to joining Citigroup Global Markets in January 1996, Ms. Magro was employed by Prudential Securities Inc. (from July 1994)
as a staff accountant whose duties included the calculation of net asset values for commodity pools and real estate investment products.
Mr. Dewbrey, age 39, is Secretary and Director of
the General Partner (since July 2009 and March 2007, respectively). He registered as an associated person of the General Partner in
January 2004 and became a principal of the General Partner in March 2007. He is also registered as an associated person of Morgan Stanley
Smith Barney (since August 2009). He was registered as an associated person of Citigroup Global Markets from March 1998 to July 2009. Mr.
Dewbrey has worked with the General Partner in varying capacities since April 2001, and, since May 2005, Mr. Dewbrey has been head of
managed futures product development. Mr. Dewbrey was a director of CAI responsible for marketing and client services for CAI’s Hedge Fund
Management Group from February 2007 to July 2009. From October 1997 to September 2000, Mr. Dewbrey was head of Citigroup Global Markets’
managed futures trading desk. In September 2000, Mr. Dewbrey was selected for the Salomon Smith Barney Sales and Trading Training Program.
Mr. Dewbrey began his career in the futures markets with Rosenthal Collins Group, a futures brokerage firm, where he worked from May 1990
to October 1997 in varying capacities on the trading floors of the Chicago Board of Trade, COMEX and the New York Mercantile Exchange.
Mr. Dewbrey is a member of the Managed Funds Association and the Futures Industry Association.
Ms. Ullman, age 51, is a Managing Director of
Citigroup Global Markets’ Futures Division and a Senior Vice President and Director of the General Partner (since May 1997 and April 1994,
respectively). Ms. Ullman’s principal status was approved by the NFA in June 1994. She was registered as an associated person of the
General Partner from January 2004 to July 2009. Ms. Ullman is registered as an associated person of Citigroup Global Markets (since July
1993). She is also the branch manager of the Citigroup Global Markets branch that supports the General Partner (since January 2002).
Previously, Ms. Ullman was a Vice President of Lehman Brothers (October 1985 to July 1993), with responsibility for execution,
administration, operations and performance analysis for managed futures funds and accounts. She was registered as an associated person of
Lehman Brothers Inc. (from February 1983 to July 1993) and was principal of Lehman Brothers Capital Management Corp. (from April 1989 to
July 1993).
Mr. Nolte, age 48, is the Chief Executive Officer
and the Chairman of the Investment Committee of CAI’s Hedge Fund Management Group. He registered as an associated person and became a
principal of the General Partner in March 2007. He was appointed a Director of the General Partner in March 2007. He is also registered
as an associated person of Citigroup Global Markets (since October 2005). He registered as an associated person and became a principal of
CAI in March 2007. Prior to joining CAI in September 2005, Mr. Nolte worked at Deutsche Bank and its affiliate Deutsche Asset Management
(from June 1999 to September 2005). He was registered as an associated person and was a principal of DB Capital Advisors Inc. (from July
2000 to May 2005) and DB Investment Managers Inc. (from May 2002 to June 2005). Prior to that, Mr. Nolte worked for Bankers Trust (from
May 1983 until the firm was acquired by Deutsche Bank in June 1999). During his employment at Deutsche Asset Management, Mr. Nolte served
as the Global Head and Chief Investment Officer of the DB Absolute Return Strategies (“DB ARS”) Fund of Funds business, the Chairman of the
DB ARS Fund of Funds Investment Committee, the Vice Chairman of DB ARS and Head of the Single Manager Hedge Fund business. While employed
at Deutsche Bank and Deutsche Asset Management, Mr. Nolte’s duties included overseeing the firm’s fund of funds and hedge fund businesses.
Mr. Nolte was the founder and head of the Investment Committee for the Topiary Fund, Deutsche Bank’s first fund of hedge funds. The DB
ARS Fund of Hedge Funds platform grew to $7 billion in assets under management during Mr. Nolte’s tenure. That business was comprised of
several multi-manager, multi-strategy funds as well as single strategy funds and separate accounts.
The Partnership has not adopted a code of ethics
that applies to officers because it has no
officers. In addition, the Partnership has not adopted any procedures by which investors may
recommend nominees to the Partnership’s board of directors and has not established an audit
committee because it has no board of directors.
20
Item 11. Executive Compensation.
The Partnership has no directors or officers. Its affairs are managed by its General Partner.
CGM, an affiliate of the General Partner, is the commodity broker for the Partnership and receives
brokerage fees for such services, as described under “Item 1. Business.” During the year
ended December 31, 2009, CGM earned $5,574,180 in brokerage commissions from the Partnership.
Management fees of $2,465,031 were earned by the Advisor for the year ended December 31, 2009.
There were no incentive fees earned by the Advisor for the year ended December 31, 2009.
Item 12. Security Ownership of Certain Beneficial Owners and Management and Related
Stockholder Matters.
(a) Security
ownership of certain beneficial owners. As of February 28, 2010, the
Partnership knows of no person who beneficially owns more than 5% of the Redeemable Units
outstanding.
(b) Security ownership of management. Under the terms of the Limited Partnership
Agreement, the Partnership’s affairs are managed by the General Partner. The General Partner owns
Units of general partnership interest equivalent to 1,689.1726 Units (1.5%) of Limited Partnership
Interest as of December 31, 2009.
Principals
of the General Partner who own Redeemable Units. None.
(c) Changes in control. None.
Item 13. Certain Relationship and Related Party Transactions, and Director Independence.
CGM and the General Partner would be considered promoters for purposes of item 404 (d) of
Regulation S-K. The nature and the amounts of compensation each promoter will receive, if any, from
the Partnership are set forth under “Item 1. Business” and “Item 11. Executive
Compensation.”
Item 14. Principal Accountant Fees and Services.
(1) Audit Fees. The aggregate
fees billed for each of the last two fiscal years for
professional services rendered by Deloitte & Touch LLP
(“Deloitte”) in the period from July 23, 2009 through December 31,
2009, PricewaterhouseCoopers LLP (“PwC”) in the period from June 27,
2008 through July 22, 2009 and KPMG in the period from January 1, 2008 through June
26, 2008 for the audit of the Partnership’s annual financial statements, review of financial
statements included in the Partnership’s Forms 10-Q and 10-K and other services normally provided
in connection with regulatory filings or engagements were:
Deloitte |
$ 52,100 | |
PwC |
$145,400 | |
KPMG |
$ 2,000 |
(2) Audit-Related Fees. None
(3) Tax Fees. In the last two fiscal years, Deloitte did not provide any professional services for tax compliance, tax advice or tax planning.
The aggregate fees billed for each of the last two fiscal years for
professional services rendered by PwC for tax compliance and tax advice
given in the preparation of the Partnership’s Schedule K1s, the preparation of the Partnership’s
Form 1065 and preparation of all State Tax Returns were:
2009 |
$20,000 | |
2008 |
$13,700 |
(4) All Other Fees. None.
(5) Not Applicable.
(6) Not Applicable.
21
PART IV
Item 15. Exhibits, Financial Statement Schedules.
| (a) | (1) Financial Statements: | |
| Statements of Financial Condition at December 31, 2009 and 2008. | ||
| Statements of Income and Expenses for the year ended December 31, 2009, 2008 and for the period from February 1, 2007 (commencement of trading operations) to December 31, 2007. | ||
| Statements of Changes in Partners’ Capital for the year ended December 31, 2009, 2008 and for the period from February 1, 2007 (commencement of trading operations) to December 31, 2007. | ||
| Notes to Financial Statements. | ||
| (2) | Exhibits: |
| 3.1 | (a) | Certificate of Limited Partnership of the Partnership as filed in the office of the Secretary of State of the State of New York, dated November 1, 2005 (filed as Exhibit 3.1 to the Registration on Form 10-12G filed on April 30, 2008 and incorporated herein by reference). | ||||
| (b | ) | Certificate of Amendment to the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated September 19, 2008 (filed as Exhibit 3.1(b) to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference). | ||||
| (c | ) | Certificate of Amendment to the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated September 28, 2009 (filed as Exhibit 99.1 to the Form 8-K filed on September 29, 2009 and incorporated herein by reference). | ||||
| 3.2 | (a) | Amended and Restated Limited Partnership Agreement, dated June 30, 2009 (filed as Exhibit 3.2 to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference). | ||||
| (b | ) | Second Amended and Restated Agreement of Limited Partnership, dated December 21, 2009 (filed as Exhibit 3.1 to the Form 8-K filed on December 23, 2009 and incorporated herein by reference). | ||||
| 10.1 | Customer Agreement between the Partnership, Citigroup Managed Futures LLC and Citigroup Global Markets Inc., dated April 29, 2008 (filed as Exhibit 10.2 to the Registration on Form 10-12G filed on April 30, 2008 and incorporated herein by reference). | |||||
| 10.2 | (a) | Management Agreement among the Partnership, Citigroup Managed Futures LLC and Winton Capital Management Limited, dated November 21, 2006 (filed as Exhibit 10.1 to the Registration on Form 10-12G filed on April 30, 2008 and incorporated herein by reference). | ||||
| (b | ) | Letter from the General Partner extending Management Agreement with Winton Capital Management Limited for 2009, dated June 5, 2008 (filed as Exhibit 10.14 to the Form 10-K filed on March 31, 2009 and incorporated herein by reference). | ||||
| (c | ) | Letter from the General Partner extending Management Agreement with Winton Capital Management Limited for 2009, dated June 9, 2009 (filed herein). | ||||
| 10.3 | Agency Agreement between the Partnership, Citigroup Managed Futures LLC and Citigroup Global Markets Inc., dated May 27, 2007 (filed as Exhibit 10.3 to the Registration on Form 10-12G filed on April 30, 2008 and incorporated herein by reference). | |||||
| 10.4 | Form of Subscription Agreement Credit Suisse Securities LLC (filed as Exhibit 10.4 to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference). | |||||
| 10.5 | Form of Subscription Agreement Morgan Stanley Smith Barney LLC (filed as Exhibit 10.5 to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference). | |||||
| 10.6 | Joinder Agreement among the General Partner, Citigroup Global Markets Inc., and Morgan Stanley Smith Barney LLC dated as of June 1, 2009 (filed as Exhibit 10 to the Form 10-Q filed on August 14, 2009 and incorporated herein by reference). | |||||
| 16.1 | Letter dated July 23, 2009 from PricewaterhouseCoopers LLP to the Securities and Exchange Commission (filed as Exhibit 16.1 to the Form 8-K, filed on July 23, 2009 and incorporated herein by reference). | |||||
| 16.2 | Letter dated June 26, 2008 from KPMG LLP to the Securities and Exchange Commission (filed as Exhibit 16.1 to the Form 8-K, filed on July 1, 2008 and incorporated herein by reference). |
The exhibits required to be filed by Item 601 of regulation S-K are incorporated herein by
reference.
Exhibit 31.1
— Rule 13a-14(a)/15d-14(a) Certification (Certification of President and
Director).
Exhibit 31.2 — Rule 13a-14(a)/15d-14(a) Certification (Certification of Chief Financial Officer
and Director).
Exhibit 32.1 — Section 1350 Certification (Certification of President and Director).
Exhibit 32.2 — Section 1350 Certification (Certification of Chief Financial Officer and Director).
22
SIGNATURES
Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934,
the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto
duly authorized, on the 31st day of March 2010.
Abingdon Futures Fund L.P.
By:
|
Ceres Managed Futures
LLC |
|||
By:
|
/s/ Jerry Pascucci
|
Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been
signed below by the following persons on behalf of the Registrant and in the capacities and on the
date indicated.
/s/ Jerry Pascucci
|
/s/ Shelley Deavitt Ullman | |
Jerry Pascucci
|
Shelley Deavitt Ullman | |
President and Director Ceres Managed Futures LLC |
Director Ceres Managed Futures LLC |
|
/s/ Jennifer Magro
|
/s/ Daryl Dewbrey | |
Jennifer Magro
|
Daryl Dewbrey | |
Chief Financial Officer and Director (Principal Accounting Officer) Ceres Managed Futures LLC |
Director Ceres Managed Futures LLC |
|
| /s/ Raymond Nolte | ||
| Raymond Nolte | ||
| Director Ceres Managed Futures LLC |
Supplemental Information to be Furnished With Reports Filed Pursuant to Section 15(d) of the
Act by Registrants Which Have Not Registered Securities Pursuant to Section 12 of the Act.
Annual Report to Limited Partners
No proxy material has been sent to Limited Partners.
23