UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 10-K
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(X) ANNUAL REPORT PURSUANT TO SECTION 13 or 15(d)
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
For the transition period from to
Commission File Number 000-50718
TACTICAL DIVERSIFIED FUTURES FUND L.P.
(Exact name of registrant as specified in its charter)
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New York
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13-4224248 |
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(State or other jurisdiction of
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(I.R.S. Employer |
incorporation or organization)
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Identification No.) |
c/o Ceres Managed Futures LLC
55 East 59 Street 10th Floor
New York, New York 10022
(Address and Zip Code of principal executive offices)
(Registrants telephone number, including area code)
Securities registered pursuant to Section 12(b) of the Act: None
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Redeemable Units of Limited Partnership Interest |
Securities registered pursuant to Section 12(g) of the Act:
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(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 registrants 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 filer, or a smaller
reporting company. See the definitions of large accelerated filer, accelerated filer and
smaller reporting company in Rule 12b-2 of the Exchange Act. (Check one):
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Large accelerated filer o
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Accelerated filer o
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Non-accelerated filer þ
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Smaller reporting company o |
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(Do not check if a smaller reporting company) |
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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 $754,873,306 were outstanding and held
by non-affiliates as of the last business day of the registrants most recently completed second
calendar month.
As of February 28, 2010, 650,344.5868 Limited Partnership Redeemable Units were outstanding.
DOCUMENTS INCORPORATED BY REFERENCE
[None]
PART I
Item 1. Business.
(a) General Development of Business. Tactical Diversified Futures Fund L.P. (formerly,
Citigroup Diversified Futures Fund L.P.) (the Partnership) is a limited partnership organized
under the partnership laws of the State of New York on December 3, 2002 to engage, directly or
indirectly, 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 Partnership are volatile and involve a high degree of
market risk.
A Registration Statement on Form S-1 relating to the public offering of 300,000 redeemable
units of Limited Partnership Interest (Redeemable Units) became effective March 27, 2003. Between
March 27, 2003 (commencement of the offering period) and April 30, 2003, 36,616 Redeemable Units
were sold at $1,000 per Redeemable Unit. The proceeds of the initial offering were held in an
escrow account until April 30, 2003, at which time they were turned over to the Partnership for
trading.
A second Registration Statement on Form S-1 relating to the public offering of 1,000,000
Redeemable Units (including the 300,000 Redeemable Units that had been previously registered)
became effective on December 4, 2003. As of that date 260,732.3028 Redeemable Units had been sold.
A third Registration Statement on Form S-1 relating to the public offering of 2,000,000
Redeemable Units (including the 1,000,000 Redeemable Units that had been previously registered)
became effective on October 7, 2004. As of that date 807,449.3782 Redeemable Units had been sold.
A fourth Registration Statement on Form S-1 relating to the public offering of 2,000,000 Redeemable
Units previously registered became effective on June 30, 2005. As of that date 1,027,701.7549
Redeemable Units had been sold. The public offering of Redeemable Units terminated on November 30,
2008. The Partnership currently privately and continuously offers up to 200,000 Redeemable Units to
qualified investors. There is no maximum number of Redeemable Units that may be sold by the
Partnership.
Redemptions of additional Redeemable Units and additional general partner contributions and
redemptions of Redeemable Units for the years ended December 31, 2009, 2008 and 2007 are reported
in the Statements of Changes in Partners Capital on page F-14 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.
As of December 31, 2009, all trading decisions are made for the Partnership by Drury Capital, Inc.,
(Drury), Graham Capital Management L.P., (Graham), John W. Henry & Company, Inc., (JWH),
Willowbridge Associates Inc. (Willowbridge), Aspect Capital Limited (Aspect), Capital Fund
Management S.A. (CFM), Winton Capital Management Limited (Winton), AAA Capital Management
Advisors, Ltd. (AAA) and SandRidge Capital L.P. (SandRidge) (each an Advisor and
collectively, the Advisors), each of which is a registered commodity trading advisor. Avant
Capital Management L.P. (Avant) was terminated as of January 31, 2009. SandRidge was added as an
advisor to the Partnership on March 1, 2009. The Advisors are not affiliated with one another, are
not affiliated with the General Partner/managing member or CGM and are not responsible for the
organization or operation of the Partnership. A description of the trading activities and focus of the Advisors is included
on page 9 under Item 7. Managements Discussion and Analysis of Financial Condition and Results of Operations.
The General Partner has agreed to make capital contributions, if necessary, so that its
general partnership interest will be equal to the greater of (1) an amount that will entitle the General Partner to an
interest of at least 1% in each material item of Partnership
income, gain, loss, deduction or credit and (2) the greater
of (i) 1% of the partners contributions
to the Partnership or (ii) $25,000. The Partnership will be liquidated upon the first to occur of
the following: December 31, 2022; the net asset value of a Redeemable Unit decreased to less than
$400 per Redeemable Unit as of the close of any trading day; or under certain other circumstances
as defined in the limited partnership agreement of the Partnership (the Limited Partnership
Agreement).
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The assets allocated to JWH for trading are invested directly pursuant to JWHs Global
Analytics Program.
On December 1, 2004, the assets allocated to Winton for trading were invested in the CMF Winton
Master L.P. (Winton Master) a limited partnership organized under the partnership laws
of the State of New York. The Partnership purchased 52,981.2908 units of Winton Master
with cash of $57,471,493. Winton Master was formed in order to permit accounts managed now or in
the future by Winton using the Diversified Program, a proprietary, systematic trading system, to
invest together in one trading vehicle. The General Partner is also the general partner of Winton
Master. Individual and pooled accounts currently managed by Winton, including the Partnership are
permitted to be limited partners of Winton Master. The General Partner and Winton believe that
trading through this structure should promote efficiency and economy in the trading process.
On March 1, 2005, the assets allocated to Aspect for trading were invested in the CMF Aspect
Master Fund L.P. (Aspect Master), a limited partnership organized under the partnership laws of
the State of New York. The Partnership purchased 131,340.8450 units of Aspect Master
with cash of $122,786,448 and a contribution of open commodity futures and forward positions with a
fair value of $8,554,397. Aspect Master was formed in order to permit accounts managed now or in
the future by Aspect using the Diversified Program, a proprietary, systematic trading system, to
invest together in one trading vehicle. The General Partner is also the general partner of Aspect
Master. Individual and pooled accounts currently managed by Aspect, including the Partnership are
permitted to be limited partners of Aspect Master. The General Partner and Aspect believe that
trading through this structure should promote efficiency and economy in the trading process.
On July 1, 2005, the assets allocated to Willowbridge for trading were invested in the CMF
Willowbridge Argo Master Fund L.P. (Willowbridge Master), a limited partnership organized under
the partnership laws of the State of New York. The Partnership purchased 95,795.8082
units of Willowbridge Master with cash of $85,442,868 and a contribution of open futures and
forward positions with a fair value of $10,352,940. Willowbridge Master was formed in order to
permit accounts managed now or in the future by Willowbridge using the Argo Trading System, a proprietary,
systematic trading system, to invest together in one trading vehicle. The General Partner is also
the general partner of Willowbridge Master. Individual and pooled accounts currently managed by
Willowbridge, including the Partnership are permitted to be limited partners of Willowbridge
Master. The General Partner and Willowbridge believe that trading through this structure should
promote efficiency and economy in the trading process.
On August 1, 2005, the assets allocated to Drury for trading were invested in the CMF Drury
Capital Master Fund L.P. (Drury Master), a limited partnership organized under the partnership
laws of the State of New York. The Partnership purchased 120,720.7387 units of Drury
Master with cash of $117,943,205 and a contribution of open futures and forward positions with a
fair value of $2,777,533. Drury Master was formed in order to permit accounts managed now or in the
future by Drury using the Diversified Trend-Following Program, a proprietary, systematic trading system, to invest
together in one trading vehicle. The General Partner is also the general partner of Drury Master.
Individual and pooled accounts currently managed by Drury, including the Partnership are permitted
to be limited partners of Drury Master. The General Partner and Drury believe that trading through
this structure should promote efficiency and economy in the trading process.
On August 1, 2005, the assets allocated to CFM for trading were invested in the CMF Capital
Fund Management Master Fund L.P. (CFM Master), a limited partnership organized under the
partnership laws of the State of New York. The Partnership purchased 159,434.0631 units
of CFM Master with cash of $157,804,021 and a contribution of open futures and forward positions
with a fair value of $1,630,043. CFM Master was formed in order to permit accounts managed now or
in the future by CFM using the Discus Program, a proprietary, systematic trading system, to invest
together in one trading vehicle. The General Partner is also is the general partner of CFM Master.
Individual and pooled accounts currently managed by CFM, including the Partnership are permitted to
be limited partners of CFM Master. The General Partner and CFM believe that trading through this
structure should promote efficiency and economy in the trading process.
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On October 1, 2005, the assets allocated to AAA for trading were invested in the AAA Master Fund
LLC, (formerly Citigroup AAA Master Fund LLC) (AAA Master) a limited liability company which was
organized under the limited liability company laws of the State of New York. The Partnership
purchased 13,956.1190 units of the AAA Master with cash of $50,000,000. The AAA Master was formed
in order to permit accounts managed now or in the future by AAA using the Energy Program Futures
and Swaps, a proprietary, discretionary trading system, to invest in one trading vehicle. The
General Partner is also the managing member of AAA Master. Individual and pooled accounts currently
managed by AAA, including the Partnership are permitted to be non-managing members of AAA Master.
The General Partner and AAA believe that trading through this structure should promote efficiency
and economy in the trading process.
On June 1, 2006, the assets allocated to Graham for trading were invested in the CMF Graham
Capital Master Fund L.P. (Graham Master), a limited partnership organized under the partnership
laws of the State of New York. The Partnership purchased 101,486.0491 units of Graham Master with
cash of $103,008,482. Graham Master was formed in order to permit accounts managed now or in the
futures by Graham using the K4D-12.5 Program, a proprietary, systematic trading system, to invest
together in one trading vehicle. The General Partner is also the general partner of Graham Master.
Individual and pooled accounts currently managed by Graham, including the Partnership are permitted
to be limited partners of Graham Master. The General Partner and Graham believe that trading
through this structure should promote efficiency and economy in the trading process.
On July 1, 2006, the assets allocated to Avant for trading were invested in the CMF Avant
Master Fund L.P. (Avant Master), a limited partnership organized under the partnership laws of
the State of New York. The Partnership purchased 17,941.7382 units of Avant Master with cash of
$20,000,000. Avant Master was formed in order to permit accounts managed now or in the future by
Avant using the Diversified Program, a proprietary, systematic trading system, to invest together
in one trading vehicle. The Partnership fully redeemed its investment in Avant Master on January
31, 2009 for cash equal to $14,145,443.
On March 1, 2009, the assets allocated to SandRidge for trading were in invested in the CMF
SandRidge Master Fund L.P. (SandRidge Master), a limited partnership organized under the
partnership laws of the State of New York. The Partnership purchased 14,408.1177 units
of SandRidge Master with cash of $27,000,000. SandRidge Master was formed in order to permit
commodity pools managed now or in the future by SandRidge using SandRidges Energy Program, a
proprietary, discretionary trading system, to invest together in one trading vehicle. The General
Partner is also the general partner of SandRidge Master. Individual and pooled accounts currently
managed by SandRidge, including the Partnership, are permitted to be limited partners of SandRidge
Master. The General Partner and SandRidge believe that trading through this structure should
promote efficiency and economy in the trading process.
Winton Masters, Aspect Masters, Drury Masters, Willowbridge Masters, CFM Masters, AAA
Masters, Graham Masters and SandRidge Masters (collectively, the Funds) and the Partnerships
trading of futures, forwards, swaps and options contracts, if applicable, on commodities is done
primarily on United States of America commodity exchanges and foreign commodity exchanges. The
Funds and the Partnership engage in such trading through commodity brokerage accounts maintained
with CGM.
A Limited Partner/non-managing member may withdraw all or part of their capital contribution
and undistributed profits, if any, from the Funds 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/managing member at least 3 days
in advance of the Redemption Date. The units are classified as a liability when the Limited
Partner/non-managing member elects to redeem and informs the Funds.
Management and incentive fees are charged at the Partnership level. All exchange,
clearing, user, give-up, floor brokerage and NFA fees
(collectively the clearing fees) are borne by the Partnership directly and through its investment
in the Funds. All other fees including CGMs direct brokerage commissions are charged at the
Partnership level.
For the period
January 1, 2009 through December 31, 2009, the approximate average market sector distribution for the
Partnership was as follows:
At December 31, 2009, the Partnership owned approximately 89.2% of Drury Master, 30.8% of
Willowbridge Master, 60.3% of Aspect Master, 76.3% of CFM Master, 17.2% of Winton Master, 6.6% of
AAA Master, 51.1% of Graham Master and 11.7% of SandRidge Master. At December 31, 2008, the
Partnership owned approximately 92.4% of Drury Master, 42.5% of Willowbridge Master, 67.8% of
Aspect Master, 84.0% of CFM Master, 27.4% of Winton Master, 10.2% of AAA Master, 50.6% of Graham
Master and 57.2% of Avant Master. It is the intention of the Partnership to continue to invest in the
Funds. The performance of the Partnership is directly affected by the performance of the Funds.
Expenses to investors as a result of investment in the Funds are approximately the same and the
redemption rights are not affected.
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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 profit, if any, net of distributions.
Pursuant to the terms of the management agreements (the Management Agreements) the
Partnership is obligated to pay each Advisor a monthly management fee equal to 1/6 of 1% (2% per
year), except for Aspect, which will receive a monthly management fee equal to 1/12 of 1.5% (1.5%
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 months incentive fee accruals, the monthly
management fees 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 each Advisor an incentive fee, payable
quarterly, equal to 20% of the New Trading Profits, as defined in the Management Agreements, earned
by each Advisor for the Partnership during each calender quarter.
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 0.46% (5.5% per year) of
month-end Net Assets, 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 months brokerage commissions, incentive fee accruals, the monthly
management fees and other expenses and any redemptions or distributions as of the end of such month. CGM
will pay a portion of its brokerage commissions to financial advisors who have sold Redeemable Units in the
Partnership. Brokerage commissions will be paid for the life of the Partnership, although the rate at which
such commissions are paid may be changed. The Partnership directly and through its investment in the Funds
will pay for the clearing fees. In addition, CGM has agreed to pay the Partnership interest on 80% of
the average daily equity maintained in cash in the Partnerships (or the Partnerships allocable
portion of a Funds) account during each month. The interest is earned 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 Partnerships (or a Funds) assets in 90-day U.S. Treasury bills and pay the
Partnership 80% of the interest (or the Partnerships allocable share thereof)
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.
(b) Financial Information about Industry Segments. The Partnerships business consists
of only one segment, speculative trading of commodity interests. The Partnership does not engage in
sales of goods or services. The Partnerships net income (loss) from operations for the years ended
December 31, 2009, 2008, 2007, 2006 and 2005 is set forth under Item 6. Selected Financial
Data. The Partnerships Capital as of December 31, 2009 was $789,539,282.
(c) Narrative Description of Business.
See Paragraphs (a) and (b) above.
(i) through (xii) Not applicable.
(xiii) The Partnership has no employees.
(d) Financial Information About Geographic Areas. The Partnership does not engage in
the sale 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.
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Item 1A. Risk Factors.
As a result of leverage, small changes in the price of the Partnerships 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. Substantial incentive fees may be paid to one or more of the
Advisors even if the Partnership experiences a net loss for the full year.
An investors ability to redeem or transfer units is limited.
An investors 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:
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The General Partner and commodity broker are affiliates; |
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Each of the Advisors, the commodity broker and their principals and affiliates may trade
in commodity interests for their own accounts; and |
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An investors financial advisor will receive ongoing compensation for
providing services to the investors account. |
Investing in units might not provide the desired diversification of an investors overall
portfolio.
The Partnership will not provide any benefit of diversification of an investors 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 Advisors trading strategies may not perform as they have performed in the past. The
Advisors have from time to time incurred substantial losses in trading on behalf of clients.
An investors tax liability may exceed cash distributions.
Investors are taxed on their share of the Partnerships income, even though the Partnership
does not intend to make any distributions.
The General Partner may allocate the Partnerships assets to undisclosed advisors.
The General Partner at any time may select and allocate the Partnerships assets to
undisclosed advisors. Investors may not be advised of such changes in advance. Investors must rely
on the ability of the General Partner to select commodity trading advisors and allocate assets
among them.
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Regulatory changes could restrict the Partnerships 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.
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 mortgagerelated 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 Citigroups, and Citigroup Global Markets
regulators and other state and federal government agencies commenced formal and informal
investigations and inquiries, and issued subpoenas and requested information, concerning
Citigroups 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.
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Item 4. [Removed and Reserved]. |
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PART II
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Item 5. |
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Market for Registrants Common Equity, Related Security Holder Matters and Issuer
Purchase of Equity Securities. |
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(a) |
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Market Information. The Partnership has issued no stock. There is no public
market for the Redeemable Units. |
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(b) |
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Holders. The number of holders of Redeemable Units of limited partnership
interest as of December 31, 2009 was 20,035. |
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(c) |
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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. |
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(d) |
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Securities Authorized for Issuance Under Equity Compensation Plans. None |
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(e) |
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Performance Graph. Not applicable. |
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(f) |
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Recent Sales of Unregistered Securities. The public offering of Redeemable Units terminated on November 30, 2008. For the
twelve months ended December 31, 2009, there were additional sales of 51,211.7956 Redeemable
Units of Limited Partnership Interest totaling $63,653,869. For the twelve months ended
December 31, 2008, there were additional sales of 181,317.5434 Redeemable Units of Limited
Partnership Interest totaling $206,908,278 and General Partners contribution representing
902.0630 Unit equivalents totaling $1,000,000. For the twelve months ended December 31,
2007, there were additional sales of 103,235.6457 Redeemable Units of Limited Partnership
Interest totaling $96,929,000. 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 promulagated 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, swaps,
options and forward contracts. |
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(g) |
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Purchases of Equity Securities by the Issuer and Affiliated Purchasers. |
The following chart sets forth the purchases of Redeemable Units by the Partnership.
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(d) Maximum Number |
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(or Approximate |
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(c) Total Number |
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Dollar Value) of |
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of Redeemable Units |
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Redeemable Units that |
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(a) Total Number |
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(b) Average |
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Purchased as Part |
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May Yet Be |
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of Redeemable |
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Price Paid per |
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of Publicly Announced |
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Purchased Under the |
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Period |
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Units Purchased* |
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Redeemable Unit** |
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Plans or Programs |
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Plans or Programs |
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October 1, 2009
October 31, 2009 |
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5,225.5450 |
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$ |
1,225.21 |
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N/A |
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N/A |
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November 1, 2009
November 30, 2009 |
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5,914.4588 |
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$ |
1,277.45 |
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N/A |
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N/A |
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December 1, 2009
December 31, 2009 |
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8,944.1742 |
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$ |
1,212.71 |
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N/A |
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N/A |
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20,084.1780 |
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$ |
1,235.03 |
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N/A |
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N/A |
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* |
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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, although 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 Partnerships business in connection with effecting redemptions for Limited
Partners. |
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** |
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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. |
8
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Item 6. |
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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, 2007, 2006 and 2005 and total assets at December 31, 2009, 2008, 2007, 2006 and 2005 were as
follows:
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2009 |
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2008 |
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2007 |
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2006 |
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2005 |
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Net realized
and unrealized
trading gains
(losses) and
investment in
Partnerships net of
brokerage
commissions
(including clearing
fees) of
$50,422,263, $54,081,006,
$51,503,887,
$57,053,310 and
$52,829,855,
respectively |
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$ |
(31,303,499 |
) |
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$ |
271,522,814 |
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$ |
51,964,083 |
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$ |
(4,575,484 |
) |
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$ |
(24,401,825 |
) |
Interest income |
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571,324 |
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8,606,237 |
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29,043,564 |
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34,415,640 |
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19,554,975 |
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$ |
(30,732,175 |
) |
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$ |
280,129,051 |
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$ |
81,007,647 |
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$ |
29,840,156 |
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$ |
(4,846,850 |
) |
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Net income (loss) |
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$ |
(54,332,616 |
) |
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$ |
229,556,006 |
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$ |
59,503,224 |
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$ |
3,897,198 |
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$ |
(34,013,339 |
) |
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Increase (decrease)
in Net Asset Value
per Unit |
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$ |
(77.75 |
) |
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$ |
283.85 |
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$ |
70.82 |
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$ |
4.83 |
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$ |
(43.17 |
) |
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Net Asset Value per Unit |
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$ |
1,212.71 |
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$ |
1,290.46 |
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$ |
1,006.61 |
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$ |
935.79 |
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$ |
930.96 |
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Total assets |
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$ |
806,423,847 |
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$ |
1,069,790,643 |
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$ |
842,617,677 |
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$ |
925,899,948 |
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$ |
881,378,897 |
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Item 7. |
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Managements Discussion and Analysis of Financial Condition and Results of
Operations. |
Overview
The Partnership aims to achieve substantial capital appreciation and permit investors to
diversify a traditionally structured stock and bond portfolio. The Partnership attempts to
accomplish its objectives through speculative trading in U.S. and international markets for
currencies, interest rates, stock indices, agricultural and energy products and precious and base
metals directly, or through investments in the Funds. The Partnership may employ futures, swaps,
options on futures, and forward contracts in those markets.
The General Partner manages all business of the Partnership/Funds. The General Partner has
delegated its responsibility for the investment of the Partnerships assets to the Advisors. 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 state-of-the-art
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 Advisors for the Partnership, the General
Partner considered past performance, trading style, volatility of markets traded and fee
requirements.
Responsibilities of the General Partner include:
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due diligence examinations of the Advisors; |
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selection, appointment and termination of the Advisors; |
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negotiation of the management agreements; and |
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monitoring the activity of the Advisors. |
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. 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 seeks the best prices and services available in its commodity futures
brokerage transactions.
9
The programs traded by each Advisor on behalf of the Partnership are: Drury Diversified
Trend-Following Program, Graham K4D-12.5 Program (K4D), JWH Global Analytics Program,
Aspect Diversified Program, CFM Discus Program, Winton Diversified Program, AAA Energy
Program Futures and Swaps (Energy), Willowbridge Argo Trading System (Argo) and SandRidge
Energy Program. As of December 31, 2009, the Partnerships assets were allocated among the
Advisors in the following approximate percentages: Drury 11%, Graham 11%, JWH 5%, Aspect 13%, CFM
19%, Winton 12%, AAA 10%, Willowbridge 9% and SandRidge 10%. The General Partner may modify or terminate the allocation of assets among trading
advisors at any time and may allocate assets to additional advisors at any time.
Drury Capital, Inc.
Drury trades its Diversified Trend-Following Program on behalf of Drury Master. The
Diversified Trend-Following program is systematic and technical. Drury may exercise judgment
regarding liquidity issues. Systematic traders rely primarily on trading programs or models that
generate trading signals. The systems utilized to generate trading signals are changed from time to
time (although generally infrequently), but the trading instructions generated by the system being
used are followed without significant additional analysis or interpretation.
The Diversified Trend-Following Program is built on elements of trend-following and
diversification. The program emphasizes diversification by trading metals, agricultural products,
foreign exchange, stock indices, energy products, financial instruments and tropical products
(softs).
The Diversified Trend-Following Program trades 30 portfolio instruments and is generally
positioned in 18 of these instruments on average. Positions can be short as well as long. The
Diversified Trend-Following Program has no market or sector bias, as Drury believes that each
instrument can produce long-term profits through the application of independent technical analysis
and risk management.
Graham Capital Management, L.P.
Graham trades its K4D program on behalf of Graham Master. The K4D program allocates assets
equally among four other distinct Graham trading programs.
Graham trades actively in both U.S. and foreign markets, primarily in futures contracts,
forward contracts, spot contracts and associated derivative instruments such as options and swaps.
Graham engages in exchange for physical transactions, which involve the exchange of a futures
position for the underlying physical commodity without making an open competitive trade on an
exchange. Graham at times will trade certain instruments, such as forward foreign currency
contracts, as a substitute for futures or options traded on futures exchanges.
Grahams trading systems rely primarily on technical rather than fundamental information as
the basis for their trading decisions. Grahams systems are based on the expectation that they can
over time successfully anticipate market events using quantitative mathematical models to determine
their trading activities, as opposed to attempting properly to forecast price trends using
subjective analysis of supply and demand.
John W. Henry & Company, Inc.
JWH trades its JWH Global Analytics Program on behalf of the Partnership, a systematic trading program. Since the firms
inception, the JWH investment philosophy has been based on the premise that market prices, rather
than market fundamentals, are the key aggregators of information necessary to make investment
decisions and that market prices, which may at first seem random, are actually related through time
in complex, but discernable ways.
Global Analytics invests in both long- and short-term price movements. The program invests in
a broad spectrum of worldwide financial and non-financial markets, including interest rate,
non-U.S. stock index, currency, metals, energy and agricultural contracts. GlobalAnalytics uses
JWHs five phase investment style (a position is maintained, long or short, in a market at all
times) and JWHs three phase investment style (positions are taken when trends are identified, but
the program may take a neutral stance or liquidate open positions in non-trending markets).
10
Willowbridge Associates Inc.
Willowbridge trades its Select Investment Program using the Argo Trading System on behalf of
Willowbridge Master. Argo is a computerized systematic trading system that relies on technical information. It is not a trend-following
system, but does follow a trend when the opportunity arises. Argo uses the concepts of pattern
recognition, support/resistance levels and counter trend liquidations in making trading decisions.
Argo determines, on a daily basis, whether to be long, short or flat the various commodities in its
portfolio.
Pattern recognition, support/resistance levels and counter-trend liquidations are defined as
follows:
Pattern recognition is the ability to identify patterns that appear to have acted as
precursors of price advances or declines in the past.
A support level is a previous lowa price level under the current market price at which point
buying interest is expected to be sufficiently strong to overcome selling pressure.
A resistance level is a previous higha price level over the current market price at which
point selling pressure is expected to overcome buying pressure and a price advance is expected to
be turned back.
A counter-trend liquidation is the closing out of a position after a significant price move on
the assumption that the market is due for a correction.
Aspect Capital Limited.
Aspect trades its Diversified Program on behalf of Aspect Master. The Diversified Program is a
systematic global futures trading program. Its goal is the generation of significant long-term
capital growth independent of stock and bond market returns. This program continuously monitors
price movements in a wide range of global financial, currency and commodity markets, searching for
profit opportunities over periods ranging from a few hours to several months.
Aspect has designed the Diversified Program to have broad market diversification (subject to
liquidity constraints). Aspects quantitative resources are sufficient to enable it to design and
implement a broadly diversified portfolio with a significant allocation to numerous different
markets.
Aspects Diversified Program trades over 100 markets in the seven major sectors: currencies,
energy, metals, stock indices, bonds, agricultural commodities and interest rates implementing
momentum strategies. Aspect is constantly examining new liquid and uncorrelated markets to
incorporate in the program with the aim of improving its reward/risk ratio and capacity. Aspect has
no market or sector preferences, believing that allowing for liquidity effects, equal profitability
can be achieved in the long-term in all markets. The key factors in determining the asset
allocation are correlation and liquidity. Correlations are analyzed at the sector, sub-sector,
economic block and market levels to design a portfolio which is highly diversified.
Capital Fund Management S.A.
CFM trades its Discus Program on behalf of the Partnership. The Discus Program is a
multi-strategy, 100% statistical and systematic program that seeks to identify prevailing market
conditions and adopt the most efficient trading strategy for those conditions. The strategy at
times follows medium to long term trends, and at other times establishes short term positions in
the direction of or opposite a trend.
CFM has designed the Discus Program to trade a diversified portfolio of approximately 50
futures and forward contracts among the following sectors: short, medium and long term interest
rates, stock indices, currencies and commodities.
Winton Capital Management Limited.
Winton trades its Diversified Program on behalf of Winton 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
11
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 Wintons 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
models empirical characteristics can be measured.
The systems 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 portfolios 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.
AAA Capital Management Adviors, Ltd.
AAA trades its Energy Program on behalf of AAA Master, and thereby the Partnerships, assets
in accordance with its Energy Program Futures and Swaps, a discretionary trading program.
AAA Master currently trades energy futures contracts and options on energy futures contracts
on domestic and international exchanges, as well as the Goldman Sachs Commodity Index (an index
future comprised of energy and other products) traded on the Chicago Mercantile Exchange. AAA
Master also currently engages in swap transactions involving crude oil and other energy related
products. References herein to energy and energy related products include all of the foregoing.
AAA generally bases its trading decisions on fundamental factors, namely supply and demand
for a particular group or type of commodity. AAA attempts to buy undervalued commodities and sell
overvalued commodities, often but not always simultaneously. AAA uses options to attempt either to
reduce or define risks.
AAA is aware of price trends but does not trade upon trends. AAA often takes profits in
positions with specific trends even though that trend may still be intact or perhaps even strong.
AAA occasionally establishes positions that are countertrend.
Effective risk management is a crucial aspect of AAAs trading program. Account size,
expectation, volatility of the market traded and the nature of other positions taken are all
factors in determining the amount of equity committed to each trade. AAA Master is AAAs largest
account.
12
SandRidge Capital, L.P.
SandRidge trades the Partnerships assets in accordance with its
Energy Program. SandRidge primarily attempts to achieve the Partnerships objective through the
speculative trading of energy-related commodity interests, including, but not limited to, natural
gas, crude oil, heating oil and gasoline. With the prior approval of the General Partner, SandRidge
may trade in other commodity interests that are now traded, or may be traded in the future, on
exchanges and markets located in the United States and abroad.
SandRidge is a discretionary trader that employs primarily fundamental analysis. Fundamental
analysis examines factors external to the trading market that affect the supply and demand for a
particular group or type of commodity in order to predict future prices. Effective risk management
is an important aspect of SandRidges trading program. An accounts size, volatility of the market
traded and the nature of other positions taken are all factors used in deciding whether to initiate
a position and in determining the amount of equity committed to that position. While SandRidge
relies heavily on fundamental research to develop its overall point of view, it also employs
technical analysis in its trading to help determine entry and exit points. Technical analysis
includes moving averages, index rolls and Stochastic/relative strength indicators. Technical
analysis is based on the theory that the study of the markets themselves provides a means of
anticipating price movements. SandRidge may employ various strategies for phasing an account in and
out of the markets. Entry points are based on a number of price breakout and retracement
indicators. Position exits are based on multiple strategies including trailing stops, target prices
and technical reversals. If SandRidge believes that the markets traded are unstable, SandRidge may
temporarily reduce positions or exit the markets entirely and therefore hold no open positions for
a period of time. SandRidge estimates that, generally, 10% to 15% of the Partnerships assets
allocated to SandRidge will be committed to margin at any one time. The actual amount committed as
such may be substantially more. Trading decisions will require the exercise of judgment by
SandRidge.
SandRidges success depends to a great extent upon the occurrence of market conditions
favorable to its trading strategy. Factors such as lack of major price trends or increased
governmental control of, or participation in, the markets, may reduce SandRidges ability to trade
profitably in the future.
No assurance can be given that the Advisors strategies will be successful or that they will
generate profits for the Partnership.
For the period January 1, 2009 through December 31, 2009, the average
allocation by commodity
market sector for each of the Funds was as follows:
CMF Drury Capital Master Fund L.P.
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|
Currencies |
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24.4 |
% |
Energy |
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8.2 |
% |
Grains |
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6.2 |
% |
Interest Rates Non-U.S. |
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|
11.9 |
% |
Interest Rates U.S. |
|
|
4.5 |
% |
Metals |
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|
12.6 |
% |
Softs |
|
|
4.6 |
% |
Stock Indices |
|
|
27.6 |
% |
CMF Graham Capital Master Fund L.P.
|
|
|
|
|
Currencies |
|
|
26.1 |
% |
Energy |
|
|
6.8 |
% |
Grains |
|
|
4.0 |
% |
Interest Rates Non-U.S. |
|
|
16.9 |
% |
Interest Rates U.S. |
|
|
6.3 |
% |
Livestock |
|
|
0.4 |
% |
Metals |
|
|
5.2 |
% |
Softs |
|
|
4.5 |
% |
Stock Indices |
|
|
29.8 |
% |
John W. Henry & Company, Inc.
|
|
|
|
|
Currencies |
|
|
23.1 |
% |
Energy |
|
|
15.1 |
% |
Grains |
|
|
12.2 |
% |
Interest Rates Non-U.S. |
|
|
12.4 |
% |
Interest Rates U.S. |
|
|
9.3 |
% |
Metals |
|
|
12.9 |
% |
Softs |
|
|
10.0 |
% |
Stock Index |
|
|
5.0 |
% |
CMF Willowbridge Argo Master Fund L.P.
|
|
|
|
|
Currencies |
|
|
23.4 |
% |
Energy |
|
|
17.8 |
% |
Grains |
|
|
8.3 |
% |
Interest Rates Non-U.S. |
|
|
16.6 |
% |
Interest Rates U.S. |
|
|
9.5 |
% |
Livestock |
|
|
0.4 |
% |
Metals |
|
|
18.1 |
% |
Softs |
|
|
5.9 |
% |
CMF Aspect Master Fund L.P.
|
|
|
|
|
Currencies |
|
|
20.7 |
% |
Energy |
|
|
8.2 |
% |
Grains |
|
|
3.3 |
% |
Interest Rates Non-U.S. |
|
|
28.8 |
% |
Interest Rates U.S. |
|
|
7.7 |
% |
Livestock |
|
|
1.5 |
% |
Metals |
|
|
10.8 |
% |
Softs |
|
|
7.1 |
% |
Stock Indices |
|
|
11.9 |
% |
CMF Capital Fund Management Master Fund L.P.
|
|
|
|
|
Currencies |
|
|
21.2 |
% |
Energy |
|
|
8.1 |
% |
Grains |
|
|
1.8 |
% |
Interest Rates Non-U.S. |
|
|
14.1 |
% |
Interest Rates U.S. |
|
|
12.5 |
% |
Livestock |
|
|
0.2 |
% |
Metals |
|
|
1.5 |
% |
Softs |
|
|
2.3 |
% |
Stock Indices |
|
|
38.3 |
% |
CMF Winton Master L.P.
|
|
|
|
|
Currencies |
|
|
26.1 |
% |
Energy |
|
|
4.3 |
% |
Grains |
|
|
5.6 |
% |
Interest Rates Non-U.S. |
|
|
20.5 |
% |
Interest Rates U.S. |
|
|
11.1 |
% |
Livestock |
|
|
0.8 |
% |
Metals |
|
|
9.0 |
% |
Softs |
|
|
3.0 |
% |
Stock Indices |
|
|
19.6 |
% |
AAA Master Fund LLC
CMF SandRidge Master Fund L.P.
(a) Liquidity.
The Partnership does not engage in the sales of goods or services. The Partnerships assets
are its (i) investment in partnerships, (ii) equity in its trading account, consisting of cash and
cash equivalents, net unrealized appreciation on open futures contracts, and (iii) interest
receivable. Because of the low margin deposits normally required in commodity futures trading,
relatively small price movements may result in substantial losses to the Partnership. While
substantial losses could lead to a material decrease in liquidity, no such illiquidity occurred during
the year ended December 31, 2009.
To minimize this risk relating to low margin deposits, the Partnership follows certain trading
policies, including:
|
(i) |
|
The Partnership/Funds invests their assets only in commodity interests that the Advisors
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) |
|
An 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
Partnerships net assets allocated to that Advisor. |
|
|
(iii) |
|
The Partnership/Funds 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 Partnership/Funds do 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 Partnership/Funds do not utilize borrowings other than short-term borrowings if the
Partnership/Funds take delivery of any cash commodities. |
13
|
(vi) |
|
The Advisors may, from time to time, employ trading strategies such as spreads or
straddles on behalf of the Partnership/Funds. 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 Partnership/Funds 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 Partnerships average margin to equity ratio (i.e., the percentage
of assets on deposit required for margin) was approximately 11.2%. The foregoing margin to equity ratio
takes into account cash held in the Partnerships name, as well as the allocable value of the positions
and cash held on behalf of the Partnership in the name of the Funds.
In the normal course of business, the Partnership and the Funds are parties to financial
instruments with off-balance sheet risk, including derivative financial instruments and derivative
commodity instruments. These financial instruments 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 specified 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 relating 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/Funds due to market changes, including interest and foreign exchange rate movements
and fluctuations in commodity or security prices. Market risk is directly impacted by the
volatility and liquidity in the markets in which the related underlying assets are traded. The
Partnership/Funds are exposed to a market risk equal to the value of futures and forward contracts
purchased and unlimited liability on such contracts sold short.
Credit risk is the possibility that a loss may occur due to the failure of a counterparty to
perform according to the terms of a contract. The Partnerships/Funds risk of loss in the event of
a counterparty default is typically limited to the amounts recognized in the Statements of
Financial Condition and not represented by the contract or notional amounts of the instruments. The
Partnerships/Funds risk of loss is reduced through the use of legally enforceable master netting
agreements with counterparties that permit the Partnership/Funds to offset unrealized gains and
losses and other assets and liabilities with such counterparties upon the occurrence of certain
events. The Partnership/Funds have credit risk and concentration risk as the sole counterparty or
broker with respect to the Partnerships/Funds assets is CGM or a CGM affiliate. Credit risk with
respect to exchange-traded instruments is reduced to the extent that through CGM, the
Partnerships/Funds counterparty is an exchange or clearing organization.
As both a buyer and seller of options, the Funds pay or receive a premium at the
outset and then bear the risk of unfavorable changes in the price of the contract underlying the
option. Written options expose the Funds to potentially unlimited liability; for
purchased options the risk of loss is limited to the premiums paid. Certain written put options
permit cash settlement and do not require the option holder to own the reference asset. The
Funds do not consider these contracts to be guarantees as described in ASC 460,
Guarantees (formerly FASB Interpretation No. 45, Guarantors Accounting and Disclosure
Requirements for Guarantees).
The General Partner/managing member monitors and attempts to control the Partnerships/Funds risk exposure on a daily
basis through financial, credit and risk management monitoring systems, and accordingly, believes
that it has effective procedures for evaluating and limiting the credit and market risks to which
the Partnership/Funds 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. (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 Partnership knows of
no trends, demands, commitments, events or uncertainties which will result in or which are
reasonably likely to result in the Partnerships liquidity increasing or decreasing in any material
way. The Limited Partnership Agreement provides that the General Partner may, in its discretion,
cause the
14
Partnership to cease trading operations and liquidate all open positions 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 trading day.
(b) Capital Resources.
(i) The Partnership has made no material commitments for capital expenditures.
(ii) The Partnerships 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 Advisors 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, brokerage commissions and advisory fees. The level of
these expenses is dependent 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 their Redeemable Units at their Net Asset Value as of the
last day of any month on 10 days notice to the General Partner. There is no fee charged to Limited
Partners in connection with redemptions.
Redemptions generally are funded out of the Partnerships cash
holdings. For the year ended December 31, 2009, 186,428.5326
Redeemable Units were redeemed totaling $234,571,753 and General Partners redemption representing 2,188.2548 Unit equivalents
totaling $2,681,072. For the year ended December 31, 2008, 207,556.2917 Redeemable Units
were redeemed totaling $239,169,501. For the year ended December 31, 2007, 245,925.1928 Redeemable
Units were redeemed totaling $232,324,170.
For the year ended December 31, 2009, there were additional sales of 51,211.7956 Redeemable
Units totaling $63,653,869. For the year ended December 31, 2008, there were additional sales of
181,317.5434 Redeemable Units totaling $206,908,278 and General Partners contribution representing
902.0630 Unit equivalents totaling $1,000,000. For the year ended December 31, 2007, there were
additional sales of 103,235.6457 Redeemable Units totaling $96,929,000.
(c) Results of Operations.
For the year ended December 31, 2009, the Net Asset Value per Redeemable Unit decreased 6.0%
from $1,290.46 to $1,212.71. For the year ended December 31, 2008, the Net Asset Value per
Redeemable Unit increased 28.2% from $1,006.61 to $1,290.46. For the year ended December 31, 2007,
the Net Asset Value per Redeemable Unit increased 7.6% from $935.79 to $1,006.61.
The Partnership experienced a net trading gain of $19,118,764 before brokerage commissions and
expenses in 2009. Gains were primarily attributed to the Partnerships/Funds trading in livestock, metals and indices and were partially offset by losses in
currencies, energy, grains, U.S. and non-U.S. interest rates, lumber and softs.
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 markets 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 realized losses due to volatile trends. The volatility was due to sensitivity to news shocks
and contrary economic data.
Losses were realized in trading fixed income instruments. With the economic backdrop of 2009,
yields started to exhibit asymmetric volatility due to extreme uncertainty prevailing in the longer
time horizon. Encouraged by the continuing efforts of the Obama administration to stabilize the
U.S. economy, the markets finally began to recover a degree of risk-taking confidence in March,
resulting in the reversal of many of the trends that had driven returns in late 2008. In
agricultural commodities, losses were realized primarily in corn and wheat. Prices of corn and
wheat both unexpectedly rallied in October as cold, wet weather threatened to delay harvest and
concerns over the acres likely to be seeded for the new crop. Losses were also taken in trading of
currencies, primarily in December as the Japanese Yen reversed sharply on the Japanese
governments dissatisfaction over the high value of the Yen.
15
The Partnership experienced a net trading gain of $325,603,820 before brokerage commissions
and expenses in 2008. Gains were
primarily attributed to the Partnerships/Funds trading in currencies, energy, grains,
indices, lumber, U.S. and non-U.S. interest rates, metals and softs.
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 U.S. economy with the hardest
challenges since the Great Depression. During the year, the worlds credit markets virtually seized
up, commodity prices plunged and most major equity indices declined dramatically, while some of the
largest U.S. financial institutions were under pressure. Faced with unprecedented 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.
Profits were primarily realized from trading in energy, fixed income and equity indices. The
Partnership realized most of the 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 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. The Partnership was also profitable in interest rates as the yield on
short term notes dropped significantly. Short term U.S. Treasury bills were in such high demand due
to flight-to-quality that the yields had dropped below zero during the year. While the 10-year
T-bill yielded on an average between 3.5%-4% for 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. Global equity indices also contributed to the gains as indices
continued to test multi-year lows. As financial institutions 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 average daily equity maintained in cash in the Partnerships (or the
Partnerships allocable portion of a Funds) brokerage account was earned at the monthly
average 30-day U.S. Treasury bill yield. CGM may continue to maintain the Partnerships assets
in cash and/or place up to all of the Partnerships (or a Funds) assets in 90-day Treasury bills
and pay the Partnership 80% of the interest (or the Partnerships allocable share thereof) 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 for the three and twelve months ended December 31, 2009 decreased by $262,221 and $8,034,913,
respectively as compared to the corresponding periods in 2008. The
decrease is due to a decrease in the average interest rate over the
corresponding periods. Interest earned by the Partnership will
increase the net asset value of the Partnership. The
amount of interest income earned by the Partnership depends on the average daily equity in the
Partnerships and the Funds accounts and upon interest rates over which neither the Partnership
nor CGM has control.
Brokerage
commissions are calculated on the Partnerships adjusted net asset value on the last day of each
month and are affected by trading performance, additions and redemptions. Brokerage commissions and fees
for the three and twelve months ended December 31, 2009 decreased by $3,026,242 and $3,658,743,
respectively as compared to the corresponding periods in 2008. The decrease in brokerage commissions is
primarily due to a decrease in average 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 Partnerships 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 decreased by $1,047,269 and $1,285,729, respectively as compared to the corresponding
periods in 2008. The decrease in management fees is due to a decrease in average net assets during the
three and twelve months ended December 31, 2009 as compared to the corresponding periods in 2008.
Incentive fees
are based on the new trading profits generated by each Advisor at the end of the quarter as defined in the management
agreements between the Partnership, the General Partner and each Advisor. Trading performance for the three
and twelve months ended December 31, 2009 resulted in an incentive fees accrual of $643,364 and $6,244,781,
respectively. Trading performance for the three and twelve months ended December 31, 2008 resulted in an
incentive fees accrual of $13,265,101 and $30,928,566, respectively.
The Partnership experienced a net trading gain of $103,467,970 before brokerage commissions
and expenses in 2007. Gains were primarily attributed to the Partnerships/Funds trading in
currencies, energy, grains, indices, lumber, U.S. and non-U.S. interest rates and were partially
offset by losses recognized in the trading of metals and softs.
During 2007,
the Partnership profited from macro-economic developments that stimulated volatility and asset price trends
of a favorable duration to the underlying Advisors trading strategies. Negative developments in the U.S.
mortgage markets and the increasing probability of recession resonated throughout the capital and
commodity markets. A surge in volatility in the global equity markets in February was driven by a
tumble in Chinese stock valuations that curbed sentiment for global risk assets and sparked a material
sell-off in global stock prices. The year would go on to be highlighted by two additional measurable
equity market corrections in the summer and fall. By mid-summer, dislocations in U.S. asset-backed and
mortgage-backed credit markets emerged as the central focal point of global capital markets. The ensuing
re-pricing of credit risk resulted in a flight-to-quality driving a rally in prices of sovereign debt,
especially in the U.S. Treasury markets as the Federal Open Market Committee acted rapidly to stem the
negative implications for growth. As a result of the series of rate cuts and negative economic data, the
U.S. dollar became less attractive and weakened materially against most major currencies during the latter
part of the year. Commodity markets continued to signal inflation, further clouding the economic landscape,
as global demand for most food and raw materials continued to be robust. Prices moved rather erratically at
times.
Profits were
realized in fixed income trading as turbulence in asset backed credit markets became a catalyst for
significant directional moves in yields and strong bias towards price rallies across Treasury curves.
Gains were also generated by substantially rising oil prices, which reached all-time contract highs
due to robust global demand, ongoing geopolitical concerns and increased speculative participation
in the commodity. The Partnership also benefited from persistent trends in the currency sector,
notably in the Japanese Yen, New Zealand Dollar and British Pounds.
Trading gains
were offset slightly by losses related to trading in metals and soft commodities. Periodic sporadic rallies
in the U.S. dollar negatively impacted positions in certain precious metals, which tend to demonstrate
inverse price movements. Prices of industrial metals also moved erratically during most of the year,
mainly due to fluctuating estimates of Chinese and emerging market economic growth resulting in unfavorable
price action for the Advisors. Losses were also experienced in trading soft commodities such as coffee and
cocoa. Excess exports from growers in Africa and Indonesia in the month of August resulted in a surprising
fall in process driven by increased supply.
In the General Partners opinion, the Advisors continue to employ trading methods and produce
results consistent with their expected performance given market conditions and the objectives of
the Partnership. The General Partner continues to monitor the Advisors performance on a daily,
weekly, monthly and annual basis to assure these objectives are met.
Commodity markets are highly volatile. Broad price fluctuations and
rapid inflation increase the risks involved in commodity trading, but also increase the possibility
of profit. The profitability of the Partnership depends on the existence of major price trends and
the ability of the Advisors, other than AAA and SandRidge, to 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 Advisors are able to identify them, the Partnership expects to increase capital through
operations.
In allocating the assets of the Partnership among the trading advisors, the General Partner
considers past performance, trading style, volatility of markets traded and fee requirements. The
General Partner may modify or terminate the allocation of assets among the trading advisors and may
allocate assets to additional advisors at any time.
(d) Off-Balance
Sheet Arrangements. None.
(e) Contractual
Obligations. None
(f) Operational Risk.
The Partnership 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.
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 is subject to increased risks with respect to its 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 Partnerships ability to gather, process, and communicate information
efficiently and securely, without interruption, to customers within the Partnership, and in the
markets where the Partnership participates.
16
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 managements authorization, and that financial
information utilized by management and communicated to external parties, including the
Partnerships 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 Partnerships 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).
Partnerships and the Funds Investments. All commodity interests (including derivative financial
instruments and derivative commodity instruments) are held for trading purposes. The commodity
interests are recorded on trade date and open contracts are recorded at fair value (as described
below) at the measurement date. Investments in commodity interests denominated in foreign
currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement
date. Gains or losses are realized when contracts are liquidated. Unrealized gains or losses on
open contracts are included as a component of equity in trading account on the 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.
Partnerships and the Funds Fair Value Measurements. The Partnership and the Funds 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 Funds 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 and the Funds consider prices for exchange traded commodity futures, forwards
and options contracts to be based on unadjusted quoted prices in active markets for identical
assets (Level 1). The values of non-exchange traded forwards, swaps and certain options contracts
for which market quotations are not readily available are priced by broker-dealers who
derive fair values for those assets from observable inputs (Level 2). Investments in partnerships
(other commodity pools) where there are no other rights or obligations inherent within the
ownership interest held by the Partnership are priced based on the end of the day net asset value
(Level 2). The value of the Partnerships investments in partnerships reflects its proportional
interest in the partnerships. As of and for the years ended December 31, 2009 amd 2008, the
Partnership and the Funds did not hold any derivative instruments that are priced at fair value
using unobservable inputs through the application of managements assumptions and internal
valuation pricing models (Level 3).
Futures Contracts. The Partnership and the Funds trade futures contracts.
Exchange cleared swaps included in futures and exchange cleared swaps are swaps that are traded as futures.
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 Partnership and the Funds each
business day, depending on the daily fluctuations in the value of the underlying contracts, and are
recorded as unrealized gains or losses by the Partnership and the Funds. When the contract is
closed, the Partnership and the Funds record a realized gain or loss equal to the difference
between the value of the contract at the time it was opened and the value at the time it was
closed. Because transactions in futures contracts require participants to make both initial margin
deposits of cash or other assets and variation margin deposits, through the futures broker,
directly with the exchange on which the contracts are traded, credit exposure is limited. Realized
gains (losses) and changes in unrealized gains (losses) on futures contracts are included in the
Statements of Income and Expenses.
17
Forward Foreign Currency Contracts. Foreign currency contracts are those contracts
where the Funds agrees to receive or deliver a fixed quantity of foreign
currency for an agreed-upon price on an agreed future date. Foreign currency contracts are valued
daily, and the Funds net equity therein, representing unrealized gain or loss on the
contracts as measured by the difference between the forward foreign exchange rates at the dates of
entry into the contracts and the forward rates at the reporting date, is included in the Statements
of Financial Condition. Realized gains (losses) and changes in unrealized gains (losses) on foreign
currency contracts are recognized in the period in which the contract is closed or the changes
occur, respectively and are included in the Statements of Income and Expenses.
The Funds do not isolate that portion of the results of operations arising from the effect of
changes in foreign exchange rates on investments from fluctuations from changes in market prices of
investments held. Such fluctuations are included in net gain (loss) on investments in the
Statements of Income and Expenses.
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 Funds are cash settled based
on prompt dates published by the LME. Payments (variation margin) may be made or received by the
Funds each business day, depending on the daily fluctuations in the value of
the underlying contracts, and are recorded as unrealized gains or losses by the
Funds. A contract is considered offset when all long positions have been matched with short
positions. When the contract is closed at the prompt date, the Funds record a
realized gain or loss equal to the difference between the value of the contract at the time it was
opened and the value at the time it was closed. Because transactions in LME contracts require
participants to make both initial margin deposits of cash or other assets and variation margin
deposits, through the broker, directly with the LME, credit exposure is limited. Realized gains
(losses) and changes in unrealized gains (losses) on metal contracts are included in the Statements
of Income and Expenses.
Options. The Funds may purchase and write (sell) both exchange listed and over-the-counter
options on commodities or financial instruments. An option is a contract allowing, but not
requiring, its holder to buy (call) or sell (put) a specific or standard commodity or financial
instrument at a specified price during a specified time period. The option premium is the total
price paid or received for the option contract. When the Funds write an option, the premium
received is recorded as a liability in the Statements of Financial Condition and marked to market
daily. When the Funds purchase an option, the premium paid is recorded as an asset in the
Statements of Financial Condition and marked to market daily. Realized gains (losses) and changes
in unrealized gains (losses) on options contracts are included in the Statements of Income and
Expenses.
Income Taxes. Income taxes have not been provided as each partner is individually liable for
the taxes, if any, on their share of the Partnerships 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 Partnerships 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 Partnerships financial statements.
The following is the major tax jurisdiction for the Partnership and the earliest tax year
subject to examination: United States 2006.
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. See Note
9. Subsequent Events on page F-28 under Item 8. Financial
Statements and Supplementary Data.
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
Partnerships 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 SECs 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.
18
Certain prior period amounts have been reclassified to conform to the current year
presentation.
Item 7A. Quantitative and Qualitative Disclosures about Market Risk
Introduction
The
Partnership/Funds are speculative commodity pools. The market sensitive instruments held
by them are acquired for speculative trading purposes, and all or substantially all of the
Partnerships/Funds assets are subject to the risk of trading loss. Unlike an operating company,
the risk of market sensitive instruments is integral, not incidental, to the Partnerships main
line of business.
The risk to the limited partners that have purchased interests in the Partnership is limited
to the amount of their capital contributions to the Partnership and their share of 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
Partnerships/Funds open positions and, consequently, in its earnings and cash balances. The
Partnerships/Funds market risk is influenced by a wide variety of factors, including the level
and volatility of interest rates, exchange rates, equity price levels, the market value of
financial instruments and contracts, the diversification effects among the Partnerships/Funds
open positions and the liquidity of the markets in which it trades.
The Partnership 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 Partnerships past performance is not necessarily
indicative of its future results.
Value at Risk is a measure of the maximum amount which the Partnership/Funds could reasonably
be expected to lose in a given market sector. However, the inherent uncertainty of the
Partnerships/Funds speculative trading and the recurrence in the markets traded by the
Partnership/Funds of market movements far exceeding expectations could result in actual trading or
non-trading losses far beyond the indicated Value at Risk or the Partnerships/Funds experience to
date (i.e., risk of ruin). In light of the foregoing as well as the risks and uncertainties
intrinsic to all future projections, the inclusion of the quantification in this section should not
be considered to constitute any assurance or representation that the Partnerships/Funds losses in
any market sector will be limited to Value at Risk or by the Partnerships/Funds attempts to
manage their 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 Partnerships/Funds market sensitive instruments.
Quantifying the Partnerships Trading Value at Risk
The following quantitative disclosures regarding the Partnerships 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 and Section 21E of the Securities Exchange
Act of 1934, as amended). 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 Partnerships risk exposure in the various market sectors traded by the Advisors is
quantified below in terms of Value at Risk. Due to the Partnerships/Funds mark-to-market
accounting, any loss in the fair value of the Partnerships open positions including investments in
other Partnerships, is directly reflected in the Partnerships earnings (realized and unrealized)
and cash balances. Exchange maintenance margin requirements have been used by the Partnership 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 interval. 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.
19
In the case of market sensitive instruments which are not exchange traded (almost exclusively
currencies in the case of the
Partnership/Funds), 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 Partnerships/Funds futures and forward positions does not have any
optionality component. However, the Advisors may trade commodity options. The Value at Risk
associated with options is reflected in the following tables as the margin requirement attributable
to the instrument underlying each option. 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 Partnership/Funds in almost all cases fluctuate to a
lesser extent than those of the underlying instruments.
In quantifying the Partnerships/Funds 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 categorys
aggregate Value at Risk. The diversification effects resulting from the fact that the Partnerships/Funds
positions are rarely, if ever, 100% positively correlated have not been reflected.
The Partnerships 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. With the exception of JWH, the Partnerships advisors currently trade the
Partnerships assets indirectly in master fund managed accounts over which they have been granted
limited authority to make trading decisions. JWH directly trades a managed account in the
Partnerships name. The first two trading Value at Risk tables reflect the market sensitive instruments held by
the Partnership directly and through its investment in the Funds. The remaining trading
Value at Risk tables reflect the market sensitive instruments held by the Partnership
directly (i.e., in the managed account in the Partnerships name traded by JWH) and indirectly by
each Fund separately.
The following tables indicate the trading Value at Risk associated with the Partnerships open
positions by market category as of December 31, 2009 and 2008. As of December 31, 2009, the
Partnerships total capitalization was $789,539,282.
|
|
|
|
|
|
|
|
|
|
|
December 31, 2009 |
|
|
|
|
|
|
|
% of Total |
|
Market Sector |
|
Value at Risk |
|
|
Capitalization |
|
Currencies |
|
$ |
8,520,217 |
|
|
|
1.08 |
% |
Energy |
|
|
13,769,720 |
|
|
|
1.74 |
% |
Grains |
|
|
2,034,508 |
|
|
|
0.26 |
% |
Interest Rates U.S. |
|
|
2,927,000 |
|
|
|
0.37 |
% |
Interest Rates Non-U.S. |
|
|
8,929,362 |
|
|
|
1.13 |
% |
Livestock |
|
|
162,582 |
|
|
|
0.02 |
% |
Metals |
|
|
6,119,563 |
|
|
|
0.78 |
% |
Softs |
|
|
4,477,500 |
|
|
|
0.57 |
% |
Indices |
|
|
16,677,937 |
|
|
|
2.11 |
% |
|
|
|
|
|
|
|
Total |
|
$ |
63,618,389 |
|
|
|
8.06 |
% |
|
|
|
|
|
|
|
As of December 31, 2008, the Partnerships total capitalization was $1,017,470,854.
|
|
|
|
|
|
|
|
|
|
|
December 31, 2008 |
|
|
|
|
|
|
|
% of Total |
|
Market Sector |
|
Value at Risk |
|
|
Capitalization |
|
Currencies |
|
$ |
8,781,411 |
|
|
|
0.86 |
% |
Energy |
|
|
36,709,910 |
|
|
|
3.61 |
% |
Grains |
|
|
2,942,280 |
|
|
|
0.29 |
% |
Interest Rates U.S. |
|
|
5,914,392 |
|
|
|
0.58 |
% |
Interest Rates Non-U.S. |
|
|
13,399,896 |
|
|
|
1.32 |
% |
Livestock |
|
|
136,747 |
|
|
|
0.01 |
% |
Lumber |
|
|
301 |
|
|
|
0.00 |
% |
Metals |
|
|
6,465,212 |
|
|
|
0.64 |
% |
Softs |
|
|
2,329,545 |
|
|
|
0.23 |
% |
Indices |
|
|
5,935,442 |
|
|
|
0.58 |
% |
|
|
|
|
|
|
|
Total |
|
$ |
82,615,136 |
|
|
|
8.12 |
% |
|
|
|
|
|
|
|
The following tables indicate the trading Value at Risk associated with the Partnerships
direct investments and indirect investments in the Funds by market category as of December 31, 2009 and
December 31, 2008, the highest and lowest value at any point and the average value during the
years. All open position trading risk exposures have been included in calculating the figures set
forth below. As of December 31, 2009, the Partnerships Value at Risk for the
portion of its assets that are traded directly by JWH was as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2009 |
|
|
|
|
|
|
|
|
Low |
|
Average |
Market Sector |
|
Value at Risk |
|
% of Total Capitalization |
|
High
Value at Risk |
|
Value at
Risk |
|
Value at
Risk* |
Currencies |
|
$ |
291,750 |
|
|
|
0.04 |
% |
|
$ |
1,093,705 |
|
|
$ |
81,090 |
|
|
$ |
578,832 |
|
Energy |
|
|
194,500 |
|
|
|
0.03 |
% |
|
|
702,680 |
|
|
|
116,500 |
|
|
|
352,111 |
|
Grains |
|
|
175,000 |
|
|
|
0.02 |
% |
|
|
706,320 |
|
|
|
16,230 |
|
|
|
299,210 |
|
Interest Rates U.S. |
|
|
122,400 |
|
|
|
0.02 |
% |
|
|
498,150 |
|
|
|
16,500 |
|
|
|
211,148 |
|
Interest Rates Non-U.S. |
|
|
322,880 |
|
|
|
0.04 |
% |
|
|
632,703 |
|
|
|
86,804 |
|
|
|
315,408 |
|
Softs |
|
|
575,600 |
|
|
|
0.07 |
% |
|
|
575,600 |
|
|
|
14,400 |
|
|
|
264,769 |
|
Indices |
|
|
185,058 |
|
|
|
0.02 |
% |
|
|
231,803 |
|
|
|
6,400 |
|
|
|
146,211 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
1,867,188 |
|
|
|
0.24 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* Annual average of month-end Value at Risk |
20
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
As of
December 31, 2008, the Partnerships Value at Risk for the
portion of its assets that are traded directly by JWH was as follows:
|
|
|
|
December 31, 2008 |
|
|
|
|
|
|
|
|
|
|
|
|
Low |
|
|
Average |
|
Market Sector |
|
Value at Risk |
|
|
% of Total
Capitalization |
|
|
High
Value at Risk |
|
|
Value at
Risk |
|
|
Value at
Risk* |
|
Currencies: |
|
$ |
288,144 |
|
|
|
0.03 |
% |
|
$ |
629,775 |
|
|
$ |
46,226 |
|
|
$ |
352,693 |
|
Energy |
|
|
452,600 |
|
|
|
0.04 |
% |
|
|
1,385,500 |
|
|
|
44,150 |
|
|
|
430,629 |
|
Grains |
|
|
49,500 |
|
|
|
0.01 |
% |
|
|
500,500 |
|
|
|
31,500 |
|
|
|
190,333 |
|
Interest Rates U.S. |
|
|
218,800 |
|
|
|
0.02 |
% |
|
|
257,600 |
|
|
|
12,750 |
|
|
|
145,760 |
|
Interest Rates Non -U.S. |
|
|
324,474 |
|
|
|
0.03 |
% |
|
|
587,645 |
|
|
|
74,732 |
|
|
|
276,809 |
|
Metals |
|
|
38,718 |
|
|
|
0.00 |
%** |
|
|
415,000 |
|
|
|
28,000 |
|
|
|
157,456 |
|
Softs |
|
|
112,900 |
|
|
|
0.01 |
% |
|
|
267,360 |
|
|
|
6,000 |
|
|
|
134,253 |
|
Indices |
|
|
44,716 |
|
|
|
0.01 |
% |
|
|
364,060 |
|
|
|
19,308 |
|
|
|
144,304 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
1,529,852 |
|
|
|
0.15 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Annual average of month-end Value at Risk |
|
** |
|
Due to Rounding |
21
As of December 31, 2009, Drury Masters total capitalization was $115,243,532. The Partnership
owned approximately 89.2% of Drury Master. As of December 31, 2009, the
Partnerships Value at Risk for the portion of its assets that are traded indirectly through its investment in Drury Master was as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2009
|
|
|
|
|
|
|
% of Total |
|
High |
|
Low |
|
Average |
Market Sector |
|
Value at Risk |
|
Capitalization |
|
Value at Risk |
|
Value at Risk |
|
Value at Risk* |
Currencies |
|
$ |
1,805,531 |
|
|
|
1.56 |
% |
|
$ |
6,643,389 |
|
|
$ |
1,699,038 |
|
|
$ |
3,381,473 |
|
Energy |
|
|
689,202 |
|
|
|
0.60 |
% |
|
|
2,550,600 |
|
|
|
634,893 |
|
|
|
1,401,082 |
|
Grains |
|
|
816,125 |
|
|
|
0.71 |
% |
|
|
1,502,215 |
|
|
|
534,516 |
|
|
|
1,052,253 |
|
Interest Rates U.S. |
|
|
538,125 |
|
|
|
0.47 |
% |
|
|
1,494,200 |
|
|
|
96,903 |
|
|
|
704,978 |
|
Interest Rates Non-U.S. |
|
|
1,694,307 |
|
|
|
1.47 |
% |
|
|
3,761,422 |
|
|
|
1,089,172 |
|
|
|
2,207,261 |
|
Metals |
|
|
1,969,687 |
|
|
|
1.71 |
% |
|
|
3,475,587 |
|
|
|
842,023 |
|
|
|
2,328,903 |
|
Softs |
|
|
1,305,960 |
|
|
|
1.13 |
% |
|
|
1,305,960 |
|
|
|
442,173 |
|
|
|
802,681 |
|
Indices |
|
|
5,057,873 |
|
|
|
4.39 |
% |
|
|
6,313,897 |
|
|
|
1,430,190 |
|
|
|
4,940,095 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
13,876,810 |
|
|
|
12.04 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Annual average of month-end Value at Risk |
As
of December 31, 2008, Drury Masters total capitalization
was $166,815,471. The Partnership
owned approximately 92.4% of Drury Master.
As of December 31, 2008, the Partnerships Value at Risk for the
portion of its assets that are traded indirectly through its investment
in Drury Master was as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2008 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
% of Total |
|
|
High |
|
|
Low Value at |
|
|
Average Value at |
|
Market Sector |
|
Value at Risk |
|
|
Capitalization |
|
|
Value at Risk |
|
|
Risk |
|
|
Risk
* |
|
Currencies |
|
$ |
2,581,094 |
|
|
|
1.54 |
% |
|
$ |
17,727,084 |
|
|
$ |
1,302,310 |
|
|
$ |
3,479,486 |
|
Energy |
|
|
2,986,750 |
|
|
|
1.79 |
% |
|
|
4,282,250 |
|
|
|
31,800 |
|
|
|
1,971,388 |
|
Grains |
|
|
1,479,000 |
|
|
|
0.89 |
% |
|
|
2,329,350 |
|
|
|
256,500 |
|
|
|
1,129,692 |
|
Interest Rates U.S. |
|
|
1,746,100 |
|
|
|
1.05 |
% |
|
|
1,746,100 |
|
|
|
57,000 |
|
|
|
586,117 |
|
Interest Rates Non-U.S. |
|
|
4,058,791 |
|
|
|
2.43 |
% |
|
|
4,068,452 |
|
|
|
490,193 |
|
|
|
2,290,993 |
|
Metals |
|
|
3,231,468 |
|
|
|
1.94 |
% |
|
|
3,926,979 |
|
|
|
584,529 |
|
|
|
2,383,966 |
|
Softs |
|
|
985,316 |
|
|
|
0.59 |
% |
|
|
2,774,966 |
|
|
|
325,350 |
|
|
|
1,182,200 |
|
Indices |
|
|
1,478,392 |
|
|
|
0.89 |
% |
|
|
5,767,562 |
|
|
|
881,189 |
|
|
|
2,873,542 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
18,546,911 |
|
|
|
11.12 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Annual average of month-end Value at Risk |
As of December 31, 2009, Willowbridge Masters total capitalization was $231,105,317. The
Partnership owned approximately 30.8% of Willowbridge Master.
As of December 31, 2009, the
Partnerships Value at Risk for the portion of its assets that are traded indirectly through its investment in Willowbridge Master was as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2009
|
|
|
|
|
|
|
% of Total |
|
High |
|
Low |
|
Average |
Market Sector |
|
Value at Risk |
|
Capitalization |
|
Value at Risk |
|
Value at Risk |
|
Value at Risk* |
Currencies |
|
$ |
5,974,364 |
|
|
|
2.58 |
% |
|
$ |
14,208,480 |
|
|
$ |
1,008,000 |
|
|
$ |
7,206,662 |
|
Energy |
|
|
2,116,000 |
|
|
|
0.92 |
% |
|
|
13,037,019 |
|
|
|
391,000 |
|
|
|
5,515,268 |
|
Grains |
|
|
1,058,000 |
|
|
|
0.46 |
% |
|
|
5,919,480 |
|
|
|
259,875 |
|
|
|
2,320,519 |
|
Interest Rates U.S. |
|
|
1,959,945 |
|
|
|
0.85 |
% |
|
|
9,939,105 |
|
|
|
280,500 |
|
|
|
2,836,425 |
|
Interest Rates Non-U.S. |
|
|
3,403,449 |
|
|
|
1.47 |
% |
|
|
14,168,324 |
|
|
|
455,649 |
|
|
|
4,852,602 |
|
Metals |
|
|
3,968,558 |
|
|
|
1.72 |
% |
|
|
8,372,754 |
|
|
|
1,909,575 |
|
|
|
3,799,612 |
|
Softs |
|
|
2,725,100 |
|
|
|
1.18 |
% |
|
|
3,202,100 |
|
|
|
237,900 |
|
|
|
1,531,645 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
21,205,416 |
|
|
|
9.18 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Annual average based on month-end Value at Risk |
As
of December 31, 2008, Willowbridge Masters total
capitalization was $297,420,004. The
Partnership owned approximately 42.5% of Willowbridge Master.
As of December 31, 2008, the Partnerships Value at Risk for the portion of its assets that are traded
indirectly through its investment in Willowbridge Master was as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December
31, 2008 |
|
|
|
|
|
|
|
% of Total |
|
|
High |
|
|
Low Value at |
|
|
Average Value at |
|
Market Sector |
|
Value at Risk |
|
|
Capitalization |
|
|
Value at Risk |
|
|
Risk |
|
|
Risk* |
|
Currencies |
|
$ |
1,945,600 |
|
|
|
0.65 |
% |
|
$ |
11,556,229 |
|
|
$ |
245,220 |
|
|
$ |
3,464,607 |
|
Energy |
|
|
816,000 |
|
|
|
0.27 |
% |
|
|
15,933,000 |
|
|
|
448,000 |
|
|
|
4,885,321 |
|
Grains |
|
|
1,100,800 |
|
|
|
0.37 |
% |
|
|
5,470,800 |
|
|
|
201,000 |
|
|
|
2,038,390 |
|
Interest Rates U.S. |
|
|
2,380,800 |
|
|
|
0.80 |
% |
|
|
4,367,200 |
|
|
|
219,300 |
|
|
|
1,272,506 |
|
Interest Rates Non-U.S. |
|
|
3,571,688 |
|
|
|
1.20 |
% |
|
|
8,375,150 |
|
|
|
387,940 |
|
|
|
3,540,377 |
|
Metals |
|
|
3,110,400 |
|
|
|
1.05 |
% |
|
|
8,742,000 |
|
|
|
764,750 |
|
|
|
4,883,083 |
|
Softs |
|
|
819,200 |
|
|
|
0.28 |
% |
|
|
2,989,200 |
|
|
|
120,600 |
|
|
|
1,077,150 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
13,744,488 |
|
|
|
4.62 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Annual average based on month-end Value at Risk |
22
As of December 31, 2009, Aspect Masters total capitalization was $165,138,058. The
Partnership owned approximately 60.3% of Aspect Master.
As of December 31, 2009, the Partnerships Value at Risk for the portion of its
assets that are traded indirectly through its investment in Aspect Master was as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2009
|
|
|
|
|
|
|
% of Total |
|
High |
|
Low |
|
Average |
Market Sector |
|
Value at Risk |
|
Capitalization |
|
Value at Risk |
|
Value at Risk |
|
Value at Risk* |
Currencies |
|
$ |
3,005,547 |
|
|
|
1.82 |
% |
|
$ |
9,657,630 |
|
|
$ |
1,450,765 |
|
|
$ |
3,783,484 |
|
Energy |
|
|
948,800 |
|
|
|
0.57 |
% |
|
|
4,972,100 |
|
|
|
440,450 |
|
|
|
1,516,206 |
|
Grains |
|
|
327,245 |
|
|
|
0.20 |
% |
|
|
1,461,017 |
|
|
|
291,283 |
|
|
|
622,287 |
|
Interest Rates U.S. |
|
|
868,320 |
|
|
|
0.54 |
% |
|
|
3,363,654 |
|
|
|
68,325 |
|
|
|
1,350,674 |
|
Interest Rates Non-U.S. |
|
|
5,408,866 |
|
|
|
3.28 |
% |
|
|
10,090,643 |
|
|
|
3,056,662 |
|
|
|
5,677,560 |
|
Livestock |
|
|
155,900 |
|
|
|
0.09 |
% |
|
|
704,364 |
|
|
|
130,800 |
|
|
|
287,937 |
|
Metals |
|
|
2,647,427 |
|
|
|
1.60 |
% |
|
|
4,707,270 |
|
|
|
813,671 |
|
|
|
2,289,309 |
|
Softs |
|
|
1,800,229 |
|
|
|
1.09 |
% |
|
|
2,057,410 |
|
|
|
648,164 |
|
|
|
1,382,129 |
|
Indices |
|
|
4,002,477 |
|
|
|
2.42 |
% |
|
|
4,177,780 |
|
|
|
735,579 |
|
|
|
2,382,946 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
19,164,811 |
|
|
|
11.61 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Annual average of month-end Value at Risk |
As
of December 31, 2008, Aspect Masters total capitalization
was $239,354,333. The
Partnership owned approximately 67.8% of Aspect Master.
As of December 31, 2008, the Partnerships Value at Risk for the portion of its assets that are
traded indirectly through its investment in Aspect Master was as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December
31, 2008 |
|
|
|
|
|
|
|
% of Total |
|
|
High |
|
|
Low Value at |
|
|
Average Value at |
|
Market Sector |
|
Value at Risk |
|
|
Capitalization |
|
|
Value at Risk |
|
|
Risk |
|
|
Risk* |
|
Currencies |
|
$ |
3,017,826 |
|
|
|
1.26 |
% |
|
$ |
7,405,062 |
|
|
$ |
1,762,375 |
|
|
$ |
3,652,203 |
|
Energy |
|
|
1,802,535 |
|
|
|
0.75 |
% |
|
|
4,744,750 |
|
|
|
520,250 |
|
|
|
2,336,576 |
|
Grains |
|
|
549,062 |
|
|
|
0.23 |
% |
|
|
1,268,423 |
|
|
|
84,806 |
|
|
|
622,221 |
|
Interest Rates U.S. |
|
|
1,627,200 |
|
|
|
0.68 |
% |
|
|
3,458,200 |
|
|
|
49,886 |
|
|
|
1,299,759 |
|
Interest Rates Non-U.S. |
|
|
6,748,387 |
|
|
|
2.82 |
% |
|
|
8,325,577 |
|
|
|
1,490,653 |
|
|
|
5,019,733 |
|
Livestock |
|
|
156,600 |
|
|
|
0.06 |
% |
|
|
283,500 |
|
|
|
66,700 |
|
|
|
165,771 |
|
Metals |
|
|
1,975,576 |
|
|
|
0.83 |
% |
|
|
4,213,675 |
|
|
|
86,337 |
|
|
|
1,755,108 |
|
Softs |
|
|
775,053 |
|
|
|
0.32 |
% |
|
|
1,461,690 |
|
|
|
353,834 |
|
|
|
833,381 |
|
Indices |
|
|
730,475 |
|
|
|
0.31 |
% |
|
|
7,152,565 |
|
|
|
584,698 |
|
|
|
2,556,035 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
17,382,714 |
|
|
|
7.26 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Annual average of month-end Value at Risk |
23
As of December 31, 2009, CFM Masters total capitalization was $194,668,638. The Partnership
owned approximately 76.3% of CFM Master.
As of December 31, 2009, the Partnerships
Value at Risk for the portion of its assets that are traded indirectly through its investment in CFM Master was as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2009
|
Market Sector |
|
Value at Risk |
|
|
% of Total
Capitalization |
|
|
High
Value at Risk |
|
|
Low Value at
Risk |
|
|
Average Value at
Risk* |
|
Currencies |
|
$ |
1,236,160 |
|
|
|
0.63 |
% |
|
$ |
11,762,820 |
|
|
$ |
422,120 |
|
|
$ |
3,753,698 |
|
Energy |
|
|
268,420 |
|
|
|
0.14 |
% |
|
|
5,914,077 |
|
|
|
154,593 |
|
|
|
1,586,039 |
|
Grains |
|
|
181,491 |
|
|
|
0.09 |
% |
|
|
779,500 |
|
|
|
91,000 |
|
|
|
284,195 |
|
Interest Rates U.S. |
|
|
1,241,850 |
|
|
|
0.64 |
% |
|
|
8,442,428 |
|
|
|
73,467 |
|
|
|
2,727,515 |
|
Interest Rates Non
-U.S. |
|
|
1,382,622 |
|
|
|
0.71 |
% |
|
|
8,930,489 |
|
|
|
82,126 |
|
|
|
2,615,548 |
|
Livestock |
|
|
11,950 |
|
|
|
0.01 |
% |
|
|
87,075 |
|
|
|
1,500 |
|
|
|
35,893 |
|
Metals |
|
|
64,876 |
|
|
|
0.03 |
% |
|
|
1,529,181 |
|
|
|
29,024 |
|
|
|
247,081 |
|
Softs |
|
|
91,212 |
|
|
|
0.05 |
% |
|
|
1,268,172 |
|
|
|
107,469 |
|
|
|
449,559 |
|
Indices |
|
|
5,578,750 |
|
|
|
2.87 |
% |
|
|
24,411,702 |
|
|
|
1,026,517 |
|
|
|
7,228,664 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
10,057,331 |
|
|
|
5.17 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Annual average of month-end Value at Risk |
As
of December 31, 2008, CFM Masters total capitalization was
$204,030,347. The Partnership
owned approximately 84.0% of CFM Master.
As of December 31, 2008, the Partnerships Value at Risk for the portion of its assets
that are traded indirectly through its investment in CFM Master was as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2008 |
|
|
|
|
|
|
|
% of Total |
|
|
High |
|
|
Low Value at |
|
|
Average Value at |
|
Market Sector |
|
Value at Risk |
|
|
Capitalization |
|
|
Value at Risk |
|
|
Risk |
|
|
Risk* |
|
Currencies |
|
$ |
1,154,757 |
|
|
|
0.57 |
% |
|
$ |
5,248,775 |
|
|
$ |
396,280 |
|
|
$ |
1,493,127 |
|
Energy |
|
|
117,440 |
|
|
|
0.06 |
% |
|
|
3,024,050 |
|
|
|
18,500 |
|
|
|
1,041,887 |
|
Grains |
|
|
96,000 |
|
|
|
0.05 |
% |
|
|
291,500 |
|
|
|
41,685 |
|
|
|
138,757 |
|
Interest Rates U.S. |
|
|
860,400 |
|
|
|
0.42 |
% |
|
|
3,370,050 |
|
|
|
82,729 |
|
|
|
1,301,688 |
|
Interest Rates Non -U.S. |
|
|
904,335 |
|
|
|
0.44 |
% |
|
|
7,246,652 |
|
|
|
192,944 |
|
|
|
1,805,655 |
|
Metals |
|
|
58,412 |
|
|
|
0.03 |
% |
|
|
283,750 |
|
|
|
10,250 |
|
|
|
95,853 |
|
Softs |
|
|
144,740 |
|
|
|
0.07 |
% |
|
|
903,874 |
|
|
|
76,623 |
|
|
|
398,779 |
|
Indices |
|
|
3,863,451 |
|
|
|
1.89 |
% |
|
|
9,954,147 |
|
|
|
385,099 |
|
|
|
4,151,612 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
7,199,535 |
|
|
|
3.53 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Annual average of month-end Value at Risk |
As of December 31, 2009, Winton Masters total capitalization was $574,408,313. The
Partnership owned approximately 17.2% of Winton Master.
As of December 31, 2009, the Partnerships Value at Risk for the portion of its assets
that are traded indirectly through its investment in Winton Master was as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2009
|
|
|
|
|
|
|
|
|
|
|
|
|
Low |
|
|
Average |
|
Market Sector |
|
Value at Risk |
|
|
% of Total
Capitalization |
|
|
High
Value at Risk |
|
|
Value at
Risk |
|
|
Value at
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 of month-end Value at Risk |
24
As
of December 31, 2008, Winton Masters total capitalization
was $547,751,543. The
Partnership owned approximately 27.4% of Winton Master.
As of December 31, 2008, the Partnerships Value at Risk for the portion of its assets that
are traded indirectly through its investment in Winton Master was as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2008 |
|
|
|
|
|
|
|
% of Total |
|
|
High |
|
|
Low Value at |
|
|
Average 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 |
As of December 31, 2009 the AAA Masters total capitalization was $1,229,195,192. The
Partnership owned approximately 6.6% of AAA Master. As of December 31, 2009, the
Partnerships Value at Risk for the portion of its assets that are traded
indirectly through its investment in AAA Master 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* |
|
Energy |
|
$ |
133,905,240 |
|
|
|
10.89 |
% |
|
$ |
352,329,038 |
|
|
$ |
4,405,231 |
|
|
$ |
166,882,818 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
133,905,240 |
|
|
|
10.89 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Average monthly Values at Risk |
As
of December 31, 2008 the AAA Masters total capitalization
was $1,338,631,099. The
Partnership owned approximately 10.2% of AAA Master.
As of December 31, 2008, the Partnerships Value at Risk for the portion of its assets that
are traded indirectly through its investment in AAA Master 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* |
|
Energy |
|
$ |
306,037,030 |
|
|
|
22.86 |
% |
|
$ |
393,679,114 |
|
|
$ |
86,922,706 |
|
|
$ |
205,141,776 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
306,037,030 |
|
|
|
22.86 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Average monthly Values at Risk |
25
As of December 31, 2009, Graham Masters total capitalization was $171,212,260. The
Partnership owned approximately 51.1% of Graham Master.
As of December 31, 2009, the Partnerships Value at Risk for the portion of its assets
that are traded indirectly through its investment in Graham Master was as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2009
|
Market Sector |
|
Value at Risk |
|
% of Total
Capitalization |
|
High
Value at Risk |
|
Low Value at
Risk |
|
Average Value at
Risk* |
Currencies |
|
$ |
2,410,532 |
|
|
|
1.41 |
% |
|
$ |
8,136,447 |
|
|
$ |
833,881 |
|
|
$ |
4,612,528 |
|
Energy |
|
|
684,083 |
|
|
|
0.40 |
% |
|
|
3,017,929 |
|
|
|
273,236 |
|
|
|
1,214,764 |
|
Grains |
|
|
549,675 |
|
|
|
0.32 |
% |
|
|
1,846,996 |
|
|
|
96,550 |
|
|
|
731,407 |
|
Interest Rates U.S. |
|
|
142,150 |
|
|
|
0.08 |
% |
|
|
2,365,808 |
|
|
|
87,777 |
|
|
|
859,990 |
|
Interest Rates Non-U.S. |
|
|
1,869,099 |
|
|
|
1.09 |
% |
|
|
8,320,518 |
|
|
|
471,498 |
|
|
|
2,867,131 |
|
Livestock |
|
|
59,200 |
|
|
|
0.04 |
% |
|
|
160,380 |
|
|
|
1,080 |
|
|
|
58,409 |
|
Metals |
|
|
1,222,254 |
|
|
|
0.71 |
% |
|
|
1,806,942 |
|
|
|
297,478 |
|
|
|
1,002,985 |
|
Softs |
|
|
1,131,557 |
|
|
|
0.66 |
% |
|
|
1,479,945 |
|
|
|
190,202 |
|
|
|
768,323 |
|
Indices |
|
|
4,809,915 |
|
|
|
2.81 |
% |
|
|
12,019,804 |
|
|
|
623,680 |
|
|
|
5,396,991 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
12,878,465 |
|
|
|
7.52 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Annual average of month-end Value at Risk |
As
of December 31, 2008, Graham Masters total capitalization
was $224,490,942. The
Partnership owned approximately 50.6% of Graham Master.
As of December 31, 2008, the Partnerships Value at Risk for the portion of its assets that
are traded indirectly through its investment in Graham Master was as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2008 |
|
Market Sector |
|
Value at Risk |
|
|
% of Total Capitalization |
|
|
High Value
at Risk |
|
|
Low
Value
at Risk |
|
|
Average Value at Risk* |
|
Currencies |
|
$ |
1,855,003 |
|
|
|
0.83 |
% |
|
$ |
35,051,712 |
|
|
$ |
1,110,258 |
|
|
$ |
17,137,503 |
|
Energy |
|
|
446,536 |
|
|
|
0.20 |
% |
|
|
5,209,200 |
|
|
|
310,300 |
|
|
|
1,557,045 |
|
Grains |
|
|
161,000 |
|
|
|
0.07 |
% |
|
|
1,281,500 |
|
|
|
52,500 |
|
|
|
498,714 |
|
Interest Rates U.S. |
|
|
719,400 |
|
|
|
0.32 |
% |
|
|
2,381,150 |
|
|
|
24,412 |
|
|
|
619,143 |
|
Interest Rates Non-U.S. |
|
|
1,293,650 |
|
|
|
0.58 |
% |
|
|
4,718,751 |
|
|
|
461,503 |
|
|
|
1,792,563 |
|
Livestock |
|
|
13,200 |
|
|
|
0.01 |
% |
|
|
27,600 |
|
|
|
800 |
|
|
|
15,664 |
|
Metals |
|
|
680,383 |
|
|
|
0.30 |
% |
|
|
2,071,925 |
|
|
|
31,044 |
|
|
|
777,494 |
|
Softs |
|
|
201,831 |
|
|
|
0.09 |
% |
|
|
752,387 |
|
|
|
14,000 |
|
|
|
395,956 |
|
Indices |
|
|
592,157 |
|
|
|
0.26 |
% |
|
|
5,407,658 |
|
|
|
235,978 |
|
|
|
2,482,935 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
5,963,160 |
|
|
|
2.66 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Annual average of month-end Value at Risk |
As of December 31, 2009, SandRidge Masters total capitalization was $684,909,493. The Partnership
owned approximately 11.7% of SandRidge Master.
As of December 31, 2009, the Partnerships Value at Risk for the portion of its assets
that are traded indirectly through its investment in SandRidge Master was as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2009 |
|
|
|
|
|
|
|
% of Total |
|
|
High |
|
|
Low Value at |
|
|
Average Value at |
|
Market Sector |
|
Value at Risk |
|
|
Capitalization |
|
|
Value at Risk |
|
|
Risk |
|
|
Risk* |
|
Energy |
|
$ |
19,220,494 |
|
|
|
2.81 |
% |
|
$ |
40,574,022 |
|
|
$ |
11,157,117 |
|
|
$ |
24,955,810 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
19,220,494 |
|
|
|
2.81 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Annual average of month-end Value at Risk |
26
Material Limitations on Value at Risk as an Assessment of Market Risk
The face value of the market sector instruments held by the Partnership/Funds 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
Partnership/Funds. The magnitude of the Partnerships/Funds 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 Partnership/Funds 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/Funds give no indication of
this risk of ruin.
Non-Trading Risk
The Partnership/Funds have non-trading market risk on their foreign cash balances not needed
for margin. However, these balances (as well as any market risk they represent) are immaterial.
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 Partnerships/Funds market sensitive instruments.
Qualitative Disclosures Regarding Primary Trading Risk Exposures
The following qualitative disclosures regarding the Partnerships/Funds market risk exposures
except for (i) those disclosures that are statements of historical fact and (ii) the
descriptions of how the Partnership/Funds manage their primary market risk exposures constitute
forward-looking statements within the meaning of Section 27A of the Securities Act and Section 21E
of the Securities Exchange Act. The Partnerships/Funds primary market risk exposures as well as
the strategies used and to be used by the General Partner and the Advisors for managing such
exposures are subject to numerous uncertainties, contingencies and risks, any one of which could
cause the actual results of the Partnerships/Funds 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 Partnership/Funds. There can be no assurance that the
Partnerships/Funds 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 Partnership as of December 31,
2009 by market sector.
Interest Rates. Interest rate movements directly affect the price of the futures and
forward positions held by the Partnership/Funds 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 Partnerships/Funds profitability. The
Partnerships/Funds primary interest rate exposure is to interest rate fluctuations in the United
States and the other G-8 countries. However, the Partnership/Funds also take futures positions on
the government debt of smaller nations e.g., Australia.
Currencies. The Partnerships/Funds currency exposure is subject 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/Managing Member does not
anticipate that the risk profile of the Partnerships/Funds 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 U.S. dollar-based Partnership/Funds in expressing Value at Risk in a
functional currency other than U.S. dollars.
Stock Indices. The Partnerships/Funds primary equity exposure is to equity price
risk in the G-8 countries. The stock index futures traded by the Partnership/Funds are limited to
futures on broadly based indices. As of December 31, 2009 the Partnerships/Funds primary
exposures were in the Sydney Futures Exchange (SFE) stock indices. The General Partner/Managing
Member anticipates little, if any, trading in non-G-8 stock indices. The Partnership/Funds are
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 Partnership/Funds to avoid being whipsawed into numerous small losses.)
27
Metals. The Partnerships/Funds primary metal market exposure is to fluctuations in
the price of gold and silver. Although the
Advisors will from time to time trade base metals such as copper, the principal market
exposures of the Partnership/Funds have consistently been in the precious metals, gold and silver.
Softs. The Partnerships/Funds primary commodities exposure is to agricultural price
movements which are often directly affected by severe or unexpected weather conditions. Coffee,
cotton and sugar accounted for the bulk of the Partnerships/Funds commodity exposure.
Energy. The Partnerships/Funds primary energy market exposure is to natural 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.
Grains. The Partnerships/Funds commodities exposure is to agricultural price
movements which are often directly affected by severe or unexpected weather conditions.
Qualitative Disclosures Regarding Non-Trading Risk Exposure
The following were the only non-trading risk exposures of the Partnership/Funds as of December
31, 2009.
Foreign Currency Balances. The Partnerships/Funds primary foreign currency balances
are in Japanese yen, Euro and British pounds. The Advisors regularly convert foreign currency
balances to dollars in an attempt to control the Partnerships/Funds non-trading risk.
Qualitative Disclosures Regarding Means of Managing Risk Exposure
The General Partner/managing member monitors and controls the Partnerships/Funds risk
exposure on a daily basis through financial, credit and risk management monitoring systems and
accordingly believes that it has effective procedures for evaluating and limiting the credit and
market risks to which the Partnership/Funds are subject.
The General Partner/managing member monitors the Partnerships/Funds performance and the
concentration of its open positions, and consults with the Advisors
concerning the Partnerships/Funds
overall risk profile. If the General Partner/managing member felt it necessary to do so, the General
Partner/managing member could require the Advisors to close out individual positions as well as
enter certain positions traded on behalf of the Partnership/Funds. However, any such intervention would
be a highly unusual event. The General Partner/managing member primarily relies on the Advisors
own risk control policies while maintaining a general supervisory overview of the
Partnerships/Funds market risk exposures.
The Advisors apply their own risk management policies to their trading. The Advisors often
follow diversification guidelines, margin limits and stop loss points to exit a position. The
Advisors research of risk management often suggests ongoing modifications to their trading
programs.
As part of the General Partners/managing members risk management, the General Partner
periodically meets with the Advisors to discuss their risk management and to look for any material
changes to the Advisors portfolio balance and trading techniques. The Advisors are required to
notify the General Partner of any material changes to their programs.
28
\
Item 8. Financial Statements and Supplementary Data.
TACTICAL DIVERSIFIED FUTURES FUND L.P.
INDEX TO FINANCIAL STATEMENTS
|
|
|
|
|
Page |
|
|
Number |
Oath or Affirmation
|
|
F-3 |
Managements Report on Internal Control over Financial Reporting
|
|
F-4 |
Reports of Independent Registered Public Accounting Firms
|
|
F-5 F-9 |
Financial Statements: |
|
|
Statements of Financial Condition at December 31, 2009 and 2008
|
|
F-10 |
Condensed Schedules of Investments at December 31, 2009 and 2008
|
|
F-11 F-12 |
Statements of Income and Expenses for the years ended December 31, 2009, 2008 and 2007
|
|
F-13 |
Statements
of Changes in Patners Capital for the years ended December 31, 2009, 2008 and 2007
|
|
F-14 |
Notes to Financial Statements
|
|
F-15 F-28 |
Selected Unaudited Quarterly Financial Data
|
|
F-29 |
Financial Statements of AAA Master Fund LLC |
|
|
Oath or Affirmation
|
|
F-30 |
Reports of Independent Registered Public Accounting Firms
|
|
F-31 F-33 |
Statements of Financial Condition at December 31, 2009 and 2008
|
|
F-34 |
Condensed Schedules of Investments at December 31, 2009 and 2008
|
|
F-35 F-36 |
Statements of Income and Expenses for the years ended December 31, 2009, 2008 and 2007
|
|
F-37 |
Statements of Changes in Members Capital for the years ended December 31, 2009, 2008 and 2007
|
|
F-38 |
Notes to Financial Statements
|
|
F-39 F-47 |
Selected Unaudited Quarterly Financial Data
|
|
F-48 |
Financial Statements of CMF Aspect Master Fund L.P. |
|
|
Oath or Affirmation
|
|
F-49 |
Reports of Independent Registered Public Accounting Firms
|
|
F-50 F-52 |
Statements of Financial Condition at December 31, 2009 and 2008
|
|
F-53 |
Condensed Schedules of Investments at December 31, 2009 and 2008
|
|
F-54 F-55 |
Statements of Income and Expenses for the years ended December 31, 2009, 2008 and 2007
|
|
F-56 |
Statements of Changes in Partners Capital for the years ended December 31, 2009, 2008 and 2007
|
|
F-57 |
Notes to Financial Statements
|
|
F-58 F-66 |
Selected Unaudited Quarterly Financial Data
|
|
F-67 |
Financial Statements of CMF Capital Fund Management Master Fund L.P. |
|
|
Oath or Affirmation
|
|
F-68 |
Reports of Independent Registered Public Accounting Firms
|
|
F-69 F-71 |
Statements of Financial Condition at December 31, 2009 and 2008
|
|
F-72 |
Condensed Schedules of Investments at December 31, 2009 and 2008
|
|
F-73 F-74 |
Statements of Income and Expenses for the years ended December 31, 2009, 2008 and 2007
|
|
F-75 |
Statements of Changes in Partners Capital for the years ended December 31, 2009, 2008 and 2007
|
|
F-76 |
Notes to Financial Statements
|
|
F-77 F-84 |
Selected Unaudited Quarterly Financial Data
|
|
F-85 |
Financial Statements of CMF Drury Capital Master Fund L.P. |
|
|
Oath or Affirmation
|
|
F-86 |
Reports of Independent Registered Public Accounting Firms
|
|
F-87 F-89 |
Statements of Financial Condition at December 31, 2009 and 2008
|
|
F-90 |
Condensed Schedules of Investments at December 31, 2009 and 2008
|
|
F-91 F-92 |
Statements of Income and Expenses for the years ended December 31, 2009, 2008 and 2007
|
|
F-93 |
Statements of Changes in Partners Capital for the years ended December 31, 2009, 2008 and 2007
|
|
F-94 |
Notes to Financial Statements
|
|
F-95 F-103 |
Selected Unaudited Quarterly Financial Data
|
|
F-104 |
Financial Statements of CMF Willowbridge Argo Master Fund L.P. |
|
|
Oath or Affirmation
|
|
F-105 |
Reports of Independent Registered Public Accounting Firms
|
|
F-106 F-108 |
Statements of Financial Condition at December 31, 2009 and 2008
|
|
F-109 |
Condensed Schedules of Investments at December 31, 2009 and 2008
|
|
F-110 F-111 |
Statements of Income and Expenses for the years ended December 31, 2009, 2008 and 2007
|
|
F-112 |
F-1
|
|
|
|
|
Page |
|
|
Number |
Statements of Changes in Partners Capital for the years ended December 31, 2009, 2008 and 2007
|
|
F-113 |
Notes to Financial Statements
|
|
F-114 F-121 |
Selected Unaudited Quarterly Financial Data
|
|
F-122 |
Financial Statements of CMF Winton Master L.P.
Oath or Affirmation
|
|
F-123 |
Reports of Independent Registered Public Accounting Firms
|
|
F-124 F-126 |
Statements of Financial Condition at December 31, 2009 and 2008
|
|
F-127 |
Condensed Schedules of Investments at December 31, 2009 and 2008
|
|
F-128 F-129 |
Statements of Income and Expenses for the years ended December 31, 2009, 2008 and 2007
|
|
F-130 |
Statements of Changes in Partners Capital for the years ended December 31, 2009, 2008 and 2007
|
|
F-131 |
Notes to Financial Statements
|
|
F-132 F-141 |
Selected Unaudited Quarterly Financial Data
|
|
F-142 |
Financial Statements of CMF Graham Capital Master Fund L.P. |
|
|
Oath or Affirmation
|
|
F-143 |
Reports of Independent Registered Public Accounting Firms
|
|
F-144 F-146 |
Statements of Financial Condition at December 31, 2009 and 2008
|
|
F-147 |
Condensed Schedules of Investments at December 31, 2009 and 2008
|
|
F-148 F-149 |
Statements of Income and Expenses for the years ended December 31, 2009, 2008 and 2007
|
|
F-150 |
Statements of Changes in Partners Capital for the years ended December 31, 2009, 2008 and 2007
|
|
F-151 |
Notes to Financial Statements
|
|
F-152 F-160 |
Selected Unaudited Quarterly Financial Data
|
|
F-161 |
Financial Statements of CMF SandRidge Master Fund L.P. |
|
|
Oath or Affirmation
|
|
F-162 |
Reports of Independent Registered Public Accounting Firms
|
|
F-163 F-165 |
Statements of Financial Condition at December 31, 2009 and 2008
|
|
F-166 |
Condensed Schedules of Investments at December 31, 2009 and 2008
|
|
F-167 F-168 |
Statements of Income and Expenses for the years ended December 31, 2009,2008 and 2007
|
|
F-169 |
Statements of Changes in Partners Capital for the years ended December 31, 2009, 2008 and 2007
|
|
F-170 |
Notes to Financial Statements
|
|
F-171 F-178 |
Selected Unaudited Quarterly Financial Data
|
|
F-179 |
F-2
TABLE OF CONTENTS
|
|
|
|
|
|
|
|
|
PART I |
| Item 1. Business |
| Item 1A. Risk Factors |
| Item 2. Properties |
| Item 3. Legal Proceedings |
| Item 4. [Removed and Reserved] |
PART II |
| Item 5. Market for Registrants Common Equity, Related Security Holder Matters and Issuer Purchase of Equity Securities |
| Item 6. Selected Financial Data |
| Item 7. Managements Discussion and Analysis of Financial Condition and Results of Operations |
| Item 7A. Quantitative and Qualitative Disclosures about Market Risk |
| Item 8. Financial Statements and Supplementary Data |
To the Limited Partners of Tactical Diversified Futures Fund L.P. |
Managements Report on Internal Control Over Financial Reporting |
Statements of Financial Condition December 31, 2009 and 2008 |
Condensed Schedule of Investments December 31, 2009 |
Condensed Schedule of Investments December 31, 2008 |
Statements of Income and Expenses |
Statements of Changes in Partners Capital |
Notes to Financial Statements |
To the Members of AAA Master Fund LLC |
Statements of Financial Condition December 31, 2009 and 2008 |
Condensed Schedule of Investments December 31, 2009 |
Condensed Schedule of Investments December 31, 2008 |
Statements of Income and Expenses for the years ended December 31, 2009, 2008 and 2007 |
Statements of Changes in Members Capital for the years ended December 31, 2009, 2008 and 2007 |
Notes to Financial Statements December 31, 2009 |
Statements of Financial Condition |
Condensed Schedule of Investments |
Condensed Schedule of Investments |
Statements of Income and Expenses |
Statements of Changes in Partners Capital |
Notes to Financial Statements December 31, 2009 |
To the Limited Partners of CMF Capital Fund Management Master Fund L.P. |
Statements of Financial Condition |
Condensed Schedule of Investments |
Condensed Schedule of Investments |
Statements of Income and Expenses |
Statements of Changes in Partners Capital |
Notes to Financial Statements December 31, 2009 |
To the Limited Partners of CMF Drury Capital Master Fund L.P. |
Statements of Financial Condition December 31, 2009 and 2008 |
Condensed Schedule of Investments December 31, 2009 |
Condensed Schedule of Investments December 31, 2008 |
Statements of Income and Expenses 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 |
Notes to Financial Statements December 31, 2009 |
To the Limited Partners of CMF Willowbridge Argo Master Fund L.P. |
CMF Willowbridge Argo Master Fund L.P. Statements of Financial Condition December 31, 2009 and 2008 |
Condensed Schedule of Investments December 31, 2009 |
Condensed Schedule of Investments December 31, 2008 |
Statements of Income and Expenses 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 |
CMF Willowbridge Argo Master Fund L.P. Notes to Financial Statements December 31, 2009 |
Statements of Financial Condition |
Condensed Schedule of Investments |
Condensed Schedule of Investments |
Statements of Income and Expenses |
Statements of Changes in Partners Capital |
Notes to Financial Statements December 31, 2009 |
CMF Graham Capital Master Fund L.P. |
Statements of Financial Condition |
Condensed Schedule of Investments |
Condensed Schedule of Investments |
Statements of Income and Expenses |
Statements of Changes in Partners Capital |
Notes to Financial Statements |
To the Limited Partners of CMF SandRidge Master Fund L.P. |
Statements of Financial Condition |
Condensed Schedule of Investments |
Condensed Schedule of Investments |
Statements of Income and Expenses for the years ended |
Statements of Changes in Partners Capital |
Notes to Financial Statements |
| Item 9. Changes in and Disagreements with Accountants on Accounting and Financial Disclosure |
| Item 9A(T). Controls and Procedures |
| Item 9B. Other Information |
PART III |
| Item 10. Directors and Executive Officers of the Registrant |
| Item 11. Executive Compensation |
| Item 12. Security Ownership of Certain Beneficial Owners and Management |
| Item 13. Certain Relationship and Related Transactions |
| Item 14. Principal Accountant Fees and Services |
PART IV |
| Item 15. Exhibits and Financial Statement Schedules |
SIGNATURES |
EX-10.3.A |
EX-10.4.A |
EX-10.5.A |
EX-10.6.A |
EX-10.7.A |
EX-10.9.A |
EX-10.10.A |
EX-10.11.A |
EX-31.1 |
EX-31.2 |
EX-32.1 |
EX-32.2 |
To the Limited
Partners of
Tactical Diversified Futures Fund L.P.
To the best of the knowledge and belief of the undersigned, the
information contained herein is accurate and complete.
Chief Financial Officer and Director
Ceres Managed Futures LLC
General Partner,
Tactical Diversified Futures Fund L.P.
Ceres Managed Futures LLC
55 East 59th Street
10th Floor
New York, N.Y. 10022
212-559-2011
F-3
Managements
Report on Internal Control Over
Financial Reporting
The management of Tactical Diversified Futures Fund L.P.
(formerly, Citigroup Diversified 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
Partnerships 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 Partnerships 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 Partnerships 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 Tactical Diversified Futures Fund L.P.
has assessed the effectiveness of the Partnerships
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, 2008 based on the criteria
referred to above.
The Partnerships independent registered public accounting
firm, Deloitte & Touche LLP, has audited the effectiveness
of the Partnerships 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,
Tactical Diversified Futures Fund L.P.
F-4
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Partners of
Tactical Diversified Futures Fund L.P.:
We have audited the accompanying statement of financial condition of Tactical Diversified Futures
Fund 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. We also have audited the Partnerships 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 Partnerships
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 Managements Report on Internal Control over
Financial Reporting. Our responsibility is to express an opinion on these financial statements and
an opinion on the Partnerships internal control over financial reporting 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, 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 partnerships internal control over financial reporting is a process designed by, or under the
supervision of, the partnerships principal executive and principal financial officers, or persons
performing similar functions, and effected by the partnerships 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 partnerships 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 Partnerships assets that could
have a material effect on the financial statements.
F-5
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 Tactical Diversified 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
F-6
Report of Independent Registered Public Accounting Firm
To the Partners of
Tactical Diversified 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 Tactical Diversified Futures Fund L.P. (formerly known as
Citigroup Diversified 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 Partnerships 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 Managements Report on Internal Control over Financial Reporting. Our
responsibility is to express opinions on these financial statements and on the Partnerships
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 companys 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
companys 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 companys assets that could have a material
effect on the financial statements.
F-7
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
F-8
Report of Independent Registered Public Accounting Firm
The Partners
Tactical Diversified Futures Fund L.P.:
We have audited the accompanying statements of income and expenses and changes in partners capital
of Tactical Diversified Futures Fund L.P. (formerly, Citigroup Diversified Futures Fund L.P.) for
the year ended December 31, 2007. These financial statements are the responsibility of the
Partnerships 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 Tactical Diversified
Futures 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
F-9
Tactical
Diversified Futures Fund L.P.
Statements of Financial Condition
December 31, 2009 and 2008
|
|
|
|
|
|
|
|
|
|
|
2009
|
|
|
2008
|
|
|
Assets:
|
|
|
|
|
|
|
|
|
Investment in Partnerships, at fair value (Note 5)
|
|
$
|
769,374,582
|
|
|
$
|
1,044,481,163
|
|
Equity in trading account:
|
|
|
|
|
|
|
|
|
Cash (Note 3c)
|
|
|
34,398,435
|
|
|
|
22,416,754
|
|
Cash margin (Note 3c)
|
|
|
2,260,585
|
|
|
|
1,826,064
|
|
Net unrealized appreciation on open futures contracts
|
|
|
389,833
|
|
|
|
1,066,300
|
|
|
|
|
|
|
|
|
|
|
|
|
|
806,423,435
|
|
|
|
1,069,790,281
|
|
Interest receivable (Note 3c)
|
|
|
412
|
|
|
|
362
|
|
|
|
|
|
|
|
|
|
|
Total assets
|
|
$
|
806,423,847
|
|
|
$
|
1,069,790,643
|
|
|
|
|
|
|
|
|
|
|
Liabilities and Partners Capital:
|
|
|
|
|
|
|
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
Accrued expenses:
|
|
|
|
|
|
|
|
|
Brokerage commissions (Note 3c)
|
|
$
|
3,696,108
|
|
|
$
|
4,903,208
|
|
Management fees (Note 3b)
|
|
|
1,295,876
|
|
|
|
1,706,336
|
|
Incentive fees (Note 3b)
|
|
|
643,364
|
|
|
|
13,265,102
|
|
Professional fees
|
|
|
230,955
|
|
|
|
596,629
|
|
Other
|
|
|
171,573
|
|
|
|
93,929
|
|
Redemptions payable (Note 6)
|
|
|
10,846,689
|
|
|
|
31,754,585
|
|
|
|
|
|
|
|
|
|
|
Total liabilities
|
|
|
16,884,565
|
|
|
|
52,319,789
|
|
|
|
|
|
|
|
|
|
|
Partners Capital (Notes 1 and 6):
|
|
|
|
|
|
|
|
|
General Partner, 7,513.5294 and 9,701.7842 Unit equivalents
outstanding at December 31, 2009 and 2008, respectively
|
|
|
9,111,732
|
|
|
|
12,519,764
|
|
Limited Partners, 643,539.8299 and 778,756.5669 Redeemable Units
of Limited Partnership Interest outstanding at December 31,
2009 and 2008, respectively
|
|
|
780,427,550
|
|
|
|
1,004,951,090
|
|
|
|
|
|
|
|
|
|
|
Total partners capital
|
|
|
789,539,282
|
|
|
|
1,017,470,854
|
|
|
|
|
|
|
|
|
|
|
Total liabilities and partners capital
|
|
$
|
806,423,847
|
|
|
$
|
1,069,790,643
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-10
Tactical
Diversified Futures Fund, L.P.
Condensed Schedule of Investments
December 31, 2009
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Number of
|
|
|
|
|
|
% of Partners
|
|
|
|
Contracts
|
|
|
Fair Value
|
|
|
Capital
|
|
|
Futures Contracts Purchased
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy
|
|
|
25
|
|
|
$
|
(58,174
|
)
|
|
|
(0.01
|
)%
|
Grains
|
|
|
100
|
|
|
|
(20,637
|
)
|
|
|
0.00
|
*
|
Indices
|
|
|
50
|
|
|
|
95,922
|
|
|
|
0.01
|
|
Interest Rates Non U.S.
|
|
|
144
|
|
|
|
(78,253
|
)
|
|
|
(0.01
|
)
|
Softs
|
|
|
204
|
|
|
|
409,718
|
|
|
|
0.05
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures contracts purchased
|
|
|
|
|
|
|
348,576
|
|
|
|
0.04
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts Sold
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
|
116
|
|
|
|
75,606
|
|
|
|
0.01
|
|
Energy
|
|
|
23
|
|
|
|
(86,875
|
)
|
|
|
(0.01
|
)
|
Grains
|
|
|
50
|
|
|
|
(26,538
|
)
|
|
|
(0.00
|
)*
|
Interest Rates U.S.
|
|
|
51
|
|
|
|
16,469
|
|
|
|
0.00
|
*
|
Interest Rates Non U.S.
|
|
|
20
|
|
|
|
(28,875
|
)
|
|
|
(0.00
|
)*
|
Softs
|
|
|
176
|
|
|
|
91,470
|
|
|
|
0.01
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures contracts sold
|
|
|
|
|
|
|
41,257
|
|
|
|
0.01
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment in Partnerships
|
|
|
|
|
|
|
|
|
|
|
|
|
CMF Drury Capital Master Fund L.P.
|
|
|
|
|
|
|
102,802,718
|
|
|
|
13.02
|
|
CMF Willowbridge Argo Master Fund L.P.
|
|
|
|
|
|
|
71,165,944
|
|
|
|
9.01
|
|
CMF Aspect Master Fund L.P.
|
|
|
|
|
|
|
99,623,421
|
|
|
|
12.62
|
|
CMF Capital Fund Management Master Fund L.P.
|
|
|
|
|
|
|
148,578,532
|
|
|
|
18.82
|
|
CMF Winton Master L.P.
|
|
|
|
|
|
|
98,783,450
|
|
|
|
12.51
|
|
AAA Master Fund LLC
|
|
|
|
|
|
|
80,949,560
|
|
|
|
10.25
|
|
CMF Graham Capital Master Fund L.P.
|
|
|
|
|
|
|
87,454,721
|
|
|
|
11.08
|
|
CMF SandRidge Master Fund L.P.
|
|
|
|
|
|
|
80,016,236
|
|
|
|
10.14
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total investment in Partnerships
|
|
|
|
|
|
|
769,374,582
|
|
|
|
97.45
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
|
|
|
|
$
|
769,764,415
|
|
|
|
97.50
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-11
Tactical
Diversified Futures Fund, L.P.
Condensed Schedule of Investments
December 31, 2008
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Number of
|
|
|
|
|
|
% of Partners
|
|
|
|
Contracts
|
|
|
Fair Value
|
|
|
Capital
|
|
|
Futures Contracts Purchased
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
|
85
|
|
|
$
|
21,063
|
|
|
|
0.00
|
*%
|
Grains
|
|
|
9
|
|
|
|
(738
|
)
|
|
|
(0.00
|
)*
|
Interest Rates U.S.
|
|
|
116
|
|
|
|
644,683
|
|
|
|
0.06
|
|
Interest Rates Non U.S.
|
|
|
142
|
|
|
|
209,160
|
|
|
|
0.02
|
|
Metals
|
|
|
9
|
|
|
|
37,600
|
|
|
|
0.01
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures contracts purchased
|
|
|
|
|
|
|
911,768
|
|
|
|
0.09
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts Sold
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
|
24
|
|
|
|
16,212
|
|
|
|
0.00
|
*
|
Energy
|
|
|
68
|
|
|
|
101,398
|
|
|
|
0.01
|
|
Grains
|
|
|
18
|
|
|
|
(23,868
|
)
|
|
|
(0.00
|
)*
|
Indices
|
|
|
10
|
|
|
|
(1,641
|
)
|
|
|
(0.00
|
)*
|
Softs
|
|
|
68
|
|
|
|
62,431
|
|
|
|
0.01
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures contracts sold
|
|
|
|
|
|
|
154,532
|
|
|
|
0.02
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment in Partnerships
|
|
|
|
|
|
|
|
|
|
|
|
|
CMF Drury Capital Master Fund L.P.
|
|
|
|
|
|
|
154,127,975
|
|
|
|
15.15
|
|
CMF Willowbridge Argo Master Fund L.P.
|
|
|
|
|
|
|
126,449,928
|
|
|
|
12.43
|
|
CMF Aspect Master Fund L.P.
|
|
|
|
|
|
|
162,328,063
|
|
|
|
15.95
|
|
CMF Capital Fund Management Master Fund L.P.
|
|
|
|
|
|
|
171,427,475
|
|
|
|
16.85
|
|
CMF Winton Master L.P.
|
|
|
|
|
|
|
149,948,887
|
|
|
|
14.74
|
|
AAA Master Fund LLC
|
|
|
|
|
|
|
136,584,029
|
|
|
|
13.42
|
|
CMF Graham Capital Master Fund L.P.
|
|
|
|
|
|
|
113,642,734
|
|
|
|
11.17
|
|
CMF Avant Master Fund L.P.
|
|
|
|
|
|
|
29,972,072
|
|
|
|
2.94
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total investment in Partnerships
|
|
|
|
|
|
|
1,044,481,163
|
|
|
|
102.65
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
|
|
|
|
$
|
1,045,547,463
|
|
|
|
102.76
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-12
Tactical
Diversified Futures Fund L.P.
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 and
investment in Partnerships:
|
|
|
|
|
|
|
|
|
|
|
|
|
Net realized gains (losses) on closed contracts
|
|
$
|
(5,239,963
|
)
|
|
$
|
13,540,158
|
|
|
$
|
(187,465
|
)
|
Net realized gains (losses) on investment in Partnerships
|
|
|
97,401,760
|
|
|
|
279,286,109
|
|
|
|
115,862,369
|
|
Change in net unrealized gains (losses) on open contracts
|
|
|
(676,467
|
)
|
|
|
641,199
|
|
|
|
(3,079,534
|
)
|
Change in net unrealized gains (losses) on investment in
Partnerships
|
|
|
(72,366,566
|
)
|
|
|
32,136,354
|
|
|
|
(9,127,400
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gain (loss) from trading, net
|
|
|
19,118,764
|
|
|
|
325,603,820
|
|
|
|
103,467,970
|
|
Interest income (Note 3c)
|
|
|
21,052
|
|
|
|
162,765
|
|
|
|
1,726,794
|
|
Interest income from investment in Partnerships
|
|
|
550,272
|
|
|
|
8,443,472
|
|
|
|
27,316,770
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total income (loss)
|
|
|
19,690,088
|
|
|
|
334,210,057
|
|
|
|
132,511,534
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses:
|
|
|
|
|
|
|
|
|
|
|
|
|
Brokerage commissions including clearing fees (Note 3c)
|
|
|
50,422,263
|
|
|
|
54,081,006
|
|
|
|
51,503,887
|
|
Management fees (Note 3b)
|
|
|
16,494,222
|
|
|
|
17,779,951
|
|
|
|
16,370,092
|
|
Incentive fees (Note 3b)
|
|
|
6,244,781
|
|
|
|
30,928,566
|
|
|
|
3,786,958
|
|
Professional fees
|
|
|
557,048
|
|
|
|
1,460,873
|
|
|
|
969,853
|
|
Other
|
|
|
304,390
|
|
|
|
403,655
|
|
|
|
377,520
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses
|
|
|
74,022,704
|
|
|
|
104,654,051
|
|
|
|
73,008,310
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss)
|
|
$
|
(54,332,616
|
)
|
|
$
|
229,556,006
|
|
|
$
|
59,503,224
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss) per Redeemable Unit of Limited Partnership
Interest and General Partner Unit equivalent (Notes 1 and 7)
|
|
$
|
(77.75
|
)
|
|
$
|
283.85
|
|
|
$
|
70.82
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Weighted average units outstanding
|
|
|
679,812.2725
|
|
|
|
810,237.3418
|
|
|
|
899,851.2908
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-13
Tactical
Diversified Futures Fund L.P.
Statements of Changes in Partners Capital
for the years ended
December 31, 2009, 2008 and 2007
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Limited
|
|
|
General
|
|
|
|
|
|
|
Partners
|
|
|
Partner
|
|
|
Total
|
|
|
Partners Capital at December 31, 2006
|
|
$
|
886,833,326
|
|
|
$
|
8,234,691
|
|
|
$
|
895,068,017
|
|
Net income (loss)
|
|
|
58,880,028
|
|
|
|
623,196
|
|
|
|
59,503,224
|
|
Sale of 103,235.6457 Redeemable Units of Limited Partnership
Interest
|
|
|
96,929,000
|
|
|
|
|
|
|
|
96,929,000
|
|
Redemption of 245,925.1928 Redeemable Units of Limited
Partnership Interest
|
|
|
(232,324,170
|
)
|
|
|
|
|
|
|
(232,324,170
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Partners Capital at December 31, 2007
|
|
|
810,318,184
|
|
|
|
8,857,887
|
|
|
|
819,176,071
|
|
Net income (loss)
|
|
|
226,894,129
|
|
|
|
2,661,877
|
|
|
|
229,556,006
|
|
Sale of 181,317.5434 Redeemable Units of Limited Partnership
Interest and General Partners contribution representing
902.0630 Unit equivalents
|
|
|
206,908,278
|
|
|
|
1,000,000
|
|
|
|
207,908,278
|
|
Redemption of 207,556.2917 Redeemable Units of Limited
Partnership Interest
|
|
|
(239,169,501
|
)
|
|
|
|
|
|
|
(239,169,501
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Partners Capital at December 31, 2008
|
|
|
1,004,951,090
|
|
|
|
12,519,764
|
|
|
|
1,017,470,854
|
|
Net income (loss)
|
|
|
(53,605,656
|
)
|
|
|
(726,960
|
)
|
|
|
(54,332,616
|
)
|
Sale of 51,211.7956 Redeemable Units of Limited Partnership
Interest
|
|
|
63,653,869
|
|
|
|
|
|
|
|
63,653,869
|
|
Redemption of 186,428.5326 Redeemable Units of Limited
Partnership Interest and 2,188.2548 General Partner Unit
equivalents
|
|
|
(234,571,753
|
)
|
|
|
(2,681,072
|
)
|
|
|
(237,252,825
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Partners Capital at December 31, 2009
|
|
$
|
780,427,550
|
|
|
$
|
9,111,732
|
|
|
$
|
789,539,282
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Asset Value per Unit:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2007:
|
|
$
|
1,006.61
|
|
|
|
|
|
|
|
|
|
|
|
2008:
|
|
$
|
1,290.46
|
|
|
|
|
|
|
|
|
|
|
|
2009:
|
|
$
|
1,212.71
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-14
Tactical
Diversified Futures Fund L.P.
Notes to
Financial Statements
December 31, 2009
|
|
1.
|
Partnership
Organization:
|
Tactical Diversified Futures Fund L.P. (formerly, Citigroup
Diversified Futures Fund L.P.) (the
Partnership) is a limited partnership organized
under the partnership laws of the State of New York on
December 3, 2002 to engage, directly or indirectly, 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 Partnership are volatile and
involve a high degree of market risk.
Between March 27, 2003 (commencement of the offering
period) and April 30, 2003, 36,616 redeemable units of
Limited Partnership Interest (Redeemable Units) were
sold at $1,000 per Redeemable Unit. The proceeds of the initial
offering were held in an escrow account until April 30,
2003, at which time they were turned over to the Partnership for
trading. The Partnership was authorized to sell 300,000
Redeemable Units during its initial offering period. As of
December 4, 2003, the Partnership was authorized to sell an
additional 700,000 Redeemable Units. As of October 7, 2004,
the Partnership was authorized to sell an additional 1,000,000
Redeemable Units. As of June 30, 2005, the Partnership was
authorized to publicly offer the 2,000,000 Redeemable Units
previously registered. The public offering of Redeemable Units
terminated on November 30, 2008. The Partnership currently
privately and continuously offers up to 200,000 Redeemable Units
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.
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, 2022; the Net Asset Value per
Redeemable Unit decreases to less than $400 per Redeemable Unit
as of the close of any business day; or under certain other
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 (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.
F-15
Tactical
Diversified Futures Fund L.P.
Notes to Financial Statements
December 31, 2009
|
|
|
|
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 Partnerships 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.
|
Partnerships and the Funds
Investments. All commodity interests (including
derivative financial instruments and derivative commodity
instruments) are held for trading purposes. The commodity
interests are recorded on trade date and open contracts are
recorded at fair value (as described below) at the measurement
date. Investments in commodity interests denominated in foreign
currencies are translated into U.S. dollars at the exchange
rates prevailing at the measurement date. Gains or losses are
realized when contracts are liquidated. Unrealized gains or
losses on open contracts are included as a component of equity
in trading account on the 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.
|
|
|
|
|
|
Partnerships and the Funds Fair Value
Measurements. The Partnership and the Funds (as
defined in note 5 Investment in Partnerships)
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 and the Funds 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 and the Funds 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 Partnerships Level 2 assets
and liabilities. The adoption of the amendments to ASC 820 had
no effect on the Partnerships Financial Statements.
F-16
Tactical
Diversified Futures Fund L.P.
Notes to Financial Statements
December 31, 2009
The Partnership and the Funds consider prices for exchange
traded commodity futures, forwards and options contracts to be
based on unadjusted quoted prices in active markets for
identical assets (Level 1). The values of non-exchange
traded forwards, swaps and certain options contracts for which
market quotations are not readily available are priced by
broker-dealers who derive fair values for those assets from
observable inputs (Level 2). Investments in partnerships
(other commodity pools) where there are no other rights or
obligations inherent within the ownership interest held by the
Partnership are priced based on the end of the day net asset
value (Level 2). The value of the Partnerships
investments in partnerships reflects its proportional interest
in the partnerships. As of and for the years ended
December 31, 2009 and 2008, the Partnership and the Funds
did not hold any derivative instruments that are priced at fair
value using unobservable inputs through the application of
managements assumptions and internal valuation pricing
models (Level 3).
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Quoted Prices in
|
|
|
|
|
|
Significant
|
|
|
|
|
|
|
Active Markets for
|
|
|
Significant Other
|
|
|
Unobservable
|
|
|
|
|
|
|
Identical Assets
|
|
|
Observable Inputs
|
|
|
Inputs
|
|
|
|
12/31/2009
|
|
|
(Level 1)
|
|
|
(Level 2)
|
|
|
(Level 3)
|
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures
|
|
$
|
389,833
|
|
|
$
|
389,833
|
|
|
$
|
|
|
|
$
|
|
|
Investment in Partnerships
|
|
|
769,374,582
|
|
|
|
|
|
|
|
769,374,582
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
$
|
769,764,415
|
|
|
$
|
389,833
|
|
|
$
|
769,374,582
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Quoted Prices in
|
|
|
|
|
|
Significant
|
|
|
|
|
|
|
Active Markets for
|
|
|
Significant Other
|
|
|
Unobservable
|
|
|
|
|
|
|
Identical Assets
|
|
|
Observable Inputs
|
|
|
Inputs
|
|
|
|
12/31/2008
|
|
|
(Level 1)
|
|
|
(Level 2)
|
|
|
(Level 3)
|
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures
|
|
$
|
1,066,300
|
|
|
$
|
1,066,300
|
|
|
$
|
|
|
|
$
|
|
|
Investment in Partnerships
|
|
|
1,044,481,163
|
|
|
|
|
|
|
|
1,044,481,163
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
$
|
1,045,547,463
|
|
|
$
|
1,066,300
|
|
|
$
|
1,044,481,163
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
d.
|
Futures Contracts. The Partnership and the
Funds trade futures contracts. Exchange cleared swaps included
in futures and exchange cleared swaps are swaps that are traded
as futures. 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 Partnership and the Funds each business day, depending on
the daily fluctuations in the value of the underlying contracts,
and are recorded as unrealized gains or losses by the
Partnership and the Funds. When the contract is closed, the
Partnership and the Funds record a realized gain or loss equal
to the difference between the value of the contract at the time
it was opened and the value at the time it was closed. Because
transactions in futures contracts require participants to make
both initial margin deposits of cash or other assets and
variation margin deposits, through the futures broker, directly
with the exchange on which the contracts are traded, credit
exposure is limited. Realized gains (losses) and changes in
unrealized gains (losses) on futures contracts are included in
the Statements of Income and Expenses.
|
|
|
e.
|
Forward Foreign Currency Contracts. Foreign
currency contracts are those contracts where the Funds agree to
receive or deliver a fixed quantity of foreign currency for an
agreed-upon
price on an agreed future date. Foreign currency contracts are
valued daily, and the Funds net equity therein,
representing unrealized gain or loss on the contracts as
measured by the difference between the forward foreign exchange
rates at the dates of entry into the contracts and the
|
F-17
Tactical
Diversified Futures Fund L.P.
Notes to Financial Statements
December 31, 2009
|
|
|
|
|
forward rates at the reporting date, is included in the
Statements of Financial Condition. Realized gains (losses) and
changes in unrealized gains (losses) on foreign currency
contracts are recognized in the period in which the contract is
closed or the changes occur, respectively and are included in
the Statements of Income and Expenses.
|
The Funds do not isolate that portion of the results of
operations arising from the effect of changes in foreign
exchange rates on investments from fluctuations from changes in
market prices of investments held. Such fluctuations are
included in net gain (loss) on investments in the Statements of
Income and Expenses.
|
|
|
|
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 Funds are cash
settled based on prompt dates published by the LME. Payments
(variation margin) may be made or received by the
Funds each business day, depending on the daily fluctuations in
the value of the underlying contracts, and are recorded as
unrealized gains or losses by the Funds. A contract is
considered offset when all long positions have been matched with
short positions. When the contract is closed at the prompt date,
the Funds record a realized gain or loss equal to the difference
between the value of the contract at the time it was opened and
the value at the time it was closed. Because transactions in LME
contracts require participants to make both initial margin
deposits of cash or other assets and variation margin deposits,
through the broker, directly with the LME, credit exposure is
limited. Realized gains (losses) and changes in unrealized gains
(losses) on metal contracts are included in the Statements of
Income and Expenses.
|
|
|
|
|
g.
|
Options. The Funds may purchase and write
(sell) both exchange listed and
over-the-counter
options on commodities or financial instruments. An option is a
contract allowing, but not requiring, its holder to buy (call)
or sell (put) a specific or standard commodity or financial
instrument at a specified price during a specified time period.
The option premium is the total price paid or received for the
option contract. When the Funds write an option, the premium
received is recorded as a liability in the Statements of
Financial Condition and marked to market daily. When the Funds
purchase an option, the premium paid is recorded as an asset in
the Statements of Financial Condition and marked to market
daily. Realized gains (losses) and changes in unrealized gains
(losses) on options contracts are included in the Statements of
Income and Expenses.
|
|
|
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 Partnerships income and
expenses.
|
In 2007, the Partnership adopted 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 Partnerships
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 Partnerships financial statements.
The following is the major tax jurisdiction for the Partnership
and the earliest tax year subject to examination: United
States 2006.
|
|
|
|
i.
|
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
|
F-18
Tactical
Diversified Futures Fund L.P.
Notes to Financial Statements
December 31, 2009
|
|
|
|
|
accounting for and disclosure of events that occur after the
balance sheet date but before financial statements are issued or
available to be issued.
|
|
|
|
|
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 Partnerships 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 SECs 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 the current year presentation.
|
|
|
|
|
l.
|
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.
|
|
|
|
|
a.
|
Limited Partnership Agreement:
|
The General Partner administers the business and affairs of the
Partnership including selecting one or more advisors to make
trading decisions for the Partnership. The General Partner has
agreed to make capital contributions, if necessary, so that its
general partnership interest will be equal to the greater of
(1) an amount that will entitle the General Partner to an
interest of at least 1% in each material item of Partnership
income, gain, loss, deduction or credit and (2) the greater
of (i) 1% of the partners contributions to the
Partnership or (ii) $25,000.
The General Partner, on behalf of the Partnership, has entered
into management agreements (the Management
Agreement) with Drury Capital, Inc. (Drury),
Graham Capital Management L.P. (Graham), John W.
Henry & Company, Inc. (JWH), Willowbridge
Associates Inc. (Willowbridge), Aspect Capital
Limited (Aspect), Capital Fund Management S.A.
(CFM), Winton Capital Management Limited
(Winton), AAA Capital Management Advisors, Ltd.
(successor to AAA Capital Management, Inc.) (AAA)
and SandRidge Capital L.P. (SandRidge) (each an
Advisor and collectively, the Advisors),
each of which is a registered commodity trading advisor. Avant
Capital Management L.P. (Avant) was terminated as of
January 31, 2009. SandRidge was added as an advisor to the
Partnership on March 1, 2009. The Advisors are not affiliated
with one another, are not affiliated with the General Partner or
CGM and are not responsible for the organization or operation of
the Partnership. The Partnership will pay each Advisor a monthly
management fee equal to
1/6
of 1% (2% per year), except for Aspect, which will
F-19
Tactical
Diversified Futures Fund L.P.
Notes to Financial Statements
December 31, 2009
receive a monthly management fee equal to
1/12
of 1.5% (1.5% 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 months incentive fee accruals, the monthly
management fees and any redemptions or distributions as of the
end of such month. The Management Agreement may be terminated by
either party.
In addition, the Partnership is obligated to pay each Advisor an
incentive fee payable quarterly equal to 20% of the New Trading
Profits, as defined in the Management Agreements, earned by each
Advisor for the Partnership during each calendar quarter.
In allocating the assets of the Partnership among the trading
advisors, the General Partner considers past performance,
trading style, volatility of markets traded and fee
requirements. The General Partner may modify or terminate the
allocation of assets among the trading advisors and may allocate
assets to additional advisors at any time.
The Partnership has entered into a customer agreement (the
Customer Agreement) which provides that the
Partnership will pay CGM a monthly brokerage commission equal to
0.46% (5.5% per year) of month-end Net Assets, 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 months brokerage
commissions, incentive fee accruals, the monthly management fees
and other expenses and any redemptions or distributions as of
the end of such month. CGM will pay a portion of its brokerage
commissions to financial advisors who have sold Redeemable Units
in the Partnership. Brokerage commissions will be paid for the
life of the Partnership, although the rate at which such
commissions are paid may be changed. The Partnership will pay
for NFA fees, as well as exchange, clearing, user,
give-up and
floor brokerage fees (collectively the clearing
fees) directly and through its investment in the Funds.
All of the Partnerships assets, not held in the
Funds accounts at CGM, are deposited in the
Partnerships account at CGM. The Partnerships 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 amounts of cash held for
margin requirements were $2,260,585 and $1,826,064,
respectively. CGM has agreed to pay the Partnership interest on
80% of the average daily equity maintained in cash in the
Partnerships (or the Partnerships allocable portion
of a Funds) account during each month. The interest is
earned 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 Partnerships (or a Funds)
assets in
90-day
U.S. Treasury bills and pay the Partnership 80% of the
interest (or the Partnerships allocable share thereof)
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 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.
The Partnership was formed for the purpose of trading contracts
in a variety of commodity interests, including derivative
financial instruments and derivative commodity instruments. The
results of the Partnerships trading activities are shown
in the Statements of Income and Expenses.
The Customer Agreement between the Partnership and CGM gives the
Partnership the legal right to net unrealized gains and losses
on open futures contracts. The Partnership nets, for financial
reporting purposes, the unrealized gains and losses on open
futures contracts on the Statements of Financial
F-20
Tactical
Diversified Futures Fund L.P.
Notes to Financial Statements
December 31, 2009
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 Partnership are held
for trading purposes. The average number of futures contracts
traded for the year ended December 31, 2009 based on a
quarterly calculation, was 953.
Brokerage commissions are calculated as a percentage of the
Partnerships adjusted net asset value on the last day of
each month and are affected by trading performance, additions
and redemptions.
The Partnership 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 contracts as separate assets
and liabilities.
|
|
|
|
|
|
|
December 31, 2009
|
|
|
Assets
|
|
|
|
|
Futures Contracts
|
|
|
|
|
Currencies
|
|
$
|
86,594
|
|
Grains
|
|
|
28,112
|
|
Indices
|
|
|
95,922
|
|
Interest Rates U.S.
|
|
|
16,469
|
|
Softs
|
|
|
503,618
|
|
|
|
|
|
|
Total unrealized appreciation on open futures contracts
|
|
$
|
730,715
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
Futures Contracts
|
|
|
|
|
Currencies
|
|
$
|
(10,987
|
)
|
Energy
|
|
|
(145,049
|
)
|
Grains
|
|
|
(75,287
|
)
|
Interest Rates Non U.S.
|
|
|
(107,129
|
)
|
Softs
|
|
|
(2,430
|
)
|
|
|
|
|
|
Total unrealized depreciation on open futures contracts
|
|
$
|
(340,882
|
)
|
|
|
|
|
|
Net unrealized appreciation on open futures contracts
|
|
$
|
389,833
|
*
|
|
|
|
|
|
|
|
|
* |
|
This amount is in Net unrealized appreciation on open
futures contracts on the Statements of Financial Condition. |
F-21
Tactical
Diversified Futures Fund L.P.
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
|
|
$
|
(1,431,282
|
)
|
Energy
|
|
|
(2,217,992
|
)
|
Grains
|
|
|
(939,005
|
)
|
Indices
|
|
|
66,744
|
|
Interest Rates U.S.
|
|
|
(1,522,840
|
)
|
Interest Rates
Non-U.S.
|
|
|
(1,114,624
|
)
|
Metals
|
|
|
761,530
|
|
Softs
|
|
|
481,039
|
|
|
|
|
|
|
Total
|
|
$
|
(5,916,430
|
)
|
|
|
|
|
|
|
|
5.
|
Investment in
Partnerships:
|
The assets allocated to JWH for trading are invested directly
pursuant to JWHs Global Analytics Program.
On December 1, 2004, the assets allocated to Winton for
trading were invested in the CMF Winton Master L.P.
(Winton Master) a limited partnership organized
under the partnership laws of the State of New York. The
Partnership purchased 52,981.2908 units of Winton Master
with cash of $57,471,493. Winton Master was formed in order to
permit accounts managed now or in the future by Winton using the
Diversified Program, a proprietary, systematic trading system,
to invest together in one trading vehicle. The General Partner
is also the general partner of Winton Master. Individual and
pooled accounts currently managed by Winton, including the
Partnership are permitted to be limited partners of the Winton
Master. The General Partner and Winton believe that trading
through this structure should promote efficiency and economy in
the trading process.
On March 1, 2005, the assets allocated to Aspect for
trading were invested in the CMF Aspect Master Fund L.P.
(Aspect Master), a limited partnership organized
under the partnership laws of the State of New York. The
Partnership purchased 131,340.8450 units of Aspect Master
with cash of $122,786,448 and a contribution of open futures and
forward positions with a fair value of $8,554,397. Aspect Master
was formed in order to permit accounts managed now or in the
future by Aspect using the Diversified Program, a proprietary,
systematic trading system, to invest together in one trading
vehicle. The General Partner is also the general partner of
Aspect Master. Individual and pooled accounts currently managed
by Aspect, including the Partnership are permitted to be limited
partners of Aspect Master. The General Partner and Aspect
believe that trading through this structure should promote
efficiency and economy in the trading process.
On July 1, 2005, the assets allocated to Willowbridge for
trading were invested in the CMF Willowbridge Argo Master
Fund L.P. (Willowbridge Master), a limited
partnership organized under the partnership laws of the State of
New York. The Partnership purchased 95,795.8082 units of
Willowbridge Master with cash of $85,442,868 and a contribution
of open futures and forward positions with a fair value of
$10,352,940. Willowbridge Master was formed in order to permit
accounts managed now or in the future by Willowbridge using the
Argo Trading System, a proprietary, systematic trading system,
to invest together in one trading vehicle. The General Partner
is also the general partner of Willowbridge Master. Individual
and pooled accounts currently managed by Willowbridge, including
the Partnership are permitted to be limited partners of
Willowbridge Master. The General Partner and Willowbridge
believe that trading through this structure should promote
efficiency and economy in the trading process.
F-22
Tactical
Diversified Futures Fund L.P.
Notes to Financial Statements
December 31, 2009
On August 1, 2005, the assets allocated to Drury for
trading were invested in the CMF Drury Capital Master
Fund L.P. (Drury Master), a limited partnership
organized under the partnership laws of the State of New York.
The Partnership purchased 120,720.7387 units of Drury
Master with cash of $117,943,205 and a contribution of open
futures and forward positions with a fair value of $2,777,533.
Drury Master was formed in order to permit accounts managed now
or in the future by Drury using the Diversified Trend-Following
Program, a proprietary, systematic trading system, to invest
together in one trading vehicle. The General Partner is also the
general partner of Drury Master. Individual and pooled accounts
currently managed by Drury, including the Partnership are
permitted to be limited partners of Drury Master. The General
Partner and Drury believe that trading through this structure
should promote efficiency and economy in the trading process.
On August 1, 2005, the assets allocated to CFM for trading
were invested in the CMF Capital Fund Management Master
Fund L.P. (CFM Master), a limited partnership
organized under the partnership laws of the State of New York.
The Partnership purchased 159,434.0631 units of CFM Master
with cash of $157,804,021 and a contribution of open futures and
forward positions with a fair value of $1,630,043. CFM Master
was formed in order to permit accounts managed now or in the
future by CFM using the Discus Program, a proprietary,
systematic trading system, to invest together in one trading
vehicle. The General Partner is also the general partner of CFM
Master. Individual and pooled accounts currently managed by CFM,
including the Partnership are permitted to be limited partners
of CFM Master. The General Partner and CFM believe that trading
through this structure should promote efficiency and economy in
the trading process.
On October 1, 2005, the assets allocated to AAA for trading
were invested in the AAA Master Fund LLC, (formerly,
Citigroup AAA Master Fund LLC) (AAA Master) a
limited liability company which was organized under the limited
liability company laws of the State of New York. The Partnership
purchased 13,956.1190 units of the AAA Master with cash of
$50,000,000. The AAA Master was formed in order to permit
accounts managed now or in the future by AAA using the Energy
Program Futures and Swaps, a proprietary,
discretionary trading system, to invest in one trading vehicle.
The General Partner is the managing member of AAA Master.
Individual and pool accounts currently managed by AAA, including
the Partnership are permitted to be non-managing members of AAA
Master. The General Partner and AAA believe that trading through
this structure should promote efficiency and economy in the
trading process.
On June 1, 2006, the assets allocated to Graham for trading
were invested in the CMF Graham Capital Master Fund L.P.
(Graham Master), a limited partnership organized
under the partnership laws of the State of New York. The
Partnership purchased 101,486.0491 units of Graham Master
with cash of $103,008,482. Graham Master was formed in order to
permit accounts managed now or in the futures by Graham using
the K4D-12.5 Program, a proprietary, systematic trading system,
to invest together in one trading vehicle. The General Partner
is also the general partner of Graham Master. Individual and
pooled accounts currently managed by Graham, including the
Partnership are permitted to be limited partners of Graham
Master. The General Partner and Graham believe that trading
through this structure should promote efficiency and economy in
the trading process.
On July 1, 2006, the assets allocated to Avant for trading
were invested in the CMF Avant Master Fund L.P.
(Avant Master), a limited partnership organized
under the partnership laws of the State of New York. The
Partnership purchased 17,941.7382 units of Avant Master
with cash of $20,000,000. Avant Master was formed in order to
permit accounts managed now or in the future by Avant using the
Diversified Program, a proprietary, systematic trading system,
to invest together in one trading vehicle. The Partnership fully
redeemed its investment in Avant Master on January 31, 2009
for cash equal to $14,145,443.
On March 1, 2009, the assets allocated to SandRidge for
trading were in invested in the CMF SandRidge Master
Fund L.P. (SandRidge Master), a limited
partnership organized under the partnership laws of the State of
New York. The Partnership purchased 14,408.1177 Redeemable Units
of SandRidge
F-23
Tactical
Diversified Futures Fund L.P.
Notes to Financial Statements
December 31, 2009
Master with cash of $27,000,000. SandRidge Master was formed in
order to permit commodity pools managed now or in the future by
SandRidge using SandRidges Energy Program, a proprietary,
discretionary trading system, to invest together in one trading
vehicle. The General Partner is also the general partner of
SandRidge Master. Individual and pooled accounts currently
managed by SandRidge, including the Partnership, are permitted
to be limited partners of SandRidge Master. The General Partner
and SandRidge believe that trading through this structure should
promote efficiency and economy in the trading process.
Winton Masters, Aspect Masters, Drury Masters,
Willowbridge Masters, CFM Masters, AAA
Masters, Graham Masters and Sandridge Masters
(collectively, the Funds) and the Partnerships
trading of futures, forwards, swaps and options contracts, if
applicable, on commodities is done primarily on United States of
America commodity exchanges and foreign commodity exchanges. The
Funds and the Partnership engage in such trading through
commodity brokerage accounts maintained with CGM.
A Limited Partner/non-managing member may withdraw all or part
of their capital contribution and undistributed profits, if any,
from the Funds 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/managing
member at least 3 days in advance of the
Redemption Date. The Units are classified as a liability
when the Limited Partner/non-managing member elects to redeem
and inform the Funds.
Management and incentive fees are are charged at the Partnership
level. All clearing fees are borne by the Partnership directly
and through its investment in the Funds. All other fees
including CGMs direct brokerage commissions are charged at
the Partnership level.
At December 31, 2009, the Partnership owned approximately
89.2% of Drury Master, 30.8% of Willowbridge Master, 60.3% of
Aspect Master, 76.3% of CFM Master, 17.2% of Winton Master, 6.6%
of AAA Master, 51.1% of Graham Master and 11.7% of SandRidge
Master. At December 31, 2008, the Partnership owned
approximately 92.4% of Drury Master, 42.5% of Willowbridge
Master, 67.8% of Aspect Master, 84.0% of CFM Master, 27.4% of
Winton Master, 10.2% of AAA Master, 50.6% of Graham Master and
57.2% of Avant Master. It is the intention of the Partnership to
continue to invest in the Funds. The performance of the
Partnership is directly affected by the performance of the
Funds. Expenses to investors as a result of investment in the
Funds are approximately the same and the redemption rights are
not affected.
Summarized information reflecting the Total Assets, Liabilities
and Capital for the Funds are shown in the following tables.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2009
|
|
|
|
Total Assets
|
|
|
Total Liabilities
|
|
|
Total Capital
|
|
|
Drury Master
|
|
$
|
115,272,360
|
|
|
$
|
28,828
|
|
|
$
|
115,243,532
|
|
Willowbridge Master
|
|
|
231,147,799
|
|
|
|
42,482
|
|
|
|
231,105,317
|
|
Aspect Master
|
|
|
166,072,281
|
|
|
|
934,223
|
|
|
|
165,138,058
|
|
CFM Master
|
|
|
194,696,778
|
|
|
|
28,140
|
|
|
|
194,668,638
|
|
Winton Master
|
|
|
574,479,690
|
|
|
|
71,377
|
|
|
|
574,408,313
|
|
AAA Master
|
|
|
1,632,583,054
|
|
|
|
403,387,862
|
|
|
|
1,229,195,192
|
|
Graham Master
|
|
|
171,238,199
|
|
|
|
25,939
|
|
|
|
171,212,260
|
|
SandRidge Master
|
|
|
715,621,327
|
|
|
|
30,711,834
|
|
|
|
684,909,493
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
3,801,111,488
|
|
|
$
|
435,230,685
|
|
|
$
|
3,365,880,803
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
F-24
Tactical
Diversified Futures Fund L.P.
Notes to Financial Statements
December 31, 2009
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2008
|
|
|
|
Total Assets
|
|
|
Total Liabilities
|
|
|
Total Capital
|
|
|
Drury Master
|
|
$
|
166,832,228
|
|
|
$
|
16,757
|
|
|
$
|
166,815,471
|
|
Willowbridge Master
|
|
|
297,439,763
|
|
|
|
19,759
|
|
|
|
297,420,004
|
|
Aspect Master
|
|
|
240,236,167
|
|
|
|
881,834
|
|
|
|
239,354,333
|
|
CFM Master
|
|
|
204,219,612
|
|
|
|
189,265
|
|
|
|
204,030,347
|
|
Winton Master
|
|
|
547,770,185
|
|
|
|
18,642
|
|
|
|
547,751,543
|
|
AAA Master
|
|
|
1,962,984,697
|
|
|
|
624,353,598
|
|
|
|
1,338,631,099
|
|
Graham Master
|
|
|
224,787,639
|
|
|
|
296,697
|
|
|
|
224,490,942
|
|
Avant Master
|
|
|
67,629,391
|
|
|
|
15,257,355
|
|
|
|
52,372,036
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
3,711,899,682
|
|
|
$
|
641,033,907
|
|
|
$
|
3,070,865,775
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Summarized information reflecting the net gain (loss) from
trading, total income (loss) and net income (loss) for the Funds
are shown in the following tables.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the Year Ended December 31, 2009
|
|
|
|
Gain (Loss) from
|
|
|
Total Income
|
|
|
Net Income
|
|
|
|
Trading, Net
|
|
|
(Loss)
|
|
|
(Loss)
|
|
|
Drury Master
|
|
$
|
18,210,626
|
|
|
$
|
18,289,276
|
|
|
$
|
18,092,884
|
|
Willowbridge Master
|
|
|
(42,016,964
|
)
|
|
|
(41,821,187
|
)
|
|
|
(42,198,191
|
)
|
Aspect Master
|
|
|
(18,818,065
|
)
|
|
|
(18,684,829
|
)
|
|
|
(18,997,603
|
)
|
CFM Master
|
|
|
18,865,607
|
|
|
|
19,008,386
|
|
|
|
16,329,276
|
|
Winton Master
|
|
|
(25,033,464
|
)
|
|
|
(24,623,815
|
)
|
|
|
(25,021,263
|
)
|
AAA Master
|
|
|
154,505,739
|
|
|
|
155,167,589
|
|
|
|
151,195,430
|
|
Graham Master
|
|
|
12,468,065
|
|
|
|
12,593,321
|
|
|
|
11,932,221
|
|
SandRidge Master
|
|
|
99,192,706
|
|
|
|
99,581,610
|
|
|
|
98,747,670
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
217,374,250
|
|
|
$
|
219,510,351
|
|
|
$
|
210,080,424
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the Year Ended December 31, 2008
|
|
|
|
Gain (Loss) from
|
|
|
Total Income
|
|
|
Net Income
|
|
|
|
Trading, Net
|
|
|
(Loss)
|
|
|
(Loss)
|
|
|
Drury Master
|
|
$
|
83,209,445
|
|
|
$
|
84,373,848
|
|
|
$
|
84,193,598
|
|
Willowbridge Master
|
|
|
114,625,338
|
|
|
|
117,584,985
|
|
|
|
117,208,252
|
|
Aspect Master
|
|
|
68,781,504
|
|
|
|
71,028,704
|
|
|
|
70,690,200
|
|
CFM Master
|
|
|
24,265,697
|
|
|
|
26,253,575
|
|
|
|
24,475,233
|
|
Winton Master
|
|
|
123,848,030
|
|
|
|
129,757,734
|
|
|
|
129,243,782
|
|
AAA Master
|
|
|
571,420,201
|
|
|
|
576,682,953
|
|
|
|
572,610,772
|
|
Graham Master
|
|
|
63,129,714
|
|
|
|
65,332,335
|
|
|
|
64,361,901
|
|
Avant Master
|
|
|
3,971,897
|
|
|
|
4,604,810
|
|
|
|
4,407,115
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
1,053,251,826
|
|
|
$
|
1,075,618,944
|
|
|
$
|
1,067,190,853
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
F-25
Tactical
Diversified Futures Fund L.P.
Notes to Financial Statements
December 31, 2009
Summarized information reflecting the Partnerships
investment in, and the operations of, the Funds are shown in the
following tables.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
% of
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net
|
|
|
|
|
|
|
|
Partnerships
|
|
|
Fair
|
|
|
Income
|
|
|
Expenses
|
|
|
Income
|
|
|
Investment
|
|
Redemptions
|
Funds
|
|
Net Assets
|
|
|
Value
|
|
|
(Loss)
|
|
|
Commissions
|
|
|
Other
|
|
|
(Loss)
|
|
|
Objective
|
|
Permitted
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the year ended December 31, 2009
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Drury Master
|
|
|
13.02
|
%
|
|
$
|
102,802,718
|
|
|
$
|
16,358,613
|
|
|
$
|
133,793
|
|
|
$
|
44,173
|
|
|
$
|
16,180,647
|
|
|
Commodity
Portfolio
|
|
Monthly
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Willowbridge Master
|
|
|
9.01
|
%
|
|
|
71,165,944
|
|
|
|
(15,530,904
|
)
|
|
|
107,808
|
|
|
|
20,333
|
|
|
|
(15,659,045
|
)
|
|
Commodity
Portfolio
|
|
Monthly
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Aspect Master
|
|
|
12.62
|
%
|
|
|
99,623,421
|
|
|
|
(11,422,149
|
)
|
|
|
162,808
|
|
|
|
28,290
|
|
|
|
(11,613,247
|
)
|
|
Commodity
Portfolio
|
|
Monthly
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CFM Master
|
|
|
18.82
|
%
|
|
|
148,578,532
|
|
|
|
15,593,323
|
|
|
|
2,093,492
|
|
|
|
37,131
|
|
|
|
13,462,700
|
|
|
Commodity
Portfolio
|
|
Monthly
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Winton Master
|
|
|
12.51
|
%
|
|
|
98,783,450
|
|
|
|
(5,891,742
|
)
|
|
|
70,162
|
|
|
|
10,980
|
|
|
|
(5,972,884
|
)
|
|
Commodity
Portfolio
|
|
Monthly
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AAA Master
|
|
|
10.25
|
%
|
|
|
80,949,560
|
|
|
|
16,588,688
|
|
|
|
314,067
|
|
|
|
61,365
|
|
|
|
16,213,256
|
|
|
Energy
Markets
|
|
Monthly
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Graham Master
|
|
|
11.08
|
%
|
|
|
87,454,721
|
|
|
|
6,340,658
|
|
|
|
309,729
|
|
|
|
23,601
|
|
|
|
6,007,328
|
|
|
Commodity
Portfolio
|
|
Monthly
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Avant Master
|
|
|
0.00
|
%
|
|
|
|
|
|
|
246,615
|
|
|
|
2,975
|
|
|
|
1,254
|
|
|
|
242,386
|
|
|
Energy
Markets
|
|
Monthly
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Sandridge Master
|
|
|
10.14
|
%
|
|
|
80,016,236
|
|
|
|
3,302,364
|
|
|
|
32,773
|
|
|
|
12,073
|
|
|
|
3,257,518
|
|
|
Energy
Markets
|
|
Monthly
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
|
|
|
|
$
|
769,374,582
|
|
|
$
|
25,585,466
|
|
|
$
|
3,227,607
|
|
|
$
|
239,200
|
|
|
$
|
22,118,659
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
% of
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net
|
|
|
|
|
|
|
|
Partnerships
|
|
|
Fair
|
|
|
Income
|
|
|
Expenses
|
|
|
Income
|
|
|
Investment
|
|
Redemptions
|
Funds
|
|
Net Assets
|
|
|
Value
|
|
|
(Loss)
|
|
|
Commissions
|
|
|
Other
|
|
|
(Loss)
|
|
|
Objective
|
|
Permitted
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the year ended December 31, 2008
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Drury Master
|
|
|
15.15
|
%
|
|
$
|
154,127,975
|
|
|
$
|
77,619,017
|
|
|
$
|
137,612
|
|
|
$
|
28,254
|
|
|
$
|
77,453,151
|
|
|
Commodity
Portfolio
|
|
Monthly
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Willowbridge Master
|
|
|
12.43
|
%
|
|
|
126,449,928
|
|
|
|
50,131,600
|
|
|
|
146,511
|
|
|
|
15,354
|
|
|
|
49,969,735
|
|
|
Commodity
Portfolio
|
|
Monthly
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Aspect Master
|
|
|
15.95
|
%
|
|
|
162,328,063
|
|
|
|
47,186,337
|
|
|
|
199,926
|
|
|
|
23,900
|
|
|
|
46,962,511
|
|
|
Commodity
Portfolio
|
|
Monthly
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CFM Master
|
|
|
16.85
|
%
|
|
|
171,427,475
|
|
|
|
22,319,568
|
|
|
|
1,484,355
|
|
|
|
33,343
|
|
|
|
20,801,870
|
|
|
Commodity
Portfolio
|
|
Monthly
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Winton Master
|
|
|
14.74
|
%
|
|
|
149,948,887
|
|
|
|
32,970,935
|
|
|
|
121,134
|
|
|
|
9,110
|
|
|
|
32,840,691
|
|
|
Commodity
Portfolio
|
|
Monthly
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AAA Master
|
|
|
13.42
|
%
|
|
|
136,584,029
|
|
|
|
56,429,160
|
|
|
|
313,424
|
|
|
|
82,856
|
|
|
|
56,032,880
|
|
|
Energy
Markets
|
|
Monthly
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Graham Master
|
|
|
11.17
|
%
|
|
|
113,642,734
|
|
|
|
30,692,536
|
|
|
|
432,918
|
|
|
|
14,005
|
|
|
|
30,245,613
|
|
|
Commodity
Portfolio
|
|
Monthly
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Avant Master
|
|
|
2.94
|
%
|
|
|
29,972,072
|
|
|
|
2,516,782
|
|
|
|
84,004
|
|
|
|
27,674
|
|
|
|
2,405,104
|
|
|
Energy
Markets
|
|
Monthly
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
|
|
|
|
$
|
1,044,481,163
|
|
|
$
|
319,865,935
|
|
|
$
|
2,919,884
|
|
|
$
|
234,496
|
|
|
$
|
316,711,555
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6.
|
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 any month on ten days notice to the General Partner.
There is no fee charged to Limited Partners in connection with
redemptions.
F-26
Tactical
Diversified Futures Fund L.P.
Notes to Financial Statements
December 31, 2009
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)*
|
|
$
|
(43.96
|
)
|
|
$
|
335.75
|
|
|
$
|
62.77
|
|
Interest income
|
|
|
0.84
|
|
|
|
10.59
|
|
|
|
32.12
|
|
Expenses**
|
|
|
(34.63
|
)
|
|
|
(62.49
|
)
|
|
|
(24.07
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Increase (decrease) for the year
|
|
|
(77.75
|
)
|
|
|
283.85
|
|
|
|
70.82
|
|
Net Asset Value per Redeemable Unit, beginning of year
|
|
|
1,290.46
|
|
|
|
1,006.61
|
|
|
|
935.79
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Asset Value per Redeemable Unit, end of year
|
|
$
|
1,212.71
|
|
|
$
|
1,290.46
|
|
|
$
|
1,006.61
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Includes brokerage commissions. |
|
|
** |
|
Excludes brokerage commissions. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2009
|
|
|
2008
|
|
|
2007
|
|
|
Ratios to average net assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss) before incentive fees***
|
|
|
(8.0
|
)%
|
|
|
(7.3
|
)%
|
|
|
(4.8
|
)%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Operating expenses
|
|
|
8.0
|
%
|
|
|
8.3
|
%
|
|
|
8.3
|
%
|
Incentive fees
|
|
|
0.7
|
%
|
|
|
3.5
|
%
|
|
|
0.5
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses
|
|
|
8.7
|
%
|
|
|
11.8
|
%
|
|
|
8.8
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return:
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return before incentive fees
|
|
|
(5.3
|
)%
|
|
|
32.1
|
%
|
|
|
8.1
|
%
|
Incentive fees
|
|
|
(0.7
|
)%
|
|
|
(3.9
|
)%
|
|
|
(0.5
|
)%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return after incentive fees
|
|
|
(6.0
|
)%
|
|
|
28.2
|
%
|
|
|
7.6
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
*** |
|
Interest income less total expenses. |
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 and the
Funds are parties to financial instruments with off-balance
sheet risk, including derivative financial instruments and
derivative commodity instruments. These financial instruments
may include forwards, futures, options and swaps, whose values
are based upon an underlying asset, index, or reference rate,
and generally represent future commitments to exchange
currencies or cash balances, 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.
F-27
Tactical
Diversified Futures Fund L.P.
Notes to Financial Statements
December 31, 2009
Market risk is the potential for changes in the value of the
financial instruments traded by the Partnership/Funds due to
market changes, including interest and foreign exchange rate
movements and fluctuations in commodity or security prices.
Market risk is directly impacted by the volatility and liquidity
in the markets in which the related underlying assets are
traded. The Partnership/Funds are exposed to a market risk equal
to the value of futures and forward contracts purchased and
unlimited liability on such contracts sold short.
Credit risk is the possibility that a loss may occur due to the
failure of a counterparty to perform according to the terms of a
contract. The Partnerships/Funds risk of loss in the
event of a counterparty default is typically limited to the
amounts recognized in the Statements of Financial Condition and
not represented by the contract or notional amounts of the
instruments. The Partnerships/Funds risk of loss is
reduced through the use of legally enforceable master netting
agreements with counterparties that permit the Partnership/Funds
to offset unrealized gains and losses and other assets and
liabilities with such counterparties upon the occurrence of
certain events. The Partnership/Funds have credit risk and
concentration risk as the sole counterparty or broker with
respect to the Partnerships/Funds assets is CGM or a
CGM affiliate. Credit risk with respect to exchange-traded
instruments is reduced to the extent that through CGM, the
Partnerships/Funds counterparty is an exchange or
clearing organization.
As both a buyer and seller of options, the Funds pay or receive
a premium at the outset and then bear the risk of unfavorable
changes in the price of the contract underlying the option.
Written options expose the Funds to potentially unlimited
liability; for purchased options the risk of loss is limited to
the premiums paid. Certain written put options permit cash
settlement and do not require the option holder to own the
reference asset. The Funds do not consider these contracts to be
guarantees as described in ASC 460, Guarantees (formerly,
FAS No. 45, Guarantors Accounting and
Disclosure Requirements for Guarantees).
The General Partner monitors and attempts to control the
Partnerships/Funds risk exposure on a daily basis
through financial, credit and risk management monitoring
systems, and accordingly, believes that it has effective
procedures for evaluating and limiting the credit and market
risks to which the Partnership/Funds 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
Partnerships/Funds business, these instruments may
not be held to maturity.
On January 31, 2010, the Partnership fully redeemed its
investment in AAA Master for cash equal to $40,267,084.
F-28
Selected
unaudited quarterly financial data for the Partnership 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 |
|
$ |
(22,989,595 |
) |
|
$ |
27,342,795 |
|
|
$ |
(21,820,835 |
) |
|
$ |
(13,264,540 |
) |
Net income (loss) |
|
$ |
(27,711,626 |
) |
|
$ |
20,467,432 |
|
|
$ |
(26,336,077 |
) |
|
$ |
(20,752,345 |
) |
Increase (decrease) in
Net Asset Value per
Redeemable Unit |
|
$ |
(42.82 |
) |
|
$ |
32.21 |
|
|
$ |
(38.58 |
) |
|
$ |
(28.56 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the period from |
|
For the period from |
|
For the period from |
|
For the period 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) net of brokerage
commissions and clearing
fees including interest
income |
|
$ |
153,491,516 |
|
|
$ |
(20,795,401 |
) |
|
$ |
81,917,722 |
|
|
$ |
65,515,214 |
|
Net income (loss) |
|
$ |
134,670,790 |
|
|
$ |
(29,596,851 |
) |
|
$ |
68,981,216 |
|
|
$ |
55,500,851 |
|
Increase (decrease) in
Net Asset Value per
Redeemable Unit |
|
$ |
167.75 |
|
|
$ |
(36.79 |
) |
|
$ |
85.49 |
|
|
$ |
67.40 |
|
F-29
To the Members
of
AAA Master Fund LLC
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
Managing Member,
AAA Master Fund LLC
|
Ceres Managed Futures LLC
55 East 59th Street
10th Floor
New York, N.Y. 10022
212-559-2011
F-30
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Members of
AAA Master Fund LLC:
We have audited the accompanying statement of financial condition of AAA Master Fund LLC
(the Company), including the condensed schedule of investments, as of December 31, 2009, and the
related statements of income and expenses, and changes in members capital for the year then ended.
These financial statements are the responsibility of the Companys management. Our responsibility
is to express an opinion on these financial statements based on our audit. The financial
statements of the Company 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
Company 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 Companys 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 AAA Master Fund LLC as of December 31, 2009, and the results of its operations and its
changes in members 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
F-31
Report of Independent Auditors
To the Members of
AAA Master Fund LLC:
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 members
capital present fairly, in all material respects, the financial position of AAA Master Fund LLC
(formerly known as Citigroup AAA Master Fund LLC) 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
Companys 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
F-32
Report of Independent Registered Public Accounting Firm
The Members
AAA Master Fund LLC:
We have audited the accompanying statements of income and expenses and changes in members capital
of AAA Master Fund LLC (formerly, Citigroup AAA Master Fund LLC) for the year ended December 31,
2007. These financial statements are the responsibility of the Partnerships 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 members capital of AAA Master Fund LLC 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
F-33
AAA Master
Fund LLC
Statements of Financial Condition
December 31, 2009 and 2008
|
|
|
|
|
|
|
|
|
|
|
2009
|
|
|
2008
|
|
|
Assets:
|
|
|
|
|
|
|
|
|
Equity in trading account:
|
|
|
|
|
|
|
|
|
Cash (Note 3c)
|
|
$
|
778,736,469
|
|
|
$
|
696,338,412
|
|
Cash margin (Note 3c)
|
|
|
112,350,862
|
|
|
|
90,640,874
|
|
Net unrealized appreciation on open futures and exchange cleared
swap contracts
|
|
|
|
|
|
|
268,819,884
|
|
Options owned, at fair value (cost $885,211,273 and
$867,124,483, respectively)
|
|
|
741,495,723
|
|
|
|
906,666,577
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,632,583,054
|
|
|
|
1,962,465,747
|
|
Due from brokers
|
|
|
|
|
|
|
518,950
|
|
|
|
|
|
|
|
|
|
|
Total assets
|
|
$
|
1,632,583,054
|
|
|
$
|
1,962,984,697
|
|
|
|
|
|
|
|
|
|
|
Liabilities and Members Capital:
|
|
|
|
|
|
|
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
Net unrealized depreciation on open futures and exchange cleared
swap contracts
|
|
$
|
50,857,890
|
|
|
$
|
|
|
Options written, at fair value (premium $435,825,576 and
$600,446,669, respectively)
|
|
|
352,233,900
|
|
|
|
624,018,932
|
|
Accrued expenses:
|
|
|
|
|
|
|
|
|
Professional fees
|
|
|
296,072
|
|
|
|
334,666
|
|
|
|
|
|
|
|
|
|
|
Total liabilities
|
|
|
403,387,862
|
|
|
|
624,353,598
|
|
|
|
|
|
|
|
|
|
|
Members Capital:
|
|
|
|
|
|
|
|
|
Members Capital, 123,710.6078 and 150,805.9242 Units of
Member Interest outstanding at December 31, 2009 and 2008,
respectively
|
|
|
1,229,195,192
|
|
|
|
1,338,631,099
|
|
|
|
|
|
|
|
|
|
|
Total liabilities and members capital
|
|
$
|
1,632,583,054
|
|
|
$
|
1,962,984,697
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-34
AAA Master
Fund LLC
Condensed Schedule of Investments
December 31, 2009
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Number of
|
|
|
|
|
|
% of Members
|
|
|
|
Contracts
|
|
|
Fair Value
|
|
|
Capital
|
|
|
Futures and Exchange Cleared Swap Contracts Purchased
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy
|
|
|
76,309
|
|
|
$
|
(83,380,536
|
)
|
|
|
(6.78
|
)%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures and exchange cleared swap contracts purchased
|
|
|
|
|
|
|
(83,380,536
|
)
|
|
|
(6.78
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures and Exchange Cleared Swap Contracts Sold
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy
|
|
|
68,230
|
|
|
|
32,522,646
|
|
|
|
2.65
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures and exchange cleared swap contracts sold
|
|
|
|
|
|
|
32,522,646
|
|
|
|
2.65
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options Owned
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy
|
|
|
|
|
|
|
|
|
|
|
|
|
Call
|
|
|
|
|
|
|
|
|
|
|
|
|
NYMEX LT Crude Oil Feb 10 Dec 12
|
|
|
10,366
|
|
|
|
130,224,950
|
|
|
|
10.59
|
|
NYMEX Natural Gas E Feb 10 Oct 14
|
|
|
23,072
|
|
|
|
135,333,168
|
|
|
|
11.01
|
|
Other
|
|
|
8,589
|
|
|
|
115,880,958
|
|
|
|
9.43
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Call options owned
|
|
|
|
|
|
|
381,439,076
|
|
|
|
31.03
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Put
|
|
|
|
|
|
|
|
|
|
|
|
|
NYMEX Crude Oil E Dec 10 Dec 16
|
|
|
13,074
|
|
|
|
127,745,250
|
|
|
|
10.39
|
|
NYMEX LT Crude Oil Feb 10 Dec 13
|
|
|
10,761
|
|
|
|
73,976,480
|
|
|
|
6.02
|
|
NYMEX Natural Gas E Feb 10 May 14
|
|
|
9,735
|
|
|
|
116,193,705
|
|
|
|
9.45
|
|
Other
|
|
|
8,960
|
|
|
|
42,141,212
|
|
|
|
3.43
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Put options owned
|
|
|
|
|
|
|
360,056,647
|
|
|
|
29.29
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total options owned
|
|
|
|
|
|
|
741,495,723
|
|
|
|
60.32
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options Written
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy
|
|
|
|
|
|
|
|
|
|
|
|
|
Call
|
|
|
|
|
|
|
|
|
|
|
|
|
NYMEX Heating Oil Feb 10 Dec 10
|
|
|
6,014
|
|
|
|
(61,856,584
|
)
|
|
|
(5.03
|
)
|
NYMEX Natural Gas E Feb 10 Oct 14
|
|
|
18,423
|
|
|
|
(77,041,748
|
)
|
|
|
(6.27
|
)
|
Other
|
|
|
19,042
|
|
|
|
(109,221,068
|
)
|
|
|
(8.89
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Call options owned
|
|
|
|
|
|
|
(248,119,400
|
)
|
|
|
(20.19
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Put
|
|
|
|
|
|
|
|
|
|
|
|
|
Other
|
|
|
21,738
|
|
|
|
(104,114,500
|
)
|
|
|
(8.47
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Put options written
|
|
|
|
|
|
|
(104,114,500
|
)
|
|
|
(8.47
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total options written
|
|
|
|
|
|
|
(352,233,900
|
)
|
|
|
(28.66
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
|
|
|
|
$
|
338,403,933
|
|
|
|
27.53
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-35
AAA Master
Fund LLC
Condensed Schedule of Investments
December 31, 2008
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Number of
|
|
|
|
|
|
% of Members
|
|
|
|
Contracts
|
|
|
Fair Value
|
|
|
Capital
|
|
|
Futures and Exchange Cleared Swap Contracts Purchased
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy
|
|
|
|
|
|
|
|
|
|
|
|
|
NYMEX Heating Oil Feb 09 Aug 11
|
|
|
8,011
|
|
|
$
|
(441,745,130
|
)
|
|
|
(33.00
|
)%
|
NYMEX HH N Gas Swap Feb 09 Dec 14
|
|
|
18,654
|
|
|
|
(89,160,340
|
)
|
|
|
(6.66
|
)
|
NYMEX LS Crude Oil Feb 09 Dec 12
|
|
|
11,641
|
|
|
|
(129,427,041
|
)
|
|
|
(9.67
|
)
|
NYMEX Natural Gas May 09 Dec 13
|
|
|
8,255
|
|
|
|
(139,708,500
|
)
|
|
|
(10.44
|
)
|
NYMEX NYH RBOB Gas Feb 09 Dec 11
|
|
|
4,404
|
|
|
|
(119,810,053
|
)
|
|
|
(8.95
|
)
|
NYMEX WTI Financial Jun 09 Dec 16
|
|
|
4,936
|
|
|
|
(209,218,410
|
)
|
|
|
(15.63
|
)
|
Other
|
|
|
16,316
|
|
|
|
(151,807,029
|
)
|
|
|
(11.34
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures and exchange cleared swap contracts purchased
|
|
|
|
|
|
|
(1,280,876,503
|
)
|
|
|
(95.69
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures and Exchange Cleared Swap Contracts Sold
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy
|
|
|
|
|
|
|
|
|
|
|
|
|
IPE Brent Crude Oil Mar 09 Dec 14
|
|
|
4,692
|
|
|
|
121,030,070
|
|
|
|
9.04
|
|
IPE Gas Oil Jan 09 Jun 11
|
|
|
11,819
|
|
|
|
535,126,020
|
|
|
|
39.98
|
|
NYMEX Heating Oil Feb 09 Dec 11
|
|
|
3,501
|
|
|
|
166,705,095
|
|
|
|
12.45
|
|
NYMEX HH N Gas Swap Mar 09 Dec 12
|
|
|
29,532
|
|
|
|
155,897,847
|
|
|
|
11.65
|
|
NYMEX Natural Gas Feb 09 Dec 14
|
|
|
13,299
|
|
|
|
260,526,256
|
|
|
|
19.46
|
|
NYMEX NYH RBOB Gas Apr 09 Apr 10
|
|
|
3,293
|
|
|
|
137,456,648
|
|
|
|
10.27
|
|
Other
|
|
|
16,695
|
|
|
|
172,954,451
|
|
|
|
12.92
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures and exchange cleared swap contracts sold
|
|
|
|
|
|
|
1,549,696,387
|
|
|
|
115.77
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options Owned
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy
|
|
|
|
|
|
|
|
|
|
|
|
|
Call
|
|
|
|
|
|
|
|
|
|
|
|
|
NYMEX Natural Gas EC Feb 09 May 14
|
|
|
28,842
|
|
|
|
164,736,675
|
|
|
|
12.31
|
|
Other
|
|
|
22,190
|
|
|
|
31,922,424
|
|
|
|
2.38
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Call options owned
|
|
|
|
|
|
|
196,659,099
|
|
|
|
14.69
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Put
|
|
|
|
|
|
|
|
|
|
|
|
|
NYMEX Brent Crude EP Jun 09 Dec 10
|
|
|
2,533
|
|
|
|
73,938,930
|
|
|
|
5.52
|
|
NYMEX Crude EP Mar 09 Dec 16
|
|
|
11,958
|
|
|
|
253,787,240
|
|
|
|
18.96
|
|
NYMEX LS Crude Oil P Feb 09 Dec 12
|
|
|
6,383
|
|
|
|
205,040,500
|
|
|
|
15.32
|
|
NYMEX Natural Gas EP Mar 09 Mar 11
|
|
|
4,433
|
|
|
|
70,822,470
|
|
|
|
5.29
|
|
Other
|
|
|
3,227
|
|
|
|
106,418,338
|
|
|
|
7.95
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Put options owned
|
|
|
|
|
|
|
710,007,478
|
|
|
|
53.04
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total options owned
|
|
|
|
|
|
|
906,666,577
|
|
|
|
67.73
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options Written
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy
|
|
|
|
|
|
|
|
|
|
|
|
|
Call
|
|
|
|
|
|
|
|
|
|
|
|
|
Other
|
|
|
48,267
|
|
|
|
(108,711,985
|
)
|
|
|
(8.12
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Call options written
|
|
|
|
|
|
|
(108,711,985
|
)
|
|
|
(8.12
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Put
|
|
|
|
|
|
|
|
|
|
|
|
|
NYMEX LS Crude Oil P Feb 09 Dec 12
|
|
|
6,493
|
|
|
|
(131,792,570
|
)
|
|
|
(9.84
|
)
|
NYMEX Natural Gas EP Feb 09 May 11
|
|
|
6,340
|
|
|
|
(209,214,966
|
)
|
|
|
(15.63
|
)
|
Other
|
|
|
8,146
|
|
|
|
(174,299,411
|
)
|
|
|
(13.02
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Put options written
|
|
|
|
|
|
|
(515,306,947
|
)
|
|
|
(38.49
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total options written
|
|
|
|
|
|
|
(624,018,932
|
)
|
|
|
(46.61
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
|
|
|
|
$
|
551,467,529
|
|
|
|
41.20
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-36
AAA Master
Fund LLC
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
|
|
$
|
550,277,218
|
|
|
$
|
383,464,674
|
|
|
$
|
139,780,388
|
|
Change in net unrealized gains (losses) on open contracts
|
|
|
(395,771,479
|
)
|
|
|
187,955,527
|
|
|
|
(15,598,237
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gain (loss) from trading, net
|
|
|
154,505,739
|
|
|
|
571,420,201
|
|
|
|
124,182,151
|
|
Interest income
|
|
|
661,850
|
|
|
|
5,262,752
|
|
|
|
27,854,202
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total income (loss)
|
|
|
155,167,589
|
|
|
|
576,682,953
|
|
|
|
152,036,353
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses:
|
|
|
|
|
|
|
|
|
|
|
|
|
Clearing fees
|
|
|
3,343,809
|
|
|
|
3,223,638
|
|
|
|
3,197,637
|
|
Professional fees
|
|
|
628,350
|
|
|
|
848,543
|
|
|
|
508,210
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses
|
|
|
3,972,159
|
|
|
|
4,072,181
|
|
|
|
3,705,847
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss)
|
|
$
|
151,195,430
|
|
|
$
|
572,610,772
|
|
|
$
|
148,330,506
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss) per Unit of Member Interest (Notes 1 and
6)
|
|
$
|
1,064.36
|
|
|
$
|
3,494.47
|
|
|
$
|
756.40
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Weighted average units outstanding
|
|
|
139,419.9283
|
|
|
|
172,420.9234
|
|
|
|
200,906.2331
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-37
AAA Master
Fund LLC
Statements of Changes in Members Capital
for the years ended December 31, 2009, 2008 and
2007
|
|
|
|
|
|
|
Members
|
|
|
|
Capital
|
|
|
Members Capital at December 31, 2006
|
|
$
|
993,359,899
|
|
Net income (loss)
|
|
|
148,330,506
|
|
Sale of 28,091.0093 Units of Member Interest
|
|
|
140,284,151
|
|
Redemption of 50,568.2147 Units of Member Interest
|
|
|
(254,888,582
|
)
|
Distribution of interest income to feeder funds
|
|
|
(27,632,438
|
)
|
|
|
|
|
|
Members Capital at December 31, 2007
|
|
|
999,453,536
|
|
Net income (loss)
|
|
|
572,610,772
|
|
Sale of 26,018.8922 Units of Member Interest
|
|
|
176,599,395
|
|
Redemption of 59,881.8271 Units of Member Interest
|
|
|
(404,833,765
|
)
|
Distribution of interest income to feeder funds
|
|
|
(5,198,839
|
)
|
|
|
|
|
|
Members Capital at December 31, 2008
|
|
|
1,338,631,099
|
|
Net income (loss)
|
|
|
151,195,430
|
|
Sale of 18,789.6645 Units of Member Interest
|
|
|
178,448,063
|
|
Redemption of 45,884.9809 Units of Member Interest
|
|
|
(438,417,550
|
)
|
Distribution of interest income to feeder funds
|
|
|
(661,850
|
)
|
|
|
|
|
|
Members Capital at December 31, 2009
|
|
$
|
1,229,195,192
|
|
|
|
|
|
|
Net Asset Value per Unit of Member Interest:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2007:
|
|
$
|
5,412.14
|
|
|
|
|
|
|
|
|
|
|
|
2008:
|
|
$
|
8,876.52
|
|
|
|
|
|
|
|
|
|
|
|
2009:
|
|
$
|
9,936.05
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-38
AAA Master
Fund LLC
Notes to Financial Statements
December 31, 2009
AAA Master Fund LLC, formerly Citigroup AAA Master
Fund LLC (the Master) is a limited liability
company formed under the New York Limited Liability Company Law.
The Masters purpose is to engage in the speculative
trading of a diversified portfolio of commodity interests
including futures contracts, options, swaps and forward
contracts. The Master may trade commodity futures and option
contracts of any kind but intends initially to trade solely
energy and energy related products. 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 units of member interest (Units).
Ceres Managed Futures LLC (formerly Citigroup Managed Futures
LLC), a Delaware limited liability company, acts as the managing
member (the Managing Member) and commodity pool
operator of the Master. The Managing Member 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 Managing Member 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 September 1, 2001 (date Master commenced trading), AAA
Capital Energy Fund L.P. (formerly Smith Barney AAA Energy
Fund L.P.) (AAA) allocated substantially all of
its capital and Orion Futures Fund L.P. (formerly Citigroup
Orion Futures Fund L.P.) (Orion) allocated a
portion of its capital to the Master. The partnerships purchased
133,712.5867 Units of the Master with a fair value of
$133,712,587 (including unrealized appreciation of $7,755,035).
On July 1, 2002, AAA Capital Energy Fund L.P. II
(formerly Citigroup AAA Energy Fund L.P. II) (AAA
II) allocated substantially all of its capital to the
Master and purchased 64,945.0387 Units with a fair value of
$94,925,000. On November 1, 2003, Pinnacle Natural
Resources, L.P. (Pinnacle) allocated a portion of
its capital to the Master and purchased 1,104.9839 Units with a
fair value of $1,500,000. On October 1, 2005, 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 13,956.1190 Units with a fair value of
$50,000,000. 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 2,386.2338 Units with
a fair value of $7,000,000. On November 1, 2005, a private
investor (Private Investor) purchased 1,196.6879
Units with a fair value of $4,000,000. On February 28,
2006, Pinnacle redeemed its entire investment in the Master.
This redemption amounted to 2,662.7928 Units with a fair
value of $11,982,967. On June 1, 2006, Legion Strategies
LLC (Legion LLC) allocated a portion of its capital
to the Master and purchased 827.0580 Units with a fair value of
$4,000,000. On June 30, 2006, a Private investor redeemed
its entire investment in the Master. This redemption amounted to
951.9315 Units with a fair value of $4,795,926. On
July 1, 2006, Legion Strategies, LTD (Legion
LTD) allocated a portion of its capital to the Master and
purchased 793.9501 Units with a fair value of $4,000,000. On
October 1, 2006, Energy Advisors Portfolio L.P. (formerly
Citigroup Energy Advisors Portfolio L.P.) (Energy
Advisors) allocated a portion of its capital to the Master
and purchased 723.8213 Units with a fair value of $3,315,000. 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 344.5961
Units with a fair value of $1,614,644. On December 31,
2007, Legion LLC redeemed its entire investment in the Master.
This redemption amounted to 761.6691 units with a fair
value of $4,129,086, which includes interest income of $6,187.
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 84.1311 Units with a fair value of
$800,000. The Master was formed to permit commodity pools
managed now or in the future by AAA Capital Management Advisors,
Ltd (successor to AAA Capital Management, Inc.) (the
Advisor) using the Energy Program
Futures and Swaps, the Advisors proprietary, discretionary
trading program, to invest together in one vehicle.
F-39
AAA Master
Fund LLC
Notes to Financial Statements
December 31, 2009
The Master operates under a structure where its investors
consist of AAA, AAA II, Tactical Diversified, Institutional
Portfolio, Energy Advisors, Global Futures, Legion LTD, Orion
and Orion Cayman (each a Member, collectively the
Funds) owned approximately 23.3%, 40.3%, 6.6%, 2.1%,
0.8%, 2.3%, 1.1%, 23.2% and 0.3% investments in the Master at
December 31, 2009, respectively. AAA, AAA II, Tactical
Diversified, Institutional Portfolio, Energy Advisors, Global
Futures, Legion LTD and Orion had approximately 23.2% 40.6%,
10.2%, 2.0%, 1.2%, 2.0%, 1.0% and 19.8% investments in the
Master at December 31, 2008, respectively.
The Master will be liquidated under certain circumstances as
defined in the Limited Liability Company Agreement of the Master
(the Limited Liability Company 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.
|
|
|
|
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 Masters 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.
|
Masters 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.
|
|
|
|
Masters 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
|
F-40
AAA Master
Fund LLC
Notes to Financial Statements
December 31, 2009
|
|
|
|
|
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 Masters Level 2 assets and
liabilities. The adoption of the amendments to ASC 820 had no
effect on the Masters 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 managements
assumptions and internal valuation pricing models (Level 3).
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Significant
|
|
|
|
|
|
|
|
|
|
Quoted Prices in
|
|
|
Other
|
|
|
Significant
|
|
|
|
|
|
|
Active Markets for
|
|
|
Observable
|
|
|
Unobservable
|
|
|
|
|
|
|
Identical Assets
|
|
|
Inputs
|
|
|
Inputs
|
|
|
|
12/31/2009
|
|
|
(Level 1)
|
|
|
(Level 2)
|
|
|
(Level 3)
|
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options owned
|
|
$
|
741,495,723
|
|
|
$
|
741,495,723
|
|
|
$
|
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total assets
|
|
|
741,495,723
|
|
|
|
741,495,723
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures and Exchange Cleared Swaps
|
|
$
|
50,857,890
|
|
|
$
|
50,857,890
|
|
|
$
|
|
|
|
$
|
|
|
Options written
|
|
|
352,233,900
|
|
|
|
352,233,900
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total liabilities
|
|
|
403,091,790
|
|
|
|
403,091,790
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
$
|
338,403,933
|
|
|
$
|
338,403,933
|
|
|
$
|
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
F-41
AAA Master
Fund LLC
Notes to Financial Statements
December 31, 2009
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Significant
|
|
|
|
|
|
|
|
|
|
Quoted Prices in
|
|
|
Other
|
|
|
Significant
|
|
|
|
|
|
|
Active Markets for
|
|
|
Observable
|
|
|
Unobservable
|
|
|
|
|
|
|
Identical Assets
|
|
|
Inputs
|
|
|
Inputs
|
|
|
|
12/31/2008
|
|
|
(Level 1)
|
|
|
(Level 2)
|
|
|
(Level 3)
|
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures and Exchange Cleared Swaps
|
|
$
|
268,819,884
|
|
|
$
|
268,819,884
|
|
|
$
|
|
|
|
$
|
|
|
Options owned
|
|
|
906,666,577
|
|
|
|
906,666,577
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total assets
|
|
|
1,175,486,461
|
|
|
|
1,175,486,461
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options written
|
|
$
|
624,018,932
|
|
|
$
|
624,018,932
|
|
|
$
|
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total liabilities
|
|
|
624,018,932
|
|
|
|
624,018,932
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
$
|
551,467,529
|
|
|
$
|
551,467,529
|
|
|
$
|
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
d.
|
Futures Contracts. The Master trades futures
contracts. Exchange cleared swaps included in futures and
exchange cleared swaps are swaps that are traded as futures. 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.
|
|
|
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.
|
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.
|
|
|
|
|
g.
|
Income Taxes. Income taxes have not been
provided as each member is individually liable for the taxes, if
any, on their share of the Masters 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
|
F-42
AAA Master
Fund LLC
Notes to Financial Statements
December 31, 2009
|
|
|
|
|
Masters 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 Managing
Member concluded that no provision for income tax is required in
the Masters financial statements.
|
|
|
|
|
|
The following is the major tax jurisdiction for the Master and
the earliest tax year subject to examination: United
States 2006.
|
|
|
h.
|
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.
|
|
|
|
|
i.
|
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 Masters 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 SECs 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.
|
|
|
|
|
j.
|
Certain prior period amounts have been reclassified to conform
to current period presentation.
|
|
|
|
|
k.
|
Net Income (Loss) per Unit. Net income (loss)
per Unit of Member Interest is calculated in accordance with
investment company guidance. See footnote 6 for Financial
Highlights.
|
|
|
|
|
a.
|
Limited Liability Company Agreement:
|
|
|
|
The Managing Member administers the business affairs of the
Master including selecting one or more advisors to make trading
decisions for the Master.
|
|
|
b.
|
Management Agreement:
|
|
|
|
The Managing Member, 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 affiliated with the Managing Member and CGM but 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
|
F-43
AAA Master
Fund LLC
Notes to Financial Statements
December 31, 2009
|
|
|
|
|
connection with the Management Agreement shall be 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 Masters account in accordance with
orders placed by the Advisor. All floor brokerage, exchange,
clearing, user,
give-up and
NFA fees (collectively the clearing fees) are borne
by the Master consistent with contractual agreements. All other
fees (management fees, administrative fees, incentive fees,
brokerage commissions and offering costs) shall be borne by the
Funds. All of the Masters 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 amounts of cash held by the Master for margin
requirements was $112,350,862 and $90,640,874, respectively. The
Customer Agreement may be terminated by either party. All
commissions in connection with the Customer Agreement shall be
borne by the Funds.
|
The Master was formed for the purpose of trading contracts in a
variety of commodity interests, including derivative financial
instruments and derivative commodity instruments. The results of
the Masters trading activities are shown in the Statements
of Income and Expenses.
The Customer Agreement between the Master and CGM gives the
Master, respectively, the legal right to net unrealized gains
and losses on open futures and exchange cleared swap contracts.
The Master nets, for financial reporting purposes, the
unrealized gains and losses on open futures and exchange cleared
swap 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 and exchange
cleared swap contracts and options contracts traded for the year
ended December 31, 2009 based on a quarterly calculation,
was 312,729.
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 Members Capital.
F-44
AAA Master
Fund LLC
Notes to Financial Statements
December 31, 2009
The following table indicates the fair values of derivative
instruments of futures and options contracts as separate assets
and liabilities.
|
|
|
|
|
|
|
December 31, 2009
|
|
|
Assets
|
|
|
|
|
Futures and Exchange Cleared Swap Contracts
|
|
|
|
|
Energy
|
|
$
|
274,140,959
|
|
|
|
|
|
|
Total unrealized appreciation on open futures and exchange
cleared swap contracts
|
|
$
|
274,140,959
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
Futures and Exchange Cleared Swap Contracts
|
|
|
|
|
Energy
|
|
$
|
(324,998,849
|
)
|
|
|
|
|
|
Total unrealized depreciation on open futures and exchange
cleared swap contracts
|
|
$
|
(324,998,849
|
)
|
|
|
|
|
|
Net unrealized depreciation on open futures and exchange cleared
swap contracts
|
|
$
|
(50,857,890
|
)*
|
|
|
|
|
|
Assets
|
|
|
|
|
Options Owned
|
|
|
|
|
Energy
|
|
$
|
741,495,723
|
|
|
|
|
|
|
Options owned
|
|
$
|
741,495,723
|
**
|
|
|
|
|
|
Liabilities
|
|
|
|
|
Options Written
|
|
|
|
|
Energy
|
|
$
|
352,233,900
|
|
|
|
|
|
|
Options written
|
|
$
|
352,233,900
|
***
|
|
|
|
|
|
|
|
|
* |
|
This amount is in Net unrealized depreciation on open
futures and exchange cleared swap 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. |
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
|
|
Energy
|
|
$
|
154,505,739
|
|
|
|
|
|
|
Total
|
|
$
|
154,505,739
|
****
|
|
|
|
|
|
|
|
|
**** |
|
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 non-managing members on the first day of the month after
their subscription is processed. A non-managing member 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 Unit of Member Interest as of the end of
any day (the Redemption Date) after a request
for redemption has been made to the Managing Member at least
3 days in advance of the Redemption Date. The Units
are classified as a liability when the non-managing member
elects to redeem and informs the Master.
F-45
AAA Master
Fund LLC
Notes to Financial Statements
December 31, 2009
Changes in the Net Asset Value per Unit of Member Interest for
the years ended December 31, 2009, 2008 and 2007 were as
follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2009
|
|
|
2008
|
|
|
2007
|
|
|
Net realized and unrealized gains (losses)*
|
|
$
|
1,064.16
|
|
|
$
|
3,469.13
|
|
|
$
|
618.16
|
|
Interest income
|
|
|
4.82
|
|
|
|
30.48
|
|
|
|
140.84
|
|
Expenses**
|
|
|
(4.62
|
)
|
|
|
(5.14
|
)
|
|
|
(2.60
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Increase (decrease) for the year
|
|
|
1,064.36
|
|
|
|
3,494.47
|
|
|
|
756.40
|
|
Distribution of interest income to feeder funds
|
|
|
(4.83
|
)
|
|
|
(30.09
|
)
|
|
|
(139.72
|
)
|
Net Asset Value per Unit of Member Interest, beginning of year
|
|
|
8,876.52
|
|
|
|
5,412.14
|
|
|
|
4,795.46
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Asset Value per Unit of Member Interest, end of year
|
|
$
|
9,936.05
|
|
|
$
|
8,876.52
|
|
|
$
|
5,412.14
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Includes brokerage commissions. |
|
** |
|
Excludes brokerage commissions. |
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratio to average net assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)***
|
|
|
(0.3
|
)%
|
|
|
0.1
|
%
|
|
|
2.4
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Operating expenses
|
|
|
0.3
|
%
|
|
|
0.4
|
%
|
|
|
0.4
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return
|
|
|
12.0
|
%
|
|
|
64.6
|
%
|
|
|
15.8
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
*** |
|
Interest income less total expenses. |
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 non-managing member class
using the non-managing members 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, 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 Masters risk of loss in the event of
counterparty default is typically
F-46
AAA Master
Fund LLC
Notes to Financial Statements
December 31, 2009
limited to the amounts recognized in the Statements of Financial
Condition and not represented by the contract or notional
amounts of the instruments. The Masters 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 Masters assets
is CGM or a CGM affiliate. Credit risk with respect to
exchange-traded instruments is reduced to the extent that
through CGM, the Masters counterparty is an exchange or
clearing organization. As of December 31, 2009, there are
no OTC swap contracts the Master is a party to.
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 Interpretation No. 45, Guarantors
Accounting and Disclosure Requirements for Guarantees).
The Managing Member monitors and attempts to control the
Masters 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 Managing
Member to statistically analyze actual trading results with risk
adjusted performance indicators and correlation statistics. In
addition, on-line monitoring systems provide account analysis of
futures, forwards, options and swaps 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 Masters
business, these instruments may not be held to maturity.
F-47
Selected unaudited quarterly financial data for the AAA Master for the years ended December 31, 2009 and 2008 is 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 |
|
$ |
9,738,633 |
|
|
$ |
39,593,130 |
|
|
$ |
11,578,159 |
|
|
$ |
90,913,858 |
|
Net income (loss) |
|
$ |
9,596,868 |
|
|
$ |
39,460,830 |
|
|
$ |
11,401,249 |
|
|
$ |
90,736,483 |
|
Increase (decrease) in
Net Asset Value per Unit of Member Interest |
|
$ |
61.37 |
|
|
$ |
289.49 |
|
|
$ |
79.60 |
|
|
$ |
633.90 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the period from |
|
For the period from |
|
For the period from |
|
For the period 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) net of brokerage
commissions and clearing
fees including interest
income |
|
$ |
175,399,992 |
|
|
$ |
194,086,196 |
|
|
$ |
163,785,949 |
|
|
$ |
40,187,178 |
|
Net income (loss) |
|
$ |
175,150,122 |
|
|
$ |
193,836,326 |
|
|
$ |
163,573,146 |
|
|
$ |
40,051,178 |
|
Increase (decrease) in
Net Asset Value per Unit of Member Interest |
|
$ |
1,134.53 |
|
|
$ |
1,182.02 |
|
|
$ |
954.68 |
|
|
$ |
223.24 |
|
F-48
To the Limited
Partners of
CMF Aspect Master Fund L.P.
To the best of the knowledge and belief of the undersigned, the
information contained herein is accurate and complete.
Chief Financial Officer and Director
Ceres Managed Futures LLC
General Partner,
CMF Aspect Master Fund L.P.
Ceres Managed Futures LLC
55 East 59th Street
10th Floor
New York, N.Y. 10022
212-559-2011
F-49
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Partners of
CMF Aspect Master Fund L.P.:
We have audited the accompanying statement of financial condition of CMF Aspect Master Fund 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 Partnerships 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
Partnerships 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 Aspect Master 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.
/s/ Deloitte & Touche LLP
New York, New York
March 19, 2010
F-50
Report of Independent Auditors
To the Partners of
CMF Aspect Partners Master Fund 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 Aspect
Partners Master 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.
These financial statements are the responsibility of the Companys 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
F-51
Report of Independent Registered Public Accounting Firm
The Partners
CMF Aspect Master Fund L.P.:
We have audited the accompanying statements of income and expenses and changes in partners capital
of CMF Aspect Master Fund L.P. for the year ended December 31, 2007. These financial statements
are the responsibility of the Partnerships 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 Aspect 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
F-52
CMF Aspect Master
Fund L.P.
Statements of Financial Condition
December 31, 2009 and 2008
|
|
|
|
|
|
|
|
|
|
|
2009
|
|
|
2008
|
|
|
Assets:
|
|
|
|
|
|
|
|
|
Equity in trading account:
|
|
|
|
|
|
|
|
|
Cash (Note 3c)
|
|
$
|
142,959,369
|
|
|
$
|
213,611,724
|
|
Cash margin (Note 3c)
|
|
|
22,969,045
|
|
|
|
18,981,887
|
|
Net unrealized appreciation on open futures contracts
|
|
|
|
|
|
|
7,642,556
|
|
Net unrealized appreciation on open forward contracts
|
|
|
143,867
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total assets
|
|
$
|
166,072,281
|
|
|
$
|
240,236,167
|
|
|
|
|
|
|
|
|
|
|
Liabilities and Partners Capital:
|
|
|
|
|
|
|
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
Net unrealized depreciation on open futures contracts
|
|
$
|
907,618
|
|
|
$
|
|
|
Net unrealized depreciation on open forward contracts
|
|
|
|
|
|
|
866,177
|
|
Accrued expenses:
|
|
|
|
|
|
|
|
|
Professional fees
|
|
|
26,605
|
|
|
|
15,657
|
|
|
|
|
|
|
|
|
|
|
Total liabilities
|
|
|
934,223
|
|
|
|
881,834
|
|
|
|
|
|
|
|
|
|
|
Partners Capital:
|
|
|
|
|
|
|
|
|
General Partner, 0.0000 Unit equivalents at December 31,
2009 and 2008
|
|
|
|
|
|
|
|
|
Limited Partners Capital, 96,151.3601 and 125,803.5845
Redeemable Units of Limited Partnership Interest outstanding at
December 31, 2009 and 2008, respectively
|
|
|
165,138,058
|
|
|
|
239,354,333
|
|
|
|
|
|
|
|
|
|
|
Total liabilities and partners capital
|
|
$
|
166,072,281
|
|
|
$
|
240,236,167
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-53
CMF Aspect Master
Fund L.P.
Condensed
Schedule of Investments
December 31, 2009
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Notional ($)/
|
|
|
|
|
|
% of Partners
|
|
|
|
Number of Contracts
|
|
|
Fair Value
|
|
|
Capital
|
|
|
Futures Contracts Purchased
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
|
5
|
|
|
$
|
(36,750
|
)
|
|
|
(0.02
|
)%
|
Energy
|
|
|
233
|
|
|
|
465,769
|
|
|
|
0.28
|
|
Grains
|
|
|
174
|
|
|
|
190,195
|
|
|
|
0.12
|
|
Indices
|
|
|
1,391
|
|
|
|
1,242,828
|
|
|
|
0.75
|
|
Interest Rates U.S.
|
|
|
1,214
|
|
|
|
(1,328,931
|
)
|
|
|
(0.81
|
)
|
Interest Rates
Non-U.S.
|
|
|
4,941
|
|
|
|
(1,403,280
|
)
|
|
|
(0.85
|
)
|
Metals
|
|
|
231
|
|
|
|
(1,423,928
|
)
|
|
|
(0.86
|
)
|
Softs
|
|
|
757
|
|
|
|
1,285,890
|
|
|
|
0.78
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures contracts purchased
|
|
|
|
|
|
|
(1,008,207
|
)
|
|
|
(0.61
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts Sold
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy
|
|
|
28
|
|
|
|
89,080
|
|
|
|
0.05
|
|
Grains
|
|
|
153
|
|
|
|
22,242
|
|
|
|
0.01
|
|
Indices
|
|
|
1
|
|
|
|
162
|
|
|
|
0.00
|
*
|
Interest Rates U.S.
|
|
|
36
|
|
|
|
8,594
|
|
|
|
0.01
|
|
Interest Rates
Non-U.S.
|
|
|
217
|
|
|
|
43,819
|
|
|
|
0.03
|
|
Livestock
|
|
|
179
|
|
|
|
(137,508
|
)
|
|
|
(0.08
|
)
|
Softs
|
|
|
205
|
|
|
|
74,200
|
|
|
|
0.04
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures contracts sold
|
|
|
|
|
|
|
100,589
|
|
|
|
0.06
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized Appreciation on Open Forward Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
$
|
74,114,061
|
|
|
|
990,192
|
|
|
|
0.60
|
|
Metals
|
|
|
281
|
|
|
|
769,799
|
|
|
|
0.47
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total unrealized appreciation on open forward contracts
|
|
|
|
|
|
|
1,759,991
|
|
|
|
1.07
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized Depreciation on Open Forward Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
$
|
95,889,125
|
|
|
|
(1,487,481
|
)
|
|
|
(0.90
|
)
|
Metals
|
|
|
70
|
|
|
|
(128,643
|
)
|
|
|
(0.08
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total unrealized depreciation on open forward contracts
|
|
|
|
|
|
|
(1,616,124
|
)
|
|
|
(0.98
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
|
|
|
|
$
|
(763,751
|
)
|
|
|
(0.46
|
)%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-54
CMF Aspect Master
Fund L.P.
Condensed
Schedule of Investments
December 31, 2008
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Notional ($)/
|
|
|
|
|
|
% of Partners
|
|
|
|
Number of Contracts
|
|
|
Fair Value
|
|
|
Capital
|
|
|
Futures Contracts Purchased
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy
|
|
|
30
|
|
|
$
|
60,984
|
|
|
|
0.02
|
%
|
Indices
|
|
|
2
|
|
|
|
2,573
|
|
|
|
0.00
|
*
|
Interest Rates U.S.
|
|
|
1,224
|
|
|
|
2,077,625
|
|
|
|
0.87
|
|
Interest Rates
Non-U.S.
|
|
|
4,998
|
|
|
|
5,498,661
|
|
|
|
2.30
|
|
Metals
|
|
|
7
|
|
|
|
16,820
|
|
|
|
0.01
|
|
Softs
|
|
|
104
|
|
|
|
206,200
|
|
|
|
0.08
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures contracts purchased
|
|
|
|
|
|
|
7,862,863
|
|
|
|
3.28
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts Sold
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy
|
|
|
290
|
|
|
|
505,202
|
|
|
|
0.21
|
|
Grains
|
|
|
338
|
|
|
|
(604,114
|
)
|
|
|
(0.25
|
)
|
Indices
|
|
|
125
|
|
|
|
(146,058
|
)
|
|
|
(0.06
|
)
|
Livestock
|
|
|
137
|
|
|
|
61,865
|
|
|
|
0.03
|
|
Metals
|
|
|
50
|
|
|
|
31,653
|
|
|
|
0.01
|
|
Softs
|
|
|
411
|
|
|
|
(68,855
|
)
|
|
|
(0.03
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures contracts sold
|
|
|
|
|
|
|
(220,307
|
)
|
|
|
(0.09
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized Appreciation on Open Forward Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
$
|
51,489,955
|
|
|
|
1,384,014
|
|
|
|
0.58
|
|
Metals
|
|
|
26
|
|
|
|
48,387
|
|
|
|
0.02
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total unrealized appreciation on open forward contracts
|
|
|
|
|
|
|
1,432,401
|
|
|
|
0.60
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized Depreciation on Open Forward Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
$
|
41,384,671
|
|
|
|
(1,743,244
|
)
|
|
|
(0.73
|
)
|
Metals
|
|
|
308
|
|
|
|
(555,334
|
)
|
|
|
(0.23
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total unrealized depreciation on open forward contracts
|
|
|
|
|
|
|
(2,298,578
|
)
|
|
|
(0.96
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
|
|
|
|
$
|
6,776,379
|
|
|
|
2.83
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-55
CMF Aspect Master
Fund L.P.
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
|
|
$
|
(11,277,935
|
)
|
|
$
|
69,752,159
|
|
|
$
|
20,714,242
|
|
Change in net unrealized gains (losses) on open contracts
|
|
|
(7,540,130
|
)
|
|
|
(970,655
|
)
|
|
|
(2,250,581
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gain (loss) from trading, net
|
|
|
(18,818,065
|
)
|
|
|
68,781,504
|
|
|
|
18,463,661
|
|
Interest income
|
|
|
133,236
|
|
|
|
2,247,200
|
|
|
|
7,517,273
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total income (loss)
|
|
|
(18,684,829
|
)
|
|
|
71,028,704
|
|
|
|
25,980,934
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses:
|
|
|
|
|
|
|
|
|
|
|
|
|
Clearing fees
|
|
|
266,630
|
|
|
|
302,515
|
|
|
|
431,717
|
|
Professional fees
|
|
|
46,144
|
|
|
|
35,989
|
|
|
|
26,148
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses
|
|
|
312,774
|
|
|
|
338,504
|
|
|
|
457,865
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss)
|
|
$
|
(18,997,603
|
)
|
|
$
|
70,690,200
|
|
|
$
|
25,523,069
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss) per Redeemable Unit of Limited Partnership
Interest (Notes 1 and 6)
|
|
$
|
(183.86
|
)
|
|
$
|
524.62
|
|
|
$
|
160.42
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Weighted average units outstanding
|
|
|
106,915.0569
|
|
|
|
138,185.2293
|
|
|
|
163,388.9365
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-56
CMF Aspect Master
Fund L.P.
Statements of Changes in Partners Capital
for the years ended December 31, 2009, 2008, and
2007
|
|
|
|
|
|
|
Partners
|
|
|
|
Capital
|
|
|
Partners capital at December 31, 2006
|
|
$
|
211,758,913
|
|
Net income (loss)
|
|
|
25,523,069
|
|
Sale of 12,102.0599 Redeemable Units of Limited Partnership
Interest
|
|
|
15,485,588
|
|
Redemption of 32,110.2714 Redeemable Units of Limited
Partnership Interest
|
|
|
(42,555,077
|
)
|
Distribution of interest income to feeder funds
|
|
|
(7,517,273
|
)
|
|
|
|
|
|
Partners capital at December 31, 2007
|
|
|
202,695,220
|
|
Net income (loss)
|
|
|
70,690,200
|
|
Sale of 14,969.5777 Redeemable Units of Limited Partnership
Interest
|
|
|
24,526,285
|
|
Redemption of 34,545.0307 Redeemable Units of Limited
Partnership Interest
|
|
|
(56,310,172
|
)
|
Distribution of interest income to feeder funds
|
|
|
(2,247,200
|
)
|
|
|
|
|
|
Partners capital at December 31, 2008
|
|
|
239,354,333
|
|
Net income (loss)
|
|
|
(18,997,603
|
)
|
Sale of 17,809.0598 Redeemable Units of Limited Partnership
Interest
|
|
|
32,568,105
|
|
Redemption of 47,461.2842 Redeemable Units of Limited
Partnership Interest
|
|
|
(87,653,541
|
)
|
Distribution of interest income to feeder funds
|
|
|
(133,236
|
)
|
|
|
|
|
|
Partners capital at December 31, 2009
|
|
$
|
165,138,058
|
|
|
|
|
|
|
Net Asset Value per Redeemable Unit of Limited Partnership
Interest:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2007:
|
|
$
|
1,394.25
|
|
|
|
|
|
|
|
|
|
|
|
2008:
|
|
$
|
1,902.60
|
|
|
|
|
|
|
|
|
|
|
|
2009:
|
|
$
|
1,717.48
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-57
CMF Aspect Master
Fund L.P.
Notes to Financial Statements
December 31, 2009
|
|
1.
|
Partnership
Organization:
|
CMF Aspect Master Fund 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,
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 March 1, 2005 (commencement of trading operations),
Diversified 2000 Futures Fund L.P. (formerly, Citigroup
Diversified 2000 Futures Fund L.P.) (Diversified
2000), Global Diversified Futures Fund L.P.
(formerly, Citigroup Global Diversified Futures Fund L.P.)
(Global Diversified) and Tactical Diversified
Futures Fund L.P. (formerly, Citigroup Diversified Futures
Fund L.P.) (Tactical Diversified) each
allocated a portion of its capital to the Master. Diversified
2000 purchased 43,434.9465 Redeemable Units with cash equal to
$40,490,895, and a contribution of open commodity futures and
forward positions with a fair value of $2,944,052. Global
Diversified purchased 16,015.3206 Redeemable Units with cash
equal to $14,955,106 and a contribution of open commodity
futures and forwards positions with a fair value of $1,060,214.
Tactical Diversified purchased 131,340.8450 Redeemable Units
with cash equal to $122,786,448 and a contribution of open
commodity futures and forward positions with a fair value of
$8,554,397. On July 1, 2005 Institutional Futures Portfolio
L.P. (formerly, CMF Institutional Futures Portfolio L.P.)
(Institutional Portfolio) purchased 6,469.5213
Redeemable Units with cash equal to $7,000,000. On June 1,
2006, Legion Aspect (Legion) purchased 2,450.2307
Redeemable Units with cash equal to 3,000,000. On March 1,
2007, Global Futures Fund Ltd. (formerly, Citigroup Global
Futures Fund Ltd.) (Global Futures) purchased
2,015.3949 Redeemable Units with cash equal to $2,500,000. On
December 31, 2007, Legion redeemed its entire investment in
the Master. This amounted to 2,990.3524 Redeemable Units
with a fair value of $4,179,464, which includes interest income
of $10,155. The Master was formed to permit commodity pools
managed now or in the future by Aspect Capital Limited (the
Advisor) using the Diversified Program, the
Advisors proprietary, systematic trading program, to
invest together in one vehicle.
The Master operates under a structure where its investors
consist of Institutional Portfolio, Diversified 2000, Global
Diversified, Tactical Diversified and Global Futures (each a
Feeder, collectively the Funds) with
approximately 8.7%, 12.0%, 5.5%, 60.3%, and 13.5% investments in
the Master at December 31, 2009, respectively.
Institutional Portfolio, Diversified 2000, Global Diversified,
Tactical Diversified and Global Futures had approximately 6.8%,
12.6%, 5.5%, 67.8%, and 7.3% investments in the Master at
December 31, 2008, respectively.
F-58
CMF Aspect Master
Fund L.P.
Notes to Financial Statements
December 31, 2009
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.
|
|
|
|
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 Masters 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.
|
Masters 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.
|
Masters 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.
F-59
CMF Aspect Master
Fund L.P.
Notes to Financial Statements
December 31, 2009
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 Masters Level 2 assets and
liabilities. The adoption of the amendments to ASC 820 had no
effect on the Masters 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 2008, the Master did not hold any
derivative instruments that are priced at fair value using
unobservable inputs through the application of managements
assumptions and internal valuation pricing models (Level 3).
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Quoted Prices in
|
|
|
|
|
|
|
|
|
|
|
|
|
Active Markets
|
|
|
Significant Other
|
|
|
Significant
|
|
|
|
|
|
|
for Identical
|
|
|
Observable Inputs
|
|
|
Unobservable
|
|
|
|
12/31/2009
|
|
|
Assets (Level 1)
|
|
|
(Level 2)
|
|
|
Inputs (Level 3)
|
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forwards
|
|
$
|
641,156
|
|
|
$
|
641,156
|
|
|
$
|
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total assets
|
|
|
641,156
|
|
|
|
641,156
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures
|
|
$
|
907,618
|
|
|
$
|
907,618
|
|
|
$
|
|
|
|
$
|
|
|
Forwards
|
|
|
497,289
|
|
|
|
|
|
|
|
497,289
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total liabilities
|
|
|
1,404,907
|
|
|
|
907,618
|
|
|
|
497,289
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
$
|
(763,751
|
)
|
|
$
|
(266,462
|
)
|
|
$
|
(497,289
|
)
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures
|
|
$
|
7,642,556
|
|
|
$
|
7,642,556
|
|
|
$
|
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total assets
|
|
|
7,642,556
|
|
|
|
7,642,556
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forwards
|
|
$
|
866,177
|
|
|
$
|
506,947
|
|
|
$
|
359,230
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total liabilities
|
|
|
866,177
|
|
|
|
506,947
|
|
|
|
359,230
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
$
|
6,776,379
|
|
|
$
|
7,135,609
|
|
|
$
|
(359,230
|
)
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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
|
F-60
CMF Aspect Master
Fund L.P.
Notes to Financial Statements
December 31, 2009
|
|
|
|
|
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 instruments, 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.
|
Forward Foreign Currency Contracts. Foreign
currency contracts are those contracts where the Master agrees
to receive or deliver a fixed quantity of foreign currency for
an
agreed-upon
price on an agreed future date. Foreign currency contracts are
valued daily, and the Masters net equity therein,
representing unrealized gain or loss on the contracts as
measured by the difference between the forward foreign exchange
rates at the dates of entry into the contracts and the forward
rates at the reporting date, is included in the Statements of
Financial Condition. Realized gains (losses) and changes in
unrealized gains (losses) on foreign currency contracts are
recognized in the period in which the contract is closed or the
changes occur, respectively, and are included in the Statements
of Income and Expenses.
|
|
|
|
|
|
The Master does not isolate that portion of the results of
operations arising from the effect of changes in foreign
exchange rates on investments from fluctuations from changes in
market prices of investments held. Such fluctuations are
included in net gain (loss) on investments in the Statements of
Income and Expenses.
|
|
|
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.
|
|
|
|
|
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 Masters income and expenses.
|
In 2007, the Master adopted ASC
740-10,
Income Taxes (formerly, FAS No. 48, Accounting
for Uncertainty in Income Taxes). ASC
740-10
provides guidance for how uncertain tax positions should be
recognized, measured, presented and disclosed in the financial
statements. ASC
740-10
requires the evaluation of tax positions taken or expected to be
taken in the course of preparing the Masters financial
statements to determine whether the tax positions are more-
F-61
CMF Aspect Master
Fund L.P.
Notes to Financial Statements
December 31, 2009
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 Masters 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 Masters 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
SECs requirements. All of the amendments in this update
are effective upon issuance of this update. Management has
included the provisions of these amendments 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.
|
|
|
|
|
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.
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
F-62
CMF Aspect Master
Fund L.P.
Notes to Financial Statements
December 31, 2009
Management Agreement are borne by the Funds. The Management
Agreement may be terminated upon notice by either party.
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 Masters 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
CGMs direct brokerage commission, shall be borne by the
Funds. All of the Masters assets are deposited in the
Masters account at CGM. The Masters 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 amounts of cash held by the
Master for margin requirements was $22,969,045 and $18,981,887,
respectively. The Customer Agreement may be terminated upon
notice by either party.
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 Masters 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 and metal
forward contracts traded for the year ended December 31,
2009 based on a quarterly calculation, was 9,972. The average
notional values of currency forward contracts for the year ended
December 31, 2009 based on a quarterly calculation, was
$179,140,879.
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 and forward contracts as separate assets
and liabilities.
F-63
CMF Aspect Master
Fund L.P.
Notes to Financial Statements
December 31, 2009
|
|
|
|
|
Assets
|
|
|
December 31, 2009
|
|
|
|
|
|
|
Futures Contracts
|
|
|
|
|
Energy
|
|
$
|
574,121
|
|
Grains
|
|
|
238,475
|
|
Indices
|
|
|
1,310,009
|
|
Interest Rates U.S.
|
|
|
27,841
|
|
Interest Rates
Non-U.S.
|
|
|
820,367
|
|
Livestock
|
|
|
1,170
|
|
Metals
|
|
|
156,363
|
|
Softs
|
|
|
1,560,990
|
|
|
|
|
|
|
Total unrealized appreciation on open futures contracts
|
|
$
|
4,689,336
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
Futures Contracts
|
|
|
|
|
Currencies
|
|
$
|
(36,750
|
)
|
Energy
|
|
|
(19,273
|
)
|
Grains
|
|
|
(26,038
|
)
|
Indices
|
|
|
(67,019
|
)
|
Interest Rates U.S.
|
|
|
(1,348,178
|
)
|
Interest Rates
Non-U.S.
|
|
|
(2,179,828
|
)
|
Livestock
|
|
|
(138,678
|
)
|
Metals
|
|
|
(1,580,290
|
)
|
Softs
|
|
|
(200,900
|
)
|
|
|
|
|
|
Total unrealized depreciation on open futures contracts
|
|
$
|
(5,596,954
|
)
|
|
|
|
|
|
Net unrealized depreciation on open futures contracts
|
|
$
|
(907,618
|
)*
|
|
|
|
|
|
Assets
|
|
|
|
|
Forward Contracts
|
|
|
|
|
Currencies
|
|
$
|
990,192
|
|
Metals
|
|
|
769,799
|
|
|
|
|
|
|
Total unrealized appreciation on open forward contracts
|
|
$
|
1,759,991
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
Forward Contracts
|
|
|
|
|
Currencies
|
|
$
|
(1,487,481
|
)
|
Metals
|
|
|
(128,643
|
)
|
|
|
|
|
|
Total unrealized depreciation on open forward contracts
|
|
$
|
(1,616,124
|
)
|
|
|
|
|
|
Net unrealized appreciation on open forward contracts
|
|
$
|
143,867
|
**
|
|
|
|
|
|
|
|
|
* |
|
This amount is in Net unrealized depreciation 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. |
F-64
CMF Aspect Master
Fund L.P.
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
|
|
$
|
(6,825,819
|
)
|
Energy
|
|
|
(8,384,587
|
)
|
Grains
|
|
|
(1,053,672
|
)
|
Indices
|
|
|
2,125,096
|
|
Interest Rates U.S.
|
|
|
(2,393,695
|
)
|
Interest Rates
Non-U.S.
|
|
|
(3,837,479
|
)
|
Livestock
|
|
|
972,097
|
|
Softs
|
|
|
526,733
|
|
Metals
|
|
|
53,261
|
|
|
|
|
|
|
Total
|
|
$
|
(18,818,065
|
)***
|
|
|
|
|
|
|
|
|
*** |
|
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.
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)*
|
|
$
|
(184.65
|
)
|
|
$
|
508.62
|
|
|
$
|
114.03
|
|
Interest income
|
|
|
1.26
|
|
|
|
16.27
|
|
|
|
46.55
|
|
Expenses**
|
|
|
(0.47
|
)
|
|
|
(0.27
|
)
|
|
|
(0.16
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Increase (decrease) for the year
|
|
|
(183.86
|
)
|
|
|
524.62
|
|
|
|
160.42
|
|
Distribution of interest income to feeder funds
|
|
|
(1.26
|
)
|
|
|
(16.27
|
)
|
|
|
(46.55
|
)
|
Net Asset Value per Redeemable Unit of Limited Partnership
Interest, beginning of year
|
|
|
1,902.60
|
|
|
|
1,394.25
|
|
|
|
1,280.38
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Asset Value per Redeemable Unit of Limited Partnership
Interest, end of year
|
|
$
|
1,717.48
|
|
|
$
|
1,902.60
|
|
|
$
|
1,394.25
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Includes clearing fees. |
|
** |
|
Excludes clearing fees. |
F-65
CMF Aspect Master
Fund L.P.
Notes to Financial Statements
December 31, 2009
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2009
|
|
|
2008
|
|
|
2007
|
|
|
Ratios to Average Net Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)***
|
|
|
(0.1
|
)%
|
|
|
0.9
|
%
|
|
|
3.3
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Operating expenses
|
|
|
0.2
|
%
|
|
|
0.2
|
%
|
|
|
0.2
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return
|
|
|
(9.7
|
)%
|
|
|
37.6
|
%
|
|
|
12.5
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
*** |
|
Interest income less total expenses. |
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, 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 Masters 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 Masters 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 Masters assets is CGM or a
CGM affiliate. Credit risk with respect to exchange-traded
instruments is reduced to the extent that through CGM, the
Masters counterparty is an exchange or clearing
organization.
The General Partner monitors and attempts to control the
Masters 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 Masters
business, these instruments may not be held to maturity.
F-66
Selected unaudited quarterly financial data for Aspect 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 |
|
$ |
(2,100,606 |
) |
|
$ |
9,396,484 |
|
|
$ |
(23,478,167 |
) |
|
$ |
(2,769,170 |
) |
Net income (loss) |
|
$ |
(2,119,165 |
) |
|
$ |
9,387,591 |
|
|
$ |
(23,487,080 |
) |
|
$ |
(2,778,949 |
) |
Increase (decrease) in
Net Asset Value per
Redeemable Unit |
|
$ |
(24.09 |
) |
|
$ |
98.92 |
|
|
$ |
(230.09 |
) |
|
$ |
(28.60 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the period from |
|
For the period from |
|
For the period from |
|
For the period 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) net of brokerage
commissions and clearing
fees including interest
income |
|
$ |
46,521,870 |
|
|
$ |
(19,743,784 |
) |
|
$ |
14,513,377 |
|
|
$ |
29,434,726 |
|
Net income (loss) |
|
$ |
46,511,766 |
|
|
$ |
(19,753,889 |
) |
|
$ |
14,503,460 |
|
|
$ |
29,428,863 |
|
Increase (decrease) in
Net Asset Value per
Redeemable Unit |
|
$ |
363.39 |
|
|
$ |
(148.72 |
) |
|
$ |
106.51 |
|
|
$ |
203.44 |
|
F-67
To the Limited
Partners of
CMF Capital Fund Management Master Fund L.P.
To the best of the knowledge and belief of the undersigned, the
information contained herein is accurate and complete.
Chief Financial Officer and Director
Ceres Managed Futures LLC
General Partner,
CMF Capital Fund Management Master Fund L.P.
Ceres Managed Futures LLC
55 East 59th Street
10th Floor
New York, N.Y. 10022
212-559-2011
F-68
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Partners of
CMF Capital Fund Management Master Fund L.P.:
We have audited the accompanying statement of financial condition of CMF Capital Fund
Management Master Fund 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 Partnerships 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
Partnerships 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 Capital Fund Management Master 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.
/s/ Deloitte & Touche LLP
New York, New York
March 19, 2010
F-69
Report of Independent Auditors
To the Partners of
CMF Capital Fund Management Partners Master Fund 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 Capital Fund
Management Partners Master 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. These financial statements are the responsibility of the Companys
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
F-70
Report of Independent Registered Public Accounting Firm
The Partners
CMF Capital Fund Management Master Fund L.P.:
We have audited the accompanying statements of income and expenses and changes in partners capital
of CMF Capital Fund Management Master Fund L.P. for the year ended December 31, 2007. These
financial statements are the responsibility of the Partnerships 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 Capital Fund Management
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
F-71
CMF Capital
Fund Management Master Fund L.P.
Statements
of Financial Condition
December 31, 2009 and 2008
|
|
|
|
|
|
|
|
|
|
|
2009
|
|
|
2008
|
|
|
Assets:
|
|
|
|
|
|
|
|
|
Equity in trading account:
|
|
|
|
|
|
|
|
|
Cash (Note 3c)
|
|
$
|
182,424,591
|
|
|
$
|
195,841,219
|
|
Cash margin (Note 3c)
|
|
|
12,145,114
|
|
|
|
8,378,393
|
|
Net unrealized appreciation on open futures contracts
|
|
|
127,073
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total assets
|
|
$
|
194,696,778
|
|
|
$
|
204,219,612
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities and Partners Capital:
|
|
|
|
|
|
|
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
Net unrealized depreciation on open futures contracts
|
|
$
|
|
|
|
$
|
167,880
|
|
Accrued expenses:
|
|
|
|
|
|
|
|
|
Professional fees
|
|
|
28,140
|
|
|
|
21,385
|
|
|
|
|
|
|
|
|
|
|
Total liabilities
|
|
|
28,140
|
|
|
|
189,265
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Partners Capital:
|
|
|
|
|
|
|
|
|
General Partner, 0.0000 Unit equivalents at December 31,
2009 and 2008
|
|
|
|
|
|
|
|
|
Limited Partners Capital, 98,237.4502 and 112,029.2093
Redeemable Units of Limited Partnership Interest outstanding at
December 31, 2009 and 2008, respectively
|
|
|
194,668,638
|
|
|
|
204,030,347
|
|
|
|
|
|
|
|
|
|
|
Total liabilities and partners capital
|
|
$
|
194,696,778
|
|
|
$
|
204,219,612
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-72
CMF Capital
Fund Management Master Fund L.P.
Condensed
Schedule of Investments
December 31, 2009
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Number of
|
|
|
|
|
|
% of Partners
|
|
|
|
Contracts
|
|
|
Fair Value
|
|
|
Capital
|
|
|
Futures Contracts Purchased
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
|
570
|
|
|
$
|
466,828
|
|
|
|
0.24
|
%
|
Energy
|
|
|
68
|
|
|
|
38,081
|
|
|
|
0.02
|
|
Grains
|
|
|
122
|
|
|
|
(7,943
|
)
|
|
|
(0.00
|
)*
|
Indices
|
|
|
1,223
|
|
|
|
(16,718
|
)
|
|
|
(0.01
|
)
|
Interest Rates U.S.
|
|
|
993
|
|
|
|
(164,855
|
)
|
|
|
(0.08
|
)
|
Interest Rates
Non-U.S.
|
|
|
788
|
|
|
|
(138,256
|
)
|
|
|
(0.07
|
)
|
Livestock
|
|
|
3
|
|
|
|
(1,450
|
)
|
|
|
(0.00
|
)*
|
Metals
|
|
|
18
|
|
|
|
24,838
|
|
|
|
0.01
|
|
Softs
|
|
|
45
|
|
|
|
46,441
|
|
|
|
0.02
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures contracts purchased
|
|
|
|
|
|
|
246,966
|
|
|
|
0.13
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts Sold
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
|
177
|
|
|
|
(125,488
|
)
|
|
|
(0.06
|
)
|
Grains
|
|
|
17
|
|
|
|
(1,276
|
)
|
|
|
(0.00
|
)*
|
Indices
|
|
|
15
|
|
|
|
14,087
|
|
|
|
0.01
|
|
Interest Rates Non-U.S.
|
|
|
3
|
|
|
|
(226
|
)
|
|
|
(0.00
|
)*
|
Livestock
|
|
|
11
|
|
|
|
(9,770
|
)
|
|
|
(0.01
|
)
|
Metals
|
|
|
3
|
|
|
|
(690
|
)
|
|
|
(0.00
|
)*
|
Softs
|
|
|
5
|
|
|
|
3,470
|
|
|
|
0.00
|
*
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures contracts sold
|
|
|
|
|
|
|
(119,893
|
)
|
|
|
(0.06
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
|
|
|
|
$
|
127,073
|
|
|
|
0.07
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-73
CMF Capital
Fund Management Master Fund L.P.
Condensed
Schedule of Investments
December 31, 2008
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Number of
|
|
|
|
|
|
% of Partners
|
|
|
|
Contracts
|
|
|
Fair Value
|
|
|
Capital
|
|
|
Futures Contracts Purchased
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
|
280
|
|
|
$
|
(257,000
|
)
|
|
|
(0.12
|
)%
|
Energy
|
|
|
5
|
|
|
|
25,980
|
|
|
|
0.01
|
|
Indices
|
|
|
656
|
|
|
|
487,246
|
|
|
|
0.24
|
|
Interest Rates U.S.
|
|
|
570
|
|
|
|
(317,639
|
)
|
|
|
(0.16
|
)
|
Interest Rates Non-U.S.
|
|
|
375
|
|
|
|
101,735
|
|
|
|
0.05
|
|
Metals
|
|
|
7
|
|
|
|
3,410
|
|
|
|
0.00
|
*
|
Softs
|
|
|
22
|
|
|
|
62,852
|
|
|
|
0.03
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures contracts purchased
|
|
|
|
|
|
|
106,584
|
|
|
|
0.05
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts Sold
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
|
109
|
|
|
|
(15,501
|
)
|
|
|
(0.01
|
)
|
Energy
|
|
|
22
|
|
|
|
(60,244
|
)
|
|
|
(0.03
|
)
|
Grains
|
|
|
46
|
|
|
|
(154,067
|
)
|
|
|
(0.07
|
)
|
Indices
|
|
|
4
|
|
|
|
2,632
|
|
|
|
0.00
|
*
|
Interest Rates Non-U.S.
|
|
|
7
|
|
|
|
(592
|
)
|
|
|
(0.00
|
)*
|
Metals
|
|
|
7
|
|
|
|
(1,788
|
)
|
|
|
(0.00
|
)*
|
Softs
|
|
|
69
|
|
|
|
(44,904
|
)
|
|
|
(0.02
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures contracts sold
|
|
|
|
|
|
|
(274,464
|
)
|
|
|
(0.13
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
|
|
|
|
$
|
(167,880
|
)
|
|
|
(0.08
|
)%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* Due to rounding
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-74
CMF Capital
Fund Management Master Fund L.P.
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
|
|
$
|
18,570,654
|
|
|
$
|
24,376,644
|
|
|
$
|
33,859,672
|
|
Change in net unrealized gains (losses) on open contracts
|
|
|
294,953
|
|
|
|
(110,947
|
)
|
|
|
(1,167,564
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gain (loss) from trading, net
|
|
|
18,865,607
|
|
|
|
24,265,697
|
|
|
|
32,692,108
|
|
Interest income
|
|
|
142,779
|
|
|
|
1,987,878
|
|
|
|
6,703,338
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total income (loss)
|
|
|
19,008,386
|
|
|
|
26,253,575
|
|
|
|
39,395,446
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses:
|
|
|
|
|
|
|
|
|
|
|
|
|
Clearing fees
|
|
|
2,631,807
|
|
|
|
1,739,085
|
|
|
|
2,608,618
|
|
Professional fees
|
|
|
47,303
|
|
|
|
39,257
|
|
|
|
36,586
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses
|
|
|
2,679,110
|
|
|
|
1,778,342
|
|
|
|
2,645,204
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss)
|
|
$
|
16,329,276
|
|
|
$
|
24,475,233
|
|
|
$
|
36,750,242
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss) per Redeemable Unit of Limited Partnership
Interest (Notes 1 and 6)
|
|
$
|
161.77
|
|
|
$
|
222.92
|
|
|
$
|
281.87
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Weighted average units outstanding
|
|
|
104,914.4217
|
|
|
|
115,301.0584
|
|
|
|
132,715.5252
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-75
CMF Capital
Fund Management Master Fund L.P.
Statements of Changes in Partners Capital
for the years ended
December 31, 2009, 2008 and 2007
|
|
|
|
|
|
|
Partners
|
|
|
|
Capital
|
|
|
Partners Capital at December 31, 2006
|
|
$
|
184,106,667
|
|
Net income (loss)
|
|
|
36,750,242
|
|
Sale of 14,768.5326 Redeemable Units of Limited Partnership
Interest
|
|
|
21,757,131
|
|
Redemption of 25,337.4603 Redeemable Units of Limited
Partnership Interest
|
|
|
(38,235,001
|
)
|
Distribution of interest income to feeder funds
|
|
|
(6,703,338
|
)
|
|
|
|
|
|
Partners Capital at December 31, 2007
|
|
|
197,675,701
|
|
Net income (loss)
|
|
|
24,475,233
|
|
Sale of 43,373.1588 Redeemable Units of Limited Partnership
Interest
|
|
|
75,388,239
|
|
Redemptions of 53,659.8895 Redeemable Units of Limited
Partnership Interest
|
|
|
(91,520,948
|
)
|
Distribution of interest income to feeder funds
|
|
|
(1,987,878
|
)
|
|
|
|
|
|
Partners Capital at December 31, 2008
|
|
|
204,030,347
|
|
Net income (loss)
|
|
|
16,329,276
|
|
Sale of 18,950.7886 Redeemable Units of Limited Partnership
Interest
|
|
|
37,972,362
|
|
Redemption of 32,742.5477 Redeemable Units of Limited
Partnership Interest
|
|
|
(63,520,568
|
)
|
Distribution of interest income to feeder funds
|
|
|
(142,779
|
)
|
|
|
|
|
|
Partners Capital at December 31, 2009
|
|
$
|
194,668,638
|
|
|
|
|
|
|
Net Asset Value per Redeemable Unit of Limited Partnership
Interest:
|
|
|
|
|
|
|
|
|
|
2007:
|
|
$
|
1,616.11
|
|
|
|
|
|
|
|
|
|
|
|
2008:
|
|
$
|
1,821.22
|
|
|
|
|
|
|
|
|
|
|
|
2009:
|
|
$
|
1,981.61
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-76
CMF Capital
Fund Management Master Fund L.P.
Notes to Financial Statements
December 31, 2009
|
|
1.
|
Partnership
Organization:
|
CMF Capital Fund Management Master Fund L.P. (the
Master) is a limited partnership that was organized
under the partnership laws of the State of New York on
July 25, 2005, 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, indices, grains, metals,
softs, livestock and U.S. and non-U.S. interest rates. 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 August 1, 2005, (date Master commenced trading),
Institutional Futures Portfolio L.P., formerly CMF Institutional
Futures Portfolio L.P. (Institutional Portfolio),
and Tactical Diversified Futures Fund L.P., formerly Citigroup
Diversified Futures Fund L.P. (Tactical
Diversified) each allocated a portion of their capital to
the Master. Institutional Portfolio invested $4,860,099 of its
initial capital and purchased 4,860.0990 Redeemable Units, and
Tactical Diversified purchased 159,434.0631 Redeemable Units
with cash equal to $157,804,020 and a contribution of open
commodity futures and forwards positions with a fair value of
$1,630,043. On March 1, 2007, Global Futures
Fund Ltd., formerly Citigroup Global Futures Fund Ltd.
(Global Futures), invested $2,300,000 of its initial
capital and purchased 1,679.5630 Redeemable Units. The Master
was formed to permit commodity pools managed now and in the
future by Capital Fund Management (the Advisor)
using the Discus Program, the Advisors proprietary
systematic trading system, to invest together in one trading
vehicle.
The Master operates under a structure where its investors
consist of Tactical Diversified, Institutional Portfolio and
Global Futures (each a Feeder, collectively the
Funds) with approximately 76.3%, 11.0% and 12.7%
investments in the Master at December 31, 2009,
respectively. Tactical Diversified, Institutional Portfolio and
Global Futures had approximately 84.0%, 7.2% and 8.8%
investments in the Master at December 31, 2008,
respectively.
The Master will be liquidated upon the first to occur of the
following: December 31, 2026; 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.
F-77
CMF Capital
Fund Management Master Fund L.P.
Notes to Financial Statements
December 31, 2009
|
|
|
|
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 Masters 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.
|
Masters 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.
|
Masters 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.
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 is 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 Masters Level 2 assets and
liabilities. The adoption of the amendments to ASC 820 had
no effect on the Masters 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
F-78
CMF Capital
Fund Management Master Fund L.P.
Notes to Financial Statements
December 31, 2009
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 managements assumptions
and internal valuation pricing models (Level 3).
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Quoted Prices in
|
|
|
|
|
|
|
|
|
|
|
|
|
Active Markets
|
|
|
Significant Other
|
|
|
Significant
|
|
|
|
|
|
|
for Identical
|
|
|
Observable Inputs
|
|
|
Unobservable
|
|
|
|
12/31/2009
|
|
|
Assets (Level 1)
|
|
|
(Level 2)
|
|
|
Inputs (Level 3)
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures
|
|
$
|
127,073
|
|
|
$
|
127,073
|
|
|
$
|
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total assets
|
|
|
127,073
|
|
|
|
127,073
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
$
|
127,073
|
|
|
$
|
127,073
|
|
|
$
|
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Quoted Prices in
|
|
|
|
|
|
|
|
|
|
|
|
|
Active Markets
|
|
|
Significant Other
|
|
|
Significant
|
|
|
|
|
|
|
for Identical
|
|
|
Observable Inputs
|
|
|
Unobservable
|
|
|
|
12/31/2008
|
|
|
Assets (Level 1)
|
|
|
(Level 2)
|
|
|
Inputs (Level 3)
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures
|
|
$
|
167,880
|
|
|
$
|
167,880
|
|
|
$
|
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total liabilities
|
|
|
167,880
|
|
|
|
167,880
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
$
|
(167,880
|
)
|
|
$
|
(167,880
|
)
|
|
$
|
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 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.
|
|
|
e.
|
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.
|
|
|
|
|
f.
|
Income Taxes. Income taxes have not been
provided as each partner is individually liable for the taxes,
if any, on their share of the Masters 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
Masters 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
F-79
CMF Capital
Fund Management Master Fund L.P.
Notes to Financial Statements
December 31, 2009
expense in the current year. The General Partner has concluded
that no provision for income tax is required in the
Masters financial statements.
The following is the major tax jurisdiction for the Master and
the earliest tax year subject to examination: United
States 2006.
|
|
|
|
g.
|
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.
|
|
|
h.
|
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 Masters 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 SECs 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.
|
|
|
|
i.
|
Certain prior period amounts have been reclassified to conform
to current year presentation.
|
|
|
j.
|
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.
|
|
|
|
|
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.
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.
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
F-80
CMF Capital
Fund Management Master Fund L.P.
Notes to Financial Statements
December 31, 2009
for the Masters 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
CGMs direct brokerage commission shall be borne by the
Funds. All of the Masters assets are deposited in the
Masters account at CGM. The Masters 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 amounts of cash held by the
Master for margin requirements was $12,145,114 and $8,378,393,
respectively. The Customer Agreement may be terminated upon
notice by either party.
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 Masters 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 forwards contracts. The Master nets, for
financial reporting purposes, the unrealized gains and losses on
open futures and forward contracts on the Statement 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 contracts traded
for the year ended December 31, 2009, based on a quarterly
calculation, was 7,112.
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 or Statements of Changes in Partners Capital. The
following table indicates the fair values of derivative
instruments of futures contracts as separate assets and
liabilities.
|
|
|
|
|
|
|
December 31,
|
|
Assets
|
|
2009
|
|
|
Futures Contracts
|
|
|
|
|
Currencies
|
|
$
|
597,070
|
|
Energy
|
|
|
72,142
|
|
Grains
|
|
|
26,555
|
|
Indices
|
|
|
388,118
|
|
Interest Rates U.S.
|
|
|
5,175
|
|
Interest Rates Non-U.S.
|
|
|
29,811
|
|
Metals
|
|
|
49,338
|
|
Softs
|
|
|
57,084
|
|
|
|
|
|
|
Total unrealized appreciation on open futures contracts
|
|
$
|
1,225,293
|
|
|
|
|
|
|
F-81
CMF Capital
Fund Management Master Fund L.P.
Notes to Financial Statements
December 31, 2009
|
|
|
|
|
Liabilities
|
|
|
|
|
Futures Contracts
|
|
|
|
|
Currencies
|
|
$
|
(255,730
|
)
|
Energy
|
|
|
(34,061
|
)
|
Grains
|
|
|
(35,774
|
)
|
Indices
|
|
|
(390,749
|
)
|
Interest Rates U.S.
|
|
|
(170,030
|
)
|
Interest Rates Non-U.S.
|
|
|
(168,293
|
)
|
Livestock
|
|
|
(11,220
|
)
|
Metals
|
|
|
(25,190
|
)
|
Softs
|
|
|
(7,173
|
)
|
|
|
|
|
|
Total unrealized depreciation on open futures contracts
|
|
$
|
(1,098,220
|
)
|
|
|
|
|
|
Net unrealized appreciation on open futures contracts
|
|
$
|
127,073
|
*
|
|
|
|
|
|
|
|
|
* |
|
This amount is in Net unrealized appreciation on open
futures contracts on the Statements of Financial Condition. |
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
|
|
$
|
7,120,213
|
|
Energy
|
|
|
(14,075,896
|
)
|
Grains
|
|
|
(525,059
|
)
|
Interest Rates U.S.
|
|
|
3,755,992
|
|
Interest Rates Non-U.S.
|
|
|
(1,213,234
|
)
|
Indices
|
|
|
23,812,361
|
|
Livestock
|
|
|
(35,340
|
)
|
Metals
|
|
|
16,596
|
|
Softs
|
|
|
9,974
|
|
|
|
|
|
|
Total
|
|
$
|
18,865,607
|
**
|
|
|
|
|
|
|
|
|
** |
|
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.
F-82
CMF Capital
Fund Management Master Fund L.P.
Notes to Financial Statements
December 31, 2009
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)*
|
|
$
|
160.84
|
|
|
$
|
205.49
|
|
|
$
|
230.92
|
|
Interest income
|
|
|
1.38
|
|
|
|
17.81
|
|
|
|
51.22
|
|
Expenses**
|
|
|
(0.45
|
)
|
|
|
(0.38
|
)
|
|
|
(0.27
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Increase (decrease) for the year
|
|
|
161.77
|
|
|
|
222.92
|
|
|
|
281.87
|
|
Distribution of interest to feeder funds
|
|
|
(1.38
|
)
|
|
|
(17.81
|
)
|
|
|
(51.22
|
)
|
Net Asset Value per Redeemable Unit of Limited Partnership
Interest, beginning of year
|
|
|
1,821.22
|
|
|
|
1,616.11
|
|
|
|
1,385.46
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Asset Value per Redeemable Unit of Limited Partnership
Interest, end of year
|
|
$
|
1,981.61
|
|
|
$
|
1,821.22
|
|
|
$
|
1,616.11
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Includes clearing fees. |
|
|
** |
|
Excludes clearing fees. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2009
|
|
|
2008
|
|
|
2007
|
|
Ratios to average net assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)***
|
|
|
(1
|
.3
|
)%
|
|
|
0.1
|
%
|
|
|
2.1
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Operating expenses
|
|
|
1
|
.3
|
%
|
|
|
0.9
|
%
|
|
|
1.4
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return
|
|
|
8
|
.9
|
%
|
|
|
13.8
|
%
|
|
|
20.3
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
*** |
|
Interest income less total expenses. |
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, 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 Masters risk of loss in the event of
counterparty default is typically
F-83
CMF Capital
Fund Management Master Fund L.P.
Notes to Financial Statements
December 31, 2009
limited to the amounts recognized in the Statements of Financial
Condition and not represented by the contract or notional
amounts of the instruments. The Masters 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 Masters assets
is CGM or a CGM affiliate. Credit risk with respect to
exchange-traded instruments is reduced to the extent that
through CGM, the Masters counterparty is an exchange or
clearing organization.
The General Partner monitors and attempts to control the
Masters 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 analyze statistically 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 Masters
business, these instruments may not be held to maturity.
F-84
Selected unaudited quarterly financial data for CFM 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 |
|
$ |
(12,425,161 |
) |
|
$ |
18,954,872 |
|
|
$ |
(2,551,896 |
) |
|
$ |
12,398,764 |
|
Net income (loss) |
|
$ |
(12,443,265 |
) |
|
$ |
18,945,243 |
|
|
$ |
(2,561,107 |
) |
|
$ |
12,388,405 |
|
Increase (decrease) in
Net Asset Value per
Redeemable Unit |
|
$ |
(126.72 |
) |
|
$ |
195.87 |
|
|
$ |
(18.94 |
) |
|
$ |
111.56 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the period from |
|
For the period from |
|
For the period from |
|
For the period 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) net of brokerage
commissions and clearing
fees including interest
income |
|
$ |
21,082,873 |
|
|
$ |
(16,466,476 |
) |
|
$ |
14,342,310 |
|
|
$ |
5,555,783 |
|
Net income (loss) |
|
$ |
21,072,285 |
|
|
$ |
(16,476,614 |
) |
|
$ |
14,330,825 |
|
|
$ |
5,548,737 |
|
Increase (decrease) in
Net Asset Value per
Redeemable Unit |
|
$ |
197.04 |
|
|
$ |
(152.54 |
) |
|
$ |
130.84 |
|
|
$ |
47.58 |
|
F-85
To the Limited
Partners of
CMF Drury Capital Master Fund L.P.
To the best of the knowledge and belief of the undersigned, the
information contained herein is accurate and complete.
Chief Financial Officer and Director
Ceres Managed Futures LLC
General Partner,
CMF Drury Capital Master Fund L.P.
Ceres Managed Futures LLC
55 East 59th Street
10th Floor
New York, N.Y. 10022
212-559-2011
F-86
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Partners of
CMF Drury Capital Master Fund L.P.:
We have audited the accompanying statement of financial condition of CMF Drury Capital Master Fund
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 Partnerships 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
Partnerships 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 Drury Capital Master 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.
/s/ Deloitte & Touche LLP
New York, New York
March 19, 2010
F-87
Report of Independent Auditors
To the Partners of
CMF Drury Capital Master Fund 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 Drury Capital
Master 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.
These financial statements are the responsibility of the Companys 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
F-88
Report of Independent Registered Public Accounting Firm
The Partners
CMF Drury Capital Master Fund L.P.:
We have audited the accompanying statements of income and expenses and changes in partners capital
of CMF Drury Capital Master Fund L.P. for the year ended December 31, 2007. These financial
statements are the responsibility of the Partnerships 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 Drury Capital 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
F-89
CMF Drury Capital
Master Fund L.P.
Statements of Financial Condition
December 31, 2009 and 2008
|
|
|
|
|
|
|
|
|
|
|
2009
|
|
|
2008
|
|
|
Assets:
|
|
|
|
|
|
|
|
|
Equity in trading account:
|
|
|
|
|
|
|
|
|
Cash (Note 3c)
|
|
$
|
96,420,433
|
|
|
$
|
123,835,440
|
|
Cash margin (Note 3c)
|
|
|
16,346,533
|
|
|
|
21,240,197
|
|
Net unrealized appreciation on open futures contracts
|
|
|
1,236,724
|
|
|
|
13,366,413
|
|
Net unrealized appreciation on open forward contracts
|
|
|
1,268,670
|
|
|
|
8,390,178
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
115,272,360
|
|
|
$
|
166,832,228
|
|
|
|
|
|
|
|
|
|
|
Liabilities and Partners Capital:
|
|
|
|
|
|
|
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
Accrued expenses:
|
|
|
|
|
|
|
|
|
Professional fees
|
|
$
|
28,828
|
|
|
$
|
16,757
|
|
|
|
|
|
|
|
|
|
|
Total liabilities
|
|
|
28,828
|
|
|
|
16,757
|
|
|
|
|
|
|
|
|
|
|
Partners Capital:
|
|
|
|
|
|
|
|
|
General Partner, 0.0000 Unit equivalents at December 31,
2009 and 2008
|
|
|
|
|
|
|
|
|
Limited Partners Capital, 49,258.3993 and 84,587.2747
Redeemable Units of Limited Partnership Interest outstanding at
December 31, 2009 and 2008, respectively
|
|
|
115,243,532
|
|
|
|
166,815,471
|
|
|
|
|
|
|
|
|
|
|
Total liabilities and partners capital
|
|
$
|
115,272,360
|
|
|
$
|
166,832,228
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-90
CMF Drury Capital
Master Fund L.P.
Condensed Schedule of Investments
December 31, 2009
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Notional ($)/Number
|
|
|
|
|
|
% of Partners
|
|
|
|
of Contracts
|
|
|
Fair Value
|
|
|
Capital
|
|
|
Futures Contracts Purchased
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
|
252
|
|
|
$
|
(610,547
|
)
|
|
|
(0.53
|
)%
|
Energy
|
|
|
150
|
|
|
|
(191,401
|
)
|
|
|
(0.17
|
)
|
Grains
|
|
|
500
|
|
|
|
410,844
|
|
|
|
0.36
|
|
Indices
|
|
|
1,439
|
|
|
|
2,114,552
|
|
|
|
1.83
|
|
Interest Rates
Non-U.S.
|
|
|
1,396
|
|
|
|
(233,547
|
)
|
|
|
(0.20
|
)
|
Interest Rates U.S.
|
|
|
741
|
|
|
|
(520,578
|
)
|
|
|
(0.45
|
)
|
Metals
|
|
|
55
|
|
|
|
212,960
|
|
|
|
0.18
|
|
Softs
|
|
|
497
|
|
|
|
952,628
|
|
|
|
0.83
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures contracts purchased
|
|
|
|
|
|
|
2,134,911
|
|
|
|
1.85
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts Sold
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
|
44
|
|
|
|
133,000
|
|
|
|
0.12
|
|
Energy
|
|
|
140
|
|
|
|
(932,460
|
)
|
|
|
(0.81
|
)
|
Grains
|
|
|
179
|
|
|
|
(40,750
|
)
|
|
|
(0.04
|
)
|
Interest Rates
Non-U.S.
|
|
|
54
|
|
|
|
(84,387
|
)
|
|
|
(0.07
|
)
|
Interest Rates U.S.
|
|
|
32
|
|
|
|
(17,000
|
)
|
|
|
(0.02
|
)
|
Softs
|
|
|
302
|
|
|
|
43,410
|
|
|
|
0.04
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures contracts sold
|
|
|
|
|
|
|
(898,187
|
)
|
|
|
(0.78
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized Appreciation on Open Forward Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
$
|
27,392,603
|
|
|
|
380,186
|
|
|
|
0.33
|
|
Metals
|
|
|
521
|
|
|
|
2,921,942
|
|
|
|
2.53
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total unrealized appreciation on open forward contracts
|
|
|
|
|
|
|
3,302,128
|
|
|
|
2.86
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized Depreciation on Open Forward Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
$
|
60,230,923
|
|
|
|
(959,070
|
)
|
|
|
(0.83
|
)
|
Metals
|
|
|
260
|
|
|
|
(1,074,388
|
)
|
|
|
(0.93
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total unrealized depreciation on open forward contracts
|
|
|
|
|
|
|
(2,033,458
|
)
|
|
|
(1.76
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
|
|
|
|
$
|
2,505,394
|
|
|
|
2.17
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-91
CMF Drury Capital
Master Fund L.P.
Condensed Schedule of Investments
December 31, 2008
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Notional ($)/Number
|
|
|
|
|
|
% of Partners
|
|
|
|
of Contracts
|
|
|
Fair Value
|
|
|
Capital
|
|
|
Futures Contracts Purchased
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
|
59
|
|
|
$
|
30,837
|
|
|
|
0.02
|
%
|
Interest Rates
Non-U.S.
|
|
|
3,823
|
|
|
|
5,402,300
|
|
|
|
3.24
|
|
Interest Rates U.S.
|
|
|
1,084
|
|
|
|
2,927,792
|
|
|
|
1.75
|
|
Metals
|
|
|
13
|
|
|
|
920
|
|
|
|
0.00
|
*
|
Softs
|
|
|
70
|
|
|
|
231,144
|
|
|
|
0.14
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures contracts purchased
|
|
|
|
|
|
|
8,592,993
|
|
|
|
5.15
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts Sold
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
|
107
|
|
|
|
88,081
|
|
|
|
0.05
|
|
Energy
|
|
|
441
|
|
|
|
4,035,115
|
|
|
|
2.42
|
|
Grains
|
|
|
862
|
|
|
|
(359,261
|
)
|
|
|
(0.22
|
)
|
Indices
|
|
|
381
|
|
|
|
(306,995
|
)
|
|
|
(0.18
|
)
|
Metals
|
|
|
111
|
|
|
|
214,808
|
|
|
|
0.13
|
|
Softs
|
|
|
607
|
|
|
|
1,101,672
|
|
|
|
0.66
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures contracts sold
|
|
|
|
|
|
|
4,773,420
|
|
|
|
2.86
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized Appreciation on Open Forward Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
$
|
24,618,687
|
|
|
|
792,138
|
|
|
|
0.48
|
|
Metals
|
|
|
816
|
|
|
|
10,547,535
|
|
|
|
6.32
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total unrealized appreciation on open forward contracts
|
|
|
|
|
|
|
11,339,673
|
|
|
|
6.80
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized Depreciation on Open Forward Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
$
|
43,471,209
|
|
|
|
(1,092,205
|
)
|
|
|
(0.66
|
)
|
Metals
|
|
|
402
|
|
|
|
(1,857,290
|
)
|
|
|
(1.11
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total unrealized depreciation on open forward contracts
|
|
|
|
|
|
|
(2,949,495
|
)
|
|
|
(1.77
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
|
|
|
|
$
|
21,756,591
|
|
|
|
13.04
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-92
CMF Drury Capital
Master Fund L.P.
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
|
|
$
|
37,461,823
|
|
|
$
|
60,253,396
|
|
|
$
|
10,335,453
|
|
Change in net unrealized gains (losses) on open contracts
|
|
|
(19,251,197
|
)
|
|
|
22,956,049
|
|
|
|
(1,623,515
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gain (loss) from trading, net
|
|
|
18,210,626
|
|
|
|
83,209,445
|
|
|
|
8,711,938
|
|
Interest income
|
|
|
78,650
|
|
|
|
1,164,403
|
|
|
|
3,488,244
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total income (loss)
|
|
|
18,289,276
|
|
|
|
84,373,848
|
|
|
|
12,200,182
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses:
|
|
|
|
|
|
|
|
|
|
|
|
|
Clearing fees
|
|
|
147,526
|
|
|
|
149,542
|
|
|
|
229,964
|
|
Professional fees
|
|
|
48,866
|
|
|
|
30,708
|
|
|
|
28,899
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses
|
|
|
196,392
|
|
|
|
180,250
|
|
|
|
258,863
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss)
|
|
$
|
18,092,884
|
|
|
$
|
84,193,598
|
|
|
$
|
11,941,319
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss) per Redeemable Unit of Limited Partnership
Interest (Notes 1 and 6)
|
|
$
|
368.89
|
|
|
$
|
959.35
|
|
|
$
|
119.27
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Weighted average units outstanding
|
|
|
58,143.4080
|
|
|
|
90,943.3829
|
|
|
|
101,325.7290
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-93
CMF Drury Capital
Master Fund L.P.
Statements of Changes in Partners Capital
for the years ended
December 31, 2009, 2008 and 2007
|
|
|
|
|
|
|
Partners
|
|
|
|
Capital
|
|
|
Partners Capital at December 31, 2006
|
|
$
|
108,189,858
|
|
Net income (loss)
|
|
|
11,941,319
|
|
Sale of 11,273.2416 Redeemable Units of Limited Partnership
Interest
|
|
|
10,848,390
|
|
Redemption of 32,769.1908 Redeemable Units of Limited
Partnership Interest
|
|
|
(31,691,863
|
)
|
Distribution of interest income to feeder funds
|
|
|
(3,488,244
|
)
|
|
|
|
|
|
Partners Capital at December 31, 2007
|
|
|
95,799,460
|
|
Net income (loss)
|
|
|
84,193,598
|
|
Sale of 7,779.3491 Redeemable Units of Limited Partnership
Interest
|
|
|
10,549,329
|
|
Redemption of 16,602.9291 Redeemable Units of Limited
Partnership Interest
|
|
|
(22,562,513
|
)
|
Distribution of interest income to feeder funds
|
|
|
(1,164,403
|
)
|
|
|
|
|
|
Partners Capital at December 31, 2008
|
|
|
166,815,471
|
|
Net income (loss)
|
|
|
18,092,884
|
|
Sale of 4,650.4796 Redeemable Units of Limited Partnership
Interest
|
|
|
10,214,590
|
|
Redemption of 39,979.3550 Redeemable Units of Limited
Partnership Interest
|
|
|
(79,800,763
|
)
|
Distribution of interest income to feeder funds
|
|
|
(78,650
|
)
|
|
|
|
|
|
Partners Capital at December 31, 2009
|
|
$
|
115,243,532
|
|
|
|
|
|
|
Net Asset Value per Redeemable Unit of Limited Partnership
Interest:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2007:
|
|
$
|
1,025.57
|
|
|
|
|
|
|
|
|
|
|
|
2008:
|
|
$
|
1,972.11
|
|
|
|
|
|
|
|
|
|
|
|
2009:
|
|
$
|
2,339.57
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-94
CMF Drury Capital
Master Fund L.P.
Notes to Financial Statements
December 31, 2009
|
|
1.
|
Partnership
Organization:
|
CMF Drury Capital Master Fund 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 and forward
contracts. The sectors traded include currencies, energy,
grains, U.S. and
non-U.S. interest
rates, indices, softs, livestock and metals. 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 August 1, 2005 (commencement of trading operations),
Tactical Diversified Futures Fund L.P. (formerly Citigroup
Diversified Futures Fund L.P.) (Tactical
Diversified) and Institutional Futures Portfolio L.P.
(formerly CMF Institutional Futures Portfolio L.P.)
(Institutional Portfolio) allocated a portion of
their capital to the Master. Tactical Diversified purchased
120,720.7387 Redeemable Units with cash equal to $117,943,206
and a contribution of open commodity futures and forward
positions with a fair value equal to $2,777,533. Institutional
Portfolio purchased 4,860.0990 Redeemable Units with cash equal
to $4,860,099. The Master was formed to permit commodity pools
managed now or in the future by Drury Capital, Inc., an Illinois
Corporation (the Advisor) using the Diversified
Trend-Following Program, the Advisors proprietary,
systematic trading system, to invest together in one vehicle.
The Master operates under a structure where its investors
consist of Tactical Diversified and Institutional Portfolio
(each a Feeder, collectively the Funds)
with approximately 89.2% and 10.8% investments in the Master at
December 31, 2009, respectively. Tactical Diversified and
Institutional Portfolio had approximately 92.4% and 7.6%
investments in the Master at December 31, 2008,
respectively.
The Master will be liquidated upon the first to occur of the
following: December 31, 2026; 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 Commissions
(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.
F-95
CMF Drury Capital
Master Fund L.P.
Notes to Financial Statements
December 31, 2009
|
|
|
|
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 Masters 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.
|
Masters 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.
|
Masters 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.
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 Masters Level 2 assets and
liabilities. The adoption of the amendments to ASC 820 had no
effect on the Masters 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
F-96
CMF Drury Capital
Master Fund L.P.
Notes to Financial Statements
December 31, 2009
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 that are priced at fair value using unobservable
inputs through the application of managements assumptions
and internal valuation pricing models (Level 3).
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Quoted Prices in
|
|
|
|
|
|
|
|
|
|
|
|
|
Active Markets
|
|
|
Significant Other
|
|
|
Significant
|
|
|
|
|
|
|
for Identical
|
|
|
Observable Inputs
|
|
|
Unobservable
|
|
|
|
12/31/2009
|
|
|
Assets (Level 1)
|
|
|
(Level 2)
|
|
|
Inputs (Level 3)
|
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures
|
|
$
|
1,236,724
|
|
|
$
|
1,236,724
|
|
|
$
|
|
|
|
$
|
|
|
Forwards
|
|
|
1,847,554
|
|
|
|
1,847,554
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total assets
|
|
|
3,084,278
|
|
|
|
3,084,278
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forwards
|
|
$
|
578,884
|
|
|
$
|
|
|
|
$
|
578,884
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total liabilities
|
|
|
578,884
|
|
|
|
|
|
|
|
578,884
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
$
|
2,505,394
|
|
|
$
|
3,084,278
|
|
|
$
|
(578,884
|
)
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures
|
|
$
|
13,366,413
|
|
|
$
|
13,366,413
|
|
|
$
|
|
|
|
$
|
|
|
Forwards
|
|
|
8,690,245
|
|
|
|
8,690,245
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total assets
|
|
|
22,056,658
|
|
|
|
22,056,658
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forwards
|
|
$
|
300,067
|
|
|
$
|
|
|
|
$
|
300,067
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total liabilities
|
|
|
300,067
|
|
|
|
|
|
|
|
300,067
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
$
|
21,756,591
|
|
|
$
|
22,056,658
|
|
|
$
|
(300,067
|
)
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 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.
|
|
|
e.
|
Forward Foreign Currency Contracts. Foreign
currency contracts are those contracts where the Master agrees
to receive or deliver a fixed quantity of foreign currency for
an
agreed-upon
price on an agreed future date. Foreign currency contracts are
valued daily, and the Masters net equity
|
F-97
CMF Drury Capital
Master Fund L.P.
Notes to Financial Statements
December 31, 2009
|
|
|
|
|
therein, representing unrealized gain or loss on the contracts
as measured by the difference between the forward foreign
exchange rates at the dates of entry into the contracts and the
forward rates at the reporting date, is included in the
Statements of Financial Condition. Realized gains (losses) and
changes in unrealized gains (losses) on foreign currency
contracts are recognized in the period in which the contract is
closed or the changes occur respectively, and are included in
the Statements of Income and Expenses.
|
The Master does not isolate that portion of the results of
operations arising from the effect of changes in foreign
exchange rates on investments from fluctuations from changes in
market prices of investments held. Such fluctuations are
included in net gain (loss) on investments in the Statements of
Income and Expenses.
|
|
|
|
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.
|
|
|
|
|
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 Masters 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 Masters 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 Masters 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,
|
F-98
CMF Drury Capital
Master Fund L.P.
Notes to Financial Statements
December 31, 2009
|
|
|
|
|
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 Masters 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 SECs 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 the current year 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.
|
|
|
|
|
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.
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.
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 Masters 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
CGMs direct brokerage commission are borne by the Funds.
All of the Masters assets are deposited in the
Masters account at CGM. The Masters 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 amounts of cash held by the
Master for margin requirements were $16,346,533 and $21,240,197,
respectively. The Customer Agreement may be terminated upon
notice by either party.
F-99
CMF Drury Capital
Master Fund L.P.
Notes to Financial Statements
December 31, 2009
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 Masters 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 and metal
forward contracts traded for the year ended December 31,
2009 based on a quarterly calculation, was 11,635. The average
notional values of currency forward contracts for the year ended
December 31, 2009 based on a quarterly calculation, was
$79,022,721.
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 and forward contracts as separate assets
and liabilities.
|
|
|
|
|
|
|
December 31, 2009
|
|
|
Assets
|
|
|
|
|
Futures Contracts
|
|
|
|
|
Currencies
|
|
$
|
154,016
|
|
Energy
|
|
|
24,734
|
|
Grains
|
|
|
417,836
|
|
Indices
|
|
|
2,130,131
|
|
Interest Rates
Non-U.S.
|
|
|
309,240
|
|
Metals
|
|
|
261,250
|
|
Softs
|
|
|
996,038
|
|
|
|
|
|
|
Total unrealized appreciation on open futures contracts
|
|
$
|
4,293,245
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
Futures Contracts
|
|
|
|
|
Currencies
|
|
$
|
(631,563
|
)
|
Energy
|
|
|
(1,148,595
|
)
|
Grains
|
|
|
(47,742
|
)
|
Indices
|
|
|
(15,579
|
)
|
Interest Rates U.S.
|
|
|
(537,578
|
)
|
Interest Rates
Non-U.S.
|
|
|
(627,174
|
)
|
Metals
|
|
|
(48,290
|
)
|
|
|
|
|
|
Total unrealized depreciation on open futures contracts
|
|
$
|
(3,056,521
|
)
|
|
|
|
|
|
Net unrealized appreciation on open futures contracts
|
|
$
|
1,236,724
|
*
|
|
|
|
|
|
F-100
CMF Drury Capital
Master Fund L.P.
Notes to Financial Statements
December 31, 2009
|
|
|
|
|
|
|
December 31, 2009
|
|
|
Assets
|
|
|
|
|
Forward Contracts
|
|
|
|
|
Currencies
|
|
$
|
380,186
|
|
Metals
|
|
|
2,921,942
|
|
|
|
|
|
|
Total unrealized appreciation on open forward contracts
|
|
$
|
3,302,128
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
Forward Contracts
|
|
|
|
|
Currencies
|
|
$
|
(959,070
|
)
|
Metals
|
|
|
(1,074,388
|
)
|
|
|
|
|
|
Total unrealized depreciation on open forward contracts
|
|
$
|
(2,033,458
|
)
|
|
|
|
|
|
Net unrealized appreciation on open forward contracts
|
|
$
|
1,268,670
|
**
|
|
|
|
|
|
|
|
|
* |
|
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. |
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
|
|
$
|
(1,180,060
|
)
|
Energy
|
|
|
1,895,212
|
|
Grains
|
|
|
(1,870,543
|
)
|
Indices
|
|
|
12,684,370
|
|
Interest Rates U.S.
|
|
|
(1,277,680
|
)
|
Interest Rates
Non-U.S.
|
|
|
1,646,024
|
|
Softs
|
|
|
(1,283,057
|
)
|
Metals
|
|
|
7,596,360
|
|
|
|
|
|
|
Total
|
|
$
|
18,210,626
|
***
|
|
|
|
|
|
|
|
|
*** |
|
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.
F-101
CMF Drury Capital
Master Fund L.P.
Notes to Financial Statements
December 31, 2009
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)*
|
|
$
|
368.41
|
|
|
$
|
946.88
|
|
|
$
|
84.31
|
|
Interest income
|
|
|
1.43
|
|
|
|
12.81
|
|
|
|
35.24
|
|
Expenses**
|
|
|
(0.95
|
)
|
|
|
(0.34
|
)
|
|
|
(0.28
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Increase (decrease) for the year
|
|
|
368.89
|
|
|
|
959.35
|
|
|
|
119.27
|
|
Distribution of interest income to feeder funds
|
|
|
(1.43
|
)
|
|
|
(12.81
|
)
|
|
|
(35.24
|
)
|
Net Asset Value per Redeemable Unit, beginning of year
|
|
|
1,972.11
|
|
|
|
1,025.57
|
|
|
|
941.54
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Asset Value per Redeemable Unit, end of year
|
|
$
|
2,339.57
|
|
|
$
|
1,972.11
|
|
|
$
|
1,025.57
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)***
|
|
|
(0.1
|
)%
|
|
|
0.8
|
%
|
|
|
3.2
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Operating expenses
|
|
|
0.2
|
%
|
|
|
0.2
|
%
|
|
|
0.3
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return
|
|
|
18.7
|
%
|
|
|
93.5
|
%
|
|
|
12.7
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Includes clearing fees. |
|
** |
|
Excludes clearing fees. |
|
*** |
|
Interest income less total expenses. |
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 Masters 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
F-102
CMF Drury Capital
Master Fund L.P.
Notes to Financial Statements
December 31, 2009
contract or notional amounts of the instruments. The
Masters 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 Masters assets is CGM or a CGM affiliate.
Credit risk with respect to exchange-traded instruments is
reduced to the extent that through CGM, the Masters
counterparty is an exchange or clearing organization.
The General Partner monitors and attempts to control the
Masters 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 Masters
business, these instruments may not be held to maturity.
F-103
Selected unaudited quarterly financial data for Drury 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 |
|
$ |
5,744,880 |
|
|
$ |
14,002,816 |
|
|
$ |
305,059 |
|
|
$ |
(1,911,005 |
) |
Net income (loss) |
|
$ |
5,725,154 |
|
|
$ |
13,992,367 |
|
|
$ |
295,073 |
|
|
$ |
(1,919,710 |
) |
Increase (decrease) in
Net Asset Value per
Redeemable Unit |
|
$ |
114.19 |
|
|
$ |
281.49 |
|
|
$ |
7.53 |
|
|
$ |
(34.32 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the period from |
|
For the period from |
|
For the period from |
|
For the period 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) net of brokerage
commissions and clearing
fees including interest
income |
|
$ |
53,311,679 |
|
|
$ |
10,936,575 |
|
|
$ |
10,224,486 |
|
|
$ |
9,751,566 |
|
Net income (loss) |
|
$ |
53,305,106 |
|
|
$ |
10,930,002 |
|
|
$ |
10,215,387 |
|
|
$ |
9,743,103 |
|
Increase (decrease) in
Net Asset Value per
Redeemable Unit |
|
$ |
616.52 |
|
|
$ |
124.77 |
|
|
$ |
113.65 |
|
|
$ |
104.41 |
|
F-104
To the Limited
Partners of
CMF Willowbridge Argo Master Fund L.P.
To the best of the knowledge and belief of the undersigned, the
information contained herein is accurate and complete.
Chief Financial Officer and Director
Ceres Managed Futures LLC
General Partner,
CMF Willowbridge Argo Master Fund L.P.
Ceres Managed Futures LLC
55 East 59th Street
10th Floor
New York, N.Y. 10022
212-559-2011
F-105
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Partners of
CMF Willowbridge Argo Master Fund L.P.:
We have audited the accompanying statement of financial condition of CMF Willowbridge Argo Master
Fund 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 Partnerships 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
Partnerships 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 Willowbridge Argo Master 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.
/s/ Deloitte & Touche LLP
New York, New York
March 19, 2010
F-106
Report of Independent Auditors
To the Partners of
CMF Willowbridge Argo Master Fund 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 Willowbridge Argo
Master 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.
These financial statements are the responsibility of the Companys 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
F-107
Report of Independent Registered Public Accounting Firm
The Partners
CMF Willowbridge Argo Master Fund L.P.:
We have audited the accompanying statements of income and expenses and changes in partners capital
of CMF Willowbridge Argo Master Fund L.P. for the year ended December 31, 2007. These financial
statements are the responsibility of the Partnerships 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 Willowbridge Argo
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
F-108
CMF Willowbridge
Argo Master Fund L.P.
Statements of Financial Condition
December 31, 2009 and 2008
|
|
|
|
|
|
|
|
|
|
|
2009
|
|
|
2008
|
|
|
Assets:
|
|
|
|
|
|
|
|
|
Equity in trading account:
|
|
|
|
|
|
|
|
|
Cash (Note 3c)
|
|
$
|
198,540,524
|
|
|
$
|
275,579,764
|
|
Cash margin (Note 3c)
|
|
|
27,540,310
|
|
|
|
17,345,935
|
|
Net unrealized appreciation on open futures contracts
|
|
|
5,066,965
|
|
|
|
4,514,064
|
|
|
|
|
|
|
|
|
|
|
Total assets
|
|
$
|
231,147,799
|
|
|
$
|
297,439,763
|
|
|
|
|
|
|
|
|
|
|
Liabilities and Partners Capital:
|
|
|
|
|
|
|
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
Accrued expenses:
|
|
|
|
|
|
|
|
|
Professional fees
|
|
$
|
42,482
|
|
|
$
|
19,759
|
|
|
|
|
|
|
|
|
|
|
Total liabilities
|
|
|
42,482
|
|
|
|
19,759
|
|
|
|
|
|
|
|
|
|
|
Partners Capital:
|
|
|
|
|
|
|
|
|
General Partner, 0.0000 Unit equivalents at December 31,
2009 and 2008
|
|
|
|
|
|
|
|
|
Limited Partners Capital, 127,352.9656 and 137,871.4938
Redeemable Units of Limited Partnership Interest outstanding at
December 31, in 2009 and 2008, respectively
|
|
|
231,105,317
|
|
|
|
297,420,004
|
|
|
|
|
|
|
|
|
|
|
Total liabilities and partners capital
|
|
$
|
231,147,799
|
|
|
$
|
297,439,763
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-109
CMF Willowbridge
Argo Master Fund L.P.
Condensed Schedule of Investments
December 31, 2009
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
No of
|
|
|
|
|
|
% of Partners
|
|
|
|
Contracts
|
|
|
Fair Value
|
|
|
Capital
|
|
|
Futures Contracts Purchased
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
|
1,058
|
|
|
$
|
(796,145
|
)
|
|
|
(0.35
|
)%
|
Energy
|
|
|
529
|
|
|
|
339,318
|
|
|
|
0.14
|
|
Grains
|
|
|
1,058
|
|
|
|
710,221
|
|
|
|
0.31
|
|
Interest Rates U.S.
|
|
|
529
|
|
|
|
385,800
|
|
|
|
0.17
|
|
Interest Rates
Non-U.S.
|
|
|
1,190
|
|
|
|
362,833
|
|
|
|
0.16
|
|
Metals
|
|
|
1,058
|
|
|
|
2,163
|
|
|
|
0.00
|
*
|
Softs
|
|
|
794
|
|
|
|
1,702,259
|
|
|
|
0.74
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures contracts purchased
|
|
|
|
|
|
|
2,706,449
|
|
|
|
1.17
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts Sold
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
|
2,116
|
|
|
|
946,561
|
|
|
|
0.41
|
|
Interest Rates U.S.
|
|
|
1,058
|
|
|
|
1,250,420
|
|
|
|
0.54
|
|
Interest Rates
Non-U.S.
|
|
|
529
|
|
|
|
89,416
|
|
|
|
0.04
|
|
Softs
|
|
|
529
|
|
|
|
74,119
|
|
|
|
0.03
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures contracts sold
|
|
|
|
|
|
|
2,360,516
|
|
|
|
1.02
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
|
|
|
|
$
|
5,066,965
|
|
|
|
2.19
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-110
CMF Willowbridge
Argo Master Fund L.P.
Condensed Schedule of Investments
December 31, 2008
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
No of
|
|
|
|
|
|
% of Partners
|
|
|
|
Contracts
|
|
|
Fair Value
|
|
|
Capital
|
|
|
Futures Contracts Purchased
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
|
512
|
|
|
$
|
521,823
|
|
|
|
0.17
|
%
|
Grains
|
|
|
640
|
|
|
|
496,363
|
|
|
|
0.17
|
|
Interest Rates U.S.
|
|
|
1,280
|
|
|
|
1,365,961
|
|
|
|
0.46
|
|
Interest Rates
Non-U.S.
|
|
|
1,088
|
|
|
|
1,847,392
|
|
|
|
0.62
|
|
Metals
|
|
|
256
|
|
|
|
711,975
|
|
|
|
0.24
|
|
Softs
|
|
|
384
|
|
|
|
(99,463
|
)
|
|
|
(0.03
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures contracts purchased
|
|
|
|
|
|
|
4,844,051
|
|
|
|
1.63
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts Sold
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy
|
|
|
128
|
|
|
|
694,880
|
|
|
|
0.23
|
|
Grains
|
|
|
384
|
|
|
|
(294,592
|
)
|
|
|
(0.10
|
)
|
Metals
|
|
|
256
|
|
|
|
(730,275
|
)
|
|
|
(0.24
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures contracts sold
|
|
|
|
|
|
|
(329,987
|
)
|
|
|
(0.11
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
|
|
|
|
$
|
4,514,064
|
|
|
|
1.52
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-111
CMF Willowbridge
Argo Master Fund L.P.
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
|
|
$
|
(42,569,865
|
)
|
|
$
|
120,270,941
|
|
|
$
|
45,753,249
|
|
Change in net unrealized gains (losses) on open contracts
|
|
|
552,901
|
|
|
|
(5,645,603
|
)
|
|
|
(875,016
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gain (loss) from trading, net
|
|
|
(42,016,964
|
)
|
|
|
114,625,338
|
|
|
|
44,878,233
|
|
Interest income
|
|
|
195,777
|
|
|
|
2,959,647
|
|
|
|
6,365,854
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total income (loss)
|
|
|
(41,821,187
|
)
|
|
|
117,584,985
|
|
|
|
51,244,087
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses:
|
|
|
|
|
|
|
|
|
|
|
|
|
Clearing fees
|
|
|
316,442
|
|
|
|
340,947
|
|
|
|
437,674
|
|
Professional fees
|
|
|
60,562
|
|
|
|
35,786
|
|
|
|
29,863
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses
|
|
|
377,004
|
|
|
|
376,733
|
|
|
|
467,537
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss)
|
|
$
|
(42,198,191
|
)
|
|
$
|
117,208,252
|
|
|
$
|
50,776,550
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss) per Redeemable Unit of Limited Partnership
Interest (Notes 1 and 6)
|
|
$
|
(340.95
|
)
|
|
$
|
771.84
|
|
|
$
|
352.58
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Weighted average units outstanding
|
|
|
126,508.0368
|
|
|
|
156,458.0988
|
|
|
|
153,606.6990
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-112
CMF Willowbridge
Argo Master Fund L.P.
Statements of Changes in Partners Capital
for the years ended December 31, 2009, 2008 and
2007
|
|
|
|
|
|
|
Partners
|
|
|
|
Capital
|
|
|
Partners Capital at December 31, 2006
|
|
$
|
183,568,130
|
|
Net income (loss)
|
|
|
50,776,550
|
|
Sale of 27,402.5153 Redeemable Units of Limited Partnership
Interest
|
|
|
30,563,510
|
|
Redemption of 43,441.2969 Redeemable Units of Limited
Partnership Interest
|
|
|
(45,487,314
|
)
|
Distribution of interest income to feeder funds
|
|
|
(6,365,854
|
)
|
|
|
|
|
|
Partners Capital at December 31, 2007
|
|
|
213,055,022
|
|
Net income (loss)
|
|
|
117,208,252
|
|
Sale of 60,036.9500 Redeemable Units of Limited Partnership
Interest
|
|
|
106,466,700
|
|
Redemption of 73,835.2095 Redeemable Units of Limited
Partnership Interest
|
|
|
(136,350,323
|
)
|
Distribution of interest income to feeder funds
|
|
|
(2,959,647
|
)
|
|
|
|
|
|
Partners Capital at December 31, 2008
|
|
|
297,420,004
|
|
Net income (loss)
|
|
|
(42,198,191
|
)
|
Sale of 28,958.2689 Redeemable Units of Limited Partnership
Interest
|
|
|
55,363,938
|
|
Redemption of 39,476.7971 Redeemable Units of Limited
Partnership Interest
|
|
|
(79,284,657
|
)
|
Distribution of interest income to feeder funds
|
|
|
(195,777
|
)
|
|
|
|
|
|
Partners Capital at December 31, 2009
|
|
$
|
231,105,317
|
|
|
|
|
|
|
Net Asset Value per Redeemable Unit of Limited Partnership
Interest:
|
|
|
|
|
|
|
|
|
|
2007:
|
|
$
|
1,404.73
|
|
|
|
|
|
|
|
|
|
|
|
2008:
|
|
$
|
2,157.23
|
|
|
|
|
|
|
|
|
|
|
|
2009:
|
|
$
|
1,814.68
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-113
CMF Willowbridge
Argo Master Fund L.P.
Notes to Financial Statements
December 31, 2009
|
|
1.
|
Partnership
Organization:
|
CMF Willowbridge Argo Master Fund 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, U.S. and non-U.S. interest rates, 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 July 1, 2005, (commencement of trading operations),
Diversified Multi-Advisor Futures Fund L.P. (formerly,
Smith Barney Diversified Futures Fund L.P.)
(Diversified), Diversified Multi-Advisor Futures
Fund L.P. II (formerly, Smith Barney Diversified Futures
Fund L.P. II) (Diversified II), Orion Futures
Fund L.P. (formerly, Citigroup Orion Futures
Fund L.P.) (Orion), Institutional Futures
Portfolio L.P. (formerly, CMF Institutional Futures Portfolio
L.P.) (Institutional Portfolio) and Tactical
Diversified Futures Fund L.P. (formerly, Citigroup
Diversified Futures Fund L.P.) (Tactical
Diversified) allocated a portion of their capital to the
Master. Diversified purchased 12,259.3490 Redeemable Units with
cash of $11,118,119 and a contribution of open commodity futures
and forwards positions with a fair value of $1,141,230,
Diversified II purchased 10,980.9796 Redeemable Units with
cash of $9,895,326 and a contribution of open commodity futures
and forwards positions of $1,085,654, Orion purchased
33,529.1186 Redeemable Units with cash of $29,866,194 and a
contribution of open commodity futures and forwards positions
with a fair value of $3,662,925, Institutional Portfolio
invested $7,000,000 of its initial capital and purchased
7,000.0000 Redeemable Units with cash of 16,242,748 and Tactical
Diversified purchased 95,795.8082 Redeemable Units with cash of
$85,442,868 and a contribution of open commodity futures and
forwards positions with a fair value of $10,352,940. On April 1,
2009, Orion Futures Fund (Cayman) (formerly, Citigroup Orion
Futures Fund (Cayman) Ltd.) (Orion Cayman) purchased
299.0681 Redeemable Units with cash of $560,000. The Master was
formed to permit commodity pools managed now and in the future
by Willowbridge Associates Inc. (the Advisor) using
the Argo Trading System, the Advisors proprietary
systematic trading program, to invest together in one trading
vehicle.
The Master operates under a structure where its investors
consist of Diversified, Diversified II, Orion, Tactical
Diversified, Institutional Portfolio and Orion Cayman (each a
Feeder, collectively the Funds) with
approximately 2.7%, 2.3%, 58.8%, 30.8%, 4.4% 1.0% investments in
the Master at December 31, 2009, respectively and with
approximately 3.6%, 3.4%, 46.1%, 42.5% and 4.4% investments in
the Master at December 31, 2008, respectively.
The Master will be liquidated upon the first to occur of the
following: December 31, 2025; 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
F-114
CMF Willowbridge
Argo Master Fund L.P.
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.
|
|
|
|
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 Masters 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.
|
Masters 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.
|
Masters 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.
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
F-115
CMF Willowbridge
Argo Master Fund L.P.
Notes to Financial Statements
December 31, 2009
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
Masters Level 2 assets and liabilities. The adoption
of the amendments to ASC 820 had no effect on the
Masters 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 managements
assumptions and internal valuation pricing models (Level 3).
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Quoted Prices in
|
|
|
|
|
|
|
|
|
|
|
|
|
Active Markets
|
|
|
Significant Other
|
|
|
Significant
|
|
|
|
|
|
|
for Identical
|
|
|
Observable Inputs
|
|
|
Unobservable
|
|
|
|
12/31/2009
|
|
|
Assets (Level 1)
|
|
|
(Level 2)
|
|
|
Inputs (Level 3)
|
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures
|
|
$
|
5,066,965
|
|
|
$
|
5,066,965
|
|
|
$
|
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total assets
|
|
|
5,066,965
|
|
|
|
5,066,965
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
$
|
5,066,965
|
|
|
$
|
5,066,965
|
|
|
$
|
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures
|
|
$
|
4,514,064
|
|
|
$
|
4,514,064
|
|
|
$
|
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total assets
|
|
|
4,514,064
|
|
|
|
4,514,064
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
$
|
4,514,064
|
|
|
$
|
4,514,064
|
|
|
$
|
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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.
|
F-116
CMF Willowbridge
Argo Master Fund L.P.
Notes to Financial Statements
December 31, 2009
|
|
|
|
e.
|
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.
|
|
|
f.
|
Income Taxes. Income taxes have not been
provided as each partner is individually liable for the taxes,
if any, on their share of the Masters 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 Masters 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 Masters financial statements.
The following is the major tax jurisdiction for the Master and
the earliest tax year subject to examination: United
States 2006.
|
|
|
|
g.
|
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.
|
|
|
h.
|
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 Masters 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 SECs 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.
|
|
|
|
i.
|
Certain prior period amounts have been reclassified to conform
to current period presentation.
|
|
|
j.
|
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-117
CMF Willowbridge
Argo Master Fund L.P.
Notes to Financial Statements
December 31, 2009
|
|
|
|
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.
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.
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 Masters 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
CGMs direct brokerage commission shall be borne by the
Funds. All of the Masters assets are deposited in the
Masters account at CGM. The Masters 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 were $27,540,310 and $17,345,935,
respectively. The Customer Agreement may be terminated upon
notice by either party.
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 Masters 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 contracts. The Master nets, for financial reporting
purposes, the unrealized gains and losses on open futures
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 contracts traded
for the year ended December 31, 2009 based on a quarterly
calculation, was 10,295.
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.
F-118
CMF Willowbridge
Argo Master Fund L.P.
Notes to Financial Statements
December 31, 2009
The following table indicates the fair values of derivative
instruments of futures contracts as separate assets and
liabilities.
|
|
|
|
|
Assets
|
|
December 31, 2009
|
|
|
Futures Contracts
|
|
|
|
|
Currencies
|
|
$
|
3,436,175
|
|
Energy
|
|
|
339,318
|
|
Grains
|
|
|
768,108
|
|
Interest Rates U.S.
|
|
|
1,640,270
|
|
Interest Rates
Non-U.S.
|
|
|
603,534
|
|
Softs
|
|
|
1,776,378
|
|
Metals
|
|
|
2,786,063
|
|
|
|
|
|
|
Total unrealized appreciation on open futures contracts
|
|
$
|
11,349,846
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
Futures Contracts
|
|
|
|
|
Currencies
|
|
$
|
(3,285,759
|
)
|
Grains
|
|
|
(57,887
|
)
|
Interest Rates U.S.
|
|
|
(4,050
|
)
|
Interest Rates
Non-U.S.
|
|
|
(151,285
|
)
|
Metals
|
|
|
(2,783,900
|
)
|
|
|
|
|
|
Total unrealized depreciation on open futures contracts
|
|
$
|
(6,282,881
|
)
|
|
|
|
|
|
Net unrealized depreciation on open futures contracts
|
|
$
|
5,066,965
|
*
|
|
|
|
|
|
|
|
|
|
|
*This amount is in Net unrealized appreciation on open
futures contracts on the Statements of Financial Condition.
|
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
|
|
$
|
(1,870,971
|
)
|
Energy
|
|
|
(28,874,531
|
)
|
Grains
|
|
|
(8,605,911
|
)
|
INT Rate US
|
|
|
(10,397,322
|
)
|
INT Rate Non-US
|
|
|
(7,737,846
|
)
|
Livestock
|
|
|
(1,213,180
|
)
|
Metals
|
|
|
19,790,113
|
|
Softs
|
|
|
(3,107,316
|
)
|
|
|
|
|
|
Total
|
|
$
|
(42,016,964
|
)**
|
|
|
|
|
|
|
|
|
|
|
**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
F-119
CMF Willowbridge
Argo Master Fund L.P.
Notes to Financial Statements
December 31, 2009
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.
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 change in unrealized gains (losses)*
|
|
$
|
(342.04
|
)
|
|
$
|
752.74
|
|
|
$
|
310.35
|
|
Interest income
|
|
|
1.60
|
|
|
|
19.34
|
|
|
|
42.42
|
|
Expenses**
|
|
|
(0.51
|
)
|
|
|
(0.24
|
)
|
|
|
(0.19
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Increase (decrease) for the year
|
|
|
(340.95
|
)
|
|
|
771.84
|
|
|
|
352.58
|
|
Distribution of interest income to feeder funds
|
|
|
(1.60
|
)
|
|
|
(19.34
|
)
|
|
|
(42.42
|
)
|
Net Asset Value per Redeemable Unit of Limited Partnership
Interest, beginning of year
|
|
|
2,157.23
|
|
|
|
1,404.73
|
|
|
|
1,094.57
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Asset Value per Redeemable Unit of Limited Partnership
Interest, end of year
|
|
$
|
1,814.68
|
|
|
$
|
2,157.23
|
|
|
$
|
1,404.73
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Includes clearing fees. |
|
** |
|
Excludes clearing fees. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2009
|
|
2008
|
|
2007
|
|
Ratios to average net assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)***
|
|
|
(0.1
|
)%
|
|
|
1.0
|
%
|
|
|
3.5
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Operating expenses
|
|
|
0.2
|
%
|
|
|
0.1
|
%
|
|
|
0.3
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return
|
|
|
(15.8
|
)%
|
|
|
54.9
|
%
|
|
|
32.2
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
*** |
|
Interest income less total expenses. |
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 and options, 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.
F-120
CMF Willowbridge
Argo Master Fund L.P.
Notes to Financial Statements
December 31, 2009
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 Masters 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 Masters 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 Masters assets is CGM or a
CGM affiliate. Credit risk with respect to exchange-traded
instruments is reduced to the extent that through CGM, the
Masters counterparty is an exchange or clearing
organization.
The General Partner monitors and attempts to control the
Masters 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 analyze statistically 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 Masters
business, these instruments may not be held to maturity.
F-121
Selected unaudited quarterly financial data for Willowbridge 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 |
|
$ |
(18,281,605 |
) |
|
$ |
(20,120,888 |
) |
|
$ |
32,038,173 |
|
|
$ |
(35,773,309 |
) |
Net income (loss) |
|
$ |
(18,302,561 |
) |
|
$ |
(20,139,642 |
) |
|
$ |
32,025,897 |
|
|
$ |
(35,781,885 |
) |
Increase (decrease) in Net
Asset Value per Redeemable
Unit |
|
$ |
(150.43 |
) |
|
$ |
(172.65 |
) |
|
$ |
266.37 |
|
|
$ |
(284.24 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the period from |
|
For the period from |
|
For the period from |
|
For the period 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) net
of brokerage commissions
and clearing fees including
interest income |
|
$ |
27,126,788 |
|
|
$ |
9,695,635 |
|
|
$ |
61,112,070 |
|
|
$ |
19,309,545 |
|
Net income (loss) |
|
$ |
27,118,311 |
|
|
$ |
9,686,363 |
|
|
$ |
61,102,423 |
|
|
$ |
19,301,155 |
|
Increase (decrease) in Net
Asset Value per Redeemable
Unit |
|
$ |
190.01 |
|
|
$ |
68.64 |
|
|
$ |
389.12 |
|
|
$ |
124.07 |
|
F-122
To the Limited
Partners of
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-123
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Partners of
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 Partnerships 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
Partnerships 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
F-124
Report of Independent Auditors
To the Partners of
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 Companys 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
F-125
Report of Independent Registered Public Accounting Firm
The Partners
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 Partnerships 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
F-126
CMF Winton Master
L.P.
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-127
CMF Winton Master
L.P.
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-128
CMF Winton Master
L.P.
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-129
CMF Winton Master
L.P.
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-130
CMF Winton Master
L.P.
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-131
CMF Winton Master
L.P.
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-132
CMF Winton Master
L.P.
Notes to Financial Statements
December 31, 2009
using the Diversified Program, the Advisors proprietary
systematic trading program, to invest together in one vehicle.
The Masters 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.
|
|
|
|
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 Masters 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.
|
Masters 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.
|
Masters 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-133
CMF Winton Master
L.P.
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 Masters Level 2 assets and
liabilities. The adoption of the amendments to ASC 820 had no
effect on the Masters 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 managements
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-134
CMF Winton Master
L.P.
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-135
CMF Winton Master
L.P.
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 Masters 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 Masters 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 Masters 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 Masters 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 SECs 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-136
CMF Winton Master
L.P.
Notes to Financial Statements
December 31, 2009
|
|
|
|
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.
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.
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 Masters 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
CGMs direct brokerage commission shall be borne by the
Funds. All of the Masters assets are deposited in the
Masters account at CGM. The Masters 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.
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 Masters 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-137
CMF Winton Master
L.P.
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-138
CMF Winton Master
L.P.
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.
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-139
CMF Winton Master
L.P.
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 Masters 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 Masters 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 Masters assets is CGM or a
CGM affiliate. Credit risk with respect to exchange-traded
instruments is reduced to the extent that through CGM, the
Masters 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-140
CMF Winton Master
L.P.
Notes to Financial Statements
December 31, 2009
ASC 460, Guarantees (formerly,
FAS No. 45,Guarantors Accounting and
Disclosure Requirements for Guarantees).
The General Partner monitors and attempts to control the
Masters 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 Masters
business, these instruments may not be held to maturity.
F-141
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 from |
|
For the period from |
|
For the period from |
|
For the period 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) 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-142
To the Limited
Partners of
CMF
Graham Capital Master 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,
CMF Graham Capital Master Fund L.P.
|
Ceres Managed Futures LLC
55 East 59th Street
10th Floor
New York, N.Y. 10022
212-559-2011
F-143
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Partners of
CMF Graham Capital Master Fund L.P.:
We have audited the accompanying statement of financial condition of CMF Graham Capital Master Fund
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 Partnerships 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
Partnerships 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 Graham Capital Master 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.
/s/ Deloitte & Touche LLP
New York, New York
March 19, 2010
F-144
Report of Independent Auditors
To the Partners of
CMF Graham Capital Master Fund 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 Graham Capital
Master 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.
These financial statements are the responsibility of the Companys 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
F-145
Report of Independent Registered Public Accounting Firm
The Partners
CMF Graham Capital Master Fund L.P.:
We have audited the accompanying statements of income and expenses and changes in partners capital
of CMF Graham Capital Master Fund L.P. for the year ended December 31, 2007. These financial
statements are the responsibility of the Partnerships 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 Graham Capital 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
F-146
CMF Graham
Capital Master Fund L.P.
Statements
of Financial Condition
December 31, 2009 and 2008
|
|
|
|
|
|
|
|
|
|
|
2009
|
|
|
2008
|
|
|
Assets:
|
|
|
|
|
|
|
|
|
Equity in commodity futures trading account:
|
|
|
|
|
|
|
|
|
Cash (Note 3c)
|
|
$
|
153,765,196
|
|
|
$
|
214,551,266
|
|
Cash margin (Note 3c)
|
|
|
15,503,558
|
|
|
|
9,073,580
|
|
Net unrealized appreciation on open futures contracts
|
|
|
406,652
|
|
|
|
1,162,793
|
|
Net unrealized appreciation on open forward contracts
|
|
|
1,562,793
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total assets
|
|
$
|
171,238,199
|
|
|
$
|
224,787,639
|
|
|
|
|
|
|
|
|
|
|
Liabilities and Partners Capital:
|
|
|
|
|
|
|
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
Net unrealized depreciation on open forward contracts
|
|
$
|
|
|
|
$
|
279,957
|
|
Accrued expenses:
|
|
|
|
|
|
|
|
|
Professional fees
|
|
|
25,939
|
|
|
|
16,740
|
|
|
|
|
|
|
|
|
|
|
Total liabilities
|
|
|
25,939
|
|
|
|
296,697
|
|
|
|
|
|
|
|
|
|
|
Partners Capital:
|
|
|
|
|
|
|
|
|
General Partner, 0.0000 Unit equivalents at December 31,
2009 and 2008
|
|
|
|
|
|
|
|
|
Limited Partners Capital, 104,371.4673 and 146,784.8652
Redeemable Units of Limited Partnership Interest outstanding at
December 31, 2009 and 2008, respectively
|
|
|
171,212,260
|
|
|
|
224,490,942
|
|
|
|
|
|
|
|
|
|
|
Total liabilities and partners capital
|
|
$
|
171,238,199
|
|
|
$
|
224,787,639
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-147
CMF Graham
Capital Master Fund L.P.
Condensed
Schedule of Investments
December 31, 2009
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Notional ($)/
|
|
|
|
|
|
|
|
|
|
Number of
|
|
|
|
|
|
% of Partners
|
|
|
|
Contracts
|
|
|
Fair Value
|
|
|
Capital
|
|
|
Futures Contracts Purchased
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
|
2
|
|
|
$
|
360
|
|
|
|
0.00
|
%*
|
Energy
|
|
|
449
|
|
|
|
242,192
|
|
|
|
0.14
|
|
Grains
|
|
|
286
|
|
|
|
34,342
|
|
|
|
0.02
|
|
Indices
|
|
|
1,065
|
|
|
|
633,603
|
|
|
|
0.37
|
|
Interest Rates U.S.
|
|
|
233
|
|
|
|
(94,262
|
)
|
|
|
(0.06
|
)
|
Interest Rates
Non-U.S.
|
|
|
1,523
|
|
|
|
(996,822
|
)
|
|
|
(0.58
|
)
|
Livestock
|
|
|
74
|
|
|
|
20,482
|
|
|
|
0.01
|
|
Metals
|
|
|
78
|
|
|
|
(100,473
|
)
|
|
|
(0.06
|
)
|
Softs
|
|
|
589
|
|
|
|
556,321
|
|
|
|
0.33
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures contracts purchased
|
|
|
|
|
|
|
295,743
|
|
|
|
0.17
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts Sold
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
|
69
|
|
|
|
11,480
|
|
|
|
0.01
|
|
Energy
|
|
|
308
|
|
|
|
(40,301
|
)
|
|
|
(0.02
|
)
|
Grains
|
|
|
275
|
|
|
|
57,491
|
|
|
|
0.03
|
|
Indices
|
|
|
7
|
|
|
|
6,437
|
|
|
|
0.00
|
*
|
Interest Rates U.S.
|
|
|
50
|
|
|
|
(406
|
)
|
|
|
(0.00
|
)*
|
Interest Rates
Non-U.S.
|
|
|
451
|
|
|
|
57,808
|
|
|
|
0.03
|
|
Metals
|
|
|
10
|
|
|
|
18,400
|
|
|
|
0.01
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures contracts sold
|
|
|
|
|
|
|
110,909
|
|
|
|
0.06
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized Appreciation on Open Forward Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
$
|
550,199,867
|
|
|
|
7,739,782
|
|
|
|
4.52
|
|
Metals
|
|
|
429
|
|
|
|
2,324,147
|
|
|
|
1.36
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total unrealized appreciation on open forward contracts
|
|
|
|
|
|
|
10,063,929
|
|
|
|
5.88
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized Depreciation on Open Forward Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
$
|
551,949,465
|
|
|
|
(7,486,471
|
)
|
|
|
(4.37
|
)
|
Metals
|
|
|
285
|
|
|
|
(1,014,665
|
)
|
|
|
(0.59
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total unrealized depreciation on open forward contracts
|
|
|
|
|
|
|
(8,501,136
|
)
|
|
|
(4.96
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
|
|
|
|
$
|
1,969,445
|
|
|
|
1.15
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* Due to rounding.
See accompanying notes to financial statements.
F-148
CMF Graham
Capital Master Fund L.P.
Condensed
Schedule of Investments
December 31, 2008
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Notional ($)/
|
|
|
|
|
|
|
|
|
|
Number of
|
|
|
|
|
|
% of Partners
|
|
|
|
Contracts
|
|
|
Fair Value
|
|
|
Capital
|
|
|
Futures Contracts Purchased
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
|
14
|
|
|
$
|
1,840
|
|
|
|
0.00
|
%*
|
Energy
|
|
|
96
|
|
|
|
325,615
|
|
|
|
0.15
|
|
Grains
|
|
|
52
|
|
|
|
13,370
|
|
|
|
0.01
|
|
Indices
|
|
|
5
|
|
|
|
(19,645
|
)
|
|
|
(0.01
|
)
|
Interest Rates
Non-U.S.
|
|
|
1,235
|
|
|
|
947,609
|
|
|
|
0.42
|
|
Interest Rates U.S.
|
|
|
564
|
|
|
|
507,653
|
|
|
|
0.23
|
|
Metals
|
|
|
52
|
|
|
|
33,132
|
|
|
|
0.01
|
|
Softs
|
|
|
13
|
|
|
|
3,251
|
|
|
|
0.00
|
*
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures contracts purchased
|
|
|
|
|
|
|
1,812,825
|
|
|
|
0.81
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts Sold
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
|
14
|
|
|
|
8,038
|
|
|
|
0.00
|
*
|
Energy
|
|
|
159
|
|
|
|
(266,237
|
)
|
|
|
(0.12
|
)
|
Grains
|
|
|
53
|
|
|
|
(207,227
|
)
|
|
|
(0.09
|
)
|
Indices
|
|
|
87
|
|
|
|
(86,831
|
)
|
|
|
(0.04
|
)
|
Interest Rates
Non-U.S.
|
|
|
17
|
|
|
|
(9,163
|
)
|
|
|
(0.00
|
)*
|
Livestock
|
|
|
11
|
|
|
|
25,220
|
|
|
|
0.01
|
|
Metals
|
|
|
16
|
|
|
|
(35,970
|
)
|
|
|
(0.02
|
)
|
Softs
|
|
|
99
|
|
|
|
(77,862
|
)
|
|
|
(0.03
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures contracts sold
|
|
|
|
|
|
|
(650,032
|
)
|
|
|
(0.29
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized Appreciation on Open Forward Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
$
|
87,112,212
|
|
|
|
2,398,640
|
|
|
|
1.07
|
|
Metals
|
|
|
59
|
|
|
|
297,268
|
|
|
|
0.13
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total unrealized appreciation on open forward contracts
|
|
|
|
|
|
|
2,695,908
|
|
|
|
1.20
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized Depreciation on Open Forward Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
$
|
86,429,816
|
|
|
|
(2,764,819
|
)
|
|
|
(1.23
|
)
|
Metals
|
|
|
96
|
|
|
|
(211,046
|
)
|
|
|
(0.10
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total unrealized depreciation on open forward contracts
|
|
|
|
|
|
|
(2,975,865
|
)
|
|
|
(1.33
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
|
|
|
|
$
|
882,836
|
|
|
|
0.39
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* Due to rounding.
See accompanying notes to financial statements.
F-149
CMF Graham
Capital Master Fund L.P.
Statements
of Income and Expenses
for the years ended
December 31, 2009, 2008 and 2007
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2009
|
|
|
2008
|
|
|
2007
|
|
|
Income:
|
|
|
|
|
|
|
|
|
|
|
|
|
Net gains (loss) on trading of commodity interests:
|
|
|
|
|
|
|
|
|
|
|
|
|
Net realized gains (losses) on closed contracts
|
|
$
|
11,381,456
|
|
|
$
|
61,878,532
|
|
|
$
|
37,612,230
|
|
Change in net unrealized gains (losses) on open contracts
|
|
|
1,086,609
|
|
|
|
1,251,182
|
|
|
|
(7,303,599
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gain (loss) from trading, net
|
|
|
12,468,065
|
|
|
|
63,129,714
|
|
|
|
30,308,631
|
|
Interest income
|
|
|
125,256
|
|
|
|
2,202,621
|
|
|
|
7,463,020
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total income (loss)
|
|
|
12,593,321
|
|
|
|
65,332,335
|
|
|
|
37,771,651
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses:
|
|
|
|
|
|
|
|
|
|
|
|
|
Clearing fees
|
|
|
614,452
|
|
|
|
940,378
|
|
|
|
857,460
|
|
Professional fees
|
|
|
46,648
|
|
|
|
30,056
|
|
|
|
29,466
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses
|
|
|
661,100
|
|
|
|
970,434
|
|
|
|
886,926
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss)
|
|
|
11,932,221
|
|
|
$
|
64,361,901
|
|
|
$
|
36,884,725
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss) per Redeemable Unit of Limited Partnership
Interest (Notes 1 and 6)
|
|
$
|
112.10
|
|
|
$
|
396.07
|
|
|
$
|
187.22
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Weighted average units outstanding
|
|
|
118,814.5765
|
|
|
|
167,979.9211
|
|
|
|
208,730.7408
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-150
CMF Graham
Capital Master Fund L.P.
Statements of Changes in Partners Capital
for the years ended
December 31, 2009, 2008 and 2007
|
|
|
|
|
|
|
Partners
|
|
|
|
Capital
|
|
|
Partners Capital at December 31, 2006
|
|
$
|
226,673,516
|
|
Net income (loss)
|
|
|
36,884,725
|
|
Sale of 20,875.4865 Redeemable Units of Limited Partnership
Interest
|
|
|
21,067,811
|
|
Redemption of 62,214.7369 Redeemable Units of Limited
Partnership Interest
|
|
|
(63,568,645
|
)
|
Distribution of interest income to feeder funds
|
|
|
(7,463,020
|
)
|
|
|
|
|
|
Partners Capital at December 31, 2007
|
|
|
213,594,387
|
|
Net income (loss)
|
|
|
64,361,901
|
|
Sale of 3,998.1810 Redeemable Units of Limited Partnership
Interest
|
|
|
5,096,496
|
|
Redemption of 43,548.1379 Redeemable Units of Limited
Partnership Interest
|
|
|
(56,359,221
|
)
|
Distribution of interest income to feeder funds
|
|
|
(2,202,621
|
)
|
|
|
|
|
|
Partners Capital at December 31, 2008
|
|
|
224,490,942
|
|
Net income (loss)
|
|
|
11,932,221
|
|
Sale of 7,455.9216 Redeemable Units of Limited Partnership
Interest
|
|
|
11,912,177
|
|
Redemption of 49,869.3195 Redeemable Units of Limited
Partnership Interest
|
|
|
(76,997,824
|
)
|
Distribution of interest income to feeder funds
|
|
|
(125,256
|
)
|
|
|
|
|
|
Partners Capital at December 31, 2009
|
|
$
|
171,212,260
|
|
|
|
|
|
|
Net Asset Value per Redeemable Unit of Limited Partnership
Interest:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2007:
|
|
$
|
1,146.29
|
|
|
|
|
|
|
|
|
|
|
|
2008:
|
|
$
|
1,529.39
|
|
|
|
|
|
|
|
|
|
|
|
2009:
|
|
$
|
1,640.41
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-151
CMF Graham
Capital Master Fund L.P.
Notes to
Financial Statements
December 31, 2009
|
|
1.
|
Partnership
Organization:
|
CMF Graham Capital Master Fund 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, livestock, metals, softs, U.S. and
non-U.S. interest rates. 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 April 1, 2006 (commencement of trading operations),
Diversified 2000 Futures Fund L.P. (formerly Citigroup
Diversified 2000 Futures Fund L.P.) (Diversified
2000), Smith Barney Global Markets Futures Fund
(Global Markets), Diversified Multi-Advisor Futures
Fund L.P. (formerly Smith Barney Diversified Futures
Fund L.P.) (Diversified I) and Diversified
Multi-Advisor Futures Fund L.P. II (formerly Smith Barney
Diversified Futures Fund L.P. II) (Diversified
II) each allocated a portion of its capital to the Master.
Diversified 2000 purchased 41,952.2380 Redeemable Units with
cash equal to $41,952,238. Global Markets purchased 2,355.5550
Redeemable Units with cash equal to $2,355,555. Diversified I
purchased 14,741.1555 Redeemable Units with cash equal to
$14,741,156. Diversified II purchased 11,192.9908
Redeemable Units with cash equal to $11,192,991. On May 1,
2006, Alera Portfolios SPC. (Alera SPC) allocated a
portion of its capital to the Master and purchased 4,592.0784
Redeemable Units with cash equal to $4,801,938. On June 1,
2006, Fairfield Futures Fund L.P. II (formerly Citigroup
Fairfield Futures Fund L.P. II) (Fairfield II)
allocated substantially all of its capital and Tactical
Diversified Futures Fund L.P. (formerly Citigroup
Diversified Futures Fund L.P.) (Tactical
Diversified) allocated a portion of its capital to the
Master. Fairfield II purchased 74,569.3761 Redeemable Units
with cash equal to $75,688,021. Tactical Diversified purchased
101,486.0491 Redeemable Units with cash equal to $103,008,482.
As of March 31, 2007, Alera SPC fully redeemed its
investment of 1,805.5482 Redeemable Units with a fair value of
$1,661,443, which includes interest income of $7,289. As of
December 31, 2007, Global Markets fully redeemed its
investment of 1,566.2278 Redeemable Units with a fair value of
$1,799,772, which includes interest income of $4,415. The Master
was formed to permit commodity pools managed now or in the
future by Graham Capital Management, L.P. (the
Advisor), using the K4D 12.5 program,
the Advisors proprietary, systematic trading program, to
invest together in one trading vehicle.
The Master operates under a structure where its investors
consist of Diversified 2000, Diversified I, Diversified II,
Fairfield II and Tactical Diversified (each a
Feeder, collectively the Funds) with
approximately 13.2%, 5.4%, 4.6%, 25.7% and 51.1% investments in
the Master at December 31, 2009, respectively. Diversified
2000, Diversified I, Diversified II, Fairfield II and
Tactical Diversified had approximately 12.6%, 5.0%, 4.7%, 27.1%
and 50.6% investments in the Master at December 31, 2008,
respectively.
F-152
CMF Graham
Capital Master Fund L.P.
Notes to Financial Statements
December 31, 2009
The Master will be liquidated upon the first to occur of the
following: December 31, 2025; 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.
|
|
|
|
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 Masters 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.
|
Masters 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.
|
Masters 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.
F-153
CMF Graham
Capital Master Fund L.P.
Notes to Financial Statements
December 31, 2009
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 Masters Level 2 assets and
liabilities. The adoption of the amendments to ASC 820 had no
effect on the Masters 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 2008, the Master did not hold any derivative
instruments that are priced at fair value using unobservable
inputs through the application of managements assumptions
and internal valuation pricing models (Level 3).
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Quoted Prices in
|
|
|
|
|
|
|
|
|
|
|
|
|
Active Markets for
|
|
|
Significant Other
|
|
|
Significant
|
|
|
|
|
|
|
Identical Assets
|
|
|
Observable Inputs
|
|
|
Unobservable Inputs
|
|
|
|
12/31/2009
|
|
|
(Level 1)
|
|
|
(Level 2)
|
|
|
(Level 3)
|
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures
|
|
$
|
406,652
|
|
|
$
|
406,652
|
|
|
$
|
|
|
|
$
|
|
|
Forwards
|
|
|
1,562,793
|
|
|
|
1,309,482
|
|
|
|
253,311
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total assets
|
|
|
1,969,445
|
|
|
|
1,716,134
|
|
|
|
253,311
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
$
|
1,969,445
|
|
|
$
|
1,716,134
|
|
|
$
|
253,311
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Quoted Prices in
|
|
|
|
|
|
|
|
|
|
|
|
|
Active Markets for
|
|
|
Significant Other
|
|
|
Significant
|
|
|
|
|
|
|
Identical Assets
|
|
|
Observable Inputs
|
|
|
Unobservable Inputs
|
|
|
|
12/31/2008
|
|
|
(Level 1)
|
|
|
(Level 2)
|
|
|
(Level 3)
|
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures
|
|
$
|
1,162,793
|
|
|
$
|
1,162,793
|
|
|
$
|
|
|
|
$
|
|
|
Forwards
|
|
|
86,222
|
|
|
|
86,222
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total assets
|
|
|
1,249,015
|
|
|
|
1,249,015
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forwards
|
|
$
|
366,179
|
|
|
$
|
|
|
|
$
|
366,179
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total liabilities
|
|
|
366,179
|
|
|
|
|
|
|
|
366,179
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
$
|
882,836
|
|
|
$
|
1,249,015
|
|
|
$
|
(366,179
|
)
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 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
|
F-154
CMF Graham
Capital Master Fund L.P.
Notes to Financial Statements
December 31, 2009
|
|
|
|
|
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.
|
Forward Foreign Currency Contracts. Foreign
currency contracts are those contracts where the Master agrees
to receive or deliver a fixed quantity of foreign currency for
an
agreed-upon
price on an agreed future date. Foreign currency contracts are
valued daily, and the Masters net equity therein,
representing unrealized gain or loss on the contracts as
measured by the difference between the forward foreign exchange
rates at the dates of entry into the contracts and the forward
rates at the reporting date, is included in the Statements of
Financial Condition. Realized gains (losses) and changes in
unrealized gains (losses) on foreign currency contracts are
recognized in the period in which the contract is closed or the
changes occur, respectively, and are included in the Statements
of Income and Expenses.
|
The Master does not isolate that portion of the results of
operations arising from the effect of changes in foreign
exchange rates on investments from fluctuations from changes in
market prices of investments held. Such fluctuations are
included in net gain (loss) on investments in the Statements of
Income and Expenses.
|
|
|
|
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.
|
|
|
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 Masters 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 Masters 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 Masters financial statements.
F-155
CMF Graham
Capital Master Fund L.P.
Notes to Financial Statements
December 31, 2009
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 Masters 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 SECs 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 year 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.
|
|
|
|
|
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.
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.
F-156
CMF Graham
Capital Master Fund L.P.
Notes to Financial Statements
December 31, 2009
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 Masters 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
CGMs direct brokerage commission shall be borne by the
Funds. All of the Masters assets are deposited in the
Masters account at CGM. The Masters 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 amounts of cash held by the
Master for margin requirements was $15,503,558 and $9,073,580,
respectively. The Customer Agreement may be terminated upon
notice by either party.
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 Masters 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 and metal
forward contracts traded for the year ended December 31,
2009 based on a quarterly calculation, was 6,966. The average
notional values of currency forward contracts for the year ended
December 31, 2009 based on a quarterly calculation, was
$944,178,446.
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 and forward contracts as separate assets
and liabilities.
F-157
CMF Graham
Capital Master Fund L.P.
Notes to Financial Statements
December 31, 2009
|
|
|
|
|
|
|
December 31, 2009
|
|
|
Assets
|
|
|
|
|
Futures Contracts
|
|
|
|
|
Currencies
|
|
$
|
29,498
|
|
Energy
|
|
|
357,695
|
|
Grains
|
|
|
223,296
|
|
Indices
|
|
|
871,966
|
|
Interest Rates U.S.
|
|
|
10,273
|
|
Interest Rates
Non-U.S.
|
|
|
169,828
|
|
Livestock
|
|
|
20,482
|
|
Metals
|
|
|
93,687
|
|
Softs
|
|
|
810,673
|
|
|
|
|
|
|
Total unrealized appreciation on open futures contracts
|
|
$
|
2,587,398
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
Futures Contracts
|
|
|
|
|
Currencies
|
|
$
|
(17,658
|
)
|
Energy
|
|
|
(155,804
|
)
|
Grains
|
|
|
(131,463
|
)
|
Indices
|
|
|
(231,926
|
)
|
Interest Rates U.S.
|
|
|
(104,941
|
)
|
Interest Rates
Non-U.S.
|
|
|
(1,108,842
|
)
|
Metals
|
|
|
(175,760
|
)
|
Softs
|
|
|
(254,352
|
)
|
|
|
|
|
|
Total unrealized depreciation on open futures contracts
|
|
$
|
(2,180,746
|
)
|
|
|
|
|
|
Net unrealized appreciation on open futures contracts
|
|
$
|
406,652
|
*
|
|
|
|
|
|
|
|
|
|
|
Assets
|
|
|
|
|
Forward Contracts
|
|
|
|
|
Currencies
|
|
$
|
7,739,782
|
|
Metals
|
|
|
2,324,147
|
|
|
|
|
|
|
Total unrealized appreciation on open forward contracts
|
|
$
|
10,063,929
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
Forward Contracts
|
|
|
|
|
Currencies
|
|
$
|
(7,486,471
|
)
|
Metals
|
|
|
(1,014,665
|
)
|
|
|
|
|
|
Total unrealized depreciation on open forward contracts
|
|
$
|
(8,501,136
|
)
|
|
|
|
|
|
Net unrealized appreciation on open forward contracts
|
|
$
|
1,562,793
|
**
|
|
|
|
|
|
|
|
|
* |
|
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. |
F-158
CMF Graham
Capital Master Fund L.P.
Notes to Financial Statements
December 31, 2009
The following table indicates the trading gains and losses, by
market sector, on derivative instruments for the period ended
December 31, 2009.
|
|
|
|
|
|
|
|
|
|
|
December 31, 2009
|
|
|
|
|
Sector
|
|
Gain (loss) from Trading
|
|
|
|
|
|
Currencies
|
|
$
|
3,111,674
|
|
|
|
|
|
Energy
|
|
|
(3,297,102
|
)
|
|
|
|
|
Grains
|
|
|
(1,460,464
|
)
|
|
|
|
|
Indices
|
|
|
15,480,005
|
|
|
|
|
|
Interest Rates U.S.
|
|
|
(3,698,764
|
)
|
|
|
|
|
Interest Rates
Non-U.S.
|
|
|
(2,767,757
|
)
|
|
|
|
|
Livestock
|
|
|
21,968
|
|
|
|
|
|
Softs
|
|
|
1,832,133
|
|
|
|
|
|
Metals
|
|
|
3,246,372
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
12,468,065
|
***
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
*** |
|
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.
Changes in the Net Asset Value per Redeemable Unit of
Partnership Interest for the years ended December 31, 2009,
2008 and 2007 were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2009
|
|
|
2008
|
|
|
2007
|
|
|
Net realized and unrealized gains (losses)*
|
|
$
|
111.45
|
|
|
$
|
383.27
|
|
|
$
|
150.83
|
|
Interest income
|
|
|
1.08
|
|
|
|
12.97
|
|
|
|
36.54
|
|
Expenses**
|
|
|
(0.43
|
)
|
|
|
(0.17
|
)
|
|
|
(0.15
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Increase (decrease) for the period
|
|
|
112.10
|
|
|
|
396.07
|
|
|
|
187.22
|
|
Distribution of interest income to feeder funds
|
|
|
(1.08
|
)
|
|
|
(12.97
|
)
|
|
|
(36.54
|
)
|
Net Asset Value per Redeemable Unit, beginning of year
|
|
|
1,529.39
|
|
|
|
1,146.29
|
|
|
|
995.61
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Asset Value per Redeemable Unit, end of year
|
|
$
|
1,640.41
|
|
|
$
|
1,529.39
|
|
|
$
|
1,146.29
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)***
|
|
|
(0.3
|
)%
|
|
|
0.6
|
%
|
|
|
3.0
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Operating expenses
|
|
|
0.4
|
%
|
|
|
0.4
|
%
|
|
|
0.4
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return
|
|
|
7.3
|
%
|
|
|
34.6
|
%
|
|
|
18.8
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Includes clearing fees. |
|
** |
|
Excludes clearing fees. |
|
*** |
|
Interest income less total expenses. |
F-159
CMF Graham
Capital Master Fund L.P.
Notes to Financial Statements
December 31, 2009
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 Masters 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 Masters 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 Masters assets is CGM or a
CGM affiliate. Credit risk with respect to exchange-traded
instruments is reduced to the extent that through CGM, the
Masters counterparty is an exchange or clearing
organization.
The General Partner monitors and attempts to control the
Masters 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 Masters
business, these instruments may not be held to maturity.
F-160
Selected unaudited quarterly financial data for Graham 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 |
|
$ |
1,522,383 |
|
|
$ |
14,250,196 |
|
|
$ |
(2,335,820 |
) |
|
$ |
(1,457,890 |
) |
Net income (loss) |
|
$ |
1,502,514 |
|
|
$ |
14,240,193 |
|
|
$ |
(2,344,541 |
) |
|
$ |
(1,465,945 |
) |
Increase (decrease) in
Net Asset Value per
Redeemable Unit |
|
$ |
13.91 |
|
|
$ |
135.03 |
|
|
$ |
(21.43 |
) |
|
$ |
(15.41 |
) |
|
|
|
For the period |
|
For the period |
|
For the period |
|
For the period |
|
|
from October 1, |
|
from July 1, 2008 |
|
from April 1, |
|
from January 1, |
|
|
2008 to December 31, |
|
September 30, |
|
2008 to June 30, |
|
2008 to March 31, |
|
|
2008 |
|
2008 |
|
2008 |
|
2008 |
Net realized and
unrealized trading gains
(losses) net of brokerage
commissions and clearing
fees including interest
income |
|
$ |
34,035,718 |
|
|
$ |
(8,466,890 |
) |
|
$ |
18,680,824 |
|
|
$ |
20,142,305 |
|
Net income (loss) |
|
$ |
34,029,127 |
|
|
$ |
(8,473,481 |
) |
|
$ |
18,672,387 |
|
|
$ |
20,133,868 |
|
Increase (decrease) in
Net Asset Value per
Redeemable Unit |
|
$ |
224.58 |
|
|
$ |
(52.04 |
) |
|
$ |
112.99 |
|
|
$ |
110.54 |
|
F-161
To the Limited
Partners of
CMF SandRidge Master Fund L.P.
To the best of the knowledge and belief of the undersigned, the
information contained herein is accurate and complete.
Chief Financial Officer and Director
Ceres Managed Futures LLC
General Partner,
CMF SandRidge Master Fund L.P.
Ceres Managed Futures LLC
55 East 59th Street
10th Floor
New York, N.Y. 10022
212-559-2011
F-162
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Partners of
CMF SandRidge Master Fund L.P.:
We have audited the accompanying statement of financial condition of CMF SandRidge Master Fund 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 Partnerships 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
Partnerships 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 SandRidge Master 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.
/s/ Deloitte & Touche LLP
New York, New York
March 19, 2010
F-163
Report of Independent Auditors
To the Partners of
CMF SandRidge Master Fund 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 SandRidge Master
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. These
financial statements are the responsibility of the Companys 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
F-164
Report of Independent Registered Public Accounting Firm
The Partners
CMF SandRidge Master Fund L.P.:
We have audited the accompanying statements of income and expenses and changes in partners capital
of CMF SandRidge Master Fund L.P. for the year ended December 31, 2007. These financial statements
are the responsibility of the Partnerships 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 SandRidge 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
F-165
CMF SandRidge
Master Fund L.P.
Statements of Financial Condition
December 31, 2009 and 2008
|
|
|
|
|
|
|
|
|
|
|
2009
|
|
|
2008
|
|
|
Assets:
|
|
|
|
|
|
|
|
|
Equity in trading account:
|
|
|
|
|
|
|
|
|
Cash (Note 3c)
|
|
$
|
691,877,329
|
|
|
$
|
530,398,527
|
|
Cash margin (Note 3c)
|
|
|
22,651,198
|
|
|
|
29,705,022
|
|
Options owned, at fair value (cost $1,392,000 and $3,510,375 at
December 31, 2009 and 2008, respectively)
|
|
|
1,092,800
|
|
|
|
4,987,535
|
|
|
|
|
|
|
|
|
|
|
Total assets
|
|
$
|
715,621,327
|
|
|
$
|
565,091,084
|
|
|
|
|
|
|
|
|
|
|
Liabilities and Partners Capital:
|
|
|
|
|
|
|
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
Net unrealized depreciation on open futures and exchange cleared
swap contracts
|
|
$
|
29,412,753
|
|
|
$
|
110,973,333
|
|
Options written, at fair value (premium $994,000 and $3,103,510
at December 31, 2009 and 2008, respectively)
|
|
|
1,249,600
|
|
|
|
4,282,963
|
|
Accrued expenses:
|
|
|
|
|
|
|
|
|
Professional fees
|
|
|
49,481
|
|
|
|
116,342
|
|
|
|
|
|
|
|
|
|
|
Total liabilities
|
|
|
30,711,834
|
|
|
|
115,372,638
|
|
|
|
|
|
|
|
|
|
|
Partners Capital:
|
|
|
|
|
|
|
|
|
General Partner, 0.0000 Unit equivalents at December 31,
2009 and 2008
|
|
|
|
|
|
|
|
|
Limited Partners Capital, 311,109.5773 and 247,850.0335
Redeemable Units of Limited Partnership Interest outstanding at
December 31, 2009 and 2008, respectively
|
|
|
684,909,493
|
|
|
|
449,718,446
|
|
|
|
|
|
|
|
|
|
|
Total liabilities and partners capital
|
|
$
|
715,621,327
|
|
|
$
|
565,091,084
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-166
CMF SandRidge
Master Fund L.P.
Condensed
Schedule of Investments
December 31, 2009
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Number of
|
|
|
|
|
|
% of Partners
|
|
|
|
Contracts
|
|
|
Fair Value
|
|
|
Capital
|
|
|
Futures and Exchange Cleared Swap Contracts Purchased
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy
|
|
|
|
|
|
|
|
|
|
|
|
|
ICE Henry Hub Natural Gas Swap Apr. 10 Dec. 14
|
|
|
33,801
|
|
|
$
|
(11,509,797
|
)
|
|
|
(1.68
|
)%
|
NYMEX Henry Hub Natural Gas Swap Mar. 10 Dec. 14
|
|
|
14,452
|
|
|
|
(7,309,750
|
)
|
|
|
(1.07
|
)
|
NYMEX Henry Hub Natural Gas May 10 May 11
|
|
|
4,825
|
|
|
|
(5,954,147
|
)
|
|
|
(0.87
|
)
|
NYMEX Henry Hub Penultimate Mar. 10
|
|
|
524
|
|
|
|
495,220
|
|
|
|
0.07
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures and exchange cleared swap contracts purchased
|
|
|
|
|
|
|
(24,278,474
|
)
|
|
|
(3.55
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures and Exchange Cleared Swap Contracts Sold
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy
|
|
|
|
|
|
|
|
|
|
|
|
|
ICE Henry Hub Natural Gas Swap Mar. 10 March 11
|
|
|
22,040
|
|
|
|
(6,466,193
|
)
|
|
|
(0.94
|
)
|
NYMEX Henry Hub Natural Gas Swap May 10 Dec. 13
|
|
|
10,108
|
|
|
|
5,801,850
|
|
|
|
0.84
|
|
NYMEX Henry Hub Natural Gas Mar. 10 Sept. 10
|
|
|
6,621
|
|
|
|
(4,469,936
|
)
|
|
|
(0.65
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures and exchange cleared swap contracts sold
|
|
|
|
|
|
|
(5,134,279
|
)
|
|
|
(0.75
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options Owned
|
|
|
|
|
|
|
|
|
|
|
|
|
Puts
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy
|
|
|
240
|
|
|
|
1,092,800
|
|
|
|
0.16
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total options owned
|
|
|
|
|
|
|
1,092,800
|
|
|
|
0.16
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options Written
|
|
|
|
|
|
|
|
|
|
|
|
|
Calls
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy
|
|
|
240
|
|
|
|
(1,249,600
|
)
|
|
|
(0.18
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total options written
|
|
|
|
|
|
|
(1,249,600
|
)
|
|
|
(0.18
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
|
|
|
|
$
|
(29,569,553
|
)
|
|
|
(4.32
|
)%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-167
CMF SandRidge
Master Fund L.P.
Condensed
Schedule of Investments
December 31, 2008
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Number of
|
|
|
|
|
|
% of Partners
|
|
|
|
Contracts
|
|
|
Fair Value
|
|
|
Capital
|
|
|
Futures and Exchange Cleared Swap Contracts Purchased
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy
|
|
|
|
|
|
|
|
|
|
|
|
|
ICE Henry Hub Natural Gas Swap April 09 Dec. 14
|
|
|
30,555
|
|
|
$
|
(72,012,250
|
)
|
|
|
(16.01
|
)%
|
NYMEX Natural Gas Swap Oct. 09 Dec. 14
|
|
|
10,464
|
|
|
|
(43,628,900
|
)
|
|
|
(9.70
|
)
|
NYMEX Natural Gas Aug. 09 Oct. 10
|
|
|
6,052
|
|
|
|
(113,269,862
|
)
|
|
|
(25.19
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures and exchange cleared swap contracts purchased
|
|
|
|
|
|
|
(228,911,012
|
)
|
|
|
(50.90
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures and Exchange Cleared Swap Contracts Sold
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy
|
|
|
|
|
|
|
|
|
|
|
|
|
ICE Henry Hub Natural Gas Swap Feb. 09 Oct. 10
|
|
|
25,108
|
|
|
|
34,592,590
|
|
|
|
7.69
|
|
NYMEX Henry Hub Natural Gas Feb. 09 Dec. 12
|
|
|
10,624
|
|
|
|
42,565,560
|
|
|
|
9.46
|
|
NYMEX Natural Gas Feb. 09 Sep. 09
|
|
|
6,572
|
|
|
|
40,779,529
|
|
|
|
9.07
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures and exchange cleared swap contracts sold
|
|
|
|
|
|
|
117,937,679
|
|
|
|
26.22
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options Owned
|
|
|
|
|
|
|
|
|
|
|
|
|
Puts
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy
|
|
|
730
|
|
|
|
4,987,535
|
|
|
|
1.11
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total options owned
|
|
|
|
|
|
|
4,987,535
|
|
|
|
1.11
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options Written
|
|
|
|
|
|
|
|
|
|
|
|
|
Calls
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy
|
|
|
15
|
|
|
|
(4,380
|
)
|
|
|
(0.00
|
)*
|
Puts
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy
|
|
|
1,675
|
|
|
|
(4,278,583
|
)
|
|
|
(0.95
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total options written
|
|
|
|
|
|
|
(4,282,963
|
)
|
|
|
(0.95
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
|
|
|
|
$
|
(110,268,761
|
)
|
|
|
(24.52
|
)%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-168
CMF SandRidge
Master Fund L.P.
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
|
|
$
|
18,484,633
|
|
|
$
|
209,086,188
|
|
|
$
|
40,099,593
|
|
Change in net unrealized gains (losses) on open contracts
|
|
|
80,708,073
|
|
|
|
(109,479,479
|
)
|
|
|
634,796
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gain (loss) from trading, net
|
|
|
99,192,706
|
|
|
|
99,606,709
|
|
|
|
40,734,389
|
|
Interest Income
|
|
|
388,904
|
|
|
|
4,119,717
|
|
|
|
9,737,038
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total income (loss)
|
|
|
99,581,610
|
|
|
|
103,726,426
|
|
|
|
50,471,427
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses:
|
|
|
|
|
|
|
|
|
|
|
|
|
Clearing fees
|
|
|
623,298
|
|
|
|
390,792
|
|
|
|
677,706
|
|
Professional fees
|
|
|
210,642
|
|
|
|
269,306
|
|
|
|
261,470
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses
|
|
|
833,940
|
|
|
|
660,098
|
|
|
|
939,176
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss)
|
|
$
|
98,747,670
|
|
|
$
|
103,066,328
|
|
|
$
|
49,532,251
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss) per Redeemable Unit of Limited Partnership
interest (Notes 1 and 6)
|
|
$
|
388.51
|
|
|
$
|
468.42
|
|
|
$
|
242.28
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Weighted average units outstanding
|
|
|
275,661.9324
|
|
|
|
241,781.3550
|
|
|
|
212,935.2422
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-169
CMF SandRidge
Master Fund L.P.
Statements of Changes in Partners Capital
for the years ended
December 31, 2009, 2008 and 2007
|
|
|
|
|
|
|
Partners
|
|
|
|
Capital
|
|
|
Partners Capital at December 31, 2006
|
|
$
|
215,065,486
|
|
Net income (loss)
|
|
|
49,532,251
|
|
Sale of 69,725.8292 Redeemable Units of Limited Partnership
Interest
|
|
|
89,474,602
|
|
Redemption of 24,714.6195 Redeemable Units of Limited
Partnership Interest
|
|
|
(31,803,576
|
)
|
Distribution of interest income to feeder funds
|
|
|
(9,737,038
|
)
|
|
|
|
|
|
Partners Capital at December 31, 2007
|
|
|
312,531,725
|
|
Net income (loss)
|
|
|
103,066,328
|
|
Sale of 80,081.4747 Redeemable Units of Limited Partnership
Interest
|
|
|
141,534,374
|
|
Redemption of 61,402.1561 Redeemable Units of Limited
Partnership Interest
|
|
|
(103,294,264
|
)
|
Distribution of interest income to feeder funds
|
|
|
(4,119,717
|
)
|
|
|
|
|
|
Partners Capital at December 31, 2008
|
|
|
449,718,446
|
|
Net income (loss)
|
|
|
98,747,670
|
|
Sale of 127,771.5856 Redeemable Units of Limited Partnership
Interest
|
|
|
270,602,300
|
|
Redemption of 64,512.0418 Redeemable Units of Limited
Partnership Interest
|
|
|
(133,770,019
|
)
|
Distribution of interest income to feeder funds
|
|
|
(388,904
|
)
|
|
|
|
|
|
Partners Capital at December 31, 2009
|
|
$
|
684,909,493
|
|
|
|
|
|
|
Net Asset Value per Redeemable Unit of Limited Partnership
Interest:
|
|
|
|
|
|
|
|
|
|
2007:
|
|
$
|
1,363.75
|
|
|
|
|
|
|
|
|
|
|
|
2008:
|
|
$
|
1,814.48
|
|
|
|
|
|
|
|
|
|
|
|
2009:
|
|
$
|
2,201.51
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-170
CMF SandRidge
Master Fund L.P.
Notes to
Financial Statements
December 31, 2009
|
|
1.
|
Partnership
Organization:
|
CMF SandRidge Master Fund L.P. (the Master) is
a limited partnership that 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 commodity interests that are traded by the Master
are volatile and involve a high degree of market risk. The
Master may trade commodity futures and option contracts of any
kind but intends initially to trade solely energy and energy
related products. 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 December 1, 2005 (commencement of trading operations),
Bristol Energy Fund L.P., (formerly Smith Barney Bristol Energy
Fund L.P.) (Bristol) allocated substantially
all of its capital to the Master. Bristol purchased 14,461.8400
Redeemable Units with cash equal to $14,477,858 and a
contribution of open commodity futures and options positions
with a fair value of $(16,018). On May 1, 2006, two
separate private investors (Private Investor I and
Private Investor II) each allocated substantially
all of their capital to the Master. Private Investor I purchased
23,073.5521 Redeemable Units with cash equal to $28,000,000 and
Private Investor II purchased 4,944.3326 Redeemable Units
with cash equal to $6,000,000. On October 1, 2006, CMF
SandRidge Feeder (Cayman) Ltd. (SandRidge Feeder)
and Energy Advisors Portfolio L.P., (formerly Citigroup Energy
Advisors Portfolio L.P.) (Energy Advisors) each
allocated substantially all of their capital to the Master.
SandRidge Feeder purchased 22,075.2638 Redeemable Units with
cash equal to $25,000,000. Energy Advisors purchased 2,092.7350
Redeemable Units with cash equal to $2,370,000. On April 1,
2007, Diversified 2000 Futures Fund L.P., (formerly
Citigroup Diversified 2000 Futures Fund L.P.)
(Diversified 2000) purchased 7,659.0734 Redeemable
Units with cash equal to $9,635,703. On March 1, 2009,
Tactical Diversified Futures Fund L.P., (formerly Citigroup
Diversified Futures Fund L.P.) (Tactical Diversified),
purchased 14,408.1177 Redeemable Units with cash equal to
$27,000,000. On June 1, 2009, Diversified Multi-Advisor
Futures Fund L.P., (Diversified), (formerly
Smith Barney Diversified Futures Fund L.P.) and Diversified
Multi-Advisors Futures Fund L.P. II, (Diversified
II), (formerly Smith Barney Diversified Futures Fund L.P.
II) each allocated a portion of their capital to the Master.
Diversified purchased 1,370.9885 Redeemable Units with cash
equal to $2,818,836. Diversified II purchased 2,086.0213
Redeemable Units with cash equal to 4,288,986. The Master was
formed to permit commodity pools managed now and in the future
by SandRidge Capital, L.P. (the Advisor) using the
Energy Program, the Advisors proprietary systematic
trading program, to invest together in one trading vehicle.
The Master operates under a structure where its investors are
Bristol, Private Investor I, Private Investor II, SandRidge
Feeder, Energy Advisors, Diversified 2000, Tactical Diversified,
Diversified and Diversified II (each a Feeder,
collectively the Funds) with approximately 70.1%,
4.2%, 0.7%, 9.0%, 1.3%, 2.0%, 11.7%, 0.4% and 0.6% investments
in the Master at December 31, 2009, respectively. Bristol,
Private Investor I, Private Investor II, SandRidge Feeder,
Energy Advisors and Diversified 2000 had approximately 75.3%,
5.2%, 0.9%, 13.7%, 2.1% and 2.8% investments in the Master at
December 31, 2008, respectively.
F-171
CMF SandRidge
Master Fund L.P.
Notes to Financial Statements
December 31, 2009
The Master will be liquidated upon the first to occur of the
following: December 31, 2025; 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 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.
|
|
|
|
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 Masters 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.
|
Masters 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.
|
Masters 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.
F-172
CMF SandRidge
Master Fund L.P.
Notes to Financial Statements
December 31, 2009
In 2009, the Master adopted amendments to ASC 820, Fair Value
Measurements and Disclosure (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 Masters Level 2 assets and
liabilities. The adoption of the amendments to ASC 820 had
no effect on the Masters 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 2008, the Master did not hold any derivative
instruments for which market quotations are not available and
which are priced by broker-dealer 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 managements assumptions and internal valuation pricing
models (Level 3).
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Quoted Prices in
|
|
|
|
|
|
Significant
|
|
|
|
|
|
|
Active Markets for
|
|
|
Significant Other
|
|
|
Unobservable
|
|
|
|
|
|
|
Identical Sets
|
|
|
Observable Inputs
|
|
|
Inputs
|
|
|
|
12/31/2009
|
|
|
(Level 1)
|
|
|
(Level 2)
|
|
|
(Level 3)
|
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options owned
|
|
$
|
1,092,800
|
|
|
$
|
1,092,800
|
|
|
$
|
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total assets
|
|
$
|
1,092,800
|
|
|
$
|
1,092,800
|
|
|
$
|
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures and Exchange Cleared Swaps
|
|
$
|
29,412,753
|
|
|
$
|
29,412,753
|
|
|
$
|
|
|
|
$
|
|
|
Options written
|
|
|
1,249,600
|
|
|
|
1,249,600
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total liabilities
|
|
|
30,662,353
|
|
|
|
30,662,353
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
$
|
(29,569,553
|
)
|
|
$
|
(29,569,553
|
)
|
|
$
|
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Quoted Prices in
|
|
|
|
|
|
Significant
|
|
|
|
|
|
|
Active Markets for
|
|
|
Significant Other
|
|
|
Unobservable
|
|
|
|
|
|
|
Identical Assets
|
|
|
Observable Inputs
|
|
|
Inputs
|
|
|
|
12/31/2008
|
|
|
(Level 1)
|
|
|
(Level 2)
|
|
|
(Level 3)
|
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options owned
|
|
$
|
4,987,535
|
|
|
$
|
4,987,535
|
|
|
$
|
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total assets
|
|
$
|
4,987,535
|
|
|
$
|
4,987,535
|
|
|
$
|
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures and Exchange Cleared Swaps
|
|
$
|
110,973,333
|
|
|
$
|
110,973,333
|
|
|
$
|
|
|
|
$
|
|
|
Options written
|
|
|
4,282,963
|
|
|
|
4,282,963
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total liabilities
|
|
|
115,256,296
|
|
|
|
115,256,296
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
$
|
(110,268,761
|
)
|
|
$
|
(110,268,761
|
)
|
|
$
|
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
F-173
CMF SandRidge
Master Fund L.P.
Notes to Financial Statements
December 31, 2009
|
|
|
|
d.
|
Futures Contracts. The Master trades futures
contracts. Exchange cleared swaps included in futures and
exchange cleared swaps are swaps that are traded as futures. 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.
|
|
|
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.
|
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.
|
|
|
|
|
g.
|
Income Taxes. Income taxes have not been
provided as each partner is individually liable for the taxes,
if any, on their share of the Masters 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
Masters 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 has concluded that no provision for income tax is
required in the Masters financial statements.
The following is the major tax jurisdiction for the Master and
the earliest tax year subject to examination: United
States 2006.
|
|
|
|
h.
|
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.
|
|
|
|
|
i.
|
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
|
F-174
CMF SandRidge
Master Fund L.P.
Notes to Financial Statements
December 31, 2009
|
|
|
|
|
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 Masters 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 SECs 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.
|
|
|
j.
|
Certain prior period amounts have been reclassified to conform
to current year presentation.
|
|
|
k.
|
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.
|
|
|
|
|
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.
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.
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 Masters 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
CGMs direct brokerage commission shall be borne by the
Funds. All of the Masters assets are deposited in the
Masters account at CGM. The Masters 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 amounts of cash held by the
Master for margin requirements were $22,651,198 and $29,705,022,
respectively. The Customer Agreement may be terminated upon
notice by either party.
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 Masters trading activities are shown in the Statements
of Income and Expenses.
F-175
CMF SandRidge
Master Fund L.P.
Notes to Financial Statements
December 31, 2009
The Customer Agreement between the Master and CGM gives the
Master the legal right to net unrealized gains and losses on
open futures and exchange cleared swap 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, exchange
cleared swap and option contracts traded for the year ended
December 31, 2009, based on a quarterly calculation was
68,224.
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, exchange cleared swap and option
contracts as separate assets and liabilities for the year ended
December 31, 2009.
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2009
|
|
|
|
|
December 31, 2009
|
|
|
Assets
|
|
|
|
|
|
Assets
|
|
|
|
|
Futures and Exchange Cleared Swap Contracts
|
|
|
|
|
|
Options Owned
|
|
|
|
|
Energy
|
|
$
|
37,079,802
|
|
|
Energy
|
|
$
|
1,092,800
|
|
|
|
|
|
|
|
|
|
|
|
|
Total unrealized appreciation on open futures and exchange
cleared swap contracts
|
|
$
|
37,079,802
|
|
|
Options owned
|
|
$
|
1,092,800
|
**
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
|
Liabilities
|
|
|
|
|
Futures and Exchange Cleared Swap Contracts
|
|
|
|
|
|
Options Written
|
|
|
|
|
Energy
|
|
$
|
(66,492,555
|
)
|
|
Energy
|
|
$
|
(1,249,600
|
)
|
|
|
|
|
|
|
|
|
|
|
|
Total unrealized depreciation on open futures and exchange
cleared swap contracts
|
|
$
|
(66,492,555
|
)
|
|
Options written
|
|
$
|
(1,249,600
|
)***
|
|
|
|
|
|
|
|
|
|
|
|
Net unrealized depreciation on open futures contracts
|
|
$
|
(29,412,753
|
)*
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
This amount is in Net unrealized depreciation on open
futures and exchange cleared swap 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. |
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
|
|
Energy
|
|
$
|
99,192,706
|
|
|
|
|
|
|
Total
|
|
$
|
99,192,706
|
****
|
|
|
|
|
|
|
|
|
**** |
|
This amount is in Gain(loss) from trading, net on
the Statements of Income and Expenses. |
F-176
CMF SandRidge
Master Fund L.P.
Notes to Financial Statements
December 31, 2009
|
|
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 Masters in multiples of the Net Asset
Value per Redeemable Unit of Limited Partnership Interest as of
the end day 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.
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)*
|
|
$
|
387.81
|
|
|
$
|
451.86
|
|
|
$
|
197.11
|
|
Interest income
|
|
|
1.48
|
|
|
|
17.69
|
|
|
|
46.35
|
|
Expenses**
|
|
|
(0.78
|
)
|
|
|
(1.13
|
)
|
|
|
(1.18
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Increase (decrease) for the year
|
|
|
388.51
|
|
|
|
468.42
|
|
|
|
242.28
|
|
Distribution of interest income to feeder funds
|
|
|
(1.48
|
)
|
|
|
(17.69
|
)
|
|
|
(46.35
|
)
|
Net Asset Value per Redeemable Unit of Limited Partnership
Interest, beginning of year
|
|
|
1,814.48
|
|
|
|
1,363.75
|
|
|
|
1,167.82
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Asset Value per Redeemable Unit of Limited Partnership
Interest, end of year
|
|
$
|
2,201.51
|
|
|
$
|
1,814.48
|
|
|
$
|
1,363.75
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Includes clearing fees. |
|
|
** |
|
Excludes clearing fees. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2009
|
|
|
2008
|
|
|
2007
|
|
|
Ratios to average net assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)***
|
|
|
(0.1
|
)%
|
|
|
0.9
|
%
|
|
|
3.3
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Operating expenses
|
|
|
0.1
|
%
|
|
|
0.2
|
%
|
|
|
0.3
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return
|
|
|
21.3
|
%
|
|
|
34.3
|
%
|
|
|
20.8
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
*** |
|
Interest income less total expenses. |
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, 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
F-177
CMF SandRidge
Master Fund L.P.
Notes to Financial Statements
December 31, 2009
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 Masters 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 Masters 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 Masters assets is CGM or a
CGM affiliate. Credit risk with respect to exchange-traded
instruments is reduced to the extent that through CGM, the
Masters counterparty is an exchange or clearing
organization.
The Advisor will concentrate the Masters trading in energy
related markets. Concentration in a limited number of commodity
interests may subject the Masters account to greater
volatility than if a more diversified portfolio of contracts.
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, Guarantors Accounting and Disclosure
Requirements for Guarantees).
The General Partner monitors and attempts to control the
Masters 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, exchange cleared swaps 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 Masters
business, these instruments may not be held to maturity.
F-178
Selected unaudited quarterly financial data for SandRidge 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 |
|
$ |
(7,776,936 |
) |
|
$ |
34,084,889 |
|
|
$ |
31,810,672 |
|
|
$ |
40,839,687 |
|
Net income (loss) |
|
$ |
(7,833,376 |
) |
|
$ |
34,047,914 |
|
|
$ |
31,760,955 |
|
|
$ |
40,772,177 |
|
Increase (decrease) in Net
Asset Value per Redeemable
Unit |
|
$ |
(21.17 |
) |
|
$ |
125.50 |
|
|
$ |
122.39 |
|
|
$ |
161.79 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the period from |
|
For the period from |
|
For the period from |
|
For the period 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) net of brokerage
commissions and clearing
fees including interest
income |
|
$ |
10,020,345 |
|
|
$ |
(31,305,268 |
) |
|
$ |
66,997,344 |
|
|
$ |
57,623,213 |
|
Net income (loss) |
|
$ |
9,955,370 |
|
|
$ |
(31,370,244 |
) |
|
$ |
66,929,871 |
|
|
$ |
57,551,331 |
|
Increase (decrease) in Net
Asset Value per Redeemable
Unit |
|
$ |
39.67 |
|
|
$ |
(131.21 |
) |
|
$ |
297.96 |
|
|
$ |
262.00 |
|
F-179
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 Partnerships disclosure controls and procedures are designed to ensure that information
required to be disclosed under the Exchange Act 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 Partnerships
external disclosures.
The General Partners CEO and CFO have evaluated the effectiveness of the Partnerships
disclosure controls and procedures (as defined in Rule 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 Partnerships disclosure controls and procedures were effective.
The Partnerships internal control over financial reporting is a process under the supervision
of the General Partners 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 Partnerships
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 Partnerships assets that could have a material
effect on the financial statements. |
The report included in Item 8. Financial Statements and Supplementary Data. includes
managements report on internal control over financial reporting (Managements Report) and an
attestation report of the Partnerships registered public accounting firm regarding internal
control over financial reporting. Managements Report was not required to be audited by the
Partnerships registered public accounting firm pursuant to temporary rules of the Securities
Exchange Commission that permit the Partnership to provide only managements report in this annual
report. Management elected to have its internal control over financial reporting audited.
There were no changes in the Partnerships internal control over financial reporting during
the fiscal quarter ended December 31, 2009 that materially affected, or are reasonably likely to
materially affect, the Partnerships internal control over financial reporting.
Item 9B. Other Information.
None.
29
PART III
Item 10. Directors and Executive Officers of the Registrant.
The Partnership has no officers or directors and its affairs are managed by its General
Partner. Investment decisions are made by the Advisors.
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 Partners 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. Pascuccis 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 CAIs 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. Magros principal status was approved by the NFA in June 2005. She was also a Managing Director of CAI and Chief Operating Officer of CAIs 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 Partners managed futures funds. From March 1999 to July 2009, Ms. Magro was responsible for the accounting and financial and regulatory reporting of Citigroups managed futures funds. She had similar responsibilities with CAIs 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 CAIs 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. Ullmans 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 CAIs 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. Noltes duties included overseeing the firms fund of funds and hedge fund businesses. Mr. Nolte was the founder and head of the Investment Committee for the Topiary Fund, Deutsche Banks first fund of hedge funds. The DB ARS Fund of Hedge Funds platform grew to $7 billion in assets under management during Mr. Noltes 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 Partnerships board of directors, and has not established an audit
committee because it has no board of directors.
30
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 commissions for such services, as described under Item 1.
Business. Brokerage commissions and clearing fees of $50,422,263 were earned by CGM for
the year ended December 31, 2009. Management fees and incentive fees of $16,494,222 and
$6,244,781, respectively, were earned by the Advisors for the year ended December 31, 2009.
Item 12. Security Ownership of Certain Beneficial Owners and Management.
(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 Partnerships affairs are managed by the General Partner. The General Partner owns
units of general partnership interest equivalent to 7,513.5294 Redeemable Units (1.2%) of Limited
Partnership Interest as of December 31, 2009.
Principles
of the General Partner who own Redeemable Units. None.
(c) Changes in control. None.
Item 13. Certain Relationship and Related Transactions.
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, Item 8. Financial Statements
and Supplementary Data. 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 in the period from July 23, 2009 through December 31, 2009,
PwC in the period from June 27,
2008 through July 22, 2009 and KPMG LLP (KPMG) in the period from January 1, 2008 through June
26, 2008 for the audit of the Partnerships annual financial statements, review of financial
statements included in the Partnerships Forms 10-Q and 10-K and other services normally provided
in connection with regulatory filings or engagements were:
Deloitte
$236,500
PwC $378,100
KPMG $85,400
(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 Partnerships Schedule K1s, the preparation of the Partnerships
Form 1065 and preparation of all State Tax Returns were:
2009
$42,100
2008 $70,000
(4) All Other Fees. None.
(5) Not Applicable.
(6) Not Applicable.
31
PART IV
Item 15. Exhibits and Financial Statement Schedules.
(a)(1) Financial Statements:
Statements of Financial Condition at December 31, 2009 and 2008.
Condensed Schedules of Investments at December 31, 2009 and 2008
Statements of Income and Expenses 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.
Notes to Financial Statements.
(2) Exhibits:
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3.1 |
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Certificate of Limited Partnership of the
Partnership as filed in the office of the
Secretary of State of the State of New York
(filed as Exhibit 3.2 to the Registration on
Form S-1 filed on December 20, 2002 and
incorporated herein by reference). |
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(a) |
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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 May 21, 2003 (filed
as Exhibit 99.2 to the current report on
Form 8-K filed on November 3, 2009 and
incorporated herein by reference). |
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(b) |
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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 21, 2005
(filed as Exhibit 99.3 to the current report
on Form 8-K filed on November 3, 2009 and
incorporated herein by reference). |
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(c) |
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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 99.4 to the current report
to Form 8-K filed on November 3, 2009 and
incorporated herein by reference). |
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(d) |
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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 24, 2009
(filed as Exhibit 99.1 to the current report
on Form 8-K filed on September 30, 2009 and
incorporated herein by reference). |
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3.2 |
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Limited Partnership Agreement (filed as
Exhibit A to the Post-Effective Amendment
No. 5 to the Registration on Form S-1 filed
on April 22, 2008 and incorporated herein by
reference). |
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(a) |
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Amendment to the Limited Partnership
Agreement, dated May 31, 2009 (filed as
Exhibit 99.1 to the current report on Form
8-K filed on November 3, 2009 and
incorporated herein by reference). |
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10.1 |
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Amended and Restated Customer Agreement
among the Partnership and Salomon Smith
Barney Inc. (filed as Exhibit 10.1 to the
Pre-Effective Amendment No. 2 to the
Registration on Form S-1 filed on March 18,
2003 and incorporated herein by reference). |
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10.2 |
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Escrow Agreement among the Partnership,
Salomon Smith Barney Inc. and JPMorgan Chase
Bank (filed as Exhibit 10.3 to the
Pre-Effective Amendment No. 1 to the
Registration on Form S-1 filed on
February 14, 2003). |
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10.3 |
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Management Agreement among the Partnership,
the General Partner and Graham Capital
Management L.P. (filed as Exhibit 10.5 to
the Registration on Form S-1 filed on
December 20, 2002). |
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(a) |
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Letter from the General Partner extending
Management Agreement with Graham Capital
Management L.P. for 2009 (dated June 9, 2009
and filed herein). |
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10.4 |
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Management Agreement among the Partnership,
the General Partner and Willowbridge
Associates Inc. (filed as Exhibit 10.7 to
the Registration on Form S-1 filed on
December 20, 2002). |
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(a) |
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Letter from the General Partner extending
Management Agreement with Willowbridge
Associates Inc. for 2009 (dated June 9, 2009
and filed herein). |
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10.5 |
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Management Agreement among the Partnership,
the General Partner and Drury Capital, Inc.
(filed as Exhibit 10.4 to the Pre-Effective
Amendment No. 1 to the Registration on Form
S-1 filed on February 14, 2003). |
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(a) |
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Letter from the General Partner extending
Management Agreement with Drury Capital,
Inc. for 2009 (dated June 9, 2009 and filed
herein). |
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10.6 |
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Management Agreement among the Partnership,
the General Partner and John W. Henry &
Company, Inc. (filed as Exhibit 10.6 to the
Pre-Effective Amendment No. 2 to the
Registration on Form S-1 filed on March 18,
2003). |
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(a) |
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Letter from the General Partner extending
Management Agreement with John W. Henry &
Company, Inc. for 2009 (dated June 9, 2009
and filed herein). |
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10.7 |
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Management Agreement among the Partnership,
the General Partner and Winton Capital
Management Limited (filed as Exhibit 10.2 to
the Form 10-K filed on March 16, 2005 and
incorporated herein by reference). |
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(a) |
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Letter from the General Partner extending
Management Agreement with Winton Capital
Management Limited for 2009 (dated June 9,
2009 and filed herein). |
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10.8 |
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Management Agreement among the Partnership,
the General Partner and Capital Fund
Management S.A. (filed as Exhibit 10.3 to
the Form 10-K filed on March 16, 2005 and
incorporated herein by reference). |
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10.9 |
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Management Agreement among the Partnership,
the General Partner and Aspect Capital
Limited (filed as Exhibit 10.4 to the Form
10-K filed on March 16, 2005 and
incorporated herein by reference). |
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(a) |
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Letter from the General Partner extending
Management Agreement with Aspect Capital
Limited for 2009 (dated June 9, 2009 and
filed herein). |
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10.10 |
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Management Agreement among the Partnership,
the General Partner and AAA Capital
Management Advisors, Ltd. (filed as
Exhibit 33 to the quarterly report on Form
10-Q filed on May 12, 2006 and incorporated
herein by reference). |
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(a) |
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Letter from the General Partner extending
Management Agreement with AAA Capital
Management Advisors, Ltd. for 2009 (dated
June 9, 2009 and filed herein). |
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10.11 |
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Management Agreement among the Partnership,
the General Partner and SandRidge Capital LP
(filed as Exhibit 10.1 to the quarterly
report on Form 10-Q filed on May 15, 2009
and incorporated herein by reference). |
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(a) |
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Letter from the General Partner extending
Management Agreement with SandRidge Capital
LP for 2009 (dated June 9, 2009 and filed
herein). |
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10.12 |
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Agency Agreement among the Partnership, the
General Partner, Citigroup Global Markets
Inc. and Morgan Stanley Smith Barney LLC
dated as of November 11, 2009 and effective
July 31, 2009 (filed as exhibit 10.12 to the
quarterly report on Form 10-Q filed on
November 16, 2009 and incorporated herein by
reference). |
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16.1 |
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(a) Letter Regarding Change of Certifying
Accountant (filed as Exhibit 16 to the
current report 8-K filed on July 24, 2009
and incorporated herein by reference). |
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|
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(b) Letter Regarding Change of Certifying
Accountant (filed as Exhibit 16.1 to current
report 8-K filed on July 1, 2008 and
incorporated herein by reference). |
32
The exhibits required to be filed by Item 601 of regulation S-K are incorporated herein by
reference
(a) |
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31.1 Rule 13a-14(a)/15d-14(a) Certification (Certification of President and Director) |
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31.2 Rule 13a-14(a)/15d-14(a) Certification (Certification of Chief Financial Officer and
Director) |
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32.1 Section 1350 Certification (Certification of President and Director) |
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32.2 Section 1350 Certification (Certification of Chief Financial Officer and Director) |
33
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.
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TACTICAL DIVERSIFIED FUTURES FUND L.P. |
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By:
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Ceres Managed Futures LLC |
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(General Partner) |
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By:
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/s/ Jerry Pascucci |
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Jerry Pascucci
President and Director |
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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.
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/s/ Jerry Pascucci
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/s/ Shelley Deavitt Ullman |
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Jerry Pascucci
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Shelley Deavitt Ullman |
President and Director Ceres Managed Futures LLC
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Director
Ceres Managed Futures LLC |
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/s/ Jennifer Magro
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/s/ Daryl Dewbrey |
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Jennifer Magro
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Daryl Dewbrey |
Chief Financial Officer and Director (Principal Accounting Officer)
Ceres Managed Futures LLC
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Director
Ceres Managed Futures LLC |
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/s/ Raymond Nolte |
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Raymond Nolte |
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Director
Ceres Managed Futures LLC |
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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.
34