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 000-52604

TIDEWATER FUTURES FUND L.P.

 

(Exact name of registrant as specified in its charter)

 

New York		13-3811113
(State or other jurisdiction of incorporation or organization)		(I.R.S. Employer Identification No.)

c/o Ceres Managed Futures LLC

522 5th Ave - 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
		(Do not check if a 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, 14,778.5482 Limited Partnership Redeemable Units were outstanding.

---

Table of Contents

TIDEWATER 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
Condensed Schedules of Investments at March 31, 2012 (unaudited) and December 31, 2011		4 – 5
Statements of Income and Expenses and Changes in Partners’ Capital for the three months ended March 31, 2012 and 2011 (unaudited)		6
Notes to Financial Statements (unaudited)		7 – 15
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations		16 – 18
Item 3. Quantitative and Qualitative Disclosures about Market Risk		19 – 20
Item 4. Controls and Procedures		21
PART II — Other Information		22 – 25
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

Tidewater Futures Fund L.P.

Statements of Financial Condition

 

		(Unaudited) March 31, 2012				December 31, 2011
Assets:
Equity in trading account:
Cash		$	16,043,006			$	18,186,510
Cash margin			4,952,026				5,223,123
Net unrealized appreciation on open futures contracts			431,801				478,555
Net unrealized appreciation on open forward contracts			—				299,200
Total trading equity			21,426,833				24,187,388
Interest receivable			820				—
Total assets		$	21,427,653			$	24,187,388
Liabilities and Partners’ Capital:
Liabilities:
Net unrealized depreciation on open forward contracts		$	23,880			$	—
Accrued expenses:
Brokerage fees			89,182				100,781
Management fees			35,342				40,016
Other			109,539				76,781
Redemptions payable			705,941				452,587
Total liabilities			963,884				670,165
Partners’ Capital:
General Partner, 184.9703 unit equivalents outstanding at March 31, 2012 and December 31, 2011			246,540				273,506
Limited Partners, 15,168.3303 and 15,719.5935 Redeemable Units outstanding at March 31, 2012 and December 31, 2011, respectively			20,217,229				23,243,717
Total partners’ capital			20,463,769				23,517,223
Total liabilities and partners’ capital		$	21,427,653			$	24,187,388
Net asset value per unit		$	1,332.86			$	1,478.65

See accompanying notes to financial statements.

 

3

---

Table of Contents

Tidewater Futures Fund L.P.

Condensed Schedule of Investments

March 31, 2012

(Unaudited)

 

		Notional$/ Number of Contracts				Fair Value				% of Partners’ Capital
Futures Contracts Purchased
Currencies			150			$	(150,150	)			(0.73	)%
Energy			111				(218,237	)			(1.07	)
Grains			79				121,955				0.60
Indices			231				470,379				2.30
Interest Rates U.S.			73				(159,336	)			(0.78	)
Interest Rates Non-U.S.			328				(5,250	)			(0.03	)
Livestock			40				(158,500	)			(0.77	)
Metals			20				(32,485	)			(0.16	)
Softs			126				116,350				0.57
Total futures contracts purchased							(15,274	)			(0.07	)
Futures Contracts Sold
Currencies			117				(52,771	)			(0.26	)
Energy			11				34,400				0.17
Grains			39				(16,140	)			(0.08	)
Indices			35				(52,465	)			(0.26	)
Interest Rates U.S.			13				(1,787	)			(0.01	)
Interest Rates Non-U.S.			57				(4,598	)			(0.02	)
Livestock			41				38,890				0.19
Softs			183				501,546				2.45
Total futures contracts sold							447,075				2.18
Unrealized Appreciation on Open Forward Contracts
Currencies		$	2,359,258				6,032				0.03
Metals			42				18,563				0.09
Total unrealized appreciation on open forward contracts							24,595				0.12
Unrealized Depreciation on Open Forward Contracts
		$	3,809,404				(8,404	)			(0.04	)
Metals			4				(40,071	)			(0.20	)
Total unrealized depreciation on open forward contracts							(48,475	)			(0.24	)
Net fair value						$	407,921				1.99	%

See accompanying notes to financial statements.

 

4

---

Table of Contents

Tidewater Futures Fund L.P.

Condensed Schedule of Investments

December 31, 2011

 

		Number of Contracts				Fair Value				% of Partners’ Capital
Futures Contracts Purchased
Currencies			151			$	45,655				0.19	%
Energy			84				240,346				1.02
Grains			21				3,162				0.01
Indices			2				(1,728	)			(0.00	)*
Interest Rates U.S.			86				25,133				0.11
Interest Rates Non-U.S.			638				225,959				0.96
Livestock			30				27,565				0.12
Metals			18				(219,420	)			(0.93	)
Softs			81				(371,619	)			(1.58	)
Total futures contracts purchased							(24,947	)			(0.10	)
Futures Contracts Sold
Currencies			201				319,035				1.36
Grains			222				(317,073	)			(1.35	)
Indices			249				125,758				0.53
Softs			250				375,782				1.60
Total futures contracts sold							503,502				2.14
Unrealized Appreciation on Open Forward Contracts
Metals			54				301,950				1.28
Total unrealized appreciation on open forward contracts							301,950				1.28
Unrealized Depreciation on Open Forward Contracts
Metals			1				(2,750	)			(0.01	)
Total unrealized depreciation on open forward contracts							(2,750	)			(0.01	)
Net fair value						$	777,755				3.31	%

 

*	Due to rounding.

See accompanying notes to financial statements.

 

5

---

Table of Contents

Tidewater Futures Fund L.P.

Statements of Income and Expenses and Changes in Partners’ Capital

(Unaudited)

 

		Three Months Ended March 31,
		2012				2011
Investment Income:
Interest income		$	1,770			$	7,678
Expenses:
Brokerage commissions including clearing fees			287,859				588,507
Management fees			109,061				203,416
Other expenses			61,294				31,991
Total expenses			458,214				823,914
Net investment income (loss)			(456,444	)			(816,236	)
Trading Results
Net gains (losses) on trading of commodity interests:
Net realized gains (losses) on closed contracts			(1,504,918	)			8,102,137
Change in net unrealized gains (losses) on open contracts			(369,834	)			(2,292,933	)
Total trading results			(1,874,752	)			5,809,204
Net income (loss)			(2,331,196	)			4,992,968
Subscriptions — Limited Partners			342,162				385,000
Redemptions — Limited Partners			(1,064,420	)			(8,958,712	)
Net increase (decrease) in Partners’ Capital			(3,053,454	)			(3,580,744	)
Partners’ Capital, beginning of period			23,517,223				41,672,044
Partners’ Capital, end of period		$	20,463,769			$	38,091,300
Net asset value per unit (15,353.3006 and 16,906.8937 units outstanding at March 31, 2012 and 2011, respectively)		$	1,332.86			$	2,253.00
Net income (loss) per unit *		$	(145.79	)		$	270.57
Weighted average units outstanding			15,961.9191				18,730.8949

 

 

*	Based on change in net asset value per unit.

See accompanying notes to financial statements.

 

6

---

Table of Contents

Tidewater Futures Fund L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

1. General:

Tidewater Futures Fund L.P. (the “Partnership”) is a limited partnership organized on February 23, 1995 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, metals and softs. The commodity interests that are traded by the Partnership are volatile and involve a high degree of market risk. The Partnership privately and continuously offers redeemable units interest (“Redeemable Units”) in the Partnership to qualified investors. There is no maximum number of Redeemable Units that may be sold by the Partnership.

Ceres Managed Futures LLC, 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 Inc. (“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 Chesapeake Capital Corporation (the “Advisor”). The Partnership’s trading of futures, forwards and options contracts, if applicable, on commodities is done primarily on U.S. and foreign commodity exchanges. It engages in such trading through a commodity brokerage account maintained with CGM.

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 its 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 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.

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.

 

7

---

Table of Contents

Tidewater Futures Fund L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

 

2. Financial Highlights:

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

 

		Three Months Ended March 31,
		2012				2011
Net realized and unrealized gains (losses) *		$	(135.23	)		$	282.89
Interest income			0.11				0.41
Expenses **			(10.67	)			(12.73	)
Increase (decrease) for the period			(145.79	)			270.57
Net asset value per unit, beginning of period			1,478.65				1,982.43
Net asset value per unit, end of period		$	1,332.86			$	2,253.00

 

 

*	Includes brokerage fees and clearing fee.

 

**	Excludes brokerage fees and clearing fee.

 

		Three Months Ended March 31,
		2012				2011****
Ratios to average net assets: ***
Net investment income (loss)			(8.4)	%			(8.6)	%
Incentive fees			—	%			—	%
Net investment income (loss) before incentive fees *****			(8.4)	%			(8.6)	%
Operating expense			8.4	%			8.6	%
Incentive fees			—	%			—	%
Total expenses and incentive fee			8.4	%			8.6	%
Total return:
Total return before incentive fees			(9.9)	%			13.6	%
incentive fee			—	%			—	%
Total return after incentive fees			(9.9)	%			13.6	%

 

***	Annualized (other than incentive fees).

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

*****

Interest income 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 using the limited partners’ share of income, expenses and average net assets.

3. Trading Activities:

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

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

All of the commodity interests owned by the Partnership are held for trading purposes. The monthly average number of futures contracts traded by the Partnership during the three months ended March 31, 2012 and 2011 were 1,796 and 3,277, respectively. The monthly average number of metals forward contracts traded by the Partnership during the three months ended March 31, 2012 and 2011 were 45 and 64, respectively. The monthly average notional value of currency forward contracts held by the Partnership during the three months ended March 31, 2012 and 2011 were $2,056,221 and $0, respectively.

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.

 

8

---

Table of Contents

Tidewater 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 and forward contracts as separate assets and liabilities as of March 31, 2012 and December 31, 2011.

 

		March 31, 2012
Assets
Futures Contracts
Currencies		$	120,602
Energy			43,685
Grains			124,380
Indices			544,262
Interest Rates Non-U.S.			43,355
Livestock			40,330
Softs			621,916
Total unrealized appreciation on open futures contracts		$	1,538,530
Liabilities
Futures Contracts
Currencies		$	(323,523	)
Energy			(227,522	)
Grains			(18,565	)
Indices			(126,348	)
Interest Rates U.S.			(161,123	)
Interest Rates Non-U.S.			(53,203	)
Livestock			(159,940	)
Metals			(32,485	)
Softs			(4,020	)
Total unrealized depreciation on open futures contracts		$	(1,106,729	)
Net unrealized appreciation on open futures contracts		$	431,801	*
		March 31, 2012
Assets
Forward Contracts
Currencies		$	6,032
Metals			18,563
Total unrealized appreciation on open forward contracts		$	24,595
Liabilities
Forward Contracts
Currencies		$	(8,404	)
Metals			(40,071	)
Total unrealized depreciation on open forward contracts		$	(48,475	)
Net unrealized depreciation on open forward contracts		$	(23,880	)**

 

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

 

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

 

9

---

Table of Contents

Tidewater Futures Fund L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

 

 

Assets		December 31, 2011
Futures Contracts
Currencies		$	518,318
Energy			255,066
Grains			42,625
Indices			200,253
Interest Rates U.S.			34,313
Interest Rates Non-U.S.			360,868
Livestock			38,625
Softs			420,142
Total unrealized appreciation on open futures contracts		$	1,870,210
Liabilities
Futures Contracts
Currencies		$	(153,628	)
Energy			(14,720	)
Grains			(356,536	)
Indices			(76,223	)
Interest Rates U.S.			(9,180	)
Interest Rates Non-U.S.			(134,909	)
Livestock			(11,060	)
Metals			(219,420	)
Softs			(415,979	)
Total unrealized depreciation on open futures contracts		$	(1,391,655	)
Net unrealized appreciation on open futures contracts		$	478,555	*

 

Assets		December 31, 2011
Forward Contracts
Metals		$	301,950
Total unrealized appreciation on open forward contracts		$	301,950
Liabilities
Forward Contracts
Metals		$	(2,750	)
Total unrealized depreciation on open forward contracts		$	(2,750	)
Net unrealized appreciation on open forward contracts		$	299,200	**

 

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

 

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

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

 

Sector		Three Months Ended March 31, 2012 Gain (loss) from trading				Three Months Ended March 31, 2011 Gain (loss) from trading
Currencies		$	(1,425,611	)		$	422,212
Energy			1,300,754				2,777,845
Grains			(522,093	)			198,113
Indices			22,204				760,981
Interest Rates U.S.			(228,295	)			(101,008	)
Interest Rates Non-U.S.			(829,416	)			(370,068	)
Livestock			(67,750	)			632,993
Metals			93,300				1,116,653
Softs			(217,845	)			371,483
Total		$	(1,874,752	)***		$	5,809,204	***

 

 

***	This amount is in “Total trading results” on the Statements of Income and Expenses and Changes in Partners’ Capital.

 

10

---

Table of Contents

Tidewater Futures Fund L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

 

4. Fair Value Measurements:

Partnership’s Investments. All commodity interests held by the Partnership (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.

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. Management has concluded that based on available information in the marketplace, the Partnership’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 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.

 

11

---

Table of Contents

Tidewater Futures Fund L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

 

The Partnership 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 Partnership did not hold any derivative instruments for which market quotations were not readily available and that were priced by broker-dealers who derive fair values for those assets from observable inputs (Level 2 ) or that were priced at fair value using unobservable inputs through the application of management’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.

 

			000,000,000,000				000,000,000,000				000,000,000,000				000,000,000,000
		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		$	1,538,530			$	1,538,530			$	—			$	—
Forwards			24,595				18,563				6,032				—
Total assets			1,563,125				1,557,093				6,032				—
Liabilities
Futures		$	1,106,729			$	1,106,729			$	—			$	—
Forwards			48,475				40,071				8,404				—
Total liabilities			1,155,204				1,146,800				8,404				—
Net fair value		$	407,921			$	410,293			$	(2,372	)		$	—

 

			000,000,000,000				000,000,000,000				000,000,000,000				000,000,000,000
		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		$	1,870,210			$	1,870,210			$	—			$	—
Forwards			301,950				301,950				—				—
Total assets			2,172,160				2,172,160				—				—
Liabilities
Futures		$	1,391,655			$	1,391,655			$	—			$	—
Forwards			2,750				2,750				—				—
Total liabilities			1,394,405				1,394,405				—				—
Net fair value		$	777,755			$	777,755			$	—			$	—

 

 

12

---

Table of Contents

Tidewater Futures Fund L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

 

5. Financial Instrument Risks:

In the normal course of business, the Partnership 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 specified terms on 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 swaps and certain forward, swaps and option contracts. Each of these instruments is subject to various risks similar to those relating to the underlying financial instruments, including market and credit risk. In general, the risks associated with OTC contracts are greater than those associated with exchange-traded instruments because of the greater risk of default by the counterparty to an OTC contract. The General Partner estimates that at any given time approximately 0.0% to 6.4% of the Partnership’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 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 is exposed to a market risk equal to the value of futures and forward contracts purchased and unlimited liability on such contracts sold short.

Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. The Partnership’s 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 risk of loss is reduced through the use of legally enforceable master netting agreements with counterparties that permit the Partnership to offset unrealized gains and losses and other assets and liabilities with such counterparties upon the occurrence of certain events. The Partnership has credit risk and concentration risk as CGM or a CGM affiliate is the sole counterparty or broker with respect to the Partnership’s assets. Credit risk with respect to exchange-traded instruments is reduced to the extent that through CGM, the Partnership’s counterparty is an exchange or clearing organization.

The General Partner monitors and attempts to control the Partnership’s risk exposure on a daily basis through financial, credit and risk management monitoring systems, and accordingly, believes that it has effective procedures for evaluating and limiting the credit and market risks to which the Partnership 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 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. All commodity interests held by the Partnership (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

 

13

---

Table of Contents

Tidewater Futures Fund L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

 

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.

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 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, the Partnership’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 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.

The Partnership considers prices for exchange-traded commodity futures, forwards and options contracts to be based on unadjusted quoted prices in active markets for identical assets (Level 1). The values of non exchange-traded forwards, swaps and certain options contracts for which market quotations are not readily available are priced by broker-dealers who derive fair values for those assets from observable inputs (Level 2). As of and for the periods ended March 31, 2012 and December 31, 2011, the Partnership did not hold any derivative instruments for which market quotations were not readily available and that were priced by broker-dealers who derive fair values for those assets from observable inputs (Level 2) or 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 Partnership 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 Partnership each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the Partnership. When the contract is closed, the Partnership 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 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.

 

 

14

---

Table of Contents

Tidewater Futures Fund L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

 

London Metals Exchange Forward Contracts. Metal contracts traded on the London Metals Exchange (“LME”) represent a firm commitment to buy or sell a specified quantity of aluminum, copper, lead, nickel, tin or zinc. LME contracts traded by the Partnership are cash settled based on prompt dates published by the LME. Payments (“variation margin”) may be made or received by the Partnership each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the Partnership. 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 Partnership 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.

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 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 arrangement 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 is calculated in accordance with investment company guidance. See Note 2, “Financial Highlights.”

 

15

---

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 equity in its trading account, consisting of cash and cash equivalents, net unrealized appreciation on open futures contracts, net unrealized appreciation on open forward contracts, and interest receivable. Because of the low margin deposits normally required in commodity futures trading, relatively small price movements may result in substantial losses to the Partnership. While substantial losses could lead to a material decrease in liquidity, no such illiquidity occurred in the first quarter of 2012.

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

For the three months ended March 31, 2012, Partnership capital decreased 13.0% from $23,517,223 to $20,463,769. This decrease was attributable to a net loss from operations of $2,331,196, coupled with redemptions of 786.4957 Redeemable Units totaling $1,064,420, which was partially offset by the subscriptions of 235.2325 Redeemable Units totaling $342,162. 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 and Changes in Partners’ Capital.

 

16

---

Table of Contents

Results of Operations

During the Partnership’s first quarter of 2012, the net asset value per unit decreased 9.9% from $1,478.65 to $1,332.86 as compared to an increase of 13.6% in the first quarter of 2011. The Partnership experienced a net trading loss before brokerage fees and related fees in the first quarter of 2012 of $1,874,752. Losses were primarily attributable to the trading of commodity futures in currencies, grains, U.S. and non-U.S. interest rates, livestock, and softs and were partially offset by gains in energy, metals and indices. The Partnership experienced a net trading gain before brokerage fees and related fees in the first quarter of 2011 of $5,809,204. Gains were primarily attributable to the trading of commodity futures in currencies, energy, grains, livestock, metals, indices and softs and were partially offset by gains in U.S. and non-U.S. interest rates.

The most significant losses were recorded within the currency markets during January from short positions in the Swiss franc versus the U.S. dollar as the value of the franc reversed higher against the U.S. dollar. During February and March, long positions in the Mexican peso and Norwegian krone versus the U.S. dollar resulted in losses as the value of these currencies fell against the U.S. dollar after concern over earnings in China reduced demand for higher-yielding currency assets. Within the global interest rate sector, losses were incurred in February and March from long positions in Australian, U.S., European, and Canadian fixed-income futures. During February, prices fell amid optimism that Greece would receive a second bailout, thereby diminishing demand for the relative “safety” of government bonds. Meanwhile, prices fell further during March after the U.S. Federal Reserve upwardly revised their U.S. economic outlook. Additional losses were incurred within the agricultural complex, primarily during January, from short positions in cocoa futures as prices advanced on concern supplies from the Ivory Coast, the world’s largest cocoa growing country, may weaken.

A portion of the Partnership’s losses for the quarter was offset by gains experienced within the energy sector from short positions in natural gas futures as prices dropped throughout the majority of the quarter amid ample inventories and mild weather across the U.S. Additional gains were experienced in this market sector during February from long futures positions in RBOB (unleaded) gasoline and Brent crude oil as prices increased on concerns over inventory levels and rising tensions in the Middle East. Within the metals sector, gains were recorded during January from long positions in gold futures as prices advanced as the U.S. Federal Reserve’s pledge to keep U.S. borrowing costs low drove the U.S. dollar down, boosting demand for the precious metal. Within the global stock index sector, gains were achieved in February and March from long positions in U.S. equity index futures as prices were buoyed higher 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.

 

17

---

Table of Contents

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

Interest income on 80% of the average daily equity maintained in cash in the Partnership’s brokerage account 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 for the three months ended March 31, 2012 decreased by $5,908, as compared to the corresponding period in 2011. The decrease in interest income was 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 in the Partnership’s account and upon interest rates over which neither the Partnership nor CGM has 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 compared in relation to the fluctuations in the monthly net asset values. Brokerage fees and clearing fees for the three months ended March 31, 2012 decreased by $300,648, as compared to the corresponding period in 2011. The decrease in brokerage fees is due to lower average adjusted 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 adjusted 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 decreased by $94,355, as compared to the corresponding period in 2011. The decrease in management fees is due to lower average adjusted net assets during the three months ended March 31, 2012, as compared to the corresponding period in 2011.

Incentive fees are based on the new trading profits generated by the Advisor at the end of the quarter, as defined in the management agreement among the Partnership, the General Partner and the Advisor. There were no incentive fees earned for the three months ended March 31, 2012 or 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 the assets of the Partnership to the Advisor, 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.

 

18

---

Table of Contents

Item 3. Quantitative and Qualitative Disclosures about Market Risk

The Partnership is a speculative commodity pool. The market sensitive instruments held by it are acquired for speculative trading purposes, and all or substantially all of the Partnership’s assets are subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to 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 Partnership’s open positions and, consequently, in its earnings and cash balances. The Partnership’s market risk is influenced by a wide variety of factors, including the level and volatility of interest rates, exchange rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Partnership’s open contracts and the liquidity of the markets in which it trades.

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

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

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

 

19

---

Table of Contents

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 Partnership’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 the twelve months ended December 31, 2011. All open position trading risk exposures of the Partnership have been included in calculating the figures set forth below. As of March 31, 2012, the Partnership’s total capitalization was $20,463,769. 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.

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		$	875,645				4.28	%		$	1,370,825			$	520,464			$	715,827
Energy			615,300				3.00	%			733,779				466,770				559,147
Grains			132,580				0.65	%			1,141,450				95,405				203,607
Indices			973,074				4.76	%			2,710,265				530,828				900,908
Interest Rates U.S.			126,196				0.62	%			156,636				29,500				130,420
Interest Rates Non-U.S.			614,998				3.00	%			910,530				358,383				755,126
Livestock			76,410				0.37	%			265,450				62,040				67,487
Metals			316,480				1.55	%			1,316,070				316,440				334,376
Softs			693,748				3.39	%			1,581,019				606,710				684,514
Total		$	4,424,431				21.62	%

  

 

*	Average of month-end Values at Risk.

As of December 31, 2011, the Partnership’s total capitalization was $23,517,223.

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		$	1,081,085				4.60	%		$	1,379,867			$	832,855			$	1,097,042
Energy			455,800				1.94	%			863,083				450,550				622,684
Grains			351,542				1.50	%			1,141,450				185,150				622,608
Indices			492,553				2.09	%			2,710,265				295,731				1,524,778
Interest Rates U.S.			175,100				0.74	%			179,800				29,500				109,475
Interest Rates Non-U.S.			1,031,701				4.39	%			1,076,331				358,383				784,532
Livestock			41,700				0.18	%			265,450				39,970				124,117
Metals			362,324				1.54	%			1,316,070				354,331				791,992
Softs			555,733				2.36	%			1,581,019				390,793				790,732
Total		$	4,547,538				19.34	%

  

 

*	Annual average of month-end Values at Risk.

 

20

---

Table of Contents

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 process 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.

 

21

---

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.).

 

22

---

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 additional subscriptions of 235.2325 Redeemable Units totaling $342,162. 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 be accredited investors in a private offering.

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

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

 

Period		(a) Total Number of Shares (or Units) Purchased*		(b) Average Price Paid per Share (or Unit)**				(c) Total Number of Shares (or Units) Purchased as Part of Publicly Announced Plans or Programs				(d) Maximum Number (or Approximate Dollar Value) of Shares (or Units) that May Yet Be Purchased Under the Plans or Programs
January 1, 2012 - January 31, 2012		177.0010		$	1,421.88				N/A			N/A
February 1, 2012 - February 29, 2012		79.8512		$	1,337.55				N/A			N/A
March 1, 2012 - March 31, 2012		529.6435		$	1,332.86				N/A			N/A
		786.4957		$	1,353.37

 

 

*

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

 

23

---

Table of Contents

Item 6. Exhibits

 

3.1				Second Amended and Restated Limited Partnership Agreement (filed as Exhibit 3.2 to the general form for registration of securities on Form 10 filed on April 30, 2007 and incorporated herein by reference).
3.2				Certificate of Limited Partnership of the Partnership as filed in the office of the Secretary of State of the State of the State of New York (filed as Exhibit 3.1 to the general form for registration of securities on Form 10 filed on April 30, 2007 and incorporated herein by reference).
		(a)		Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated February 26, 1999 (filed as Exhibit 3.1(a) to the general form for registration of securities on Form 10 filed on April 30, 2007 and incorporated herein by reference).
		(b)		Certificate of Change of the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated January 31, 2000 (filed as Exhibit 3.2(g) to the quarterly report on Form 10-Q filed on November 16, 2009 and incorporated herein by reference).
		(c)		Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated April 1, 2001 (filed as Exhibit 3.1(b) to the general form for registration of securities on Form 10 filed on April 30, 2007 and incorporated herein by reference).
		(d)		Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated May 21, 2003 (filed as Exhibit 3.2(c) to the quarterly report on Form 10-Q filed on November 16, 2009 and incorporated herein by reference).
		(e)		Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated September 21, 2005 (filed as Exhibit 3.1(c) to the general form for registration of securities on Form 10 filed on April 30, 2007 and incorporated herein by reference).
		(f)		Certificate of Amendment of 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 3.2(e) to the quarterly report on Form 10-Q filed on November 16, 2009 and incorporated herein by reference).
		(g)		Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated September 30, 2009 (filed as Exhibit 99.1(a) to the current report on Form 8-K filed on September 30, 2009 and incorporated herein by reference).
		(h)		Certificate of Amendment of the Certificate of Limited Partnership dated June 30, 2010 (filed as Exhibit 3.2(h) to the current report on Form 8-K filed on July 2, 2010 and incorporated herein by reference).
		(i)		Certificate of Amendment of the Certificate of Limited Partnership dated September 2, 2011 (filed as Exhibit 3.1 to the current report on Form 8-K filed on September 17, 2011 and incorporated herein by reference).

 

24

---

Table of Contents

10.1				Amended and Restated Management Agreement among the Partnership, the General Partner and Chesapeake Capital Corporation (filed as Exhibit 10.1 to the current report on Form 8-K filed on September 16, 2010 and incorporated herein by reference).
10.1(a)				Letter extending the Management Agreement between the General Partner and Chesapeake Capital Corporation (filed as Exhibit 10.1 (a) to the annual report on Form 10-K, filed March 30, 2012 and incorporated herein by reference).
10.2				Second Amended and Restated Customer Agreement between the Partnership and Salomon Smith Barney Inc. (filed as Exhibit 10.2 to the general form for registration of securities on Form 10 filed on April 30, 2007 and incorporated herein by reference).
10.3				Amended and Restated Agency Agreement between the Partnership, Smith Barney Futures Management LLC and Salomon Smith Barney Inc. (filed as Exhibit 10.3 to the general form for registration of securities on Form 10 filed on April 30, 2007 and incorporated herein by reference).
10.4				Form of Subscription Agreement (filed as Exhibit 10.4 to the quarterly report on Form 10-Q filed on November 16, 2009 and incorporated herein by reference).
10.5				Joinder Agreement among Citigroup Managed Futures LLC (the former name of the General Partner), Citigroup Global Markets Inc. and Morgan Stanley Smith Barney LLC (filed as Exhibit 10 to the quarterly report on Form 10-Q filed on August 14, 2009 and incorporated herein by reference).
Exhibit 31.1 — Rule 13a-14(a)/15d-14(a) Certification (Certification of President and Director).   Exhibit 31.2 — Rule 13a-14(a)/15d-14(a) Certification (Certification of Chief Financial Officer).   Exhibit 32.1 — Section 1350 Certification (Certification of President and Director).   Exhibit 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.

 

25

---

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.

 

TIDEWATER 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

 

26