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EX-10.01 - AMENDMENT AGREEMENT - LV Futures Fund L.P.exhibit1001.htm
EX-32.01 - CERTIFICATION - LV Futures Fund L.P.lvex3201.htm
EX-31.02 - CERTIFICATION - LV Futures Fund L.P.lvex3102.htm
EX-31.01 - CERTIFICQATION - LV Futures Fund L.P.lvex3101.htm
EX-32.02 - CERTIFICATION - LV Futures Fund L.P.lvex3202.htm
EXCEL - IDEA: XBRL DOCUMENT - LV Futures Fund L.P.Financial_Report.xls


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

FORM 10-Q

x           QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the quarterly period ended September 30, 2014 or

o           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: 000-53114

 
LV FUTURES FUND L.P.
 
 
(Exact name of registrant as specified in its charter)
 

 
Delaware
 
20-8529012
 
(State or other jurisdiction of
incorporation or organization)
 
(I.R.S. Employer
Identification No.)
       
Ceres Managed Futures LLC
   
522 Fifth Avenue
   
New York, NY
 
10036
(Address of principal executive offices)
 
(Zip Code)

Registrant’s telephone number, including area code
 
(855) 672-4468



(Former name, former address and former fiscal year, if changed since last report)

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 o

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

Yes x  No o

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.

Large accelerated filer o
Accelerated filer o
Non-accelerated filer x
Smaller reporting company o

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).  Yes 0  No T

As of September 30, 2014, 10,279.544 Limited Partnership Class A Units were outstanding, 1,645,070 Limited Partnership Class B Units were outstanding, 2,039.850 Limited Partnership Class C Units were outstanding, and 145.959 Limited Partnership Class Z Units were outstanding.

 
 

 




LV FUTURES FUND L.P.
INDEX TO QUARTERLY REPORT ON FORM 10-Q

September 30, 2014



 
PART I. FINANCIAL INFORMATION
 
     
Item 1.
Financial Statements (Unaudited)
 
     
 
Statements of Financial Condition as of September 30, 2014 and December 31, 2013
2
     
 
Statements of Income and Expenses for the Three and Nine Months Ended  September 30, 2014 and 2013
3
     
 
Statements of Changes in Partners’ Capital for the Nine Months Ended September 30, 2014 and 2013
4
     
 
Notes to Financial Statements
  5-20
     
Item 2.
Management’s Discussion and Analysis of Financial Condition and Results of Operations
21-31
     
Item 3.
Quantitative and Qualitative Disclosures About Market Risk
31-45
     
Item 4.
Controls and Procedures
45-46
     
 
PART II. OTHER INFORMATION
 
     
Item 1.
Legal Proceedings
47-63
     
Item 1A.
Risk Factors
63
     
Item 2.
Unregistered Sales of Securities and Use of Proceeds
63-65
     
Item 4.
Mine Safety Disclosures
65
     
Item 6.
Exhibits 
65-66



 
 

 

PART I.  FINANCIAL INFORMATION
Item 1.  Financial Statements

LV FUTURES FUND L.P.
STATEMENTS OF FINANCIAL CONDITION
(Unaudited)
       
 
September 30,    
 
December 31,     
 
2014            
 
2013          
ASSETS
$               
 
$              
       
Investments in Affiliated Trading Companies:
     
Investment in Augustus I, LLC
4,049,920
 
4,318,716
Investment in Rotella I, LLC
3,730,795
 
4,039,384
Investment in TT II, LLC
3,148,524
 
6,221,176
Investment in Boronia I, LLC
2,782,376
 
2,237,602
Investment in WNT I, LLC
 
3,816,627
Investment in Kaiser I, LLC
 
1,861,138
       
Total Investments in Affiliated Trading Companies, at fair value
  (cost $14,286,049 and $23,332,279, respectively)
13,711,615
 
22,494,643
       
Total Assets
13,711,615
 
22,494,643
       
LIABILITIES
     
       
Redemptions payable
139,724
 
464,064
       
Total Liabilities
139,724
 
464,064
       
PARTNERS’ CAPITAL
     
Class A (10,279.544 and 16,259.279 Units, respectively)
9,725,786
 
14,640,613
Class B (1,645.070 and 3,198.746 Units, respectively)
1,613,277
 
2,974,351
Class C (2,039.850 and 4,166.314 Units, respectively)
2,073,445
 
4,000,502
Class Z (145.959  and 405.437 Units, respectively)
159,383
 
415,113
       
Total Partners’ Capital
13,571,891
 
22,030,579
       
Total Liabilities and Partners’ Capital
13,711,615
 
22,494,643
       
NET ASSET VALUE PER UNIT
     
Class A
946.13
 
900.45
Class B
980.67
 
929.85
Class C
1,016.47
 
960.20
Class Z
1,091.97
 
1,023.87
       












The accompanying notes are an integral part of these financial statements.



- 2 -

 
 

 

LV FUTURES FUND L.P.
STATEMENTS OF INCOME AND EXPENSES
(Unaudited)

 
For the Three Months
Ended September  30,
 
 
For the Nine Months
 Ended September 30,
 
2014      
 
2013       
 
2014     
 
2013  
 
$           
 
$            
 
$       
 
$    
EXPENSES
             
Ongoing Placement Agent fees
59,292
 
109,939
 
216,539
 
370,248
General Partner fees
33,864
 
64,111
 
124,002
 
216,735
Administrative fees
13,546
 
25,644
 
49,602
 
86,694
               
Total Expenses
106,702
 
199,694
 
390,143
 
673,677
 
NET INVESTMENT LOSS
(106,702)
 
(199,694)
 
(390,143)
 
(673,677)
               
NET REALIZED/CHANGE IN UNREALIZED APPRECIATION
             
  (DEPRECIATION) ON INVESTMENTS
             
Net realized gain/(loss)
206,825
 
41,533
 
616,220
 
(871,949)
Net change in unrealized appreciation
             
  (depreciation) on investments
661,247
 
(566,755)
 
263,202
 
867,614
               
Total Net Realized/Change in Unrealized
             
Appreciation (Depreciation) on Investments
868,072
 
(525,222)
 
879,422
 
(4,335)
 
NET INCOME (LOSS)
761,370
 
(724,916)
 
489,279
 
(678,012)
               
NET INCOME (LOSS) ALLOCATION
             
Class A
537,880
 
(489,036)
 
366,099
 
(492,836)
Class B
90,541
 
(87,909)
 
49,411
 
(74,427)
Class C
117,529
 
(138,537)
 
57,161
 
(104,559)
Class D
 
 
 
116
Class Z
15,420
 
(9,434)
 
16,608
 
(6,306)
               
NET INCOME (LOSS) PER UNIT *
             
Class A
51.44
 
(25.05)
 
45.68
 
(28.19)
Class B
54.45
 
(24.68)
 
50.82
 
(25.61)
Class C
57.62
 
(24.26)
 
56.27
 
(22.86)
Class D
 
 
 
5.04
Class Z
64.42
 
(23.28)
 
68.10
 
(16.81)
               
 
Units   
 
Units   
 
Units   
 
Units  
WEIGHTED AVERAGE NUMBER
             
OF UNITS OUTSTANDING
             
Class A
10,796.996
 
19,474.325
 
13,126.830
 
21,226.323
Class B
1,676.744
 
3,563.047
 
2,251.175
 
3,860.049
Class C
2,039.850
 
5,245.291
 
2,548.806
 
6,055.085
Class D
 
 
 
23.012
Class Z
305.956
 
405.437
 
362.053
 
422.281

* Based on change in net asset value per Unit except for Class D Units.



The accompanying notes are an integral part of these financial statements.

- 3 -

 
 

 

LV FUTURES FUND L.P.
STATEMENTS OF CHANGES IN PARTNERS’ CAPITAL
For the Nine Months Ended September 30, 2014 and 2013
 (Unaudited)


 
Class A
 
Class B
 
Class C
 
Class D
 
Class Z
 
Total     
 
$
 
$
 
$
 
$
 
  $
 
$    
Partners’ Capital,
                     
December 31,  2013
14,640,613
 
2,974,351
 
4,000,502
 
–        
 
415,113
 
 22,030,579
                       
Subscriptions
25,000
 
–     
 
–    
 
–        
 
–   
 
 25,000
                       
Net Income
366,099
 
49,411
 
57,161
 
–        
 
16,608
 
489,279
                       
Redemptions
(5,305,926)
 
(1,410,485)
 
(1,984,218)
 
–        
 
(272,338)
 
(8,972,967)
                       
Partners’ Capital,
                     
September 30, 2014
9,725,786
 
1,613,277
 
2,073,445
 
–         
 
159,383
 
13,571,891
                       
Partners’ Capital,
                     
December 31, 2012
21,372,186
 
3,800,182
 
7,410,939
 
22,006
 
481,131
 
 33,086,444
                       
Subscriptions
25,000
 
 
–   
 
–     
 
22,122
 
47,122
                       
Net Income/(Loss)
(492,836)
 
(74,427)
 
(104,559)
 
 116  
 
(6,306)
 
 (678,012)
                       
Redemptions
(4,885,668)
 
(724,314)
 
(3,125,140)
 
(22,122)
 
  (100,203)
 
(8,857,447)
                       
Partners’ Capital,
                     
September 30, 2013
16,018,682
 
3,001,441
 
4,181,240
 
–   
 
396,744
 
 23,598,107
                       
 
Class A
 
Class B
 
Class C
 
Class D
 
Class Z
 
Total
 
Units
 
Units
 
Units
 
Units
 
Units
 
Units
Beginning Units,
                     
December 31, 2013
16,259.279
 
3,198.746
 
4,166.314
 
–     
 
405.437
 
  24,029.776
                       
Subscriptions
28.034
 
–                     
 
–    
 
–     
 
–  
 
28.034
                       
Redemptions
(6,007.769)
 
(1,553.676)
 
(2,126.464)
 
–    
 
(259.478)
 
(9,947.387)
                       
Ending Units,
                     
September 30, 2014
10,279.544
 
1,645.070
 
2,039.850
 
–    
 
145.959
 
14,110.423
                       
Beginning Units,
                     
December 31, 2012
23,931.981
 
4,141.422
 
7,860.274
 
23.012
 
483.374
 
  36,440.063
                       
Subscriptions
28.093
 
–    
 
–   
 
–     
 
22.063
 
50.156
                       
Redemptions
(5,438.207)
 
(776.548)
 
(3,315.320)
 
(23.012)
 
  (100.000)
 
(9,653.087)
                       
Ending Units,
                     
September 30, 2013
18,521.867
 
3,364.874
 
4,544.954
 
–   
 
405.437
 
   26,837.132

The accompanying notes are an integral part of these financial statements.

- 4 -

 
 

 

LV FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS

September 30, 2014

(Unaudited)

The unaudited financial statements contained herein include, in the opinion of management, all adjustments necessary for a fair presentation of the financial condition and results of operations of LV Futures Fund L.P. (“LV” or the “Partnership”).  The financial statements and condensed notes herein should be read in conjunction with the Partnership’s Annual Report on Form 10-K for the fiscal year ended December 31, 2013 (the “Form 10-K”).

1.  Organization
The Partnership was formed on February 22, 2007, under the Delaware Revised Uniform Limited Partnership Act, as a multi-advisor commodity pool created to profit from the speculative trading of  domestic commodities and foreign commodity futures contracts, forward contracts, foreign exchange commitments, options on physical commodities and futures contracts, spot (cash) commodities and currencies, exchange of futures contracts for physicals transactions, exchange of physicals for futures contracts transactions, and any rights pertaining thereto (collectively, “Futures Interests”) (refer to Note 4. Financial Instruments of the Trading Companies) through the Partnership’s investments in its affiliated trading companies (each, a “Trading Company” or collectively, the “Trading Companies”).  LV is one of the partnerships in the Managed Futures Multi-Strategy Profile Series, comprised of LV and Meritage Futures Fund L.P.

 
 
- 5 -

 
 

 

LV FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)

The Partnership invests substantially all of its assets in multiple affiliated Trading Companies, each of which allocates substantially all of its assets to the trading program of an unaffiliated commodity trading advisor (each, a “Trading Advisor” or collectively, the “Trading Advisors”) which makes investment decisions for each respective Trading Company.

The Partnership commenced trading operations on August 1, 2007, in accordance with the terms of its limited partnership agreement, as amended from time to time (the “Limited Partnership Agreement”).  Morgan Stanley Smith Barney LLC is doing business as Morgan Stanley Wealth Management (“Morgan Stanley Wealth Management”) and   serves as the placement agent to the Partnership.  Morgan Stanley & Co. LLC (“MS&Co.”) acts as each Trading Company’s clearing commodity broker.  Morgan Stanley & Co. International plc previously acted as each Trading Company’s commodity broker to the extent it traded on the London Metal Exchange.  Each Trading Company’s over-the-counter (“OTC”) foreign exchange spot, options, and forward contract counterparty is either MS&Co. and/or Morgan Stanley Capital Group Inc. (“MSCG”) to the extent a Trading Company trades options on OTC foreign currency forward contracts.

The financial statements of the Partnership have been prepared using the “Fund of Funds” approach and accordingly all revenue and expense information from the Trading Companies is reflected as a total net realized/change in unrealized appreciation on investments on the Statements of Income and Expenses.
 
The Partnership maintains sufficient cash balances on hand to satisfy ongoing operating expenses for the Partnership.  As of September 30, 2014 and December 31, 2013, the Partnership’s cash balances were zero.


- 6 -

 
 

 

LV FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)

The Trading Companies and their Trading Advisors for the Partnership at September 30, 2014, are as follows:

Trading Company
Trading Advisor
   
Morgan Stanley Smith Barney Augustus I, LLC
 
  (“Augustus I, LLC”)
GAM International Management Limited
Morgan Stanley Smith Barney Rotella I, LLC
 
(“Rotella I, LLC”)
Rotella Capital Management, Inc.
Morgan Stanley Smith Barney TT II, LLC
 
(“TT II, LLC”)
Transtrend B.V.
Morgan Stanley Smith Barney Boronia I, LLC
 
(“Boronia I, LLC”)
Boronia Capital Pty. Ltd.



The trading system style of each Trading Advisor is as follows:
Commodity Trading Advisor
Trading System Style
   
GAM International Management Limited
Discretionary
Rotella Capital Management, Inc.
Systematic
Transtrend B.V.
Systematic
Boronia Capital Pty. Ltd.
Systematic





 


- 7 -
 
 
 

 
LV FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)


Ceres Managed Futures LLC (“Ceres” or the “General Partner”), the general partner and commodity pool operator of the Partnership and the trading manager of each Trading Company, is a wholly-owned subsidiary of Morgan Stanley Smith Barney Holdings LLC (“MSSBH”).  MSSBH is wholly-owned indirectly by Morgan Stanley.  Morgan Stanley Wealth Management is a principal subsidiary of MSSBH.  MS&Co. and MSCG are wholly-owned subsidiaries of Morgan Stanley.

Ceres may reallocate the Partnership’s assets to the different Trading Companies at its sole discretion.

Units of limited partnership interest (“Units”) of the Partnership are offered in two classes in a private placement pursuant to Regulation D under the Securities Act of 1933, as amended (the “Securities Act”).  Depending on the aggregate amount invested in the Partnership, limited partners receive class A or D Units in the Partnership (each, a “Class” and collectively, the “Classes”).   Certain limited partners who are not subject to the ongoing placement agent fee are deemed to hold Class Z Units.  Ceres received Class Z Units with respect to its investment in the Partnership.  As of September 30, 2014 and December 31, 2013, there were no Class D Units outstanding.  Class B and Class C Units are no longer being offered to new investors but continue to be offered to existing Class B and Class C investors.





- 8 -
 
 
 

 
 LV FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)



Ceres is not required to maintain any investment in the Partnership, and may withdraw any portion of its interest in the Partnership at any time, as permitted by the Limited Partnership Agreement.  In addition, Class Z Units are only being offered to certain individuals affiliated with Morgan Stanley at Ceres’ sole discretion.  Class Z Unit holders are not subject to paying the ongoing placement agent fee.

2.  Related Party Transactions
Cash held by each Trading Company is on deposit in commodity brokerage accounts with Morgan Stanley.  Monthly, MS&Co. pays each Trading Company interest income on 100% of its average daily equity maintained in cash in the Trading Companies’ accounts during each month at a rate equal to the monthly average of the 4-week U.S. Treasury bill discount rate less 0.15% during such month but in no event less than zero.  When the effective rate is less than zero, no interest is earned.  For purposes of such interest payments, daily funds do not include monies due to each Trading Company on Futures Interests that have not been received.  MS&Co. will retain any excess interest not paid to the Trading Companies.

The Partnership and the Trading Companies pay Ceres or its affiliates a monthly administrative fee.  The Partnership pays monthly general partner fees to Ceres.  The Partnership pays ongoing placement agent fees to Morgan Stanley Wealth Management on a monthly basis equal to a percentage of the net asset value of a limited partner’s Units as of the beginning of each month.
 

 
3.  Financial Highlights
 

 
Financial Highlights for three and nine months ended September 30, 2014 and 2013 were as follows:





- 9 -
 
 
 

 
LV FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 

 
 Class A
 
   Class B
 
Class C
 
Class D
 
Class Z
 
           
PER UNIT OPERATING PERFORMANCE:
         
NET ASSET VALUE,
         
  JULY 1, 2014:
$         894.69
$            926.22
$        958.85
$          –         
  $    1,027.55 
           
NET OPERATING RESULTS:
         
   Net investment loss
     (7.64)
              (6.75)
                 (5.79)
                 –          
                (3.59)
   Net realized/unrealized gain
     59.08
            61.20
               63.41
        –        
                 68.01
   Net income
            51.44
            54.45
                  57.62
        –        
                 64.42
           
NET ASSET VALUE,
         
 SEPTEMBER 30, 2014:
$        946.13
$           980.67
$      1,016.47
$          –        
$   1,091.97 
RATIOS TO AVERAGE NET ASSETS:
         
   Net investment loss  (1)  (2)
-3.37%
-2.88%
-2.38%
        –         
-1.38%
   Partnership expenses (1) (2)
 3.37%
 2.88%
 2.38%
        –         
 1.38%
           
TOTAL RETURN:
 5.75%
5.88%
6.01%
        –         
6.27%
           
PER UNIT OPERATING PERFORMANCE:
         
NET ASSET VALUE,
         
  JANUARY 1, 2014:
$        900.45
$           929.85
$       960.20
$          –       
  $     1,023.87 
           
NET OPERATING RESULTS:
         
   Net investment loss
   (22.67)
            (20.01)
               (17.13)
        –       
              (10.64)
   Net realized/unrealized gain
       68.35
          70.83
                73.40
        –        
             78.74
   Net income
     45.68
         50.82
                56.27
        –        
             68.10
           
NET ASSET VALUE,
         
  SEPTEMBER 30, 2014:
$        946.13
$           980.67
$     1,016.47
$          –        
$   1,091.97 
RATIOS TO AVERAGE NET ASSETS:
         
   Net investment loss (1) (2)
-3.41%
-2.91%
-2.41%
        –          
-1.40%
   Partnership expenses (1) (2)
 3.41%
 2.91%
 2.41%
        –          
 1.40%
           
TOTAL RETURN:
 5.07%
 5.47%
 5.86%
        –          
 6.65%








- 10 -
 
 
 

 
LV FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 
 Class A
 
   Class B
 
Class C
 
Class D
 
Class Z
 
           
PER UNIT OPERATING PERFORMANCE:
         
NET ASSET VALUE,
         
  JULY 1, 2013:
$         889.90
$            916.67
$        944.23
$          –       
  $    1,001.83 
           
NET OPERATING RESULTS:
         
   Net investment loss
     (7.47)
              (6.57)
                 (5.60)
              –          
                (3.47)
   Net realized/unrealized loss
    (17.58)
         (18.11)
         (18.66)
        –        
               (19.81)
   Net loss
           (25.05)
         (24.68)
                (24.26)
        –        
               (23.28)
           
NET ASSET VALUE,
         
 SEPTEMBER 30, 2013:
$         864.85
$           891.99
$        919.97
$          –        
$     978.55 
RATIOS TO AVERAGE NET ASSETS:
         
   Net investment loss  (1)  (2)
-3.37%
-2.88%
-2.38%
        –          
-1.39%
   Partnership expenses (1) (2)
 3.37%
 2.88%
 2.38%
        –          
 1.39%
           
TOTAL RETURN:
-2.81%
-2.69%
-2.57%
        –          
-2.32%
           
PER UNIT OPERATING PERFORMANCE:
         
NET ASSET VALUE,
         
  JANUARY 1, 2013:
$         893.04
$           917.60
$       942.83
$         956.28 
  $       995.36 
           
NET OPERATING RESULTS:
         
   Net investment loss
    (22.96)
            (20.15)
               (17.19)
                (3.46)
           (10.60)
   Net realized/unrealized gain (loss)
        (5.23)
            (5.46)
                 (5.67)
                 8.50
             (6.21)
   Net income (loss)
    (28.19)
          (25.61)
               (22.86)
                 5.04
           (16.81)
           
NET ASSET VALUE,
         
  SEPTEMBER 30, 2013:
$         864.85
$           891.99
$       919.97
$           961.32 (3)
$   978.55 
RATIOS TO AVERAGE NET ASSETS:
         
   Net investment loss (1) (2)
-3.41%
-2.91%
-2.41%
 -2.22%
-1.41%
   Partnership expenses (1) (2)
 3.41%
 2.91%
 2.41%
   2.22%
 1.41%
           
TOTAL RETURN:
-3.16%
-2.79%
-2.42%
  0.53%
-1.69%


 
(1) Annualized
 

 
(2) Does not include the expenses of the Trading Companies in which the Partnership invests.
 

 
(3) This amount represents March 1, 2013, net asset value per Unit prior to conversion from Class D to Class Z Units.  There were no Class D Units outstanding at September 30, 2013.

4.  Financial Instruments of the Trading Companies
The Trading Advisors trade Futures Interests on behalf of the Trading Companies.  Futures and forwards represent contracts for delayed delivery of an instrument at a specified date and price.  Futures Interests are

- 11 -
 
 
 

 
LV FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)

open commitments until the settlement date, at which time they are realized.  They are valued at fair value,
generally on a daily basis, and the unrealized gains and losses on open contracts (the difference between contract trade price and market price) are reported in the Trading Companies’ Statements of Financial Condition as net unrealized gain or loss on open contracts.  The resulting net change in unrealized gains and losses is reflected in the net change in unrealized trading profit (loss) from one period to the next on the Trading Companies’ Statements of Income and Expenses.  The fair value of exchange-traded futures, options and forward contracts is determined by the various futures exchanges, and reflects the settlement price for each contract as of the close of business on the last business day of the reporting period.  The fair value of foreign currency forward contracts is extrapolated on a forward basis from the spot prices quoted as of approximately 3:00 P.M. (E.T.) on the last business day of the reporting period from various exchanges.  The fair value of non-exchange-traded foreign currency option contracts is calculated by applying an industry standard model application for options valuation of foreign currency options, using as input the spot prices, interest rates, and option implied volatilities quoted as of approximately 3:00 P.M. (E.T.) on the last business day of the reporting period.  The fair value of an off-exchange-traded contract is based on the fair value quoted by the counterparty.  Risk arises from changes in the value of these contracts and the potential inability of counterparties to perform under the terms of the contracts.  There are numerous factors which may significantly influence the fair value of these contracts, including interest rate volatility.

The Trading Companies may buy or write put and call options through listed exchanges and the over-the-counter market.  The buyer of an option has the right to purchase (in the case of a call option) or sell (in

- 12 -
 
 
 

 
LV FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)

the case of a put option) a specified quantity of specific Futures Interests on the underlying asset at a specified price prior to or on a specified expiration date.  The writer of an option is exposed to the risk of loss if the fair value of the Futures Interests on the underlying asset declines (in the case of a put option) or increases (in the case of a call option).  The writer of an option can never profit by more than the premium paid by the buyer but can potentially lose an unlimited amount.

Premiums received/premiums paid from writing/purchasing options are recorded as liabilities/assets on the Trading Companies’ Statements of Financial Condition.  The difference between the fair value of an option and the premiums received/premiums paid is treated as an unrealized gain or loss within the Statements of Income and Expenses.

The fair value of an exchange-traded contract is based on the settlement price quoted by the exchange on the day with respect to which fair value is being determined.  If an exchange-traded contract could not have been liquidated on such day due to the operation of daily limits or other rules of the exchange, the settlement price will be equal to the settlement price on the first subsequent day on which the contract could be liquidated.

The Trading Companies’ contracts are accounted for on a trade-date basis. A derivative is defined as a financial instrument or other contract that has all three of the following characteristics:

1)  
a) One or more “underlyings” and b) one or more “notional amounts” or payment provisions or both;
- 13 -
 
 
 

 
LV FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)


2)  
Requires no initial net investment or a smaller initial net investment than would be required for other types of contracts that would be expected to have a similar response relative to changes in market factors; and
3)  
Terms that require or permit net settlement.

Generally, derivatives include futures, forward, swaps or options contracts, and other financial instruments with similar characteristics, such as caps, floors, and collars.

The futures, forwards and options traded by the Trading Advisors on behalf of the Trading Companies involve varying degrees of related market risk.  Market risk is often dependent upon changes in the level or volatility of interest rates, exchange rates, and prices of financial instruments and commodities, factors that result in frequent changes in the fair value of the Trading Companies’ open positions, and consequently in their earnings, whether realized or unrealized, and cash flow.  Gains and losses on open positions of exchange-traded futures, exchange-traded forward, and exchange-traded futures-styled options contracts are settled daily through variation margin.  Gains and losses on off-exchange-traded forward currency contracts are settled upon termination of the contract. Gains and losses on off-exchange-traded forward currency options contracts are settled on an agreed-upon settlement date.  However, the Trading Companies are required to meet margin requirements equal to the net unrealized loss on open forward currency contracts in the Trading Companies’ accounts with the counterparty.


- 14 -

 
 

 

LV FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)



5.  Fair Value Measurements and Disclosures
Financial instruments are carried at fair value, which is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants.  Assets and liabilities carried at fair value are classified and disclosed in the following three levels: Level 1 - unadjusted quoted market prices in active markets for identical assets and liabilities; Level 2 - inputs other than unadjusted quoted market prices that are observable for the asset or liability, either directly or indirectly (including unadjusted quoted market prices for similar investments, interest rates and credit risk); and Level 3 - unobservable inputs for the asset or liability (including the Partnership’s own assumptions used in determining the fair value of investments).

In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy.  In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement.  The Partnership’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of the factors specific to the investment.

The Partnership’s assets and liabilities measured at fair value on a recurring basis are summarized in the following tables by the type of inputs applicable to the fair value measurements.




- 15 -
 
 
 
 

 
LV FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)

September 30, 2014
 
 
 
 
Assets
Unadjusted          
Quoted Prices in   
Active Markets for
  Identical Assets
        (Level 1)    
 
 Significant Other
    Observable
         Inputs    
       (Level 2)  
 
  Significant
   Unobservable
     Inputs
   (Level 3)
 
 
 
 
                 Total
   
       $      
 
                              $
Investment in Augustus I, LLC
4,049,920
             4,049,920
Investment in Rotella I, LLC
3,730,795
              3,730,795
Investment in TT II, LLC
3,148,524
               3,148,524
Investment in Boronia I, LLC
2,782,376
               2,782,376


December 31, 2013
 
 
 
 
Assets
Unadjusted           
Quoted Prices in   
      Active Markets for
  Identical Assets
        (Level 1)      
 
 Significant Other
   Observable
       Inputs   
     (Level 2)    
 
Significant
   Unobservable
     Inputs
   (Level 3)
 
 
 
 
     Total
   
   $
 
 $
 Investment in TT II, LLC
6,221,176
6,221,176
 Investment in Augustus I, LLC
4,318,716
4,318,716
 Investment in Rotella I, LLC
4,039,384
  4,039,384
 Investment in Morgan Stanley
 Smith Barney WNT I, LLC
 (“WNT  I, LLC”)
 
 
3,816,627
 
 
  3,816,627
 Investment in Boronia I, LLC
2,237,602
  2,237,602
 Investment in Morgan Stanley Smith Barney Kaiser I, LLC
  (“Kaiser I, LLC”)
 
1,861,138
 
  1,861,138

During the period from January 1, 2014 to September 30, 2014, and the twelve months ended December 31, 2013, there were no Level 3 assets and liabilities, and there were no transfers of assets or liabilities between Level 1 and Level 2.



- 16 -
 
 
 

 

LV FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)

The Partnership’s assets identified as “Investments in Affiliated Trading Companies” reflected on the Statements of Financial Condition represent the net asset value of the Partnership’s pro rata share of each Trading Company.  The net assets of each Trading Company are equal to the total assets of the Trading Company (including, but not limited to, all cash and cash equivalents, accrued interest and amortization of original issue discount, and the fair value of all open Futures Interests contract positions and other assets) less all liabilities of the Trading Company (including, but not limited to, brokerage commissions that would be payable upon the closing of open Futures Interests positions, management fees, incentive fees, and extraordinary expenses), determined in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”).

At September 30, 2014, the Partnership’s investment in the Trading Companies represented approximately: TT II, LLC 22.95%; Rotella I, LLC 27.20%; Boronia I, LLC 20.30%; and Augustus I, LLC 29.55% of the total investments of the Partnership, respectively.



At December 31, 2013, the Partnership’s investment in the Trading Companies represented approximately: Kaiser I, LLC 8.30%; TT II, LLC 27.65%; Rotella I, LLC 17.95%; Augustus I, LLC 19.20%; Boronia I, LLC  9.95%; and WNT I, LLC 16.95% of the total investments of the Partnership, respectively.



The tables below represent summarized Income Statement information for the Trading Companies that the Partnership invests in for the three and nine months ended September 30, 2014 and 2013, respectively, in accordance with Rule 3-09 of Regulation S-X:
- 17 -

 
 

 

LV FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)

For the Three Months Ended September 30, 2014
 
 
Investment
Income/(Loss)
Net
  Investment Loss
 
Total Trading Results
 
 
Net Income
 
 
    $
$
$
$
TT II, LLC
(7,955,935)
38,585,921
30,629,986
Augustus I, LLC
(121,691)
949,648
827,957
Rotella I, LLC
(74,182)
221,035
146,853
Boronia I, LLC
(3,213,470)
11,747,109
8,533,639

For the Nine Months
Ended September 30, 2014
 
 
Investment
Income/(Loss)
Net
  Investment Loss
 
Total Trading Results
 
Net
Income/(Loss)
 
 
    $
$
$
$
TT II, LLC
(11,905,340)
65,705,835
53,800,495
Rotella I, LLC
(183,924)
500,581
316,657
Kaiser I, LLC
(868,868)
(5,469,979)
(6,338,847)
Augustus I, LLC
(246,861)
1,099,169
852,308
Boronia I, LLC
(5,320,505)
15,863,418
10,542,913



For the Three Months Ended September 30, 2013
 
 
Investment
Income/(Loss)
Net
  Investment Loss
 
Total Trading Results
 
 
Net Loss
 
 
    $
$
$
$
TT II, LLC
(2,643,512)
(14,467,982)
(17,111,494)
Augustus I, LLC
(81,614)
(576,891)
(658,505)

For the Nine Months
Ended September 30, 2013
 
 
Investment
Income/(Loss)
Net
  Investment Loss
 
Total Trading Results
 
Net
Income/(Loss)
 
 
    $
$
$
$
TT II, LLC
(8,199,723)
(23,194,871)
(31,394,594)
WNT I, LLC
(129,226)
425,274
 296,048
Kaiser I, LLC
(2,368,666)
5,929,623
3,560,957
Augustus I, LLC
(261,400)
(5,061)
(266,461)
Boronia I, LLC
(3,220,183)
7,664,761
4,444,578




- 18 -
 
 
 

 

LV FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)


6.  Investment Company Status
Effective January 1, 2014, the Partnership adopted Accounting Standards Update (“ASU”) 2013-08, “Financial Services — Investment Companies (Topic 946): Amendments to the Scope, Measurement and Disclosure Requirements.” ASU 2013-08 changes the approach to the investment company assessment, requires non-controlling ownership interests in other investment companies to be measured at fair value, and requires additional disclosures about the investment company’s status as an investment company.   ASU 2013-08 is effective for interim and annual reporting periods beginning after December 15, 2013.  The adoption of this ASU did not have a material impact on the Partnership’s financial statements.  Based on management’s assessment, the Partnership has been deemed to be an investment company since inception.  It has all of the fundamental and typical characteristics of an investment company.  

7.  Income Taxes
No provision for income taxes has been made in the accompanying financial statements, as limited partners are individually responsible for reporting income or loss based upon their respective share of the Partnership’s revenues and expenses for income tax purposes.  The Partnership files U.S. federal and state tax returns.

The guidance issued by the Financial Accounting Standards Board (the “FASB”) on income taxes clarifies the accounting for uncertainty in income taxes recognized in the Partnership's financial statements, and prescribes a recognition threshold and measurement attribute for financial statement recognition and

- 19 -
 
 
 

 
LV FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)

measurement of a tax position taken or expected to be taken.  The Partnership has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements as of September 30, 2014 and December 31, 2013.  If applicable, the Partnership recognizes interest accrued related to unrecognized tax benefits in interest expense and penalties in other expenses in the Statements of Income and Expenses.  Generally, the 2011 through 2013 tax years remain subject to examination by U.S. federal and most state tax authorities.  No income tax returns are currently under examination.


8.  Subsequent Events

Management of Ceres performed its evaluation of 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.










- 20 -
 
 
 

 
 
Item 2.MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND
 
RESULTS OF OPERATIONS


As of September 30, 2014, the percentage of assets allocated to each market sector was approximately as follows: Interest Rate 18.32%; Currency 38.87%; Equity 21.78%; and Commodity 21.03%.

Liquidity.  MS&Co. and its affiliates act as custodians of each Trading Company’s assets pursuant to customer agreements and foreign exchange customer agreements.  The Partnership allocates substantially all of its assets to multiple Trading Companies. Such assets are deposited in the Trading Companies’ trading accounts with MS&Co. or its affiliates.  The funds in such accounts are available for margin and are used to engage in Futures Interests trading pursuant to instructions provided by the Trading Advisors.  The assets are held either in non-interest bearing bank accounts or in securities and instruments permitted by the Commodity Futures Trading Commission for investment of customer segregated or secured funds.  Since the Partnership’s sole purpose is to trade Futures Interests indirectly through the investment in the Trading Companies, it is expected that the Trading Companies will continue to own such liquid assets for margin purposes.

The Trading Companies’ investment in Futures Interests may, from time to time, be illiquid.  Most U.S. futures exchanges limit fluctuations in prices during a single day by regulations referred to as “daily price fluctuation limits” or “daily limits.”  Trades may not be executed at prices beyond the daily limit.  If the price for a particular futures or options contract has increased or decreased by an amount equal to the daily limit, positions in that futures or options contract can neither be taken nor liquidated unless traders are willing to effect trades at or within the limit.  Futures prices have occasionally moved the daily limit for several consecutive days with little or no trading.  These market conditions could prevent the Trading Companies from promptly liquidating their futures or options contracts and result in restrictions on redemptions.
- 21 -

 
 

 

There is no limitation on daily price movements in trading forward contracts on foreign currencies.  The markets for some world currencies have low trading volume and are illiquid, which may prevent the Trading Companies from trading in potentially profitable markets or prevent the Trading Companies from promptly liquidating unfavorable positions in such markets, subjecting them to substantial losses.  Either of these market conditions could result in restrictions on redemptions.  For the periods covered by this report, illiquidity has not materially affected the Partnership’s assets.

There are no known material trends, demands, commitments, events, or uncertainties at the present time that are reasonably likely to result in the Partnership’s liquidity increasing or decreasing in any material way.

As of September 30, 2014, approximately 67.04% of the Partnership’s total investment exposure is futures contracts which are exchange-traded while approximately 32.96% is forward contracts which are off-exchange-traded.

Capital Resources.  The Partnership does not have, nor does it expect to have, any capital assets.   Redemptions, exchanges, and sales of Units in the future will affect the amount of funds available for investments in Futures Interests in subsequent periods.  It is not possible to estimate the amount, and therefore the impact, of future inflows and outflows of Units.

There are no known material trends, favorable or unfavorable, that would affect, nor any expected material changes to the Partnership’s capital resource arrangements at the present time.


- 22 -
 
 
 

 
Off-Balance Sheet Arrangements and Contractual Obligations.  The Partnership does not have any off-balance sheet arrangements, nor does it have contractual obligations or commercial commitments to make future payments, that would affect its liquidity or capital resources.

Results of Operations
General.  The Partnership’s results depend on the Trading Advisors and the ability of each Trading Advisor’s trading program to take advantage of price movements in the futures, forward and options markets.  The following presents a summary of the Partnership’s operations for the three and nine months ended September 30, 2014 and 2013, and a general discussion of its trading activities during each period.  It is important to note, however, that the Trading Advisors trade in various markets at different times and that prior activity in a particular market does not mean that such market will be actively traded by the Trading Advisors or will be profitable in the future.  Consequently, the results of operations of the Partnership are difficult to discuss other than in the context of the Trading Advisors’ trading activities on behalf of the Partnership during the period in question.  Past performance is no guarantee of future results.


As of September 30, 2014 and June 30, 2014, the allocations between the Trading Companies were as follows:
 
 
Trading Company
 
 
Allocation as of 9/30/2014
 
 
Allocation as of 6/30/2014
     
TT II, LLC
22.95%
27.30%
Augustus I, LLC
29.55%
27.50%
Rotella I, LLC
27.20%
27.00%
Boronia I, LLC
20.30%
18.20%









- 23 -
 
 
 

 
The Partnership’s results of operations set forth in the financial statements on pages 2 through 20 of this report are prepared in accordance with U.S. GAAP, which require the use of certain accounting policies that affect the amounts reported in these financial statements, including the following: the contracts that the Trading Companies trade are accounted for on a trade-date basis and marked to market on a daily basis.  The difference between their original contract value and fair value is recorded on the Statements of Income and Expenses as “Net change in unrealized appreciation (depreciation) on investments” for open contracts, and recorded as “Net Realized” when open positions are closed out.  The sum of these amounts constitutes the Trading Companies’ trading results.  The fair value of a futures contract is the settlement price on the exchange on which that futures contract is traded on a particular day.  The value of a foreign currency forward contract is based on the spot rate as of approximately 3:00 P.M. (E.T.), the close of the business day.



Management of Ceres believes that, based on the nature of the operations of the Partnership, no assumptions relating to the application of critical accounting policies other than those presently used could reasonably affect reported amounts.


For the Three and Nine Months Ended September 30, 2014
The Partnership recorded total net realized/change in unrealized appreciation on investments of $868,072 and expenses totaling $106,702, resulting in net income of $761,370 for the three months ended September 30, 2014.  The Partnership’s net asset value per Unit by share Class is provided in the table below.



- 24 -
 
 
 

 
Share Class
NAV at 9/30/14
NAV at 6/30/14
     
A
$946.13
$894.69
B
$980.67
$926.22
C
$1,016.47
$958.85
Z
$1,091.97
$1,027.55


During the third quarter, the Partnership posted a gain in net asset value per Unit as trading profits in currencies, agriculturals, global interest rates, and metals more than offset losses in the energies and global stock index sectors.  The most significant gains were achieved within the currency sector throughout the third quarter from short positions in the Japanese yen and euro versus the U.S. dollar as diverging central bank policy paths contributed to a strong U.S. dollar relative to its peers. The Bank of Japan’s and the European Central Bank’s focus on keeping interest rates low, while the U.S. Federal Reserve indicated higher interest rates benefit the Fund’s short currency positions. Within the agriculturals sector, gains were recorded during the third quarter from short positions in corn, soybean, and wheat futures as prices declined as favorable growing conditions in the U.S. Midwest increased speculation that crop totals would reach record levels during 2014. Within the global interest rate sector, gains were achieved primarily during August from long positions in European fixed income futures as prices advanced as investors sought the relative safety of fixed income markets following concern of escalating geopolitical tensions. European bond prices also increased as the European Central Bank moved closer to introducing a quantitative easing policy to stimulate the Eurozone. Within the metals sector, gains were experienced during September from short positions in precious metals futures as prices declined as demand decreased on speculation that the U.S. Federal Reserve will raise U.S. interest rates sooner-than-forecast. A portion of the Partnership’s gains for the quarter was offset by losses incurred within the energy sector primary during July from long crude oil and gasoline futures positions as prices

- 25 -
 
 
 

 
declined amid speculation that rising U.S. gasoline stockpiles may signal a reduction in U.S. demand. Additional losses in this sector were recorded in late August from short positions in natural gas futures as prices rose after a burst of late summer heat slowed stockpiling. Within the global stock index sector, losses were incurred during the second half of September from long positions in U.S. equity index futures as prices declined amid concern over economic growth in Europe and geopolitical turmoil as the U.S. Federal Reserve prepares to end its bond-buying program.

The Partnership recorded total net realized/change in unrealized appreciation on investments of $879,422 and expenses totaling $390,143, resulting in net income of $489,279 for the nine months ended September 30, 2014.  The Partnership’s net asset value per Unit by share Class is provided in the table below.
Share Class
NAV at 9/30/14
NAV at 12/31/13
     
A
$946.13
$900.45
B
$980.67
$929.85
C
$1,016.47
$960.20
Z
$1,091.97
$1,023.87

During the first nine months of the year, the Partnership posted a gain in net asset value per Unit as trading profits in currencies, agriculturals, and global interest rates more than offset losses in the metals, energies and global stock index sectors. The most significant gains were achieved within the currencies sector during May and the third quarter from short euro positions versus the U.S. dollar as diverging central bank policy paths contributed to a strong U.S. dollar relative to its peers. In the agricultural complex, gains were achieved during February from long positions in soybean futures as prices advanced after adverse weather conditions in Brazil lowered crop estimates. Additional gains were achieved during the third quarter from short positions in corn, soybean, and wheat futures as prices declined as favorable growing conditions in the

- 26 -
 
 
 

 
U.S. Midwest increased speculation that crop totals would reach record levels during 2014. Within the global interest rate sector, gains were experienced during January and May through August from long positions in European fixed income futures as prices moved higher amid the prospect of European Central Bank stimulus and a slowdown in the Eurozone economy, boosting demand for the relative “safety” of government debt. The Partnership’s trading gains for the first nine months of the year were partially offset by trading losses within the metals sector throughout the majority of the first three quarters of the year, primarily from short precious metals futures positions as prices whipsawed. Losses within the energy sector were incurred during January from short futures positions in crude oil and petroleum distillates as prices advanced following cold weather in the U.S., which boosted demand for heating fuel. Additional losses within this sector were incurred during July from long crude oil and gasoline futures positions as prices declined amid speculation that rising U.S. gasoline stockpiles may signal a reduction in U.S. demand. Within the global stock index markets, losses were incurred during January from long positions in U.S., European and Asian equity index futures as prices declined following softer-than-expected economic data in the U.S. and China, along with political and economic headwinds facing emerging markets. Additional losses in this sector were incurred during the second half of the September from long positions in U.S. equity index futures as prices declined.


For the Three and Nine Months Ended September 30, 2013
The Partnership recorded total net realized/change in unrealized depreciation on investments of $(525,222) and expenses totaling $199,694, resulting in a net loss of $724,916 for the three months ended September 30, 2013.  The Partnership’s net asset value per Unit by share Class is provided in the table below.

- 27 -
 
 
 

 
Share Class
NAV at 9/30/13
NAV at 6/30/13
     
A
$864.85
 $889.90
B
$891.99
 $916.67
C
$919.97
$944.23
D*
–             
–                
Z
$978.55
$1,001.83

* Class D Units were converted to Class Z Units on March 1, 2013 at the discretion of the General Partner.

During the third quarter, the Partnership posted a loss in net asset value per Unit as losses in currencies, metals and global interest rates offset gains in global stock indices and agriculturals. Trading results in energy futures were relatively flat and had no material impact on the Partnership’s performance for the quarter. The most significant losses were incurred within the currency sector during July and August from short euro, British pound, and Japanese yen positions versus the U.S. dollar. During July, Federal Open Market Committee Chairman Ben Bernanke’s dovish reassurances pushed back concerns regarding the tapering of quantitative easing programs, causing the U.S. dollar to decrease in value against the euro and pound. Meanwhile, the yen advanced after Japanese retail sales fell and Chinese industrial companies reported slowing profits, boosting demand for the relative “safety” of the Asian currency. In August, losses continued from short British pound positions as the currency benefited from positive manufacturing data in the U.K. and a strengthening economy. Within the metals sector losses were recorded from short positions in precious and industrial metals futures as industrial metals prices increased due to improving macro-economic data in China, while uncertainty over the fate of monetary stimulus programs in the U.S. bolstered the precious metals “safe haven” appeal. In the global interest rate sector, losses were incurred primarily in September from short fixed income futures positions as prices rallied after European Central Bank President Mario Draghi announced that officials may consider injecting more stimulus measures into the banking system and after the U.S. Federal Reserve’s decision

- 28 -
 
 
 

 
not to start tapering its quantitative easing program. A portion of the Partnership’s losses for the quarter was offset by gains achieved within the global stock index sector primarily during July and September from long positions in U.S. and Asian equity index futures as prices advanced on news of positive employment figures in Europe and the U.S. Federal Reserve’s decision to not curtail its monthly bond purchasing program. Within the agricultural complex, gains were primarily experienced in August from long soybean futures positions as prices increased amid hot weather in the U.S. and concern of lower crop yields.

The Partnership recorded total net realized/change in unrealized depreciation on investments of $(4,335) and expenses totaling $673,677, resulting in a net loss of $678,012 for the nine months ended September 30, 2013.  The Partnership’s net asset value per Unit by share Class is provided in the table below.

Share Class
NAV at 9/30/13
NAV at 12/31/12 
     
A
$864.85
 $893.04
B
$891.99
 $917.60
C
$919.97
$942.83
D *
–                
$956.28
Z
$978.55
$995.36

* Class D Units were converted to Class Z Units on March 1, 2013 at the discretion of the General Partner.

During the first nine months of the year, the Partnership recorded a loss in net asset value per Unit as losses across global interest rates, energies, and agriculturals were offset by trading gains in stock indices, metals, and currencies. The most significant losses were incurred within the global interest rate sector during January and May. During January, long positions in U.S. and European fixed income futures resulted in losses as prices fell amid positive economic reports and after European Central Bank President

- 29 -
 
 
 

 
Mario Draghi said the euro-area economy should gradually recover this year. During May, losses were recorded from long positions in U.S. and European fixed income futures as prices moved lower following a positive U.S. employment report, a rise in German sentiment, and within the energy markets, losses were incurred within the energy markets during February, May and September. During February, losses were experienced from long futures positions in crude oil and its related products as prices fell sharply following news that the U.S. economy, China and Europe grew less than economists expected. Meanwhile in May, losses were incurred from long positions in natural gas futures as prices declined towards the end of the month on forecasts of mild weather. In September, losses were recorded from long crude oil and gasoline futures as prices declined after tensions in the Mideast eased and amid concerns a shutdown of the U.S. government may reduce demand by the world’s largest oil consumer. Within the agricultural complex, losses were experienced primarily during January from short positions in corn futures as prices advanced on concern that drier weather will deplete soil moisture in South America and increase stress on crops. Additional losses in this complex were incurred in April from short positions in sugar futures as prices rose on concern of harvest delays in Brazil, the world’s top sugar producer. The Partnership’s losses during the first nine months of the year were offset by gains achieved within the global stock index markets during January from long positions in U.S., Pacific Rim, and European equity index futures as prices moved higher after German business confidence improved, economic reports in the U.S. and China beat estimates, and a weaker yen boosted Japan’s exports. Additional gains were recorded in this sector during April and May from long positions in U.S. and European equity index futures as prices rose after gauges of U.S. leading economic indicators and consumer sentiment advanced. Gains during September were achieved in stock indices from long positions in U.S. and Asian stock index futures as prices moved higher following the U.S. Federal Reserve’s decision to delay curtailing its bond buying program. Within

- 30 -
 
 
 

 
the metals complex, gains were experienced in April through June from short positions in gold and silver futures as prices fell on fears Cyprus and other crisis-hit countries may be forced to sell their gold reserves and on speculation the U.S. Federal Reserve may scale back its monetary stimulus program. Within the currency markets, gains were achieved primarily during January from short positions in the Japanese yen versus the U.S. dollar, euro, and Australian dollar as the value of the yen declined on speculation the Bank of Japan will ease monetary policy further.

Item 3.  QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

Introduction
All of the Partnership’s assets are subject to the risk of trading loss through its investments in the Trading Companies, each of which invests substantially all of its assets in the trading program of an unaffiliated Trading Advisor. The market-sensitive instruments held by the Trading Companies are acquired for speculative trading purposes, and substantially all of the respective Trading Companies’ 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 Trading Companies’ main line of business.

The futures, forwards and options traded by the Trading Companies involve varying degrees of related market risk.  Market risk is often dependent upon changes in the level or volatility of interest rates, exchange rates, and prices of financial instruments and commodities.  These factors result in frequent
changes in the fair value of the Trading Companies’ open positions, and consequently in their earnings, whether realized or unrealized, and cash flow.  Gains and losses on open positions of exchange-traded futures, exchange-traded forward, and exchange-traded futures-styled options contracts and forward currency options contracts are settled daily through variation margin.  Gains and losses on off-exchange-

- 31 -
 
 
 

 
traded forward currency contracts and forward currency options contracts are settled upon termination of the contract.

The total market risk of the respective Trading Companies may increase or decrease as it is influenced by a wide variety of factors, including, but not limited to, the diversification among the Trading Companies’ open positions, the volatility present within the markets, and the liquidity of the markets.

The face value of the market sector instruments held by the Trading Companies is typically many times the applicable margin requirements.  Margin requirements generally range between 2% and 15% of contract face value.  Additionally, the use of leverage causes the face value of the market sector
instruments held by the Trading Companies typically to be many times the total capitalization of the Trading Companies.

The Partnership’s and the Trading Companies’ past performance are no guarantee of their future results.  Any attempt to numerically quantify the Trading Companies’ market risk is limited by the uncertainty of their speculative trading.  The Trading Companies’ speculative trading and use of leverage may cause future losses and volatility (i.e., “risk of ruin”) that far exceed the Trading Companies’ experiences to date as discussed under the “Trading Companies’ Value at Risk in Different Market Sectors” section and significantly exceed the Value at Risk (“VaR”) tables disclosed below.

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



- 32 -
 
 
 

 
Quantifying the Trading Companies’ Trading Value at Risk
The following quantitative disclosures regarding the Trading Companies’ market risk exposures contain “forward-looking statements” within the meaning of the safe harbor from civil liability provided for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section 27A of the Securities Act and Section 21E of the Securities Exchange Act of 1934, as amended (the “Exchange Act”)). All quantitative disclosures in this section are deemed to be forward-looking statements for purposes of the safe harbor, except for statements of historical fact.

The Trading Companies account for open positions on the basis of fair value accounting principles. Any loss in the market value of the Trading Companies’ open positions is directly reflected in the Trading Companies’ earnings and cash flow.

The Trading Companies’ risk exposure in the market sectors traded by the Trading Advisors is estimated below in terms of VaR.  Please note that the VaR model is used to quantify market risk for historic reporting purposes only and is not utilized by either Ceres or the Trading Advisors in their daily risk management activities.

VaR is a measure of the maximum amount which each Trading Company could reasonably be expected to lose in a given market sector.  However, the inherent uncertainty of each Trading Company’s speculative trading and the recurrence of market movements far exceeding expectations in the markets traded by the Trading Companies could result in actual trading or non-trading losses far beyond the indicated VaR of each Trading Company’s experience to date (i.e., “risk of ruin”).  In light of the

- 33 -
 
 
 

 
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 Trading Companies’ losses in any market sector will be limited to VaR or by the Trading Companies’ attempts to manage their respective market risk.

Exchange maintenance margin requirements have been used by the Trading Companies as the measure of their respective VaR.  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 VaR.


The Trading Companies’ Value at Risk in Different Market Sectors
 
As of September 30, 2014, TT II, LLC’s total capitalization was $443,475,296. The Partnership owned approximately 1% of TT II, LLC.
 
   September 30, 2014
   
% of Total
Market Sector
VaR
Capitalization
     
Currency
$20,946,118
4.72%
     
Interest Rate
13,040,964
2.94%
     
Equity
16,374,380
3.69%
     
Commodity
  23,405,404
  5.28%
     
Total
$73,766,866
16.63%



- 34 -
 
 
 

 
                                                                                          Three Months Ended September 30, 2014
Market Sector
High VaR
 
Low VaR
 
Average VaR*
 
Currency
 $43,738,616
$17,675,583
$29,145,931
Interest Rate
$17,228,800
$11,296,180
$14,078,676
Equity
$23,852,304
 $5,875,439
$16,776,978
Commodity
$23,821,522
 $19,108,518
   $21,391,203
* Average of month-end VaR.

As of September 30, 2014, Rotella I, LLC’s total capitalization was $6,263,227. The Partnership owned approximately 60% of Rotella I, LLC.
 
   September 30, 2014
   
% of Total
Market Sector
VaR
Capitalization
     
Currency
    $309,369
4.94%
     
Interest Rate
    211,789
3.38%
     
Equity
300,926
4.80%
     
Commodity
   75,883
  1.21%
     
Total
$897,967
14.33


                                                       Three Months Ended September 30, 2014
Market Sector
High VaR
 
Low VaR
 
Average VaR*
 
Currency
 $517,881
$231,913   
$335,095 
Interest Rate
$415,289
$183,748
$297,185 
Equity
$570,266
$181,873   
$331,391
Commodity
$244,713
 $56,061  
    $110,128
* Average of month-end VaR.
- 35 -
 
 
 

 
As of September 30, 2014, Augustus I, LLC’s total capitalization was $11,855,866 .  The Partnership owned approximately 34% of Augustus I, LLC.
 
                                                                            September 30, 2014
   
% of Total
Market Sector
VaR
Capitalization
     
Currency
$$719,787
6.07%
     
Interest Rate
     67,301
  0.57%
     
Total
  $787,088
6.64%
 

 
                                                                               Three Months Ended September 30, 2014
Market Sector
High VaR
 
Low VaR
 
Average VaR*
 
Currency
$1,053,240
$719,787
$924,595
Interest Rate
  $127,958
 $49,110
    $84,020
* Average of month-end VaR.

As of September 30, 2014, Boronia I, LLC’s total capitalization was $93,285,038.  The Partnership owned approximately 3% of Boronia I, LLC.
 
                                                                September 30, 2014
   
% of Total
Market Sector
VaR
Capitalization
     
Currency
    $3,910,984
4.19%
     
Interest Rate
     2,882,711
3.09%
     
Equity
    3,158,130
3.39%
     
Commodity
  5,580,877  
       5.93%
     
Total
$15,482,702
     16.60%


- 36 -
 
 
 

 
                                                                            Three Months Ended September 30, 2014
Market Sector
High VaR
 
Low VaR
 
Average VaR*
 
Currency
 $10,126,438
$1,650,622
$4,718,959
Interest Rate
$5,241,190
   $1,549,743
$2,851,747
Equity
$9,013,937
$1,015,853
  $4,433,761
Commodity
$6,835,307   
 $2,527,211
      $4,113,729
* Average of month-end VaR.

As of December 31, 2013, Kaiser I, LLC’s total capitalization was $51,718,650.  The Partnership owned approximately 4% of Kaiser I, LLC.

December 31, 2013
   
 
% of Total
Market Sector
VaR
Capitalization
     
Currency
$713,683
1.38%
     
Interest Rate
611,810   
1.18%
     
Equity
248,710
0.48%
     
Total
  103,658
       0.20%
     
 
$1,677,861
 3.24%






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Twelve Months Ended December 31, 2013
 
Market Sector
High VaR
Low VaR
Average VaR*
Currency
 $7,336,691
$22,992
$1,488,345
Interest Rate
$4,218,857
$2,475  
$1,332,205
Equity
$7,192,355
$129,192 
$2,475,745
Commodity
$1,479,103
 –
   $433,522

* Average of month-end VaR.

As of December 31, 2013, TT II, LLC’s total capitalization was $508,256,409.  The Partnership owned approximately 1% of TT II, LLC.
 
December 31, 2013
   
% of Total
Market Sector
VaR
Capitalization
     
Currency
         $36,018,348
7.09%  
     
Interest Rate
9,081,535
1.79%  
     
Equity
17,291,541
3.40%  
     
Commodity
    36,416,803
  7.17%
     
Total
  $98,808,227
19.45%





 




- 38 -
 
 
 

 
Twelve Months Ended December 31, 2013
Market Sector
High VaR
Low VaR
Average VaR*
Currency
 $37,638,813
$5,474,243
$17,624,769
Interest Rate
$25,815,930
$3,277,243
$11,818,184
Equity
$29,020,570
$6,586,655
$16,916,915
Commodity
$41,246,716 
$14,327,064
$24,069,926
* Average of month-end VaR.

As of December 31, 2013, Rotella I, LLC’s total capitalization was $5,985,093.  The Partnership owned approximately 67% of Rotella I, LLC.
 
December 31, 2013
   
% of Total
Market Sector
    VaR
Capitalization
     
Currency
$277,057
4.63%
     
Interest Rate
123,272  
2.06%
     
Equity
370,860
6.20%
     
Commodity
  182,103
  3.04%
     
Total
  $953,292
15.93%








- 39 -
 
 
 

 

                         Twelve Months Ended December 31, 2013
Market Sector
High VaR
Low VaR
Average VaR*
Currency
 $400,639
$74,405
$210,890
Interest Rate
$413,332
$28,749
$161,429
Equity
$486,506
$78,582
$292,151
Commodity
$210,965 
  $41,841
$112,948
* Average of month-end VaR.

As of December 31, 2013, Augustus I, LLC’s total capitalization was $15,233,555.  The Partnership owned approximately 28% of Augustus I, LLC.
 
December 31, 2013
   
% of Total
Market Sector
VaR
Capitalization
     
Currency
$1,118,984
7.35%
     
Total
$1,118,984
7.35%


Twelve Months Ended December 31, 2013
Market Sector
High VaR
Low VaR
Average VaR*
Currency
$1,219,145
$51,910
$619,328
Interest Rate
$92,002     
$15,075

* Average of month-end VaR.

As of December 31, 2013, Boronia I, LLC’s total capitalization was $65,220,505.  The Partnership owned approximately 3% of Boronia I, LLC.

- 40 -
 
 
 

 
December 31, 2013
Primary Market
 
% of
Risk Category
VaR
Total Capitalization
     
Currency
$1,686,465
 2.59%
     
Interest Rate
1,335,142
 2.05%
     
Equity
     1,905,034
 2.92%
     
Commodity
2,706,808
      4.15%
     
Total
$7,633,449
11.71%



                                              Twelve Months Ended December 31, 2013
Market Sector
High VaR   
Low VaR
Average VaR*
Currency
 $6,014,107
$251,044
$2,188,362
Interest Rate
$3,815,651
$258,654
$1,509,121
Equity
$5,076,611
$443,259
$2,245,443
Commodity
$4,896,991   
 $557,636
$3,083,483

* Average of month-end VaR.

As of December 31, 2013, WNT I, LLC’s total capitalization was $5,582,376.  The Partnership owned approximately 68% of WNT I, LLC.





- 41 -
 
 
 

 
December 31, 2013
   
% of Total
Market Sector
VaR
Capitalization
     
Currency
           $292,507
5.24%
     
Interest Rate
94,703
1.70% 
      
Equity
288,490
5.17% 
     
Commodity
  127,264
  2.28%
     
Total
$802,964
14.39%

                         Twelve Months Ended December 31, 2013
Market Sector
High VaR
$
Low VaR
$
Average VaR*
$
Currency
 $528,259
 $210,356
$336,294
Interest Rate
$305,078
  $33,697
$128,003
Equity
$482,073
$122,601
$282,874
Commodity
$272,741 
   $74,121
$155,722
* Average of month-end VaR.

Limitations on Value at Risk as an Assessment of Market Risk
VaR models permit estimation of a portfolio’s aggregate market risk exposure, incorporating a range of varied market risks, reflect risk reduction due to portfolio diversification or hedging activities, and can cover a wide range of portfolio assets.  However, VaR risk measures should be viewed in light of the methodology’s limitations, which include, but may not be limited to, the following:



- 42 -
 
 
 

 
·  
past changes in market risk factors will not always result in accurate predictions of the distributions and correlations of future market movements;
·  
changes in portfolio value caused by market movements may differ from those of the VaR model;
·  
VaR results reflect past market fluctuations applied to current trading positions, while future risk depends on future positions;
·  
VaR using a one-day time horizon does not fully capture the market risk of positions that cannot be liquidated or hedged within one day; and
·  
the historical market risk factor data used for VaR estimation may provide only limited insight into losses that could be incurred under certain unusual market movements.

Non-Trading Risk
The Trading Companies have non-trading market risk on their foreign cash balances not needed for margin. These balances and any market risk they may represent are immaterial.



A decline in short-term interest rates would result in a decline in the Trading Companies’ cash management income.  This cash flow risk is not considered to be material.

Materiality, as used throughout this section, is based on an assessment of reasonably possible market movements and any associated potential losses, taking into account the leverage, optionality, and multiplier features of the Trading Companies’ market-sensitive instruments, in relation to the Trading Companies’ net assets.


- 43 -
 
 
 

 
Qualitative Disclosures Regarding Primary Trading Risk Exposures
The following qualitative disclosures regarding the Partnership’s market risk exposures – except for (A) those disclosures that are statements of historical fact and (B) the descriptions of how the Partnership manages its primary market risk exposures – constitute forward-looking statements within the meaning of Section 27A of the Securities Act and Section 21E of the Exchange Act.  The Partnership’s primary market risk exposures, as well as the strategies used and to be used by Ceres and the Trading Advisors for managing such exposures, are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of the Partnership’s risk controls to differ materially from the objectives of such strategies.  Government interventions, defaults and expropriations, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, increased regulation, and many other factors could result in material losses, as well as in material changes to the risk exposures and the risk management strategies of the Partnership.

Investors must be prepared to lose all or substantially all of their investment in the Partnership.

Qualitative Disclosures Regarding Means of Managing Risk Exposure
The Partnership and the Trading Advisors, separately, attempt to manage the risk of the Partnership’s open positions in essentially the same manner in all market categories traded. Ceres attempts to manage market exposure by diversifying the Partnership’s assets among different market sectors through the selection of commodity trading advisors and by daily monitoring of their performance.  In addition, the Trading Advisors establish diversification guidelines, often set in terms of the maximum margin to be committed to positions in any one market sector or market-sensitive instrument.

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Ceres monitors and controls the risk of the Partnership’s non-trading instrument, cash. Cash is the only Partnership investment directed by Ceres, rather than the Trading Advisors.


Item 4.  ONTROLS AND PROCEDURES


Evaluation of Disclosure Controls and Procedures
Under the supervision and with the participation of the management of Ceres, Ceres’ Director (Ceres’ principal executive officer) and Chief Financial Officer (Ceres’ principal financial officer) have evaluated the effectiveness of the design and operation 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 September 30, 2014.  The Partnership’s disclosure controls and procedures are designed to provide reasonable assurance that information the Partnership is required to disclose in the reports that the Partnership files or submits under the Exchange Act is recorded, processed, summarized and reported within the time period specified in the applicable rules and forms.  Based on this evaluation, the Director and Chief Financial Officer of Ceres have concluded that the disclosure controls and procedures of the Partnership were effective at September 30, 2014.

 
Changes in Internal Control over Financial Reporting
There have been no changes during the period covered by this quarterly report in the Partnership’s internal control over financial reporting (as defined in Rules 13a-15(f) and 15d-15(f) of the Exchange Act) that have materially affected or are reasonably likely to materially affect the Partnership’s internal control over financial reporting.




- 45 -
 
 
 

 
Limitations on the Effectiveness of Controls
 

Any control system, no matter how well designed and operated, can provide reasonable (not absolute) assurance that its objectives will be met.  Furthermore, no evaluation of controls can provide absolute assurance that all control issues and instances of fraud, if any, have been detected.



















- 46 -

 
 

 

PART II.  OTHER INFORMATION
Item 1.  LEGAL PROCEEDINGS

There are no material legal proceedings pending against the Partnership nor the General Partner.

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, 2013, as updated by the Partnership’s Quarterly Reports on Form 10-Q for the quarters ended March 31, 2014 and June 30, 2014.

On June 1, 2011, Morgan Stanley & Co. Incorporated converted from a Delaware corporation to a Delaware limited liability company.  As a result of that conversion, Morgan Stanley & Co. Incorporated is now named Morgan Stanley & Co. LLC.

MS&Co. is a wholly-owned, indirect subsidiary of Morgan Stanley, a Delaware holding company.  Morgan Stanley files periodic reports with the Securities and Exchange Commission (the “SEC”) as required by the Exchange Act, which include current descriptions of material litigation and material proceedings and investigations, if any, by governmental and/or regulatory agencies or self-regulatory organizations concerning Morgan Stanley and its subsidiaries, including MS&Co.  As a consolidated subsidiary of Morgan Stanley, MS&Co. does not file its own periodic reports with the SEC that contain descriptions of material litigation, proceedings and investigations.  As a result, we refer you to the “Legal Proceedings” section of Morgan Stanley’s SEC 10-K filings for 2013, 2012, 2011, 2010, and 2009.

- 47 -
 
 
 

 

In addition to the matters described in those filings, in the normal course of business, each of Morgan Stanley and MS&Co. has been named, from time to time, as a defendant in various legal actions, including arbitrations, class actions, and other litigation, arising in connection with its activities as a global diversified financial services institution.  Certain of the legal actions include claims for substantial compensatory and/or punitive damages or claims for indeterminate amounts of damages.  Each of Morgan Stanley and MS&Co. is also involved, from time to time, in investigations and proceedings by governmental and/or regulatory agencies or self-regulatory organizations, certain of which may result in adverse judgments, fines or penalties.  The number of these investigations and proceedings has increased in recent years with regard to many financial services institutions, including Morgan Stanley and MS&Co.

MS&Co. is a Delaware limited liability company with its main business office located at 1585 Broadway, New York, New York 10036.  Among other registrations and memberships, MS&Co. is registered as a futures commission merchant and is a member of National Futures Association.

On May 7, 2009, MS&Co. was named as a defendant in a purported class action lawsuit brought under Sections 11, 12 and 15 of the Securities Act of 1933, as amended, which is now styled In re Morgan Stanley Mortgage Pass-Through Certificates Litigation and is pending in the United States District Court for the Southern District of New York (“SDNY”).  The third amended complaint, filed on September 30, 2011, alleges, among other things, that the registration statements and offering documents related to the offerings of certain mortgage pass-through certificates in 2006 contained false and misleading information concerning the pools of residential loans that backed these securitizations. The plaintiffs seek, among other relief, class certification, unspecified compensatory and rescissionary damages, costs, interest and fees. On July 22, 2014,
- 48 -
 
 
 

 
the parties reached an agreement in principle to settle the litigation. The settlement is subject to approval by the court, which has set a final approval hearing for December 18, 2014.

On December 23, 2009, the Federal Home Loan Bank of Seattle filed a complaint against MS&Co. and an affiliate and other defendants in the Superior Court of the State of Washington, styled Federal Home Loan Bank of Seattle v. Morgan Stanley & Co. Inc., et al.  The amended complaint, filed on September 28, 2010, alleges that defendants made untrue statements and material omissions in the sale to plaintiff of certain mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The total amount of certificates allegedly sold to plaintiff by MS&Co. was approximately $233 million. The complaint raises claims under the Washington State Securities Act and seeks, among other things, to rescind the plaintiff’s purchase of such certificates. On October 18, 2010, defendants filed a motion to dismiss the action. By orders dated June 23, 2011 and July 18, 2011, the court denied defendants’ omnibus motion to dismiss plaintiff’s amended complaint and on August 15, 2011, the court denied MS&Co.’s individual motion to dismiss the amended complaint.  At June 25, 2014, the current unpaid balance of the mortgage pass-through certificates at issue in these cases was approximately $54 million, and the certificates had not yet incurred actual losses. Based on currently available information, MS&Co. believes it and/or its affiliates could incur a loss for this action up to the difference between the $54 million unpaid balance of these certificates (plus any losses incurred) and their fair market value at the time of a judgment against MS&Co. and/or its affiliates, or upon sale, plus pre- and post-judgment interest, fees and costs. MS&Co. and/or its affiliates may be entitled to be indemnified for some of these losses and to an offset for interest received by the plaintiff prior to a judgment.

- 49 -
 
 
 

 

On March 15, 2010, the Federal Home Loan Bank of San Francisco filed two complaints against MS&Co. and other defendants in the Superior Court of the State of California. These actions are styled Federal Home Loan Bank of San Francisco v. Credit Suisse Securities (USA) LLC, et al., and Federal Home Loan Bank of San Francisco v. Deutsche Bank Securities Inc. et al., respectively. Amended complaints filed on June 10, 2010 allege that defendants made untrue statements and material omissions in connection with the sale to plaintiff of a number of mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The amount of certificates allegedly sold to plaintiff by MS&Co. in these cases was approximately $704 million and $276 million, respectively. The complaints raise claims under both the federal securities laws and California law and seek, among other things, to rescind the plaintiff’s purchase of such certificates. On August 11, 2011, plaintiff’s claims brought under the Securities Act of 1933, as amended, were dismissed with prejudice. The defendants filed answers to the amended complaints on October 7, 2011. On February 9, 2012, defendants’ demurrers with respect to all other claims were overruled. On December 20, 2013, plaintiff’s negligent misrepresentation claims were dismissed with prejudice. A bellwether trial is currently scheduled to begin in January 2015. MS&Co. is not a defendant in connection with the securitizations at issue in that trial. On May 23, 2014, plaintiff and the defendants in the bellwether trial filed motions for summary adjudication, which were denied. At September 25, 2014, the current unpaid balance of the mortgage pass-through certificates at issue in these cases was approximately $291 million, and the certificates had incurred actual losses of approximately $6 million. Based on currently available information, MS&Co. believes it could incur a loss for this action up to the difference between the $291 million unpaid balance of these certificates (plus any losses incurred) and their fair market value at the time of a judgment against MS&Co., or upon sale, plus pre- and post-judgment interest, fees and costs. MS&Co. may be entitled to be indemnified for some of these losses and to an offset for interest received by the plaintiff prior to a judgment.
- 50 -
 
 
 

 
On July 9, 2010 and February 11, 2011, Cambridge Place Investment Management Inc. filed two separate complaints against MS&Co. and/or its affiliates and other defendants in the Superior Court of the Commonwealth of Massachusetts, both styled Cambridge Place Investment Management Inc. v. Morgan Stanley & Co., Inc., et al. The complaints assert claims on behalf of certain clients of plaintiff’s affiliates and allege that defendants made untrue statements and material omissions in the sale of a number of mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The total amount of certificates allegedly issued by MS&Co. and/or its affiliates or sold to plaintiff’s affiliates’ clients by MS&Co. and/or its affiliates in the two matters was approximately $263 million.  On February 11, 2014, the parties entered into an agreement to settle the litigation.  On February 20, 2014, the court dismissed the action.

On July 15, 2010, China Development Industrial Bank (“CDIB”) filed a complaint against MS&Co. and an affiliate, which is styled China Development Industrial Bank v. Morgan Stanley & Co. Incorporated et al., which is pending in the Supreme Court of the State of New York, New York County (“Supreme Court of NY, NY County”). The complaint relates to a $275 million credit default swap referencing the super senior portion of the STACK 2006-1 collateralized debt obligation (“CDO”). The complaint asserts claims for common law fraud, fraudulent inducement and fraudulent concealment and alleges that MS&Co. and/or its affiliate misrepresented the risks of the STACK 2006-1 CDO to CDIB, and that MS&Co. and/or its affiliate knew that the assets backing the CDO were of poor quality when it entered into the credit default swap with CDIB. The complaint seeks compensatory damages related to the approximately $228 million that CDIB alleges it has already lost under the credit default swap, rescission of CDIB’s obligation to pay an additional $12 million, punitive damages, equitable relief, fees and costs. On February 28, 2011, the court presiding

- 51 -

 
 

 

over this action denied MS&Co. and its affiliate’s s motion to dismiss the complaint and on March 21, 2011, MS&Co. and its affiliate appealed that order.  On July 7, 2011, the appellate court affirmed the lower court’s decision denying the motion to dismiss. Based on currently available information, MS&Co. and/or its affiliate believes it and/or its affiliate could incur a loss of up to approximately $240 million plus pre- and post-judgment interest, fees and costs.

On October 15, 2010, the Federal Home Loan Bank of Chicago filed a complaint against MS&Co. and its affiliates and other defendants in the Circuit Court of the State of Illinois styled Federal Home Loan Bank of Chicago v. Bank of America Funding Corporation et al. The complaint alleges that defendants made untrue statements and material omissions in the sale to plaintiff of a number of mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The total amount of certificates allegedly sold to plaintiff by MS&Co. and/or its affiliates in this action was approximately $203 million. The complaint raises claims under Illinois law and seeks, among other things, to rescind the plaintiff’s purchase of such certificates. On March 24, 2011, the court granted plaintiff leave to file an amended complaint. MS&Co. and its affiliates filed an answer on December 21, 2012. On December 13, 2013, the court entered an order dismissing all claims related to one of the securitizations at issue. At September 25, 2014, the current unpaid balance of the mortgage pass-through certificates at issue in this action was approximately $55 million and the certificates had not yet incurred actual losses. Based on currently available information, MS&Co. believes it and/or its affiliates could incur a loss in this action up to the difference between the $55 million unpaid balance of these certificates (plus any losses incurred) and their fair market value at the time of a judgment against MS&Co. and/or its affiliates, or upon sale, plus pre- and post-judgment interest, fees and costs. MS&Co. and/or its affiliates may be entitled to be indemnified for some of these losses and to an offset for interest received by the plaintiff prior to a judgment.

- 52 -
 
 
 

 
On October 25, 2010, MS&Co., certain affiliates and Pinnacle Performance Limited, a special purpose vehicle, were named as defendants in a purported class action related to securities issued by the special purpose vehicle in Singapore, commonly referred to as Pinnacle Notes. The case is styled Ge Dandong, et al. v. Pinnacle Performance Ltd., et al. and is pending in the SDNY. An amended complaint was filed on October 22, 2012.  The court denied defendants’ motion to dismiss the amended complaint on August 22, 2013 and granted class certification on October 17, 2013.  On October 30, 2013, defendants filed a petition for permission to appeal the court’s decision granting class certification.  On January 31, 2014, plaintiffs filed a second amended complaint.  The second amended complaint alleges that the defendants engaged in a fraudulent scheme to defraud investors by structuring the Pinnacle Notes to fail and benefited subsequently from the securities’ failure.  In addition, the second amended complaint alleges that the securities’ offering materials contained material misstatements or omissions regarding the securities’ underlying assets and the alleged conflicts of interest between the defendants and the investors.  The second amended complaint asserts common law claims of fraud, aiding and abetting fraud, fraudulent inducement, aiding and abetting fraudulent inducement, and breach of the implied covenant of good faith and fair dealing.  On July 17, 2014, the parties reached an agreement in principle to settle the litigation. The settlement is subject to court approval.

On April 20, 2011, the Federal Home Loan Bank of Boston filed a complaint against MS&Co. and certain affiliates and other defendants in the Superior Court of the Commonwealth of Massachusetts styled Federal Home Loan Bank of Boston v. Ally Financial, Inc. F/K/A GMAC LLC et al. An amended complaint was filed on June 19, 2012 and alleges that defendants made untrue statements and material omissions in the sale to plaintiff of certain mortgage pass-through certificates backed by securitization trusts containing residential

- 53 -
 
 
 

 

mortgage loans. The total amount of certificates allegedly issued by MS&Co. and/or its affiliates or sold to plaintiff by MS&Co. and/or its affiliates was approximately $385 million. The amended complaint raises claims under the Massachusetts Uniform Securities Act, the Massachusetts Consumer Protection Act and common law and seeks, among other things, to rescind the plaintiff’s purchase of such certificates. On May 26, 2011, defendants removed the case to the United States District Court for the District of Massachusetts. On October 11, 2012, defendants filed motions to dismiss the amended complaint, which was granted in part and denied in part on September 30, 2013. The defendants filed an answer to the amended complaint on December 16, 2013. Plaintiff voluntarily dismissed its claims against MS&Co. and its affiliates with respect to two of the securitizations at issue. At September 25, 2014, the current unpaid balance of the mortgage pass-through certificates at issue in this action was approximately $66 million, and the certificates had not yet incurred actual losses. Based on currently available information, MS&Co. believes it and/or its affiliates could incur a loss in this action up to the difference between the $66 million unpaid balance of these certificates (plus any losses incurred) and their fair market value at the time of a judgment against MS&Co. and/or its affiliates, or upon sale, plus pre- and post-judgment interest, fees and costs. MS&Co. and/or its affiliates may be entitled to be indemnified for some of these losses and to an offset for interest received by the plaintiff prior to a judgment.

On July 5, 2011, Allstate Insurance Company and certain of its affiliated entities filed a complaint against MS&Co. and certain of its affiliates in the Supreme Court of NY, NY County, styled Allstate Insurance Company, et al. v. Morgan Stanley, et al. An amended complaint was filed on September 9, 2011 and alleges that defendants made untrue statements and material omissions in the sale to plaintiff of certain mortgage


- 54 -
 
 
 

 
pass-through certificates backed by securitization trusts containing residential mortgage loans. The total amount of certificates allegedly issued and/or sold to plaintiffs by MS&Co. and/or its affiliates was approximately $104 million. The complaint raises common law claims of fraud, fraudulent inducement, aiding and abetting fraud and negligent misrepresentation and seeks, among other things, compensatory and/or rescissionary damages associated with plaintiffs’ purchases of such certificates. On March 15, 2013, the court denied in substantial part the defendants’ motion to dismiss the amended complaint, which order MS&Co. and its affiliates appealed on April 11, 2013.  On May 3, 2013, MS&Co. and its affiliates filed an answer to the amended complaint. At September 25, 2014, the current unpaid balance of the mortgage pass-through certificates at issue in this action was approximately $82 million, and the certificates had not yet incurred actual losses. Based on currently available information, MS&Co. believes it and/or its affiliates could incur a loss in this action up to the difference between the $82 million unpaid balance of these certificates (plus any losses incurred) and their fair market value at the time of a judgment against MS&Co. and/or its affiliates, or upon sale, plus pre- and post-judgment interest, fees and costs. MS&Co. and/or its affiliates may be entitled to an offset for interest received by the plaintiff prior to a judgment.

On July 18,  2011, the Western and Southern Life Insurance Company and certain affiliated companies filed a complaint against MS&Co. and certain affiliates and other defendants in the Court of Common Pleas in Ohio, styled Western and Southern Life Insurance Company, et al. v. Morgan Stanley Mortgage Capital Inc., et al. An amended complaint was filed on April 2, 2012 and alleges that defendants made untrue statements and material omissions in the sale to plaintiffs of certain mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The amount of the certificates allegedly sold to


- 55 -
 
 
 

 
     
 plaintiffs by MS&Co. and/or its affiliates was approximately $153 million. The amended complaint raises claims under the Ohio Securities Act, federal securities laws, and common law and seeks, among otherthings, to rescind the plaintiffs’ purchases of such certificates. MS&Co. and its affiliates filed an answer on August 17, 2012. Trial is currently scheduled to begin in July 2015. At September 25, 2014, the current unpaid balance of the mortgage pass-through certificates at issue in this action was approximately $111 million, and the certificates had incurred actual losses of approximately $2 million. Based on currently available information, MS&Co. believes it and/or its affiliates could incur a loss in this action up to the difference between the $111 million unpaid balance of these certificates (plus any losses incurred) and their fair market value at the time of a judgment against MS&Co. and/or its affiliates, or upon sale, plus post-judgment interest, fees and costs. MS&Co. and/or its affiliates may be entitled to an offset for interest received by the plaintiff prior to a judgment.

On September 2, 2011, the Federal Housing Finance Agency, as conservator for Fannie Mae and Freddie Mac, filed 17 complaints against numerous financial services companies, including MS&Co. and certain affiliates. A complaint against MS&Co. and certain affiliates and other defendants was filed in the Supreme Court of NY, NY County, styled Federal Housing Finance Agency, as Conservator v. Morgan Stanley et al. The complaint alleges that defendants made untrue statements and material omissions in connection with the sale to Fannie Mae and Freddie Mac of residential mortgage pass-through certificates with an original unpaid balance of approximately $11 billion. The complaint raised claims under federal and state securities laws and common law and seeks, among other things, rescission and compensatory and punitive damages.  On February 7, 2014, the parties entered into an agreement to settle the litigation.  On February 20, 2014, the court dismissed the action.

- 56 -
 
 
 

 
On November 4, 2011, the Federal Deposit Insurance Corporation (“FDIC”), as receiver for Franklin Bank S.S.B., filed two complaints against MS&Co. in the District Court of the State of Texas. Each was styled Federal Deposit Insurance Corporation, as Receiver for Franklin Bank S.S.B. v. Morgan Stanley & Company LLC F/K/A Morgan Stanley & Co. Inc. and alleged that MS&Co. made untrue statements and material omissions in connection with the sale to plaintiff of mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The amount of certificates allegedly underwritten and sold to the plaintiff by MS&Co. in these cases was approximately $67 million and $35 million, respectively. The complaints each raised claims under both federal securities law and the Texas Securities Act and each seeks, among other things, compensatory damages associated with plaintiff’s purchase of such certificates. On March 20, 2012, MS&Co. filed answers to the complaints in both cases. On June 7, 2012, the two cases were consolidated. On January 10, 2013, MS&Co. filed a motion for summary judgment and special exceptions with respect to plaintiff’s claims. On February 6, 2013, the FDIC filed an amended consolidated complaint. On February 25, 2013, MS&Co. filed a motion for summary judgment and special exceptions, which motion was denied in substantial part on April 26, 2013. On May 3, 2013, the FDIC filed a second amended consolidated complaint. On October 7, 2014, the court denied MS&Co.’s motion for reconsideration of the court’s order denying its motion for summary judgment and granted its motion for reconsideration of the court’s order denying permission for interlocutory appeal.  On October 22, 2014, MS&Co. filed a petition for permissive interlocutory appeal with the appellate court. Trial is currently scheduled to begin in March 2015.  At September 25, 2014, the current unpaid balance of the mortgage pass-through certificates at issue in this action was approximately $44 million, and the certificates had incurred actual losses of approximately $5 million. Based on currently available information, MS&Co. believes it could incur a loss in this action up to the difference between the $44 million unpaid balance of these

- 57 -
 
 
 

 

certificates (plus any losses incurred) and their fair market value at the time of a judgment against MS&Co., or upon sale, plus pre- and post-judgment interest, fees and costs. MS&Co. may be entitled to be indemnified for some of these losses and to an offset for interest received by the plaintiff prior to a judgment.

On April 25, 2012, Metropolitan Life Insurance Company and certain affiliates filed a complaint against MS&Co. and certain affiliates in the Supreme Court of NY, NY County, styled Metropolitan Life Insurance Company, et al. v. Morgan Stanley, et al. An amended complaint was filed on June 29, 2012 and alleges that defendants made untrue statements and material omissions in the sale to plaintiffs of certain mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The total amount of certificates allegedly sponsored, underwritten and/or sold by MS&Co. and/or certain affiliates was approximately $758 million. The amended complaint raised common law claims of fraud, fraudulent inducement, and aiding and abetting fraud and seeks, among other things, rescission, compensatory and/or rescissionary damages, as well as punitive damages, associated with plaintiffs’ purchases of such certificates. On January 23, 2014, the parties reached an agreement in principle to settle the litigation.  On April 25, 2014, the parties filed a stipulation of voluntary discontinuance of the action with prejudice.

On April 25, 2012, The Prudential Insurance Company of America and certain affiliates filed a complaint against MS&Co. and certain affiliates in the Superior Court of the State of New Jersey styled The Prudential Insurance Company of America, et al. v. Morgan Stanley, et al. The complaint alleges that defendants made untrue statements and material omissions in connection with the sale to plaintiffs of certain mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The total amount of certificates allegedly sponsored, underwritten and/or sold by MS&Co. is approximately $1 billion. The complaint raises claims under the New Jersey Uniform Securities Law, as well as common law claims of
- 58 -
 
 
 

 
negligent misrepresentation, fraud and tortious interference with contract and seeks, among other things, compensatory damages, punitive damages, rescission and rescissionary damages associated with plaintiffs’ purchases of such certificates. On October 16, 2012, plaintiffs filed an amended complaint which, among other things, increases the total amount of the certificates at issue by approximately $80 million, adds causes of action for fraudulent inducement, equitable fraud, aiding and abetting fraud, and violations of the New Jersey RICO statute, and includes a claim for treble damages. On March 15, 2013, the court denied the defendants’ motion to dismiss the amended complaint. On April 26, 2013, the defendants filed an answer to the amended complaint. On June 5, 2014, the defendants filed a renewed motion to dismiss the amended complaint. At September 25, 2014, the current unpaid balance of the mortgage pass-through certificates at issue in this action was approximately $613 million, and the certificates had not yet incurred actual losses. Based on currently available information, MS&Co. believes it and/or its affiliates could incur a loss in this action up to the difference between the $613 million unpaid balance of these certificates (plus any losses incurred) and their fair market value at the time of a judgment against MS&Co. and/or its affiliates, or upon sale, plus pre- and post-judgment interest, fees and costs. MS&Co. and/or its affiliates may be entitled to be indemnified for some of these losses and to an offset for interest received by the plaintiff prior to a judgment.

On June 5, 2012, MS&Co. consented to and became the subject of an Order Instituting Proceedings Pursuant to Sections 6(c) and 6(d) of the Commodity Exchange Act, as amended, Making Findings and Imposing Remedial Sanctions by The Commodity Futures Trading Commission (CFTC) to resolve allegations related to the failure of a salesperson to comply with exchange rules that prohibit off-exchange futures transactions unless there is an Exchange for Related Position (EFRP).  Specifically, the CFTC found that from April 2008 through October 2009, MS&Co. violated Section 4c(a) of the Commodity Exchange Act and Commission

-59 -
 
 
 

 

Regulation 1.38 by executing, processing and reporting numerous off-exchange futures trades to the Chicago Mercantile Exchange (CME) and Chicago Board of Trade (CBOT) as EFRPs in violation of CME and CBOT rules because those trades lacked the corresponding and related cash, OTC swap, OTC option, or
other OTC derivative position.  In addition, the CFTC found that MS&Co. violated CFTC Regulation 166.3 by failing to supervise the handling of the trades at issue and failing to have adequate policies and procedures designed to detect and deter the violations of the Act and Regulations.  Without admitting or denying the underlying allegations and without adjudication of any issue of law or fact, MS&Co. accepted and consented to entry of findings and the imposition of a cease and desist order, a fine of $5,000,000, and undertakings related to public statements, cooperation and payment of the fine.  MS&Co. entered into corresponding and related settlements with the CME and CBOT in which the CME found that MS&Co. violated CME Rules 432.Q and 538 and fined MS&Co. $750,000 and CBOT found that MS&Co. violated CBOT Rules 432.Q and 538 and fined MS&Co. $1,000,000.

On February 14, 2013, Bank Hapoalim B.M. filed a complaint against MS&Co. and certain affiliates in the Supreme Court of NY, NY County, styled Bank Hapoalim B.M. v. Morgan Stanley et al. The complaint alleges that defendants made material misrepresentations and omissions in the sale to plaintiff of certain mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The total amount of certificates allegedly sponsored, underwritten and/or sold by MS&Co. and/or its affiliates to plaintiff was approximately $141 million. The complaint alleges causes of action against MS&Co. and its affiliates for common law fraud, fraudulent concealment, aiding and abetting fraud, and negligent misrepresentation, and seeks, among other things, compensatory and punitive damages. On April 22, 2014,

- 60 -
 
 
 

 

the defendants’ motion to dismiss was denied in substantial part. On August 29, 2014, the defendants filed an answer to the complaint, and on September 18, 2014, the defendants filed a notice of appeal from the ruling denying their motion to dismiss.  At September 25, 2014, the current unpaid balance of the mortgage pass-through certificates at issue in this action was approximately $73 million, and the certificates had not yet incurred actual losses. Based on currently available information, MS&Co. believes it and/or its affiliates could incur a loss in this action up to the difference between the $73 million unpaid balance of these certificates (plus any losses incurred) and their fair market value at the time of a judgment against MS&Co. and/or its affiliates, or upon sale, plus pre- and post-judgment interest, fees and costs.

On May 3, 2013, plaintiffs in Deutsche Zentral-Genossenschaftsbank AG et al. v. Morgan Stanley et al. filed a complaint against MS&Co., certain affiliates, and other defendants in the Supreme Court of NY, NY County. The complaint alleges that defendants made material misrepresentations and omissions in the sale to plaintiffs of certain mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The total amount of certificates allegedly sponsored, underwritten and/or sold by MS&Co. and/or its affiliates to plaintiff was approximately $694 million. The complaint alleges causes of action against MS&Co. and its affiliates for common law fraud, fraudulent concealment, aiding and abetting fraud, negligent misrepresentation, and rescission and seeks, among other things, compensatory and punitive damages. On June 10, 2014, the court denied defendants’ motion to dismiss. On July 10, 2014, MS&Co. and its affiliates filed a renewed motion to dismiss with respect to two certificates at issue in the case. On October 13, 2014, MS&Co. filed its answer to the complaint.  At September 25, 2014, the current unpaid balance of the mortgage pass-through certificates at issue in this action was approximately $300 million, and the certificates had incurred actual losses of approximately $78 million. Based on currently available

- 61 -
 
 
 

 

information, MS&Co. believes it and/or its affiliates could incur a loss in this action up to the difference between the $300 million unpaid balance of these certificates (plus any losses incurred) and their fair market value at the time of a judgment against MS&Co. and/or its affiliates, or upon sale, plus pre- and post-judgment interest, fees and costs. MS&Co. and/or its affiliates may be entitled to be indemnified for some of these losses.

On September 23, 2013, plaintiffs in National Credit Union Administration Board v. Morgan Stanley & Co. Inc., et al. filed a complaint against MS&Co. and certain affiliates in the SDNY. The complaint alleges that defendants made untrue statements of material fact or omitted to state material facts in the sale to plaintiffs of certain mortgage pass-through certificates issued by securitization trusts containing residential mortgage loans. The total amount of certificates allegedly sponsored, underwritten and/or sold by MS&Co. and/or its affiliates to plaintiffs was approximately $417 million. The complaint alleges causes of action against MS&Co. and its affiliates for violations of Section 11 and Section 12(a)(2) of the Securities Act of 1933, violations of the Texas Securities Act, and violations of the Illinois Securities Law of 1953 and seeks, among other things, rescissionary and compensatory damages. The defendants filed a motion to dismiss the complaint on November 13, 2013. On January 22, 2014, the court granted defendants’ motion to dismiss with respect to claims arising under the Securities Act of 1933 and denied defendants’ motion to dismiss with respect to claims arising under Texas Securities Act and the Illinois Securities Law of 1953. On April 28, 2014, the court granted in part and denied in part plaintiff’s motion to strike certain of the defendants’ affirmative defenses. On July 11, 2014, the defendants filed a motion for reconsideration of the court’s order on the motion to dismiss the complaint or, in the alternative, for certification of interlocutory appeal and a stay of all proceedings, which was denied on September 30, 2014. At September 25, 2014, the current unpaid balance of the mortgage pass-through certificates at issue in this action was approximately $211 million, and

- 62 -
 
 
 

 
the certificates had incurred actual losses of approximately $27 million. Based on currently available information, MS&Co. believes it and/or its affiliates could incur a loss in this action up to the difference between the $211 million unpaid balance of these certificates (plus any losses incurred) and their fair market value at the time of a judgment against MS&Co. and/or its affiliates, or upon sale, plus pre- and post-judgment interest, fees and costs. MS&Co. and/or its affiliates may be entitled to be indemnified for some of these losses and to an offset for interest received by the plaintiff prior to a judgment.

On July 23, 2014, the SEC approved a settlement by MS&Co. and certain affiliates to resolve an investigation related to certain subprime RMBS transactions sponsored and underwritten by those entities in 2007.  Pursuant to the settlement, MS&Co. and certain affiliates were charged with violating Sections 17(a)(2) and 17(a)(3) of the Securities Act, agreed to pay disgorgement and penalties in an amount of $275 million and neither admitted nor denied the SEC’s findings.

Item 1A.  RISK FACTORS
There have been no material changes from the risk factors previously referenced in the Partnership’s Report on Form 10-K,  as updated by the Partnership’s Quarterly Reports on Form 10-Q for the quarters ended March 31, 2014 and June 30, 2014.

Item 2.  UNREGISTERED SALES OF SECURITIES AND USE OF PROCEEDS

Units of the Partnership are sold to persons and entities who are accredited investors as the term is defined in Rule 501(a) of Regulation D.



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The aggregate proceeds of securities sold in all share Classes to the limited partners, from inception through September 30, 2014, was $112,975,978. Since inception, the Partnership received $805,000 in consideration from the sale of Units to the General Partner.

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

The following charts set forth the purchases of Units by the Partnership.
 
 
 
 
 
 
 
Period
 
 
 
 
 
 
 
(a) Total Number of Units Purchased*
 
 
 
 
 
 
(b) Average
Price Paid per Unit**
 
 
 
(c) Total Number of
Units Purchased
as part of
Publicly Announced
Plans or Programs
 
 
   
 
   (d) Maximum Number
      (or Approximate Dollar Value)
 of  Units that May Yet Be Purchased Under the
       Plans or Programs
Class A
       
July 1, 2014 – July 31, 2014
(602.075)
889.40 
N/A
 N/A
August 1, 2014 – August  31, 2014
(247.657)
913.75 
N/A
N/A    
September 1, 2014 – September 30, 2014
(147.680)
               946.13
 N/A
N/A   
 
(997.412)
 903.85             
   



 
 
 
 
 
 
 
 
Period
 
 
 
 
 
 
 
 
(a) Total Number of Units Purchased*
 
 
 
 
 
 
(b) Average
Price Paid per Unit**
 
 
 
 
(c) Total Number of
Units Purchased
as part of
Publicly Announced
Plans or Programs
 
 
 
 
 
      (d) Maximum Number
      (or Approximate Dollar Value) of  Units
 that May Yet Be Purchased Under the
       Plans or Programs
Class B
       
July 1, 2014 – July 31, 2014
       –    
       –    
N/A
 N/A
August 1, 2014 – August  31, 2014
 (47.000)  
946.73
N/A
N/A    
September 1, 2014 – September 30, 2014
       –    
       –     
 N/A 
N/A   
 
(47.000)   
                 946.73
   









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Period
 
 
 
 
 
 
 
 
(a) Total Number of Units Purchased*
 
 
 
 
 
 
 
(b) Average
Price Paid per Unit**
 
 
 
 
(c) Total Number of
Units Purchased
as part of
Publicly Announced
Plans or Programs
 
 
 
 
 
      (d) Maximum Number
      (or Approximate Dollar Value) of
  Units that May Yet Be Purchased Under the
       Plans or Programs
Class C
       
July 1, 2014 – July 31, 2014
       –    
       –    
N/A
     N/A
August 1, 2014 – August  31, 2014
       –    
       –    
N/A
N/A
September 1, 2014 – September 30, 2014
       –    
       –     
 N/A 
N/A
 
       –    
       –     
   

 
 
 
 
 
 
 
 
Period
 
 
 
 
 
 
 
 
(a) Total Number of Units Purchased*
 
 
 
 
 
 
 
(b) Average
Price Paid per Unit**
 
 
 
 
(c) Total Number of
Units Purchased
as part of
Publicly Announced
Plans or Programs
 
 
 
 
 
      (d) Maximum Number
      (or Approximate Dollar Value) of
  Units that May Yet Be Purchased Under the
       Plans or Programs
Class Z
       
July 1, 2014 – July 31, 2014
       –    
       –         
N/A
 N/A
August 1, 2014 – August 31, 2014
 (237.415)  
1,052.90       
N/A
N/A   
September 1, 2014 – September 30, 2014
       –       
       –         
 N/A
N/A  
 
(237.415)
   1,052.90
   
 
 
*
 
Generally, limited partners are permitted to redeem their 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 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 Units are effected as of the last day of each month at the net asset value per Unit as of that day.

Item 4.  MINE SAFETY DISCLOSURES
Not applicable.



Item 6.  EXHIBITS
10.01
Third Amendment to the Advisory Agreement, among Morgan Stanley Smith Barney TT II, LLC, the General Partner and Transtrend B.V., dated as of October 1, 2014.
 
31.01
Certification of Director of Ceres Managed Futures LLC, the General Partner of the Partnership, pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
 

 

 
- 65 -
 
 
 

 
31.02
Certification of Chief Financial Officer of Ceres Managed Futures LLC, the General Partner of the Partnership, pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
 
32.01
Certification of Director of Ceres Managed Futures LLC, the General Partner of the Partnership, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
 
32.02
Certification of Chief Financial Officer of Ceres Managed Futures LLC, the General Partner of the Partnership, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
 
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 Document
 
101.PRE*
XBRL Taxonomy Extension Presentation Document
 
101.DEF*
XBRL Taxonomy Extension Definition Document
 

 
 
Notes to Exhibits List
 
 
* Submitted electronically herewith.
 

 

 

 

 

 

 

 

 

 

 
- 66 -
 

 
 

 


 

 

 

 
SIGNATURE



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.




 
LV Futures Fund L.P.
 
(Registrant)
     
 
By:
Ceres Managed Futures LLC
   
(General Partner)
     
November 13, 2014
By:
/s/ Steven Ross
   
 Steven Ross
   
 Chief Financial Officer




The General Partner which signed the above is the only party authorized to act for the registrant.  The registrant has no principal executive officer, principal financial officer, controller, or principal accounting officer and has no Board of Directors.




















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