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Table of Contents

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 10-Q

(X) QUARTERLY REPORT PURSUANT TO SECTION 13 or 15(d) OF THE SECURITIES EXCHANGE

ACT OF 1934

For the quarterly period ended March 31, 2012

OR ( ) TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d)

OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from              to             

Commission File Number 0-53210

ABINGDON FUTURES FUND L.P.

 

(Exact name of registrant as specified in its charter)

 

New York   20-3845005

(State or other jurisdiction of

incorporation or organization)

 

(I.R.S. Employer

Identification No.)

c/o Ceres Managed Futures LLC

522 Fifth Avenue - 14th Floor

New York, New York 10036

 

(Address of principal executive offices) (Zip Code)

(212) 296-1999

 

(Registrant’s telephone number, including area code)

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.

Yes X  No   

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of the chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).

Yes X  No   

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer or a smaller reporting company. See the definitions of “large accelerated filer”, “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act. (Check one):

 

Large accelerated filer       Accelerated filer       Non-accelerated filer X    Smaller reporting company    

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

Yes     No X

As of April 30, 2012, there were 198,144.0696 Limited Partnership Redeemable Units of Class A outstanding, 11,515.2020 Limited Partnership Redeemable Units of Class D outstanding and 566.2369 Limited Partnership Redeemable Units of Class Z outstanding.


Table of Contents

ABINGDON FUTURES FUND L.P.

FORM 10-Q

INDEX

 

               

Page
Number

PART I - Financial Information:

  
  Item 1.      Financial Statements:   
       Statements of Financial Condition at
March 31, 2012 (unaudited) and December 31, 2011
   3
       Statements of Income and Expenses
for the three months ended March 31, 2012 and 2011 (unaudited)
   4
       Statements of Changes in Partners’ Capital for the
three months ended March 31, 2012 and 2011 (unaudited)
   5
       Notes to Financial Statements, including the Financial
Statements of CMF Winton Master L.P. (unaudited)
   6 – 19
  Item 2.      Management’s Discussion and
Analysis of Financial Condition
and Results of Operations
   20 – 22
  Item 3.      Quantitative and Qualitative
Disclosures about Market Risk
   23 – 24
  Item 4.      Controls and Procedures    25

PART II - Other Information

   26 – 28

Exhibits

    

EX - 31.1

 

Certification

  

EX - 31.2

 

Certification

  

EX - 32.1

 

Certification

  

EX - 32.2

 

Certification

  

101.INS

 

XBRL Instance Document.

  

101.SCH

 

XBRL Taxonomy Extension Schema Document.

  

101.CAL

 

XBRL Taxonomy Extension Calculation Linkbase Document.

  

101.LAB

 

XBRL Taxonomy Extension Label Linkbase Document.

  

101.PRE

 

XBRL Taxonomy Extension Presentation Linkbase Document.

  

 

2


Table of Contents

PART I

Item 1. Financial Statements

Abingdon Futures Fund L.P.

Statements of Financial Condition

 

    (Unaudited)
March 31,
2012
    December 31,
2011
 

Assets:

   

Investment in Master, at fair value

  $ 246,675,011      $ 239,855,276   

Cash

    318,080        169,845   
 

 

 

   

 

 

 

Total assets

  $ 246,993,091      $ 240,025,121   
 

 

 

   

 

 

 

Liabilities and Partners’ Capital

   

Liabilities:

   

Accrued expenses:

   

Brokerage fees

  $ 892,186      $ 866,663   

Management fees

    307,344        298,777   

Administrative fees

    102,448        99,592   

Other

    225,426        136,650   

Redemptions payable

    3,019,015        1,555,303   
 

 

 

   

 

 

 

Total liabilities

    4,546,419        2,956,985   
 

 

 

   

 

 

 

Partners’ Capital:

   

General Partner, Class A, (0.0000 unit equivalents outstanding at March 31, 2012 and December 31, 2011)

    0        0   

General Partner, Class D, (0.0000 unit equivalents outstanding at March 31, 2012 and December 31, 2011)

    0        0   

General Partner, Class Z, (2,508.9070 and 2,212.7189 unit equivalents outstanding at March 31, 2012 and December 31, 2011)

    2,498,997        2,241,197   

Limited Partners, Class A, (196,955.4159 and 187,655.6606 Redeemable Units outstanding at March 31, 2012 and December 31, 2011, respectively)

    227,823,312        222,607,691   

Limited Partners, Class D, (11,453.7739 Redeemable Units outstanding at March 31, 2012 and December 31, 2011)

    11,560,353        11,777,664   

Limited Partners, Class Z, (566.2369 and 435.9665 Redeemable Units outstanding at March 31, 2012 and December 31, 2011, respectively)

    564,010        441,584   
 

 

 

   

 

 

 

Total partners’ capital

    242,446,672        237,068,136   
 

 

 

   

 

 

 

Total liabilities and partners’ capital

  $ 246,993,091      $ 240,025,121   
 

 

 

   

 

 

 

Class A, net asset value per unit

  $ 1,156.73      $ 1,186.26   
 

 

 

   

 

 

 

Class D, net asset value per unit

  $ 1,009.31      $ 1,028.28   
 

 

 

   

 

 

 

Class Z, net asset value per unit

  $ 996.05      $ 1,012.87   
 

 

 

   

 

 

 

See accompanying notes to financial statements.

 

3


Table of Contents

Abingdon Futures Fund L.P.

Statements of Income and Expenses

(Unaudited)

 

     Three Months Ended
March 31,
 
     2012     2011  

Income:

    

Interest income allocated from Master

   $ 20,130      $ 34,037   
  

 

 

   

 

 

 

Expenses:

    

Expenses allocated from Master

     68,595        30,709   

Brokerage fees

     2,683,213        2,009,476   

Management fees

     924,742        888,959   

Administrative fees

     308,247        222,239   

Other

     136,094        72,292   
  

 

 

   

 

 

 

Total expenses

     4,120,891        3,223,675   
  

 

 

   

 

 

 

Net investment income (loss)

     (4,100,761     (3,189,638
  

 

 

   

 

 

 

Trading results:

    

Net realized gains (losses) on closed contracts allocated from Master

     3,764,991        6,739,094   

Change in net unrealized gains (losses) on open contracts allocated from Master

     (5,834,346     (2,403,258
  

 

 

   

 

 

 

Net trading gain (loss) allocated from Master

     (2,069,355     4,335,836   
  

 

 

   

 

 

 

Net income (loss)

     (6,170,116     1,146,198   
  

 

 

   

 

 

 

Net income (loss) allocation from Master

    

Class A

     (5,901,084     1,146,198   
  

 

 

   

 

 

 

Class D

     (217,311     —     
  

 

 

   

 

 

 

Class Z

     (51,721     —     
  

 

 

   

 

 

 

Net asset value per redeemable unit

    

Class A (196,955.4159 and 151,127.3016 units outstanding at March 31, 2012 and 2011, respectively)

   $ 1,156.73      $ 1,171.53   
  

 

 

   

 

 

 

Class D (11,453.7739 units outstanding at March 31, 2012 )

   $ 1,009.31      $   
  

 

 

   

 

 

 

Class Z (3,075.1439 units outstanding at March 31, 2012 )

   $ 996.05      $   
  

 

 

   

 

 

 

Net income (loss) per redeemable unit*

    

Class A

   $ (29.53   $ 7.86   
  

 

 

   

 

 

 

Class D

   $ (18.97   $   
  

 

 

   

 

 

 

Class Z

   $ (16.82   $   
  

 

 

   

 

 

 

Weighted average units outstanding

    

Class A

     196,854.8120        151,700.3311   
  

 

 

   

 

 

 

Class D

     11,453.7739        —     
  

 

 

   

 

 

 

Class Z

     3,075.1439        —     
  

 

 

   

 

 

 

 

 

* Based on change in net asset value per unit.

See accompanying notes to financial statements.

 

4


Table of Contents

Abingdon Futures Fund L.P.

Statements of Changes in Partners’ Capital

For the Three Months Ended March 31, 2012 and 2011

(Unaudited)

 

    Class A     Class D     Class Z     Total  
    Amount     Units     Amount     Units     Amount     Units     Amount     Units  
               

Partner’s Capital, December 31, 2011

  $ 222,607,691        187,655.6606      $ 11,777,664        11,453.7739      $ 2,682,781        2,648.6854      $ 237,068,136        201,758.1199   

Subscriptions—Limited Partners

    17,453,303        14,697.9048        0        0        131,947        130.2704        17,585,250        14,828.1752   

Subscriptions—General Partner

    0        0        0        0        300,000        296.1881        300,000        296.1881   

Net income (loss)

    (5,901,084     0        (217,311     0        (51,721     0        (6,170,116     0   

Redemptions—Limited Partners

    (6,336,598     (5,398.1495     0        0        0        0        (6,336,598     (5,398.1495
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Partners’ Capital, March 31, 2012

  $ 227,823,312        196,955.4159      $ 11,560,353        11,453.7739      $ 3,063,007        3,075.1439      $ 242,446,672        211,484.3337   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
               

Partner’s Capital, December 31, 2010

  $ 157,857,693        135,654.7055      $ 0        0      $ 0        0      $ 157,857,693        135,654.7055   

Subscriptions—Limited Partners

    30,851,703        26,417.3396        0        0        0        0        30,851,703        26,417.3396   

Net income (loss)

    1,146,198        0        0        0        0        0        1,146,198        0   

Redemptions—Limited Partners

    (12,806,130     (10,944.7435     0        0        0        0        (12,806,130     (10,944.7435
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Partners’ Capital, March 31, 2011

  $ 177,049,464        151,127.3016      $ 0        0      $ 0        0      $ 177,049,464        151,127.3016   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

5


Table of Contents

Abingdon Futures Fund L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

1. General:

Abingdon Futures Fund L.P. (the “Partnership”) is a limited partnership organized on November 8, 2005, under the partnership laws of the State of New York 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 Partnership commenced trading on February 1, 2007. The commodity interests that are traded by the Partnership through its investment in the Master (as defined below), are volatile and involve a high degree of market risk. The Partnership privately and continuously offers redeemable units of limited partnership interest in the Partnership (“Redeemable Units”) to qualified investors. There is no maximum number of units that may be sold by the Partnership.

Ceres 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”). Morgan Stanley, indirectly through various subsidiaries, owns a majority equity interest in MSSB Holdings. Citigroup Inc. (“Citigroup”) indirectly owns a minority equity interest in MSSB Holdings. Citigroup also indirectly owns Citigroup Global Markets (“CGM”), the commodity broker and selling agent for the Partnership. 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 March 31, 2012, all trading decisions for the Partnership are made by the Advisor (defined below).

On February 1, 2007, the Partnership allocated substantially all of its capital to the CMF Winton Master L.P. (the “Master”), a limited partnership organized under the partnership laws of the state of New York, having the same investment objective as the Partnership. The Partnership purchased 9,017.0917 units of the Master with cash equal to $12,945,000. The Master was formed in order to permit accounts managed by Winton Capital Management Limited (the “Advisor”) using the Diversified Program, the Advisor’s proprietary, systematic trading program, to invest together in one trading vehicle. The General Partner is also the general partner of the Master. Individual and pooled accounts currently managed by the Advisor, including the Partnership, are permitted to be limited partners of the Master. The General Partner and the Advisor believe that trading through this master/feeder structure promotes efficiency and economy in the trading process. Expenses to investors as a result of the investment in the Master are approximately the same and redemption rights are not affected.

On April 1, 2011, the Partnership began offering “Class A” Redeemable Units, “Class D” Redeemable Units and “Class Z” Redeemable Units pursuant to the offering memorandum. All Redeemable Units issued prior to April 1, 2011 were deemed Class A Redeemable Units. The rights, liabilities, risks, and fees associated with investment in the Class A Units did not change. “Class D” Redeemable Units and “Class Z” Redeemable Unites were first issued on April 1, 2011, and August 1, 2011, respectively. Class A, Class D and Class Z will each be referred to as a “Class” and collectively referred to as the “Classes.” The Class of Units that a Limited Partner receives upon a subscription will generally depend upon the amount invested in the Partnership, although the General Partner may determine to offer Redeemable Units to investors at its discretion. Class Z Units were offered to certain employees of Morgan Stanley Smith Barney and its affiliates (and their family members). Class A Units, Class D Units, and Class Z Units are identical, except that Class D Units subject to a monthly commission fee equal to 1/12th of 1.875% (a 1.875% annual rate) of the Net Assets of Class D as of the ending of each month, and Class Z Units are subject to a monthly commission fee equal to 1/12th of 1.125% (a 1.125% annual rate) of the Net Assets of Class Z as of the ending of each month which differs from the Class A monthly commission fee of 1/12th of 4.5% (a 4.5% annual rate) of the net assets of Class A.

The General Partner is not aware of any material changes to the trading program discussed above during the fiscal quarter ended March 31, 2012.

At March 31, 2012 and December 31, 2011, the Partnership owned approximately 30.2% and 29.2%, respectively, of the Master. The Partnership intends to continue to invest substantially all of its assets in the Master. The performance of the Partnership is directly affected by the performance of the Master. The Master’s trading of futures, forwards, swaps and option contracts, if applicable, on commodities is done primarily on U.S. and foreign commodity exchanges. The Master engages in such trading through a commodity brokerage account maintained with CGM. The Master’s Statements of Financial Condition, Condensed Schedules of Investments and Statements of Income and Expenses and Changes in Partners’ Capital are included herein.

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 is liable for obligations of the Partnership in excess of their capital contribution and profits or losses, if any, net of distributions.

The accompanying financial statements and accompanying notes are unaudited but, in the opinion of management, include all adjustments, consisting only of normal recurring adjustments, necessary for a fair statement of the Partnership’s financial condition at March 31, 2012 and December 31, 2011, and the results of its operations and changes in partners’ capital for the three months ended March 31, 2012 and 2011. These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. You should read these financial statements together with the financial statements and notes included in the Partnership’s Annual Report on Form 10-K filed with the Securities and Exchange Commission (the “SEC”) for the year ended December 31, 2011.

The preparation of financial statements and accompanying notes in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires the General Partner to make estimates and assumptions that affect the reported amounts of assets and liabilities, income and expenses, and related disclosures of contingent assets and liabilities in the financial statements and accompanying notes. As a result, actual results could differ from these estimates.

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

 

6


Table of Contents

Abingdon Futures Fund L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

 

The Master’s Statements of Financial Condition and Condensed Schedules of Investments as of March 31, 2012 and December 31, 2011 and Statements of Income and Expenses and Changes in Partners’ Capital for the three months ended March 31, 2012 and 2011 are presented below:

CMF Winton Master L.P.

Statements of Financial Condition

 

     (Unaudited)
March  31,

2012
     December 31,
2011
 

Assets:

     

Equity in trading account:

     

Cash

   $ 712,968,513       $ 743,904,052   

Cash margin

     106,280,305         61,613,736   

Net unrealized appreciation on open futures contracts

     785,562         15,688,785   

Net unrealized appreciation on open forward contracts

             1,153,132   

Options purchased, at fair value (cost $61,835 and $52,300 at March 31, 2012 and December 31, 2011, respectively)

     29,324         18,204   
  

 

 

    

 

 

 

Total assets

   $ 820,063,704       $ 822,377,909   
  

 

 

    

 

 

 

Liabilities and Partners’ Capital:

     

Liabilities:

     

Net unrealized depreciation on open forward contracts

   $ 2,979,160       $   

Options premium received, at fair value (premium $128,365 and $107,195 at March 31, 2012 and December 31, 2011, respectively)

     71,100         42,095   

Accrued expenses:

     

Professional fees

     58,419         62,038   
  

 

 

    

 

 

 

Total liabilities

     3,108,679         104,133   
  

 

 

    

 

 

 

Partners’ Capital:

     

General Partner, 0.0000 unit equivalents at March 31, 2012 and December 31, 2011

     0         0   

Limited Partners, 333,515.3292 and 332,858.7283 units outstanding at March 31, 2012 and December 31, 2011, respectively

     816,955,025         822,273,776   
  

 

 

    

 

 

 

Total liabilities and partners’ capital

   $ 820,063,704       $ 822,377,909   
  

 

 

    

 

 

 

Net asset value per unit

   $ 2,449.53       $ 2,470.34   
  

 

 

    

 

 

 

 

7


Table of Contents

Abingdon Futures Fund L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

 

CMF Winton Master L.P.

Condensed Schedule of Investments

March 31, 2012

(Unaudited)

 

    Notional ($)/
Number of
Contracts
    Fair Value     % of Partners’
Capital
 

Futures Contracts Purchased

     

Currencies

    3,961      $ (1,054,115     (0.13 )% 

Energy

    1,950        (4,127,999     (0.51

Grains

    1,413        1,941,291        0.24   

Indices

    6,806        4,712,437        0.58   

Interest Rates U.S.

    8,178        (1,393,503     (0.17

Interest Rates Non-U.S.

    9,085        1,998,164        0.25   

Livestock

    78        (48,380     (0.01

Metals

    299        (232,498     (0.03

Softs

    387        (189,102     (0.02
   

 

 

   

 

 

 

Total futures contracts purchased

      1,606,295        0.20   
   

 

 

   

 

 

 

Futures Contracts Sold

     

Currencies

    2,560        (3,042,256     (0.37

Energy

    464        1,944,580        0.24   

Grains

    1,264        (792,210     (0.10

Indices

    4        3,300        0.00

Interest Rates U.S.

    308        (45,329     (0.01

Interest Rates Non-U.S.

    935        (197,693     (0.02

Livestock

    382        875,788        0.11   

Softs

    678        433,087        0.05   
   

 

 

   

 

 

 

Total futures contracts sold

      (820,733     (0.10
   

 

 

   

 

 

 

Unrealized Appreciation on Open Forward Contracts

     

Currencies

  $ 156,948,292        428,572        0.05   

Metals

    772        2,616,285        0.32   
   

 

 

   

 

 

 

Total unrealized appreciation on open forward contracts

      3,044,857        0.37   
   

 

 

   

 

 

 

Unrealized Depreciation on Open Forward Contracts

     

Currencies

  $ 340,165,113        (1,322,952     (0.16

Metals

    1,037        (4,701,065     (0.58
   

 

 

   

 

 

 

Total unrealized depreciation on open forward contracts

      (6,024,017     (0.74
   

 

 

   

 

 

 

Options Purchased

     

Puts

     

Indices

    90        29,324        0.01   
   

 

 

   

 

 

 

Total options purchased

      29,324        0.01   
   

 

 

   

 

 

 

Options Premium Received

     

Puts

     

Indices

    90        (71,100     (0.01
   

 

 

   

 

 

 

Net options premium received

      (71,100     (0.01
   

 

 

   

 

 

 

Net fair value

    $ (2,235,374     (0.27 )% 
   

 

 

   

 

 

 

 

 

 

* Due to rounding.

 

8


Table of Contents

Abingdon Futures Fund L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

 

CMF Winton Master L.P.

Condensed Schedule of Investments

December 31, 2011

 

     Notional ($)/
Number of
Contracts
     Fair Value     % of Partners’
Capital
 

Futures Contracts Purchased

       

Currencies

     1,681       $ 2,316,160        0.28

Energy

     625         110,182        0.01   

Grains

     39         37,976        0.01   

Indices

     1,128         690,394        0.08   

Interest Rates U.S.

     5,207         2,104,584        0.26   

Interest Rates Non-U.S.

     9,189         7,688,333        0.94   

Livestock

     110         (229,020     (0.03

Metals

     202         (3,126,860     (0.38

Softs

     176         (230,591     (0.03
     

 

 

   

 

 

 

Total futures contracts purchased

        9,361,158        1.14   
     

 

 

   

 

 

 

Futures Contracts Sold

       

Currencies

     3,507         6,207,281        0.76   

Energy

     880         804,857        0.10   

Grains

     1,425         (2,112,969     (0.26

Indices

     591         90,767        0.01   

Interest Rates U.S.

     699         (72,787     (0.01

Interest Rates Non-U.S.

     93         62,360        0.01   

Livestock

     211         35,660        0.00

Metals

     58         (38,740     (0.00 )* 

Softs

     550         1,351,198        0.16   
     

 

 

   

 

 

 

Total futures contracts sold

        6,327,627        0.77   
     

 

 

   

 

 

 

Unrealized Appreciation on Open Forward Contracts

       

Currencies

   $ 84,923,180         515,291        0.07   

Metals

     1,086         3,802,144        0.46   
     

 

 

   

 

 

 

Total unrealized appreciation on open forward contracts

        4,317,435        0.53   
     

 

 

   

 

 

 

Unrealized Depreciation on Open Forward Contracts

       

Currencies

   $     137,405,398         (279,763     (0.03

Metals

     869         (2,884,540     (0.35
     

 

 

   

 

 

 

Total unrealized depreciation on open forward contracts

        (3,164,303     (0.38
     

 

 

   

 

 

 

Options Purchased

       

Puts

       

Indices

     58         18,204        0.00
     

 

 

   

 

 

 

Total options purchased

        18,204        0.00
     

 

 

   

 

 

 

Options Premium Received

       

Puts

       

Indices

     58         (42,095     (0.01
     

 

 

   

 

 

 

Total options premium received

        (42,095     (0.01
     

 

 

   

 

 

 

Net fair value

      $     16,818,026        2.05
     

 

 

   

 

 

 

 

 

 

* Due to rounding.

 

9


Table of Contents

Abingdon Futures Fund L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

 

CMF Winton Master L.P.

Statements of Income and Expenses and Changes in Partners’ Capital

(Unaudited)

 

     Three Months Ended
March 31,
 
     2012     2011  

Investment Income:

    

Interest income

   $ 77,882      $ 203,136   
  

 

 

   

 

 

 

Expenses:

    

Clearing fees

     205,013        126,854   

Professional fees

     23,013        29,997   
  

 

 

   

 

 

 

Total expenses

     228,026        156,851   
  

 

 

   

 

 

 

Net investment income (loss)

     (150,144     46,285   
  

 

 

   

 

 

 

Trading results:

    

Net gains (losses) on trading of commodity interests:

    

Net realized gains (losses) on closed contracts

     12,454,683        34,373,975   

Change in net unrealized gains (losses) on open contracts

     (19,041,765     (12,139,443
  

 

 

   

 

 

 

Total trading results

     (6,587,082     22,234,532   
  

 

 

   

 

 

 

Net income (loss)

     (6,737,226     22,280,817   

Subscriptions — Limited Partners

     27,497,877        78,593,342   

Redemptions — Limited Partners

     (26,001,520     (46,304,471

Distribution of interest income to feeder funds

     (77,882     (203,136
  

 

 

   

 

 

 

Net increase (decrease) in Partners’ Capital

     (5,318,751     54,366,552   

Partners’ Capital, beginning of period

     822,273,776        883,719,871   
  

 

 

   

 

 

 

Partners’ Capital, end of period

   $ 816,955,025      $ 938,086,423   
  

 

 

   

 

 

 

Net asset value per unit
(333,515.3292 and 405,970.1565 units outstanding
at March 31, 2012 and 2011, respectively)

   $ 2,449.53      $ 2,310.73   
  

 

 

   

 

 

 

Net income (loss) per unit *

   $ (20.58   $ 56.42   
  

 

 

   

 

 

 

Weighted average units outstanding

     335,823.4025        404,074.2195   
  

 

 

   

 

 

 

 

 

 

* Based on changes in net asset value per unit.

 

10


Table of Contents

Abingdon Futures Fund L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

 

2. Financial Highlights:

Changes in the net asset value per unit for each Class for the three months ended March 31, 2012 and 2011 were as follows:

 

     Three Months Ended March 31,
     2012   2011
     Class A   Class D   Class Z   Class A

Net realized and unrealized gains (losses)*

     $ (23.05 )     $ (13.34 )     $ (11.26 )     $ 15.47  

Interest income allocated from Master

       0.09         0.09         0.09         0.23  

Expenses **

       (6.57 )       (5.72 )       (5.65 )       (7.84 )
    

 

 

     

 

 

     

 

 

     

 

 

 

Increase (decrease) for the period

       (29.53 )       (18.97 )       (16.82 )       7.86  

Net asset value per unit, beginning of period

       1,186.26         1,028.28         1,012.87         1,163.67  
    

 

 

     

 

 

     

 

 

     

 

 

 

Net asset value per unit, end of period

     $ 1,156.73       $ 1,009.31       $ 996.05       $ 1,171.53  
    

 

 

     

 

 

     

 

 

     

 

 

 

 

* Includes Partnership brokerage fees and clearing fees allocated from Master.

 

** Excludes Partnership brokerage fees and clearing fees allocated from Master.

 

     Three Months Ended March 31,
     2012   2011
     Class A   Class D   Class Z   Class A***

Ratios to Average Net Assets:****

                

Net investment income (loss)

       (7.0 )%       (4.2 )%       (3.7 )%       (7.6 )%

Incentive fees

       %       %       %       %
    

 

 

     

 

 

     

 

 

     

 

 

 

Net investment income (loss) before incentive fees *****

       (7.0 )%       (4.2 )%       (3.7 )%       (7.6 )%
    

 

 

     

 

 

     

 

 

     

 

 

 

Operating expenses

       7.0 %       4.2 %       3.7 %       7.7 %

Incentive fees

       %       %       %       %
    

 

 

     

 

 

     

 

 

     

 

 

 

Total expenses and incentive fees

       7.0 %       4.2 %       3.7 %       7.7 %
    

 

 

     

 

 

     

 

 

     

 

 

 

Total return:

                

Total return before incentive fees

       (2.5 )%       (1.8 )%       (1.7 )%       0.7 %

Incentive fees

       %       %       %       %
    

 

 

     

 

 

     

 

 

     

 

 

 

Total return after incentive fees

       (2.5 )%       (1.8 )%       (1.7 )%       0.7 %
    

 

 

     

 

 

     

 

 

     

 

 

 

 

*** The ratios are shown net and gross of incentive fees to conform to current period presentation.

 

**** Annualized (other than incentive fees).

 

***** Interest income allocated from Master less total expenses.

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

 

11


Table of Contents

Abingdon Futures Fund L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

 

Financial Highlights of the Master:

 

               Three Months Ended           
March 31,
 
             2012                     2011          

Net realized and unrealized gains (losses) *

   $ (20.74   $ 55.98   

Interest income

     0.23        0.51   

Expenses **

     (0.07     (0.07
  

 

 

   

 

 

 

Increase (decrease) for the period

     (20.58     56.42   

Distribution of interest income to feeder funds

     (0.23     (0.51

Net asset value per unit, beginning of period

     2,470.34        2,254.82   
  

 

 

   

 

 

 

Net asset value per unit, end of period

   $ 2,449.53      $ 2,310.73   
  

 

 

   

 

 

 

 

* Includes clearing fees.

 

** Excludes clearing fees.

 

     Three Months Ended
March 31,
 
         2012             2011      

Ratios to average net assets:***

    

Net investment income (loss)****

     (0.1)     0.0 %***** 
  

 

 

   

 

 

 

Operating expenses

     0.1     0.1
  

 

 

   

 

 

 

Total return

     (0.8)     2.5
  

 

 

   

 

 

 

 

*** Annualized.

 

**** 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 period. Additionally, these ratios are calculated for the limited partner class using the limited partners’ share of income, expenses and average net assets.

 

3. Trading Activities:

The Partnership was formed for the purpose of trading commodity interests, including derivative financial instruments and derivative commodity instruments. The Partnership invests substantially all of its assets through a “master-feeder” structure. The Partnership’s pro rata share of the results of the Master’s trading activities are shown in the Statements of Income and Expenses.

The customer agreements between the Partnership and CGM and the Master and CGM give the Partnership and the Master, respectively, the legal right to net unrealized gains and losses on open futures and open forward contracts. The Master nets, for financial reporting purposes, the unrealized gains and losses on open futures and open forward contracts on the Statements of Financial Condition as the criteria under Accounting Standards Codification (“ASC”) 210-20, “Balance Sheet”, have been met.

Brokerage fees are calculated as a percentage of the adjusted net asset value per class on the last day of each month and are affected by trading performance, subscriptions and redemptions.

All of the commodity interests owned by the Master are held for trading purposes. The monthly average number of futures contracts traded during the three months ended March 31, 2012 and 2011 were 42,996 and 18,745, respectively. The monthly average number of metals forward contracts traded during the three months ended March 31, 2012 and 2011 were 2,629 and 1,140, respectively. The monthly average notional values of currency forward contracts during the three months ended March 31, 2012 and 2011 were $454,770,826 and $157,423,912, respectively. The monthly average number of options contracts traded during the three months ended March 31, 2012 and 2011 were 177 and 162, respectively.

 

12


Table of Contents

Abingdon Futures Fund L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

 

The following tables indicate the gross fair values of derivative instruments of futures, forward and options contracts as separate assets and liabilities as of March 31, 2012 and December 31, 2011.

 

      March 31, 2012   

Assets

  

Futures Contracts

  

Currencies

   $ 1,598,377   

Energy

     2,096,332   

Grains

     2,247,072   

Indices

     8,824,738   

Interest Rates U.S.

     296,138   

Interest Rates Non-U.S.

     2,639,229   

Livestock

     880,058   

Metals

     461,142   

Softs

     699,318   
  

 

 

 

Total unrealized appreciation on open futures contracts

   $ 19,742,404   
  

 

 

 

Liabilities

  

Futures Contracts

  

Currencies

   $ (5,694,748

Energy

     (4,279,751

Grains

     (1,097,991

Indices

     (4,109,001

Interest Rates U.S.

     (1,734,970

Interest Rates Non-U.S.

     (838,758

Livestock

     (52,650

Metals

     (693,640

Softs

     (455,333
  

 

 

 

Total unrealized depreciation on open futures contracts

   $ (18,956,842
  

 

 

 

Net unrealized appreciation on open futures contracts

   $ 785,562
  

 

 

 
      March 31, 2012   

Assets

  

Forward Contracts

  

Currencies

   $ 428,572   

Metals

     2,616,285   
  

 

 

 

Total unrealized appreciation on open forward contracts

   $ 3,044,857   
  

 

 

 

Liabilities

  

Forward Contracts

  

Currencies

   $ (1,322,952

Metals

     (4,701,065
  

 

 

 

Total unrealized depreciation on open forward contracts

   $ (6,024,017
  

 

 

 

Net unrealized depreciation on open forward contracts

  
   $ (2,979,160 )** 
  

 

 

 

Assets

  

Options Purchased

  

Indices

   $ 29,324   
  

 

 

 

Total options purchased

   $ 29,324 *** 
  

 

 

 

Liabilities

  

Options Premium Received

  

Indices

   $ (71,100
  

 

 

 

Total options premium received

   $ (71,100 )**** 
  

 

 

 
  

 

 

 

* This amount is in “Net unrealized appreciation on open futures contracts” on the Master’s Statements of Financial Condition.

 

** This amount is in “Net unrealized depreciation on open forward contracts” on the Master’s Statements of Financial Condition.

 

*** This amount is in “Options purchased, at fair value” on the Master’s Statements of Financial Condition.

 

**** This amount is in “Options premium received, at fair value” on the Master’s Statements of Financial Condition.

 

13


Table of Contents

Abingdon Futures Fund L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

 

     December 31, 2011  

Assets

  

Futures Contracts

  

Currencies

   $ 8,917,759   

Energy

     1,944,705   

Grains

     393,448   

Indices

     1,087,634   

Interest Rates U.S.

     2,552,715   

Interest Rates Non-U.S.

     8,108,532   

Livestock

     79,405   

Metals

     29,367   

Softs

     1,411,748   
  

 

 

 

Total unrealized appreciation on open futures contracts

   $ 24,525,313   
  

 

 

 

Liabilities

  

Futures Contracts

  

Currencies

   $ (394,318

Energy

     (1,029,666

Grains

     (2,468,441

Indices

     (306,473

Interest Rates U.S.

     (520,918

Interest Rates Non-U.S.

     (357,839

Livestock

     (272,765

Metals

     (3,194,967

Softs

     (291,141
  

 

 

 

Total unrealized depreciation on open futures contracts

   $ (8,836,528
  

 

 

 

Net unrealized appreciation on open futures contracts

   $ 15,688,785
  

 

 

 

Assets

  

Forward Contracts

  

Currencies

   $ 515,291   

Metals

     3,802,144   
  

 

 

 

Total unrealized appreciation on open forward contracts

   $ 4,317,435   
  

 

 

 

Liabilities

  

Forward Contracts

  

Currencies

   $ (279,763

Metals

     (2,884,540
  

 

 

 

Total unrealized depreciation on open forward contracts

   $ (3,164,303
  

 

 

 

Net unrealized appreciation on open forward contracts

   $ 1,153,132 ** 
  

 

 

 

Assets

  

Options Purchased

  

Indices

   $ 18,204   
  

 

 

 

Total options purchased

   $ 18,204 *** 
  

 

 

 

Liabilities

  

Options Premium Received

  

Indices

   $ (42,095
  

 

 

 

Total options premium received

   $ (42,095 )**** 
  

 

 

 

 

     * This amount is in “Net unrealized appreciation on open futures contracts” on the Master’s Statements of Financial Condition.

 

   ** This amount is in “Net unrealized appreciation on open forward contracts” on the Master’s Statements of Financial Condition.

 

  *** This amount is in “Options purchased, at fair value” on the Master’s Statements of Financial Condition.

 

**** This amount is in “Options premium received, at fair value” on the Master’s Statements of Financial Condition.

 

14


Table of Contents

Abingdon Futures Fund L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

 

The following tables indicate the trading gains and losses, by market sector, on derivative instruments for the three months ended March 31, 2012 and 2011.

 

       Three Months Ended
March 31,
 

Sector

     2012     2011  

Currencies

     $ (29,151,341   $ (849,368 )  

Energy

       13,438,894        13,818,350   

Grains

       (2,135,903    
1,224,065
  

Indices

       25,484,548       
5,485,757
  

Interest Rates U.S.

       (6,233,232     (4,086,218

Interest Rates Non-U.S.

       621,338       
261,695
  

Livestock

       515,618        208,880   

Metals

       (6,440,822     2,777,281   

Softs

       (2,686,182     3,394,090   
    

 

 

   

 

 

 

Total

     $ (6,587,082 )*****    $ 22,234,532 ***** 
    

 

 

   

 

 

 

 

 

 

***** This amount is in “Total trading results” on the Master’s Statements of Income and Expenses.

 

15


Table of Contents

Abingdon Futures Fund L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

 

4. Fair Value Measurements:

Partnership’s Investments. The Partnership values its investment in the Master at its net asset value per unit per class calculated by the Master. The Master values its investments as described in Note 2 of the Master’s notes to the annual financial statements as of December 31, 2011.

Partnership’s Fair Value Measurements. Fair value is defined 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 under current market conditions. 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.

GAAP also requires the use of judgment in determining if a formerly active market has become inactive and in determining fair values when the market has become inactive. The General Partner has concluded that based on available information in the marketplace, there has not been a significant decrease in the volume and level of activity in the Partnership’s Level 2 assets and liabilities.

The Partnership will separately present purchases, sales, issuances and settlements in its reconciliation of Level 3 fair value measurements (i.e., to present such items on a gross basis rather than on a net basis), and make disclosures 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 as required under GAAP.

Effective January 1, 2012, the Partnership adopted Accounting Standards Update (“ASU”) 2011-04, “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in GAAP and International Financial Reporting Standards” (“IFRS”). The amendments within this ASU change the wording used to describe many of the requirements in GAAP for measuring fair value and for disclosing information about fair value measurements to eliminate unnecessary wording differences between GAAP and IFRS. However, some of the amendments clarify FASB’s intent about the application of existing fair value measurement requirements and other amendments change a particular principle or requirement for measuring fair value or for disclosing information about fair value measurements. This new guidance did not have a significant impact on the Partnership’s financial statements.

The Partnership values its investment in the Master with no rights or obligations inherent within the ownership interest held by the Partnership based on the end of the day net asset value of the Master (Level 2). The value of the Partnership’s investment in the Master reflects its proportional interest in the Master. As of and for the periods ended March 31, 2012 and December 31, 2011, the Partnership did not hold any derivative instruments that were based on unadjusted quoted prices in active markets for identical assets and liabilities (Level 1) or priced at fair value using unobservable inputs through the application of the General Partner’s assumptions and internal valuation pricing models (Level 3). There were no transfers of assets and liabilities between Level 1 and Level 2 during the quarter ended March 31, 2012.

 

     March 31, 2012     Quoted Prices
in Active Markets
for Identical
Assets and
Liabilities
(Level 1)
     Significant Other
Observable Inputs

(Level 2)
     Significant
Unobservable
Inputs (Level 3)
 
Assets           

Investment in Master

   $ 246,675,011      $       $ 246,675,011       $   
  

 

 

   

 

 

    

 

 

    

 

 

 

Net fair value

   $ 246,675,011      $       $ 246,675,011       $   
  

 

 

   

 

 

    

 

 

    

 

 

 
     December 31, 2011     Quoted Prices
in Active Markets
for Identical
Assets and
Liabilities

(Level 1)
     Significant Other
Observable Inputs
(Level 2)
     Significant
Unobservable
Inputs (Level 3)
 
Assets           

Investment in Master

   $ 239,855,276      $       $ 239,855,276       $   
  

 

 

   

 

 

    

 

 

    

 

 

 

Net fair value

   $ 239,855,276      $       $ 239,855,276       $   
  

 

 

   

 

 

    

 

 

    

 

 

 

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

 

16


Table of Contents

Abingdon Futures Fund L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

 

Master’s Fair Value Measurements. Fair value is defined 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 under current market conditions. 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. Management has concluded that based on available information in the marketplace, the Master’s Level 1 assets and liabilities are actively traded.

GAAP also requires the use of judgment in determining if a formerly active market has become inactive and in determining fair values when the market has become inactive. Management has concluded that based on available information in the marketplace, there has not been a significant decrease in the volume and level of activity in the Master’s Level 2 assets and liabilities.

The Master will separately present purchases, sales, issuances and settlements in its reconciliation of Level 3 fair value measurements (i.e., to present such items on a gross basis rather than on a net basis), and make disclosures 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 as required under GAAP.

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 and liabilities (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 and liabilities from observable inputs (Level 2). As of and for the periods ended March 31, 2012 and December 31, 2011, the Master did not hold any derivative instruments that were priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3). During the period January 1, 2012 to March 31, 2012, there were no Level 3 assets and liabilities, and there were no transfers of assets or liabilities between Level 1 and Level 2.

 

     March 31,
2012
    Quoted Prices in
Active Markets for
Identical Assets
and Liabilities

(Level 1)
    Significant Other
Observable Inputs

(Level 2)
    Significant
Unobservable
Inputs

(Level 3)
 
Assets         

Futures

   $ 19,742,404      $ 19,742,404      $      $   

Forwards

     3,044,857        2,616,285        428,572          

Options purchased

     29,324        29,324                 
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Assets

     22,816,585        22,388,013        428,572          
  

 

 

   

 

 

   

 

 

   

 

 

 
Liabilities         

Futures

   $ 18,956,842      $ 18,956,842      $      $   

Forwards

     6,024,017        4,701,065        1,322,952          

Options premium received

     71,100        71,100                 
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Liabilities

     25,051,959        23,729,007        1,322,952          
  

 

 

   

 

 

   

 

 

   

 

 

 

Net fair value

   $ (2,235,374   $ (1,340,994   $ (894,380   $   
  

 

 

   

 

 

   

 

 

   

 

 

 
        
      December 31,
2011
    Quoted Prices
in Active
Markets for
Identical Assets
and Liabilities

(Level 1)
    Significant
Other
Observable
Inputs
(Level 2)
    Significant
Unobservable
Inputs
(Level 3)
 
Assets         

Futures

   $ 24,525,313      $ 24,525,313      $      $   

Forwards

     4,317,435        3,802,144        515,291          

Options purchased

     18,204        18,204                 
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Assets

     28,860,952        28,345,661        515,291          
  

 

 

   

 

 

   

 

 

   

 

 

 
Liabilities         

Futures

   $ 8,836,528      $ 8,836,528      $      $   

Forwards

     3,164,303        2,884,540        279,763          

Options premium received

     42,095        42,095                 
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Liabilities

     12,042,926        11,763,163        279,763          
  

 

 

   

 

 

   

 

 

   

 

 

 

Net fair value

   $ 16,818,026      $ 16,582,498      $ 235,528      $   
  

 

 

   

 

 

   

 

 

   

 

 

 

 

5. Financial Instrument Risks:

In the normal course of business, the Partnership, through its investment in the Master, is party to financial instruments with off-balance sheet risk, including derivative financial instruments and derivative commodity instruments. These financial instruments may include forwards, futures, options and swaps, whose values are based upon an underlying asset, index, or reference rate, and generally represent future commitments to exchange currencies or cash balances, or to purchase or sell other financial instruments at specific terms at specified future dates, or, in the case of derivative commodity instruments, to have a reasonable possibility to be settled in cash, through physical delivery or with another financial instrument. These instruments may be traded on an exchange or over-the-counter (“OTC”). Exchange-traded instruments are standardized and include futures and certain forward and option contracts. OTC contracts are negotiated between contracting parties and include forwards, swaps and option contracts. Specific market movements of commodities or futures contracts underlying an option cannot accurately be predicted. The purchaser of an option may lose the entire premium paid for the option. The writer or seller of an option has unlimited risk. Each of these instruments is subject to various risks similar to those relating to the underlying financial instrument 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. The General Partner estimates that at any given time approximately 7.4% to 17.7% of the Partnership’s/Master’s contracts are traded OTC.

The risk to the limited partners that have purchased Redeemable Units is limited to the amount of their share of the Partnership’s net assets and undistributed profits. This limited liability is a result of the organization of the Partnership as a limited partnership under New York law.

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

 

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Abingdon Futures Fund L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

 

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

As both a buyer and seller of options, the Master pays or receives a premium at the outset and then bears the risk of unfavorable changes in the price of the contract underlying the option. Written options expose the Master to potentially unlimited liability; for purchased options, the risk of loss is limited to the premiums paid. Certain written put options permit cash settlement and do not require the option holder to own the reference asset. The Master does not consider these contracts to be guarantees.

The General Partner monitors and attempts to control the Partnership’s/Master’s risk exposure on a daily basis through financial, credit and risk management monitoring systems, and accordingly, believes that it has effective procedures for evaluating and limiting the credit and market risks to which the Partnership/Master may be subject. These monitoring systems generally allow the General Partner to statistically analyze actual trading results with risk adjusted performance indicators and correlation statistics. In addition, online 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 financial instruments mature within one year of the inception date. However, due to the nature of the Partnership’s/Master’s business, these instruments may not be held to maturity.

 

6. Critical Accounting Policies:

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

Partnership’s Investments. The Partnership values its investment in the Master at its net asset value per unit per Class as calculated by the Master. The Master values its investments as described in Note 2 of the Master’s notes to the annual financial statements as of December 31, 2011.

Partnership’s and the Master’s Fair Value Measurements. Fair value is defined 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 under current market conditions. 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. Management has concluded that based on available information in the marketplace, the Master’s Level 1 assets and liabilities are actively traded.

GAAP also requires 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. Management has concluded that based on available information in the marketplace, there has not been a significant decrease in the volume and level of activity in the Partnership’s and the Master’s Level 2 assets and liabilities.

The Partnership and the Master will separately present purchases, sales, issuances and settlements in its reconciliation of Level 3 fair value measurements (i.e., to present such items on a gross basis rather than on a net basis), and make disclosures 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 as required under GAAP.

The Partnership values investments in the Master with no rights or obligations inherent within the ownership interest held by the Partnership based on the end of the day net asset value of the Master (Level 2). The value of the Partnership’s investment in the Master reflects its proportional interest in the Master. As of and for the periods ended March 31, 2012 and December 31, 2011, the Partnership did not hold any derivative instruments that were based on unadjusted quoted prices in active markets for identical assets and liabilities (Level 1) or priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3).

The Master considers prices for exchange-traded commodity futures, forwards and options contracts to be based on unadjusted quoted prices in active markets for identical assets and liabilities (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 and liabilities from observable inputs (Level 2). As of and for the periods ended March 31, 2012 and December 31, 2011, the Master did not hold any derivative instruments that were priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3).

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. 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. Net realized gains (losses) and changes in net unrealized gains (losses) on futures contracts are included in the Statements of Income and Expenses and Changes in Partners’ Capital.

 

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Table of Contents

Abingdon Futures Fund L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

 

Forward Foreign Currency Contracts. Forward 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. Forward foreign currency contracts are valued daily, and the Master’s net equity therein, representing unrealized gain or loss on the contracts as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward rates at the reporting date, is included in the Statements of Financial Condition. Net realized gains (losses) and changes in net unrealized gains (losses) on forward foreign currency contracts are recognized in the period in which the contract is closed or the changes occur, respectively, and are included in the Statements of Income and Expenses and Changes in Partners’ Capital.

The Master does not isolate the portion of the results of operations arising from the effect of changes in foreign exchange rates on investments from fluctuations from changes in market prices of investments held. Such fluctuations are included in net gain (loss) on investments in the Statements of Income and Expenses and Changes in Partners’ Capital.

London Metals Exchange Forward Contracts. Metal contracts traded on the London Metals Exchange (“LME”) represent a firm commitment to buy or sell a specified quantity of aluminum, copper, lead, nickel, tin or zinc. LME contracts traded by the 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 a like number of short positions settling on the same prompt date. 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. 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. Net realized gains (losses) and changes in net unrealized gains (losses) on metal contracts are included in the Statements of Income and Expenses and Changes in Partners’ Capital.

Options. The Master may purchase and write (sell) both exchange-listed and OTC 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. Net realized gains (losses) and changes in net unrealized gains (losses) on options contracts are included in the Statements of Income and Expenses and Changes in Partners’ Capital.

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

GAAP provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements and requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Partnership’s financial statements to determine whether the tax positions are “more-likely-than-not” to be sustained by the applicable tax authority. Tax positions with respect to tax at the Partnership level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. The General Partner concluded that no provision for income tax is required in the Partnership’s financial statements.

The Partnership files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The 2008 through 2011 tax years remain subject to examination by U.S. federal and most state tax authorities. The General Partner does not believe that there are any uncertain tax positions that require recognition of a tax liability.

Subsequent Events. The General Partner evaluates events that occur after the balance sheet date but before financial statements are filed. The General Partner has assessed the subsequent events through the date of filing and has determined that there were no subsequent events requiring adjustment of or disclosure in the financial statements.

Recent Accounting Pronouncements. In October 2011, FASB issued a proposed ASU intended to improve and converge financial reporting by setting forth consistent criteria for determining whether an entity is an investment company. Under longstanding GAAP, investment companies carry all of their investments at fair value, even if they hold a controlling interest in another company. The primary changes being proposed by FASB relate to which entities would be considered investment companies as well as certain disclosure and presentation requirements. In addition to the changes to the criteria for determining whether an entity is an investment company, FASB also proposes that an investment company consolidate another investment company if it holds a controlling financial interest in the entity. The Partnership will evaluate the impact that this proposed update would have on the financial statements once the pronouncement is issued.

In December 2011, FASB issued ASU 2011-11, “Disclosures about Offsetting Assets and Liabilities” which creates a new disclosure requirement about the nature of an entity’s rights of setoff and the related arrangements associated with its financial instruments and derivative instruments. Entities are required to disclose both gross information and net information about both instruments and transactions eligible for offset in the statement of financial position and instruments and transactions subject to an agreement similar to a master netting arrangement. The objective of this disclosure is to facilitate comparison between those entities that prepare their financial statements on the basis of GAAP and those entities that prepare their financial statements on the basis of IFRS. The disclosure requirements are effective for annual reporting periods beginning on or after January 1, 2013, and interim periods within those annual periods. The Partnership should also provide the disclosures retrospectively for all comparative periods presented. The Partnership is currently evaluating the impact that the pronouncement would have on the financial statements.

Net Income (Loss) per unit. Net income (loss) per unit for each Class is calculated in accordance with investment company guidance. See Note 2 “Financial Highlights.”

 

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Table of Contents

Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations.

Liquidity and Capital Resources

The Partnership does not engage in sales of goods or services. Its only assets are its investment in the Master and cash. The Master does not engage in sales of goods or services. The Master’s only assets are its equity in its trading accounts, consisting of cash and cash equivalents, net unrealized appreciation on open futures contracts, net unrealized appreciation on forward contracts and options. Because of the low margin deposits normally required in commodity futures trading, relatively small price movements may result in substantial losses to the Partnership, through its investment in the Master. While substantial losses could lead to a material decrease in liquidity, no such illiquidity occurred in the first quarter of 2012.

The Partnership’s capital consists of capital contributions, as increased or decreased by income (loss) from its investment in the Master, expenses, interest income, subscriptions, redemptions of Redeemable Units and distributions of profits, if any. For the three months ended March 31, 2012, Partnership capital increased 2.3% from $237,068,136 to $242,446,672. This increase was attributable to subscriptions of 14,697.9048 Redeemable Units of Class A totaling $17,453,303 and subscriptions of 130.2704 Redeemable Units of Class Z totaling $131,947 and 296.1881 General Partner unit equivalents of Class Z totaling $300,000. This increase was partially offset by the redemptions of 5,398.1495 Redeemable Units of Class A totaling $6,336,598 coupled with the net loss from operations of $6,170,116. Future redemptions can impact the amount of funds available for investment in the Master in subsequent periods.

The Master’s capital consists of the capital contributions of the partners as increased or decreased by gains or losses on trading and by expenses, interest income, redemptions of units and distributions of profits, if any.

For the three months ended March 31, 2012, the Master’s capital decreased 0.6% from $822,273,776 to $816,955,025. This decrease was attributable to redemptions of 10,432.9324 units totaling $26,001,520, coupled with the net loss from operations of $6,737,226 and distribution of interest income to feeder funds totaling $77,882, which was partially offset by subscriptions of 11,089.5333 units totaling $27,497,877. Future redemptions can impact the amount of funds available for investment in commodity contract positions in subsequent periods.

Critical Accounting Policies

The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expense during the reporting period. Management believes that the estimates and assumptions utilized in preparing the financial statements are reasonable. Actual results could differ from those estimates. The Partnership’s significant accounting policies are described in detail in Note 6 of the Financial Statements.

The Partnership records all investments at fair value in its financial statements, with changes in fair value reported as a component of net realized gains (losses) and change in net unrealized gains (losses) in the Statements of Income and Expenses.

 

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Table of Contents

Results of Operations

During the Partnership’s first quarter of 2012, the net asset value per unit for Class A decreased 2.5% from $1,186.26 to $1,156.73 as compared to an increase of 0.7% in the first quarter of 2011. During the Partnership’s first quarter of 2012, the net asset value per unit for Class D decreased 1.8% from $1,028.28 to $1,009.31. During the Partnership’s first quarter of 2012, the net asset value per unit for Class Z decreased 1.7% from $1,012.87 to $996.05. Class D and Class Z units were not offered by the Partnership in the first quarter of 2011. The Partnership, through its investment in the Master, experienced a net trading loss before brokerage fees and related fees in the first quarter of 2012 of $2,069,355. Losses were primarily attributable to the Master’s trading of commodity futures in currencies, grains, U.S. interest rates, metals and softs and were partially offset by gains in energy, indices, livestock and non-U.S. interest rates. The Partnership, through its investment in the Master, experienced a net trading gain before brokerage fees and related fees in the first quarter of 2011 of $4,335,836. Gains were primarily attributable to the Master’s trading of commodity futures in energy, grains, non-U.S. interest rates, livestock, metals, softs and indices and were partially offset by losses in currencies and U.S. interest rates.

The most significant losses were incurred within the currency markets during February from short positions in the euro versus the U.S. dollar as the value of the euro rose on optimism Greece would receive a second bailout. Additional losses were recorded in this sector during February from long positions in the Japanese yen versus the U.S. dollar as the value of the Japanese yen declined amid an investor shift into riskier currency assets. Within the metals, losses were experienced primarily in January from short positions in aluminum and copper futures as prices advanced on speculation metals demand will be supported by economic expansion in the U.S. and an easing credit policy in China. Smaller losses were incurred in this sector during February and March. Meanwhile, losses were incurred within the global interest rate sector during February and March from long positions in U.S. fixed-income futures as prices fell amid optimism that Greece would receive a second bailout and after the U.S. Federal Reserve upwardly revised the U.S. economic outlook. Additional losses were recorded within the agricultural complex during January and February from long positions in coffee futures as prices fell amid increased stockpiles.

A portion of the Partnership’s losses for the quarter was offset by gains recorded within the global stock index sector during January and February from long positions in U.S., Japanese, and European equity index futures as prices were buoyed by better-than-expected economic reports in these regions. Prices also rose after China cut banks’ reserve requirements to fuel lending and the U.S. Federal Reserve Board raised its assessment of the U.S. economy. Additional gains were recorded in this sector during March. Within the energy markets, gains were recorded during January and March from short positions in natural gas futures as prices dropped amid ample inventories and mild weather across the U.S. Additional gains were experienced during February from long futures positions in Brent crude, RBOB (unleaded) gasoline, and gas oil as prices increased on concerns over inventory levels and rising tensions in the Middle East.

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

 

21


Table of Contents

Interest income on 80% of the Partnership’s average daily equity allocated to it by the Master was earned at a 30-day U.S. Treasury bill rate determined weekly by CGM based on the average non-competitive yield on 3-month U.S. Treasury bills maturing in 30 days. Interest income allocated from the Master for the three months ended March 31, 2012 decreased by $13,907, as compared to the corresponding period in 2011. The decrease in interest income is primarily due to lower U.S. Treasury bill rates during the three months ended March 31, 2012 as compared to the corresponding period in 2011. 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 n the Master’s account and upon interest rates over which the Partnership, the Master and CGM have no control.

Brokerage fees are calculated as a percentage of the Partnership’s adjusted net asset value on the last day of each month and are affected by trading performance, subscriptions and redemptions. Accordingly, they must be analyzed in relation to the fluctuations in the monthly net asset values. Brokerage fees for the three months ended March 31, 2012 increased by $673,737, as compared to the corresponding period in 2011. The increase in brokerage fees is due to higher average net assets during the three months ended March 31, 2012, as compared to the corresponding period in 2011.

Management fees are calculated as a percentage of the Partnership’s net asset value as of the end of each month and are affected by trading performance, subscriptions and redemptions. Management fees for the three months ended March 31, 2012 increased by $35,783, as compared to the corresponding period in 2011. The increase in management fees is due to higher average net assets during the three months ended March 31, 2012, as compared to the corresponding period in 2011.

Administrative fees are paid to the General Partner for administering the business and affairs of the Partnership. These fees are calculated as a percentage of the Partnership’s net asset value as of the end of each month and are affected by trading performance, subscriptions and redemptions. Administrative fees for the three months ended March 31, 2012 increased by $86,008, as compared to the corresponding period in 2011. The increase in administrative fees is due to higher average net assets during the three months ended March 31, 2012, as compared to the corresponding period in 2011.

Incentive fees paid by the Partnership are based on the new trading profits generated by the Advisor at the end of the quarter, as defined in the management agreements among the Partnership, the General Partner and the Advisor. There were no incentive fees for the three months ended March 31, 2012 and 2011. The Advisor will not be paid incentive fees until the Advisor recovers the net loss incurred and earns additional new trading profits for the Partnership.

In allocating substantially all of the assets of the Partnership to the Master, the General Partner considers the Advisor’s past performance, trading style, volatility of markets traded and fee requirements. The General Partner may modify or terminate the allocation of assets to the Advisor at any time.

 

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Table of Contents

Item 3. Quantitative and Qualitative Disclosures about Market Risk

All of the Partnership’s assets are subject to the risk of trading loss through its investment in the Master. The Master is a speculative commodity pool. The market sensitive instruments held by the Master are acquired for speculative trading purposes, and all or substantially all of the Partnership’s assets are subject to the risk of trading loss through its investment in the Master. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Master’s and the Partnership’s main line of business.

The limited partners will not be liable for losses exceeding the current net asset value of their investment.

Market movements result in frequent changes in the fair value of the Master’s open positions and, consequently, in its earnings and cash flow. The Master’s market risk is influenced by a wide variety of factors, including the level and volatility of interest rates, exchange rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Master’s open contracts and the liquidity of the markets in which it trades.

The Master rapidly acquires and liquidates both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the Master’s past performance is not necessarily indicative of its future results.

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

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

Value at Risk tables represent a probabilistic assessment of the risk of loss in market risk sensitive instruments. The following tables indicate the trading Value at Risk associated with the Master’s open positions by market category as of March 31, 2012 and December 31, 2011, and the highest, lowest and average values during the three months ended March 31, 2012 and for the twelve months ended December 31, 2011. All open position trading risk exposures of the Master have been included in calculating the figures set forth below. There has been no material change in the trading Value at Risk information previously disclosed in the Partnership’s Annual Report on Form 10-K for the year ended December 31, 2011.

As of March 31, 2012, the Master’s total capitalization was $816,955,025 and the Partnership owned approximately 30.2% of the Master. The Partnership invests substantially all of its assets in the Master. The Master’s Value at Risk as of March 31, 2012 was as follows:

March 31, 2012

 

                  Three Months ended March 31, 2012  

Market Sector

   Value at Risk      % of Total
Capitalization
    High
Value at Risk
     Low
Value at  Risk
     Average
Value at Risk*
 

Currencies

   $ 32,770,243         4.01   $ 34,270,494       $ 8,078,809       $ 30,155,496   

Energy

     10,850,962         1.33     11,050,143         2,085,790         8,719,757   

Grains

     2,361,564         0.29     4,371,245         1,505,551         3,030,813   

Indices

     23,591,477         2.89     30,512,453         8,217,059         23,631,762   

Interest Rates U.S.

     3,822,340         0.47     10,629,550         539,209         6,638,528   

Interest Rates Non-U.S.

     11,844,253         1.44     21,596,400         3,615,228         14,305,649   

Livestock

     451,200         0.06     451,200         44,375         401,100   

Lumber

     19,500         0.00 %**      21,000         1,500         13,000   

Metals

     6,863,837         0.84     9,553,925         6,413,729         7,630,585   

Softs

     1,859,527         0.23     2,551,922         463,289         1,919,370   
  

 

 

    

 

 

         

Total

   $ 94,434,903         11.56        
  

 

 

    

 

 

         

  * Average of month-end Values at Risk.

** Due to rounding.

 

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Table of Contents

As of December 31, 2011, the Master’s total capitalization was $822,273,776 and the Partnership owned approximately 29.2% of the Master. The Partnership invests substaintially all of its assets in the Master. The Master’s Value at Risk as of December 31, 2011 was as follows:

December 31, 2011

 

                   Twelve Months Ended December 31, 2011  

Market Sector

   Value at Risk      % of Total
Capitalization
    High
Value at Risk
     Low
Value at
Risk
     Average
Value  at

Risk*
 

Currencies

   $ 19,312,483         2.35   $ 19,312,483       $ 6,398,762       $ 12,470,587   

Energy

     1,525,274         0.19     4,524,046         1,245,529         2,842,674   

Grains

     2,535,708         0.31     4,371,245         540,481         2,326,464   

Indices

     6,526,149         0.79     17,629,694         3,776,392         10,297,535   

Interest Rates U.S.

     5,466,250         0.67     8,976,950         539,209         4,614,681   

Interest Rates Non-U.S.

     12,924,419         1.57     15,134,879         2,448,536         8,402,040   

Livestock

     262,550         0.03     340,400         42,650         213,377   

Metals

     6,253,557         0.76     7,869,347         3,994,864         5,990,862   

Softs

     1,583,804         0.19     2,456,982         329,218         1,207,483   
  

 

 

    

 

 

         

Total

   $ 56,390,194         6.86        
  

 

 

    

 

 

         

 

 

* Annual average of month-end Value at Risk.

 

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Item 4. Controls and Procedures

The Partnership’s disclosure controls and procedures are designed to ensure that information required to be disclosed by the Partnership on the reports that it files or submits under the Securities Exchange Act of 1934, as amended (the “Exchange Act”), is recorded, processed, summarized and reported within the time periods expected in the SEC’s rules and forms. Disclosure controls and procedures include controls and procedures designed to ensure that information required to be disclosed by the Partnership in the reports it files is accumulated and communicated to management, including the Chief Executive Officer (“CEO”) and Chief Financial Officer (“CFO”) of the General Partner, to allow for timely decisions regarding required disclosure and appropriate SEC filings.

The General Partner is responsible for ensuring that there is an adequate and effective process for establishing, maintaining and evaluating disclosure controls and procedures for the Partnership’s external disclosures.

The General Partner’s CEO and CFO have evaluated the effectiveness of the Partnership’s disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the Exchange Act) as of March 31, 2012 and, based on that evaluation, the General Partner’s CEO and CFO have concluded that, at that date, the Partnership’s disclosure controls and procedures were effective.

The Partnership’s internal control over financial reporting is a process under the supervision of the General Partner’s CEO and CFO to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements in accordance with GAAP. These controls include policies and procedures that:

 

   

pertain to the maintenance of records, that in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the Partnership;

 

   

provide reasonable assurance that (i) transactions are recorded as necessary to permit preparation of financial statements in accordance with GAAP, and (ii) the Partnership’s receipts are handled and expenditures are made only pursuant to authorizations of the General Partner; and

 

   

provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of the Partnership’s assets that could have a material effect on the financial statements.

There were no changes in the Partnership’s internal control over financial reporting during the fiscal quarter ended March 31, 2012 that materially affected, or are reasonably likely to materially affect, the Partnership’s internal control over financial reporting.

 

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Table of Contents

PART II. OTHER INFORMATION

Item 1. Legal Proceedings

The following information supplements and amends the discussion set forth under Part I, Item 3. “Legal Proceedings” in the Partnership’s Annual Report on Form 10-K for the fiscal year ended December 31, 2011. There are no material legal proceedings pending against the Partnership and the General Partner.

Subprime Mortgage-Related Litigation and Other Matters

On March 15, 2012, the United States Court of Appeals for the Second Circuit granted a stay of the district court proceedings pending resolution of the appeals in SEC v. CGMI. Additional information relating to this matter is publicly available in court filings under docket numbers 11 Civ. 7387 (S.D.N.Y.) (Rakoff, J.) and 11-5227 (2d Cir.).

 

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Table of Contents

Item 1A. Risk Factors

There have been no material changes to the risk factors set forth under Part I, Item 1A. “Risk Factors” in the Partnership’s Annual Report on Form 10-K for the fiscal year ended December 31, 2011.

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds

For the three months ended March 31, 2012, there were subscriptions of 14,697.9048 Redeemable Units of Class A totaling $17,453,303, subscriptions of 130.2704 Redeemable Units of Class Z totaling $131,947 and 296.1881 General Partner unit equivalents of Class Z totaling $300,000. 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 promulgated thereunder. The Redeemable Units were purchased by accredited investors as defined in Regulation D. In determining the applicability of the exemption the General Partner relied on the fact that the Redeemable units were purchased by accredited investors in a private offering.

Proceeds of net offering were used for the trading of commodity interests, including futures contracts, options and forwards contracts.

The following chart sets forth the purchases of Redeemable Units by the Partnership.

 

Period   

(a) Total Class A

of Number of

Redeemable

Units Purchased*

    

(b) Class A

Average
Price Paid per
Redeemable Unit**

    

 

(c) Total Number
Redeemable Units
Purchased as Part

of Publicly

Announced

Plans or Programs

    

(d) Maximum Number

(or Approximate

Dollar Value) of

Redeemable Units

that May Yet Be

Purchased Under the

Plans or Programs

January 1, 2012 -

January 31, 2012

     2,025.0439         $1,195.92         N/A       N/A

February 1, 2012 -

February 29, 2012

     763.1491         $1,173.81         N/A       N/A

March 1, 2012 -

March 31, 2012

     2,609.9565         $1,156.73         N/A       N/A
       5,398.1495         $1,173.85                 

* Generally, limited partners are permitted to redeem their Redeemable Units as of the end of each month on three business 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 Partnership’s business in connection with effecting redemptions for limited partners.

** Redemptions of Redeemable Units are effected as of the last day of each month at the net asset value per Redeemable Unit as of that day.

Item 3. Defaults Upon Senior Securities – None

Item 4. Mine Safety Disclosures – None

Item 5. Other Information – None

 

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Table of Contents

Item 6. Exhibits

 

  3.1

  (a)    Certificate of Limited Partnership of the Partnership as filed in the office of the Secretary of State of the State of New York, dated November 1, 2005 (filed as Exhibit 3.1 to the Registration on Form 10-12G filed on April 30, 2008 and incorporated herein by reference).
  (b)    Certificate of Amendment to the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated September 19, 2008 (filed as Exhibit 3.1(b) to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference).
  (c)    Certificate of Amendment to the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated September 28, 2009 (filed as Exhibit 99.1 to the Form 8-K filed on September 29, 2009 and incorporated herein by reference).
  (d)    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 June 29, 2010 (filed as Exhibit 3.1(d) to the Form 8-K filed on June 30, 2010 and incorporated herein by reference).
  (e)    Certificate of Amendment to Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated September 2, 2011 (filed as Exhibit 3.1 to the Form 8-K filed on September 7, 2011 and incorporated herein by reference).

  3.2

  (a)    Third Amended and Restated Agreement of Limited Partnership, dated March 1, 2011 (filed as Exhibit 3.3(a) to the Form 10-Q filed on May 16, 2011 and incorporated herein by reference).

10.1

     Customer Agreement between the Partnership, the General Partner and CGM, dated April 29, 2008 (filed as Exhibit 10.2 to the Registration on Form 10-12G filed on April 30, 2008 and incorporated herein by reference).

10.2

  (a)    Amended and Restated Management Agreement between the Partnership, the General Partner and the Advisor, dated April 29, 2011 (filed as Exhibit 10.2 to the Form 8-K filed on May 2, 2011 and incorporated herein by reference).
  (b)    Letter from the General Partner extending Management Agreement with the Advisor for 2011, dated June 1, 2011 (filed as Exhibit 10.2(c) to the Form 10-K filed on March 30, 2012 and incorporated herein by reference).

10.3

     Agency Agreement between the Partnership, the General Partner and CGM, dated May 27, 2007 (filed as Exhibit 10.3 to the Registration on Form 10-12G filed on April 30, 2008 and incorporated herein by reference).

10.4

     Form of Selling Agreement between the Partnership, Citigroup Managed Futures LLC, Citigroup Global Markets Inc. and Credit Suisse Securities, (USA) LLC, dated September 30, 2008 (filed as Exhibit 10.4 to the Form 10-Q, filed on November 14, 2011 and incorporated herein by reference).

10.5

     Form of Third Party Subscription Agreement (filed as Exhibit 10.4 to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference).

10.6

     Form of Subscription Agreement (filed as Exhibit 10.5 to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference).

10.7

     Joinder Agreement among the General Partner, CMF, and Morgan Stanley Smith Barney LLC dated as of June 1, 2009 (filed as Exhibit 10 to the Form 10-Q filed on August 14, 2009 and incorporated herein by reference).

 

The exhibits required to be filed by Item 601 of regulation S-K are incorporated herein by reference

 

31.1        Rule 13a-14(a)/15d-14(a) Certification (Certification of President and Director)
31.2        Rule 13a-14(a)/15d-14(a) Certification (Certification of Chief Financial Officer)
32.1        Section 1350 Certification (Certification of President and Director)
32.2        Section 1350 Certification (Certification of Chief Financial Officer)

 

101.INS      XBRL Instance Document.
101.SCH      XBRL Taxonomy Extension Schema Document.
101.CAL      XBRL Taxonomy Extension Calculation Linkbase Document.
101.LAB      XBRL Taxonomy Extension Label Linkbase Document.
101.PRE      XBRL Taxonomy Extension Presentation Linkbase Document.

 

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Table of Contents

SIGNATURES

Pursuant to the requirements 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.

ABINGDON FUTURES FUND L.P.

 

By:   Ceres Managed Futures LLC
  (General Partner)
By:  

/s/ Walter Davis

  Walter Davis
  President and Director
Date: May 15, 2012
By:  

/s/ Brian Centner

  Brian Centner
 

Chief Financial Officer

(Principal Accounting Officer)

Date: May 15, 2012