Attached files

file filename
EX-31.1 - EX-31.1 - CERES ABINGDON L.P.d78010dex311.htm
EX-32.2 - EX-32.2 - CERES ABINGDON L.P.d78010dex322.htm
EX-32.1 - EX-32.1 - CERES ABINGDON L.P.d78010dex321.htm
EX-31.2 - EX-31.2 - CERES ABINGDON L.P.d78010dex312.htm
Table of Contents

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 10-Q

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

ACT OF 1934

For the quarterly period ended September 30, 2015

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

OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from                      to                     

Commission File Number 0-53210

MANAGED FUTURES PREMIER ABINGDON L.P.

 

(Exact name of registrant as specified in its charter)

 

New York   20-3845005

(State or other jurisdiction of

incorporation or organization)

 

(I.R.S. Employer

Identification No.)

c/o Ceres Managed Futures LLC

522 Fifth Avenue

New York, New York 10036

 

(Address of principal executive offices) (Zip Code)

(855) 672-4468

 

(Registrant’s telephone number, including area code)

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

Yes X    No     

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

Yes X    No     

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

 

Large accelerated filer    

  

Accelerated filer    

 

Non-accelerated filer X

  Smaller reporting company    

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

Yes          No X

As of October 31, 2015, there were 147,227.7202 Limited Partnership Redeemable Units of Class A outstanding, 14,179.1386 Limited Partnership Redeemable Units of Class D outstanding and 431.6102 Limited Partnership Redeemable Units of Class Z outstanding.


Table of Contents

MANAGED FUTURES PREMIER ABINGDON L.P.

FORM 10-Q

INDEX

 

         Page
Number

PART I - Financial Information:

  

Item 1.

  Financial Statements:   
  Statements of Financial Condition at September 30, 2015 (unaudited) and December 31, 2014    3
  Statements of Income and Expenses for the three and nine months ended September 30, 2015 and 2014 (unaudited)    4
  Statements of Changes in Partners’ Capital for the nine months ended September 30, 2015 and 2014 (unaudited)    5
  Notes to Financial Statements, including the Financial Statements of CMF Winton Master L.P. (unaudited)    6–24

Item 2.

  Management’s Discussion and Analysis of Financial Condition and Results of Operations    25–27

Item 3.

  Quantitative and Qualitative Disclosures about Market Risk    28–29

Item 4.

  Controls and Procedures    30

PART II - Other Information

  

Item 1.

  Legal Proceedings    31–37

Item 1A.

  Risk Factors    38

Item 2.

  Unregistered Sales of Equity Securities and Use of Proceeds    38

Item 3.

  Defaults Upon Senior Securities    38

Item 4.

  Mine Safety Disclosures    38

Item 5.

  Other Information    38

Item 6.

  Exhibits    39–40

 

2


Table of Contents

PART I

Item 1. Financial Statements

Managed Futures Premier Abingdon L.P.

Statements of Financial Condition

 

     (Unaudited)
September 30,
2015
     December 31,
2014
 

Assets:

     

Investment in Master(1), at fair value

     $       223,258,180           $       208,372,534     

Cash

     269,071           278,648     
  

 

 

    

 

 

 

Total assets

     $ 223,527,251           $ 208,651,182     
  

 

 

    

 

 

 

Liabilities and Partners’ Capital

     

Liabilities:

     

Accrued expenses:

     

Ongoing selling agent fees

     $ 348,723           $ 318,934     

Management fees

     278,720           252,736     

General Partner Fees

     185,813           168,491     

Incentive fees

     -             5,973,502     

Other

     202,745           169,938     

Redemptions payable to Limited Partners

     1,709,712           702,292     
  

 

 

    

 

 

 

Total liabilities

     2,725,713           7,585,893     
  

 

 

    

 

 

 

Partners’ Capital:

     

General Partner, Class A, 0.0000 Redeemable Units outstanding at September 30, 2015 and December 31, 2014

     -               -         

General Partner, Class D, 0.0000 Redeemable Units outstanding at September 30, 2015 and December 31, 2014

     -               -         

General Partner, Class Z, 1,909.7640 and 1,692.8140 Redeemable Units outstanding at September 30, 2015 and December 31, 2014, respectively

     2,453,307           2,183,984     

Limited Partners, Class A, 147,705.6832, and 133,862.9462 Redeemable Units outstanding at September 30, 2015 and December 31, 2014, respectively

     199,816,132           184,633,894     

Limited Partners, Class D, 14,179.1386 and 10,729.3656 Redeemable Units outstanding at September 30, 2015 and December 31, 2014, respectively

     17,977,647           13,739,779     

Limited Partners, Class Z, 431.6102 and 393.4672 Redeemable Units outstanding at September 30, 2015 and December 31, 2014, respectively

     554,452           507,632     
  

 

 

    

 

 

 

Total partners’ capital

     220,801,538           201,065,289     
  

 

 

    

 

 

 

Total liabilities and partners’ capital

     $ 223,527,251           $ 208,651,182     
  

 

 

    

 

 

 

Class A, net asset value per unit

     $ 1,352.80           $ 1,379.28     
  

 

 

    

 

 

 

Class D, net asset value per unit

     $ 1,267.89           $ 1,280.58     
  

 

 

    

 

 

 

Class Z, net asset value per unit

     $ 1,284.61           $ 1,290.15     
  

 

 

    

 

 

 

 

(1)

Defined in Note 1.

See accompanying notes to financial statements.

 

3


Table of Contents

Managed Futures Premier Abingdon L.P.

Statements of Income and Expenses

(Unaudited)

 

    Three Months Ended
September 30,
    Nine Months Ended
September 30,
 
    2015     2014     2015     2014  

Income:

       

Interest income allocated from Master

    $ 8,603          $ 4,568          $ 15,966          $ 22,656     
 

 

 

   

 

 

   

 

 

   

 

 

 

Expenses:

       

Expenses allocated from Master

    82,635          69,484          242,504          209,007     

Ongoing selling agent fees

    1,043,280          1,063,735          3,167,984          4,266,198     

Management fees

    833,535          662,192          2,522,375          2,082,305     

General Partner Fees

    555,690          220,732          1,681,584          694,104     

Incentive fees

    -              268,488          3,535,100          926,232     

Other

    167,024          44,530          319,371          172,213     
 

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

    2,682,164          2,329,161          11,468,918          8,350,059     
 

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

    (2,673,561)         (2,324,593)         (11,452,952)         (8,327,403)    
 

 

 

   

 

 

   

 

 

   

 

 

 

Trading results:

       

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

    (343,210)         6,375,096          8,088,228          24,523,504     

Net change in unrealized gains (losses) on open contracts allocated from Master

    8,534,557          (3,058,411)         (1,678,739)         (8,051,630)    
 

 

 

   

 

 

   

 

 

   

 

 

 

Total trading results allocated from Master

    8,191,347          3,316,685          6,409,489          16,471,874     
 

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

    $ 5,517,786          $ 992,092          $ (5,043,463)         $ 8,144,471     
 

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss) allocation by class:

       

Class A

    $ 4,936,254          $ 874,858          $ (4,527,474)         $ 7,439,536     
 

 

 

   

 

 

   

 

 

   

 

 

 

Class D

    $ 493,483          $ 79,590          $ (482,132)         $ 510,214     
 

 

 

   

 

 

   

 

 

   

 

 

 

Class Z

    $ 88,049          $ 37,644          $ (33,857)         $ 194,721     
 

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value per Redeemable Unit

       

Class A (147,705.6832 and 131,073.6252 Redeemable units outstanding at September 30, 2015 and 2014, respectively

    $ 1,352.80          $ 1,214.20          $ 1,352.80          $ 1,214.20     
 

 

 

   

 

 

   

 

 

   

 

 

 

Class D (14,179.1386 and 8,284.6446 Redeemable units outstanding at September 30, 2015 and 2014, respectively

    $ 1,267.89          $ 1,123.79          $ 1,267.89          $ 1,123.79     
 

 

 

   

 

 

   

 

 

   

 

 

 

Class Z (2,341.3742 and 2,086.2812 Redeemable units outstanding at September 30, 2015 and 2014, respectively

    $ 1,284.61          $ 1,130.06          $ 1,284.61          $ 1,130.06     
 

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss) per Redeemable Unit*

       

Class A

    $ 33.01          $ 6.61          $ (26.48)         $ 54.59     
 

 

 

   

 

 

   

 

 

   

 

 

 

Class D

    $ 34.80          $ 9.61          $ (12.69)         $ 64.24     
 

 

 

   

 

 

   

 

 

   

 

 

 

Class Z

    $ 37.60          $ 11.76          $ (5.54)         $ 70.57     
 

 

 

   

 

 

   

 

 

   

 

 

 

Weighted average units outstanding

       

Class A

    149,543.8482          136,675.2042          146,664.0098          146,119.5687     
 

 

 

   

 

 

   

 

 

   

 

 

 

Class D

    14,179.1386          8,284.6446          13,047.5456          9,403.2608     
 

 

 

   

 

 

   

 

 

   

 

 

 

Class Z

    2,341.3742          2,572.7939          2,247.8670          2,695.5410     
 

 

 

   

 

 

   

 

 

   

 

 

 

  

 

*

Represents the change in net asset value per unit during the period.

See accompanying notes to financial statements.

 

4


Table of Contents

Managed Futures Premier Abingdon L.P.

Statements of Changes in Partners’ Capital

For the Nine Months Ended September 30, 2015 and 2014

(Unaudited)

 

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

Partners’ Capital, December 31, 2014

  $ 184,633,894         133,862.9462       $ 13,739,779         10,729.3656       $ 2,691,616         2,086.2812       $ 201,065,289         146,678.5930    

Subscriptions - General Partner

    -           -           -           -           300,000         216.9500         300,000         216.9500    

Subscriptions - Limited Partners

    35,350,272         25,254.0560         4,720,000         3,449.7730         50,000         38.1430         40,120,272         28,741.9720    

Net income (loss)

    (4,527,474)        -           (482,132)        -           (33,857)        -           (5,043,463)        -      

Redemptions - Limited Partners

    (15,640,560)        (11,411.3190)        -           -           -           -           (15,640,560)        (11,411.3190)   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Partners’ Capital, September 30, 2015

  $ 199,816,132         147,705.6832       $ 17,977,647         14,179.1386       $ 3,007,759         2,341.3742       $ 220,801,538         164,226.1960    
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Partners’ Capital, December 31, 2013

  $ 186,273,315         160,634.8682       $ 14,111,594         13,318.4176       $ 3,016,570         2,847.2022       $ 203,401,479         176,800.4880    

Subscriptions - Limited Partners

    12,495,839         10,721.8020         -           -           -           -           12,495,839         10,721.8020    

Net income (loss)

    7,439,536         -           510,214         -           194,721         -           8,144,471         -      

Redemptions - General Partner

    -           -           -           -           (701,492)        (616.0930)        (701,492)        (616.0930)   

Redemptions - Limited Partners

    (47,059,672)        (40,283.0450)        (5,311,637)        (5,033.7730)        (152,169)        (144.8280)        (52,523,478)        (45,461.6460)   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Partners’ Capital, September 30, 2014

  $ 159,149,018         131,073.6252       $ 9,310,171         8,284.6446       $ 2,357,630         2,086.2812       $ 170,816,819         141,444.5510    
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

5


Table of Contents

Managed Futures Premier Abingdon L.P.

Notes to Financial Statements

September 30, 2015

(Unaudited)

1. Organization:

Managed Futures Premier Abingdon L.P. (formerly Abingdon Futures Fund L.P.) (the “Partnership”) is a limited partnership organized on November 8, 2005, under the partnership laws of the State of New York to engage, directly or indirectly, in the speculative trading of a diversified portfolio of commodity interests including futures, option, swap and forward contracts. The sectors traded include currencies, energy, grains, indices, U.S. and non-U.S. interest rates, livestock, lumber, metals and softs. The Partnership commenced trading on February 1, 2007. The commodity interests that are traded by the Partnership through its investment in CMF Winton Master L.P. (the “Master”) are volatile and involve a high degree of market risk. The General Partner (defined below) may also determine to invest up to all of the Partnership’s assets in United States (“U.S.”) Treasury bills. The Partnership privately and continuously offers redeemable units in the Partnership (“Redeemable Units”) to qualified investors. There is no maximum number of Redeemable Units that may be sold by the Partnership.

Ceres Managed Futures LLC, a Delaware limited liability company, acts as the general partner (the “General Partner”) and commodity pool operator of the Partnership. The General Partner is wholly owned by Morgan Stanley Smith Barney Holdings LLC (“MSSB Holdings”). MSSB Holdings is ultimately owned by Morgan Stanley. Morgan Stanley is a publicly held company whose shares are listed on the New York Stock Exchange. Morgan Stanley is engaged in various financial services and other businesses. Prior to June 28, 2013, Morgan Stanley indirectly owned a majority equity interest in MSSB Holdings and Citigroup Inc. indirectly owned a minority equity interest in MSSB Holdings. Prior to July 31, 2009, the date as of which MSSB Holdings became its owner, the General Partner was wholly owned by Citigroup Financial Products Inc., a wholly owned subsidiary of Citigroup Global Markets Holdings Inc., the sole owner of which is Citigroup Inc. As of September 30, 2015, all trading decisions for the Partnership are made by Winton Capital Management Limited (the “Advisor”).

As of September 30, 2015, the Partnership’s/Master’s commodity broker was Morgan Stanley & Co. LLC (“MS&Co. or the Company”), a registered futures commission merchant.

On February 1, 2007, the Partnership allocated substantially all of its capital to the Master, a limited partnership organized under the partnership laws of the state of New York, having the same investment objective as the Partnership. The Partnership purchased 9,017.0917 units of the Master with cash equal to $12,945,000. The Master permits accounts managed by the Advisor using the Winton Futures Program (formerly, the Winton Diversified Program, as applied without equities), the Advisor’s proprietary, systematic trading program, to invest together in one trading vehicle. The General Partner is also the general partner of the Master. Individual and pooled accounts currently managed by the Advisor, including the Partnership, are permitted to be limited partners of the Master. The General Partner and the Advisor believe that trading through this master/feeder structure promotes efficiency and economy in the trading process. Expenses to investors as a result of the investment in the Master are approximately the same as if the Partnership traded directly, and redemption rights are not affected. The General Partner and the Advisor agreed that the Advisor will trade the Partnership’s assets allocated to the Advisor at a level that is up to 1.5 times the amount of assets allocated.

The General Partner is not aware of any material changes to the trading program discussed above during the fiscal quarter ended September 30, 2015.

On April 1, 2011, the Partnership began offering “Class A” Redeemable Units, “Class D” Redeemable Units and “Class Z” Redeemable Units pursuant to the offering memorandum. All Redeemable Units issued prior to April 1, 2011 were deemed Class A Redeemable Units. The rights, liabilities, risks, and fees associated with investment in the Class A Redeemable Units did not change. “Class D” Redeemable Units and “Class Z” Redeemable Units were first issued on April 1, 2011 and August 1, 2011, respectively. Class A, Class D and Class Z will each be referred to as a “Class” and collectively referred to as the “Classes.” The Class of Redeemable Units that a Limited Partner receives upon a subscription will generally depend upon the amount invested in the Partnership or the status of the Limited Partner, although the General Partner may determine to offer any Class of Redeemable Units to investors at its discretion. Class Z Redeemable Units are offered to certain employees of Morgan Stanley Smith Barney LLC, doing business as Morgan Stanley Wealth Management (“Morgan Stanley Wealth Management”) and its affiliates (and their family members). Class A Redeemable Units, Class D Redeemable Units, and Class Z Redeemable Units are identical, except that Class D Redeemable Units are subject to a monthly ongoing selling agent fee equal to 1/12th of 0.75% (a 0.75% annual rate) of the net assets of Class D as of the end of each month, which differs from the Class A monthly ongoing selling agent fee of 1/12th of 2.00% (a 2.00% annual rate) of the net assets of Class A as of the end of each month. Class Z Redeemable Units are not subject to a monthly ongoing selling agent fee.

The Master has entered into a foreign exchange brokerage account agreement and a futures brokerage account agreement with MS&Co. The Partnership has also entered into a futures brokerage account agreement with MS&Co. The Partnership, through its investment in the Master, pays MS&Co. trading fees for the clearing and, where applicable, execution of transactions. The Partnership has also entered into a selling agreement with Morgan Stanley Wealth Management (the “Selling Agreement”).

 

6


Table of Contents

Managed Futures Premier Abingdon L.P.

Notes to Financial Statements

September 30, 2015

(Unaudited)

 

Pursuant to the Selling Agreement, the Partnership pays Morgan Stanley Wealth Management a monthly ongoing selling agent fee. Prior to April 1, 2014, this monthly ongoing selling agent fee was paid at a rate equal to (i) 4.5% per year of month-end net assets for Class A Redeemable Units, (ii) 1.875% per year of month-end net assets for Class D Redeemable Units and (iii) 1.125% per year of month-end net assets for Class Z Redeemable Units.

Effective April 1, 2014, the monthly ongoing selling agent fee was reduced to (i) 2.5% per year of month-end net assets for Class A Redeemable Units, (ii) 1.25% per year of month-end net assets for Class D Redeemable Units and (iii) 0.5% per year of month-end net assets for Class Z Redeemable Units.

Effective October 1, 2014, the monthly ongoing selling agent fee was (i) reduced to 2.0% per year of month-end net assets for Class A Redeemable Units, (ii) reduced to 0.75% per year of month-end net assets for Class D Redeemable Units and (iii) eliminated for Class Z Redeemable Units. As of the same date, the General Partner fee (formerly, the Administrative fee) increased from an annual rate of 0.50% to an annual rate of 1.00%. The October 1, 2014 fee changes offset each other, and, accordingly, there was no change to the aggregate fees incurred by the Partnership.

In July 2015, the General Partner delegated certain administrative functions to SS&C Technologies, Inc., a Delaware corporation, currently doing business as SS&C GlobeOp (the “Administrator”). Pursuant to a Master Services Agreement, the Administrator will furnish certain administrative, accounting, regulatory, reporting, tax and other services as agreed from time to time. In addition, the Administrator will maintain certain books and records of the Partnership. The costs of retaining the Administrator will be allocated among the pools operated by the General Partner, including the Partnership.

2. Basis of Presentation and Summary of Significant Accounting Policies:

The accompanying financial statements and accompanying notes are unaudited but, in the opinion of the General Partner, include all adjustments, consisting only of normal recurring adjustments, necessary for a fair presentation of the Partnership’s financial condition at September 30, 2015, the results of its operations for the three and nine months ended September 30, 2015 and 2014 and changes in partners’ capital for the nine months ended September 30, 2015 and 2014. These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. These financial statements should be read together with the financial statements and notes included in the Partnership’s Annual Report on Form 10-K filed with the Securities and Exchange Commission (the “SEC”) for the year ended December 31, 2014. The December 31, 2014 information has been derived from the audited financial statements as of and for the year ended December 31, 2014.

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

Certain prior period amounts have been reclassified to conform to current period presentation. In the financial highlights of the Partnership, ongoing selling agent fees and clearing fees allocated from the Master, which were previously included in net realized and unrealized gains (losses) per Redeemable Unit and excluded from expenses per Redeemable Unit, are now excluded from net realized and unrealized gains (losses) per Redeemable Unit and included in net investment loss per Redeemable Unit. This information was previously included as a footnote to the financial highlights table.

Additionally, in the financial highlights of the Master, clearing fees which were previously included in net realized and unrealized gains (losses) per unit and excluded from expenses per unit are now excluded from net realized gains (losses) per unit and included in net investment loss per unit. This information was previously included as a footnote to the financial highlights table.

At September 30, 2015 and December 31, 2014, the Partnership owned approximately 34.4% and 29.9%, respectively, of the Master. The Partnership intends to continue to invest substantially all of its assets in the Master. The performance of the Partnership is directly affected by the performance of the Master. The Master’s trading of futures, forward, swap and option contracts, if applicable, on commodities is done primarily on U.S. and foreign commodity exchanges. The Master engages in such trading through a commodity brokerage account maintained with MS&Co. The Master’s Statements of Financial Condition, Condensed Schedules of Investments and Statements of Income and Expenses and Changes in Partners’ Capital are included herein.

The General Partner and each limited partner share in the profits and losses of the Partnership in proportion to the amount of Partnership interest owned by each, except that no limited partner is liable for obligations of the Partnership in excess of their capital contributions and profits, if any, net of distributions or redemptions and losses, if any.

 

7


Table of Contents

Managed Futures Premier Abingdon L.P.

Notes to Financial Statements

September 30, 2015

(Unaudited)

 

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

Partnership’s Investment: The Partnership carries its investment in the Master at fair value based on the Master’s net asset value per unit as calculated by the Master. The valuation of the Master’s investments including the classification within the fair value hierarchy of the investments held by the Master are described in Note 5.

Master’s Investments: Fair value of exchange-traded futures, option and forward contracts is determined by the various 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 inputs 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. U.S. Treasury bills are valued at the last available bid price received from independent pricing services as of the close of the last business day of the reporting period.

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

Master’s Cash: The Master’s cash includes cash denominated in foreign currencies of $8,123,621 and $10,918,951 as of September 30, 2015 and December 31, 2014, respectively. The cost of foreign currencies was $8,181,252 as of September 30, 2015 and based on the General Partner’s assessment, the cost of foreign currencies was not materially different from the fair value as of December 31, 2014.

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” and based on the General Partner’s assessment, the Partnership has been deemed to be an investment company since inception. Accordingly, the Partnership follows the investment company accounting and reporting guidance of Topic 946 and reflects its investments at fair value with unrealized gains and losses resulting from changes in fair value reflected in the Statements of Income and Expenses.

Income Taxes: Income taxes have not been listed as each partner is individually liable for the taxes, if any, on its share of the Partnership’s income and expenses. The General Partner concluded that no provision for income tax is required in the Partnership’s financial statements. The Partnership files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The 2011 through 2014 tax years remain subject to examination by U.S. federal and most state tax authorities. The General Partner does not believe that there are any uncertain tax positions that require recognition of a tax liability.

Net Income (Loss) per unit: Net income (loss) per unit for each Class is calculated in accordance with investment company guidance. See Note 3, “Financial Highlights.”

Recent Accounting Pronouncement: In May 2015, the Financial Accounting Standards Board issued ASU 2015-07, “Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent),” which relates to disclosures for investments that calculate net asset value per share (potentially fund of fund structures). The ASU requires investments for which the practical expedient is used to measure fair value at Net Asset Value (“NAV”) be removed from the fair value hierarchy. Instead, an entity is required to include those investments as a reconciling line item so that the total fair value amount of investments in the disclosure is consistent with the amount on the balance sheet. Further, the ASU removes the requirement to make certain disclosures for all investments that are eligible to be measured at fair value using the net asset value per share practical expedient. Rather, those disclosures are limited to investments for which the entity has elected to measure the fair value using the practical expedient. The standard is effective for public business entities for fiscal years beginning after December 15, 2015. Early adoption is permitted. The Partnership has elected to adopt the guidance as of June 30, 2015. The adoption did not have any impact on the Partnership’s fair value measurement disclosures.

There have been no material changes with respect to the Partnership’s critical accounting policies as reported in the Partnership’s Annual Report on Form 10-K for the year ended December 31, 2014.

 

8


Table of Contents

Managed Futures Premier Abingdon L.P.

Notes to Financial Statements

September 30, 2015

(Unaudited)

 

The Master’s Statements of Financial Condition and Condensed Schedules of Investments as of September 30, 2015 and December 31, 2014 and Statements of Income and Expenses and Changes in Partners’ Capital for the three and nine months ended September 30, 2015 and 2014 are presented below:

CMF Winton Master L.P.

Statements of Financial Condition

 

     (Unaudited)
September 30,

2015
     December 31,
2014
 

Assets:

     

Equity in trading account:

     

Investment in U.S. Treasury bills, at fair value (amortized cost $389,992,850 and $0 at September 30, 2015 and December 31, 2014, respectively)

     $ 390,010,128          $ -      

Cash

     140,223,677          583,586,984    

Cash margin

     93,989,333          87,262,518    

Net unrealized appreciation on open futures contracts

     30,356,419          32,298,121    
  

 

 

    

 

 

 

Total assets

     $     654,579,557          $     703,147,623    
  

 

 

    

 

 

 

Liabilities and Partners’ Capital:

     

Liabilities:

     

Net unrealized depreciation on open forward contracts

     $ 6,251,485          $ 5,286,899    

Accrued expenses:

     

Professional fees

     46,146          38,281    

Clearing fees due to MS&Co.

     -              20,631    
  

 

 

    

 

 

 

Total liabilities

     6,297,631          5,345,811    
  

 

 

    

 

 

 

Partners’ Capital:

     

General Partner, 0.0000 units outstanding at September 30, 2015 and December 31, 2014

     -              -        

Limited Partners, 175,975.5362 and 195,446.6928 units outstanding at September 30, 2015 and December 31, 2014, respectively

     648,281,926          697,801,812    
  

 

 

    

 

 

 

Total liabilities and partners’ capital

     654,579,557          703,147,623    
  

 

 

    

 

 

 

Net asset value per unit

     $ 3,683.93          $ 3,570.29    
  

 

 

    

 

 

 

 

9


Table of Contents

Managed Futures Premier Abingdon L.P.

Notes to Financial Statements

September 30, 2015

(Unaudited)

 

CMF Winton Master L.P.

Condensed Schedule of Investments

September 30, 2015

 

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

Futures Contracts Purchased

        

Currencies

     220         $ (98,374)          (0.02) 

Energy

     186         10,114           0.00  

Grains

     175         (223,350)          (0.03)    

Indices

     38         (25,378)          (0.00) 

Interest Rates U.S.

     3,601         1,916,399           0.29     

Interest Rates Non-U.S.

     37,087         23,976,357           3.70     

Softs

     335         (125,502)          (0.02)    
     

 

 

    

 

 

 

Total futures contracts purchased

        25,430,266                           3.92     
     

 

 

    

 

 

 

Futures Contracts Sold

        

Currencies

     2,698         357,266           0.05     

Energy

     2,262         2,568,013           0.40     

Grains

     2,552         (1,373,794)          (0.21)    

Indices

     1,404         2,251,914           0.35     

Livestock

     604         703,353           0.11     

Metals

     1,455         (51,540)          (0.01)    

Softs

     1,067         470,941           0.07     
     

 

 

    

 

 

 

Total futures contracts sold

        4,926,153           0.76     
     

 

 

    

 

 

 

Net unrealized appreciation on open futures contracts

        30,356,419           4.68     
     

 

 

    

 

 

 

Unrealized Appreciation on Open Forward Contracts

        

Currencies

       $             273,654,036         3,867,304           0.60     

Metals

     293         498,685           0.08     
     

 

 

    

 

 

 

Total unrealized appreciation on open forward contracts

        4,365,989           0.68     
     

 

 

    

 

 

 

Unrealized Depreciation on Open Forward Contracts

        

Currencies

       $ 407,501,734         (9,894,130)          (1.53)    

Metals

     404         (723,344)          (0.11)    
     

 

 

    

 

 

 

Total unrealized depreciation on open forward contracts

        (10,617,474)          (1.64)    
     

 

 

    

 

 

 

Net unrealized depreciation on open forward contracts

        (6,251,485)          (0.96)    
     

 

 

    

 

 

 

U.S. Government Securities

        

 

Face
Amount

   Maturity Date     

Description

   Fair Value      % of
Partners’
Capital
 

$390,000,000

     11/5/2015       U.S. Treasury bills, 0.005%
(Amortized cost of $389,992,850)
     390,010,128           60.16     
        

 

 

    

 

 

 

Net fair value

  

        $       414,115,062           $         63.88     % 
        

 

 

    

 

 

 

* Due to rounding.

 

10


Table of Contents

Managed Futures Premier Abingdon L.P.

Notes to Financial Statements

September 30, 2015

(Unaudited)

 

CMF Winton Master L.P.

Condensed Schedule of Investments

December 31, 2014

 

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

Futures Contracts Purchased

        

Currencies

     48         $ 89,449           0.01     % 

Energy

     345         (3,240,330)          (0.46)    

Grains

     1,142         (547,033)          (0.08)    

Indices

     4,399         7,141,455           1.02     

Interest Rates U.S.

     11,509         (1,203,705)          (0.17)    

Interest Rates Non-U.S.

     15,522         10,815,045           1.55     

Livestock

     147         (414,305)          (0.06)    

Metals

     1         (1,320)          (0.00) 

Softs

     231         72,885           0.01     
     

 

 

    

 

 

 

Total futures contracts purchased

        12,712,141                           1.82     
     

 

 

    

 

 

 

Futures Contracts Sold

        

Currencies

     5,042         7,261,530           1.04     

Energy

     913         10,503,341           1.51     

Grains

     207         (178,058)          (0.03)    

Indices

     208         (875,800)          (0.13)    

Interest Rates Non-U.S.

     203         (42,225)          (0.01)    

Livestock

     235         593,170           0.09     

Metals

     730         681,990           0.10     

Softs

     802         1,642,032           0.24     
     

 

 

    

 

 

 

Total futures contracts sold

        19,585,980           2.81     
     

 

 

    

 

 

 

Net unrealized appreciation on open futures contracts

        32,298,121           4.63     
     

 

 

    

 

 

 

Unrealized Appreciation on Open Forward Contracts

        

Currencies

   $ 214,890,277         2,852,834           0.41     

Metals

     669         2,265,003           0.32     
     

 

 

    

 

 

 

Total unrealized appreciation on open forward contracts

        5,117,837           0.73     
     

 

 

    

 

 

 

Unrealized Depreciation on Open Forward Contracts

        

Currencies

   $ 293,627,256         (7,383,994)          (1.06)    

Metals

     892         (3,020,742)          (0.43)    
     

 

 

    

 

 

 

Total unrealized depreciation on open forward contracts

        (10,404,736)          (1.49)    
     

 

 

    

 

 

 

Net unrealized depreciation on open forward contracts

        (5,286,899)          (0.76)    
     

 

 

    

 

 

 

Net fair value

        $     27,011,222           3.87     % 
     

 

 

    

 

 

 
*

Due to rounding.

 

11


Table of Contents

Managed Futures Premier Abingdon L.P.

Notes to Financial Statements

September 30, 2015 (Unaudited)

CMF Winton Master L.P.

Statements of Income and Expenses and Changes in Partners’ Capital

(Unaudited)

 

    Three Months Ended
September 30,
    Nine Months Ended
September 30,
 
    2015     2014     2015      2014  

Investment Income:

        

Interest income

    $ 24,539          $ 18,438          $ 50,564           $ 90,832     
 

 

 

   

 

 

   

 

 

    

 

 

 

Expenses:

        

Clearing fees

    212,394          210,288          624,796           635,131     

Professional fees

    23,985          28,108          89,087           79,037     
 

 

 

   

 

 

   

 

 

    

 

 

 

Total expenses

    236,379          238,396          713,883           714,168     
 

 

 

   

 

 

   

 

 

    

 

 

 

Net investment income (loss)

    (211,840)         (219,958)         (663,319)          (623,336)    
 

 

 

   

 

 

   

 

 

    

 

 

 

Trading results:

        

Net gains (losses) on trading of commodity interests:

        

Net realized gains (losses) on closed contracts

    (919,827)         21,903,870          26,747,073           84,545,935     

Net change in unrealized gains (losses) on open contracts

    25,419,357          (10,648,710)         (2,906,288)          (27,607,706)    
 

 

 

   

 

 

   

 

 

    

 

 

 

Total trading results

    24,499,530          11,255,160          23,840,785           56,938,229     
 

 

 

   

 

 

   

 

 

    

 

 

 

Net income (loss)

    24,287,690          11,035,202          23,177,466           56,314,893     

Subscriptions - Limited Partners

    21,857,553          5,653,778          60,164,260           31,366,440     

Redemptions - Limited Partners

    (24,670,949)         (48,178,285)         (132,828,327)          (188,703,553)    

Distribution of interest income to feeder funds

    (7,260)         (18,438)         (33,285)          (90,832)    
 

 

 

   

 

 

   

 

 

    

 

 

 

Net increase (decrease) in Partners’ Capital

    21,467,034          (31,507,743)         (49,519,886)          (101,113,052)    

Partners’ Capital, beginning of period

    626,814,892          631,344,123          697,801,812           700,949,432     
 

 

 

   

 

 

   

 

 

    

 

 

 

Partners’ Capital, end of period

    $ 648,281,926          $ 599,836,380          $ 648,281,926           $ 599,836,380     
 

 

 

   

 

 

   

 

 

    

 

 

 

Net asset value per unit (175,975.5362 and 198,803.7967 units outstanding at September 30, 2015 and 2014, respectively)

    $ 3,683.93          $ 3,017.23          $ 3,683.93           $ 3,017.23     
 

 

 

   

 

 

   

 

 

    

 

 

 

Net income (loss) per unit *

    $ 132.89          $ 54.95          $ 113.83           $ 261.82     
 

 

 

   

 

 

   

 

 

    

 

 

 

Weighted average units outstanding

    177,033.5441          209,591.9401          182,850.4480           228,644.9867     
 

 

 

   

 

 

   

 

 

    

 

 

 

 

*

Represents the change in net asset value per unit during the period before distribution of interest income to feeder funds.

 

12


Table of Contents

Managed Futures Premier Abingdon L.P.

Notes to Financial Statements

September 30, 2015

(Unaudited)

 

3. Financial Highlights:

Financial highlights for each limited partner class for the three and nine months ended September 30, 2015 and 2014 were as follows:

 

    Three Months Ended
September 30,
 
    2015     2014  
    Class A     Class D     Class Z     Class A     Class D     Class Z  

Net realized and unrealized gains (losses)

    $ 49.64          $ 46.42          $ 46.97          $ 22.64          $ 20.93          $ 21.02     

Net investment loss

    (16.63)         (11.62)         (9.37)         (16.03)         (11.32)         (9.26)    
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Increase (decrease) for the period

    33.01          34.80          37.60          6.61          9.61          11.76     

Net Asset Value per Redeemable Unit, beginning of period

    1,319.79          1,233.09          1,247.01          1,207.59          1,114.18          1,118.30     
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Asset Value per Redeemable Unit, end of period

    $ 1,352.80          $ 1,267.89          $ 1,284.61          $ 1,214.20          $ 1,123.79          $ 1,130.06     
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
    Nine Months Ended
September 30,
 
    2015     2014  
    Class A     Class D     Class Z     Class A     Class D     Class Z  

Net realized and unrealized gains (losses)

    $ 47.01          $ 43.56          $ 43.85          $ 108.50          $ 100.03          $ 100.32     

Net investment loss

    (73.49)         (56.25)         (49.39)         (53.91)         (35.79)         (29.75)    
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Increase (decrease) for the period

    (26.48)         (12.69)         (5.54)         54.59          64.24          70.57     

Net Asset Value per Redeemable Unit, beginning of period

    1,379.28          1,280.58          1,290.15          1,159.61          1,059.55          1,059.49     
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Asset Value per Redeemable Unit, end of period

    $     1,352.80          $     1,267.89          $     1,284.61          $     1,214.20          $     1,123.79          $     1,130.06     
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

13


Table of Contents

Managed Futures Premier Abingdon L.P.

Notes to Financial Statements

September 30, 2015

(Unaudited)

 

     Three Months Ended
September 30,
 
     2015     2014  
       Class A         Class D         Class Z         Class A         Class D         Class Z    

Ratios to Average Net Assets:*

            

Net investment loss**

     (5.0)      (3.7)      (2.9)      (5.4)      (4.0)      (4.2) 

Operating expenses

     5.0       3.7       2.9       4.8       3.5       3.3  

Incentive fees

     -           -           -           0.2       0.1       0.2  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses and incentive fees

     5.0       3.7       2.9       5.0       3.6       3.5  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total return:

            

Total return before incentive fees

     2.5       2.8       3.0       0.7       1.0       1.3  

Incentive fees

     -           -           -           (0.2)      (0.1)      (0.2) 
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total return after incentive fees

     2.5       2.8       3.0       0.5       0.9       1.1  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
     Nine Months Ended
September 30,
 
     2015     2014  
     Class A     Class D     Class Z     Class A     Class D     Class Z  

Ratios to Average Net Assets:*

            

Net investment loss**

     (6.6)       (5.1)      (4.4)      (6.3)      (4.4)      (4.4) 

Operating expenses

     5.0       3.7       2.9       5.6       3.8       3.5  

Incentive fees

     1.6       1.4       1.5       0.5       0.5       0.7  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses and incentive fees

     6.6       5.1       4.4       6.1       4.3       4.2  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total return:

            

Total return before incentive fees

     (0.3)      0.4       1.1       5.3       6.6       7.4  

Incentive fees

     (1.6)      (1.4)      (1.5)      (0.5)      (0.5)      (0.7) 
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total return after incentive fees

     (1.9)      (1.0)      (0.4)      4.8       6.1       6.7  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

* Annualized (other than incentive fees).

** Interest income allocated from Master less total expenses.

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

 

14


Table of Contents

Managed Futures Premier Abingdon L.P.

Notes to Financial Statements

September 30, 2015

(Unaudited)

 

Financial Highlights of the Master:

 

     Three Months Ended
September 30,
    Nine Months Ended
September 30,
 
     2015     2014     2015     2014  

Net realized and unrealized gains (losses)

     $ 134.10          $ 56.04          $ 117.54          $ 264.68     

Net investment loss

     (1.21)         (1.09)         (3.71)         (2.86)    
  

 

 

   

 

 

   

 

 

   

 

 

 

Increase (decrease) for the period

     132.89          54.95          113.83          261.82     

Distribution

     (0.04)         (0.09)         (0.19)         (0.40)    

Net Asset Value per unit, beginning of period

     3,551.08          2,962.37          3,570.29          2,755.81     
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Asset Value per unit, end of period

     $     3,683.93          $     3,017.23          $     3,683.93          $     3,017.23     
  

 

 

   

 

 

   

 

 

   

 

 

 
     Three Months Ended
September 30,
    Nine Months Ended
September 30,
 
     2015     2014     2015     2014  

Ratios to Average Net Assets:**

        

Net investment loss*

     (0.1)      (0.1)      (0.1)      (0.1) 
  

 

 

   

 

 

   

 

 

   

 

 

 

Operating expenses

     0.1       0.2       0.1       0.1  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total return

     3.7       1.8       3.2       9.5  
  

 

 

   

 

 

   

 

 

   

 

 

 

 

*

Interest income less total expenses.

**

Annualized.

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

4. Trading Activities:

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

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

Trading and transaction fees are based on the number of trades executed by the Advisor and the Partnership’s percentage ownership of the Master. All trading, exchange, clearing, user, give-up, floor brokerage and National Futures Association fees (collectively, the “clearing fees”) paid to MS&Co. are borne by the Master and allocated to the Partnership.

All of the commodity interests owned by the Master are held for trading purposes. The monthly average number of futures contracts traded during the three months ended September 30, 2015 and 2014 was 52,222 and 53,426, respectively. The monthly average number of futures contracts traded during the nine months ended September 30, 2015 and 2014 was 49,766 and 50,789, respectively. The monthly average number of metals forward contracts traded during the three months ended September 30, 2015 and 2014 was 858 and 1,220, respectively. The monthly average number of metals forward contracts traded during the nine months ended September 30, 2015 and 2014 was 1,089 and 1,002, respectively. The average notional value of currency forward contracts during the three months ended September 30, 2015 and 2014 was $716,061,751 and $658,593,023, respectively. The average notional value of currency forward contracts during the nine months ended September 2015 and 2014 was $629,061,981 and $635,073,223, respectively.

 

15


Table of Contents

Managed Futures Premier Abingdon L.P.

Notes to Financial Statements

September 30, 2015

(Unaudited)

 

The following tables summarize the gross and net amounts recognized relating to assets and liabilities of the Master’s derivatives and their offsetting subject to master netting arrangements or similar agreements as of September 30, 2015 and December 31, 2014, respectively.

 

                      Gross Amounts Not Offset in the
Statements of Financial Condition
       

September 30, 2015

  Gross Amounts
Recognized
    Gross Amounts
Offset in the
Statements of
Financial
Condition
    Amounts Presented
in the Statements of

Financial Condition
    Financial
Instruments
    Collateral
(Received)/Pledged*
    Net
Amount
 

Assets:

           

Futures

    $ 36,184,179          $ (5,827,760)         $ 30,356,419          $  -              $  -              $ 30,356,419     

Forwards

    4,365,989          (4,365,989)         -              -              -              -         
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total assets

    $ 40,550,168          $   (10,193,749)         $ 30,356,419          $ -              $ -              $ 30,356,419     
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Liabilities:

           

Futures

    $ (5,827,760)         $ 5,827,760          $ -              $ -              $ -              $ -         

Forwards

    (10,617,474)         4,365,989          (6,251,485)         -              -              (6,251,485)    
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total liabilities

    $ (16,445,234)         $ 10,193,749          $   (6,251,485)         $ -              $ -              $   (6,251,485)    
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net fair value

              $ 24,104,934  
           

 

 

 
                      Gross Amounts Not Offset in the
Statements of Financial Condition
       

December 31, 2014

  Gross Amounts
Recognized
    Gross Amounts
Offset in the
Statements of
Financial
Condition
    Amounts Presented
in the Statements of
Financial Condition
    Financial
Instruments
    Collateral
(Received)/Pledged*
    Net Amount  

Assets:

           

Futures

    $ 43,561,809          $ (11,263,688)         $ 32,298,121          $ -              $ -              $ 32,298,121     

Forwards

    5,117,837          (5,117,837)         -              -              -              -         
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total assets

    $ 48,679,646          $ (16,381,525)         $ 32,298,121          $ -              $ -              $ 32,298,121     
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Liabilities:

           

Futures

    $ (11,263,688)         $ 11,263,688          $ -              $ -              $ -              $ -         

Forwards

    (10,404,736)         5,117,837          (5,286,899)         -              -              (5,286,899)    
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total liabilities

    $   (21,668,424)         $ 16,381,525          $ (5,286,899)         $  -              $ -              $ (5,286,899)    
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net fair value

              $ 27,011,222  
           

 

 

 

 

*

In the event of default by the Master, MS&Co., the Master’s commodity futures broker and the sole counterparty to the Master’s off-exchange-traded contracts, as applicable, has the right to offset the Master’s obligation with the Master’s cash held by MS&Co., thereby minimizing MS&Co.’s risk of loss. There is no collateral posted by MS&Co. and as such, in the event of default by MS&Co., the Master is exposed to the amount shown on the Statements of Financial Condition. In the case of exchange-traded contracts, the Master’s exposure to counterparty risk may be reduced since the exchange’s clearinghouse interposes its credit between buyer and seller and the clearinghouse’s guarantee fund may be available in the event of a default.

 

16


Table of Contents

Managed Futures Premier Abingdon L.P.

Notes to Financial Statements

September 30, 2015

(Unaudited)

 

The following tables indicate the gross fair values of the Master’s derivative instruments of futures and forward contracts as separate assets and liabilities as of September 30, 2015 and December 31, 2014.

 

       September 30, 2015    

Assets

  

Futures Contracts

  

Currencies

     $ 822,964     

Energy

     2,897,605     

Grains

     154,454     

Indices

     2,475,016     

Interest Rates U.S.

     1,926,820     

Interest Rates Non-U.S.

     24,197,952     

Livestock

     1,031,513     

Metals

     1,586,425     

Softs

     1,091,430     
  

 

 

 

Total unrealized appreciation on open futures contracts

     $ 36,184,179     
  

 

 

 

Liabilities

  

Futures Contracts

  

Currencies

     $ (564,072)    

Energy

     (319,478)    

Grains

     (1,751,598)    

Indices

     (248,480)    

Interest Rates U.S.

     (10,421)    

Interest Rates Non-U.S.

     (221,595)    

Livestock

     (328,160)    

Metals

     (1,637,965)    

Softs

     (745,991)    
  

 

 

 

Total unrealized depreciation on open futures contracts

     $ (5,827,760)    
  

 

 

 

Net unrealized appreciation on open futures contracts

     $ 30,356,419   * 
  

 

 

 
     September 30, 2015  

Assets

  

Forward Contracts

  

Currencies

     $ 3,867,304     

Metals

     498,685     
  

 

 

 

Total unrealized appreciation on open forward contracts

     $ 4,365,989     
  

 

 

 

Liabilities

  

Forward Contracts

  

Currencies

     $ (9,894,130)    

Metals

     (723,344)    
  

 

 

 

Total unrealized depreciation on open forward contracts

     $ (10,617,474)    
  

 

 

 

Net unrealized depreciation on open forward contracts

     $ (6,251,485)   ** 
  

 

 

 

 

*

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

 

**

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

 

17


Table of Contents

Managed Futures Premier Abingdon L.P.

Notes to Financial Statements

September 30, 2015

(Unaudited)

 

       December 31, 2014    

Assets

  

Futures Contracts

  

Currencies

     $ 7,910,345     

Energy

     10,516,685     

Grains

     204,223     

Indices

     9,120,453     

Interest Rates U.S.

     1,652,217     

Interest Rates Non-U.S.

     10,825,920     

Livestock

     599,795     

Metals

     922,115     

Softs

     1,810,056     
  

 

 

 

Total unrealized appreciation on open futures contracts

     $ 43,561,809     
  

 

 

 

Liabilities

  

Futures Contracts

  

Currencies

     $ (559,366)    

Energy

     (3,253,674)    

Grains

     (929,314)    

Indices

     (2,854,798)    

Interest Rates U.S.

     (2,855,922)    

Interest Rates Non-U.S.

     (53,100)    

Livestock

     (420,930)    

Metals

     (241,445)    

Softs

     (95,139)    
  

 

 

 

Total unrealized depreciation on open futures contracts

     $ (11,263,688)    
  

 

 

 

Net unrealized appreciation on open futures contracts

     $ 32,298,121   * 
  

 

 

 
     December 31, 2014  

Assets

  

Forward Contracts

  

Currencies

     $ 2,852,834     

Metals

     2,265,003     
  

 

 

 

Total unrealized appreciation on open forward contracts

     $ 5,117,837     
  

 

 

 

Liabilities

  

Forward Contracts

  

Currencies

     $ (7,383,994)    

Metals

     (3,020,742)    
  

 

 

 

Total unrealized depreciation on open forward contracts

     $ (10,404,736)    
  

 

 

 

Net unrealized depreciation on open forward contracts

     $ (5,286,899)   ** 
  

 

 

 

 

*

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

 

**

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

 

18


Table of Contents

Managed Futures Premier Abingdon L.P.

Notes to Financial Statements

September 30, 2015

(Unaudited)

 

The following tables indicate the Master’s trading gains and losses, by market sector, on derivative instruments for the three and nine months ended September 30, 2015 and 2014.

 

     Three Months Ended
September 30,
    Nine Months Ended
September 30,
 
     2015     2014     2015     2014  

Sector

        

Currencies

     $ (13,349,530)         $ (3,810,061)       $ (9,326,021)       $ 928,119     

Energy

     19,602,114          3,469,379          7,402,843          5,043,221     

Grains

     (1,181,357)         (14,151,517)         (7,745,165)         (19,382,354)    

Indices

     (21,007,583)         (1,766,372)         (11,172,935)         3,589,445     

Interest Rates U.S.

     (1,035,980)         (4,068,164)         8,826,758          3,170,055     

Interest Rates Non-U.S.

     28,236,019          20,061,189          23,059,486          62,827,565     

Livestock

     1,853,233          682,574          2,637,537          7,477,037     

Metals

     10,302,898          7,863,367          4,683,166          (4,697,107)    

Softs

     1,079,716          2,974,765          5,475,116          (2,017,752)    
  

 

 

   

 

 

   

 

 

   

 

 

 

Total

     $       24,499,530    ***      $       11,255,160    ***      $       23,840,785    ***      $       56,938,229    *** 
  

 

 

   

 

 

   

 

 

   

 

 

 

 

***

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

 

19


Table of Contents

Managed Futures Premier Abingdon L.P.

Notes to Financial Statements

September 30, 2015

(Unaudited)

 

5. Fair Value Measurements:

Master’s Fair Value Measurements. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to fair values derived from unobservable inputs (Level 3). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety.

 

20


Table of Contents

Managed Futures Premier Abingdon L.P.

Notes to Financial Statements

September 30, 2015

(Unaudited)

 

The Master considers prices for exchange-traded commodity futures, forward, option and swap contracts to be based on unadjusted quoted prices in active markets for identical assets and liabilities (Level 1). The values of U.S. Treasury bills, non-exchange-traded forward, swap and certain option contracts for which market quotations are not readily available are priced by broker-dealers that derive fair values for those assets and liabilities from observable inputs (Level 2). As of and for the periods ended September 30, 2015 and December 31, 2014, the Master did not hold any derivative instruments that were priced at fair value using unobservable inputs through the application of the General Partner’s assumptions and internal valuation pricing models (Level 3). Transfers between levels are recognized at the end of the reporting period. During the nine months ended September 30, 2015 and for the year ended December 31, 2014, there were no transfers of assets or liabilities between Level 1 and Level 2.

 

     September 30,
2015
     Level 1      Level 2      Level 3  

Assets

           

Futures

     $ 36,184,179            $ 36,184,179            $ -                $ -          

Forwards

     4,365,989            498,685            3,867,304            -          

U.S. Treasury bills

     390,010,128            -                390,010,128            -          
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Assets

     $ 430,560,296            $ 36,682,864            $ 393,877,432            $ -          
  

 

 

    

 

 

    

 

 

    

 

 

 

Liabilities

           

Futures

     $ 5,827,760            $ 5,827,760            $ -                $ -          

Forwards

     10,617,474            723,344            9,894,130            -          
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Liabilities

     $ 16,445,234            $ 6,551,104            $ 9,894,130            $ -          
  

 

 

    

 

 

    

 

 

    

 

 

 

Net fair value

     $       414,115,062            $ 30,131,760            $       383,983,302            $ -          
  

 

 

    

 

 

    

 

 

    

 

 

 
     December 31,
2014
     Level 1      Level 2      Level 3  

Assets

           

Futures

     $ 43,561,809            $ 43,561,809            $ -                $ -          

Forwards

     5,117,837            2,265,003            2,852,834            -          
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Assets

     $ 48,679,646            $       45,826,812            $ 2,852,834            $ -          
  

 

 

    

 

 

    

 

 

    

 

 

 

Liabilities

           

Futures

     $ 11,263,688            $ 11,263,688            $ -                $ -          

Forwards

     10,404,736            3,020,742            7,383,994            -          
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Liabilities

     $ 21,668,424            $ 14,284,430            $ 7,383,994            $ -          
  

 

 

    

 

 

    

 

 

    

 

 

 

Net fair value

     $ 27,011,222            $ 31,542,382            $ (4,531,160)          $                 -          
  

 

 

    

 

 

    

 

 

    

 

 

 

6. Financial Instrument Risks:

In the normal course of business, the Partnership, indirectly through its investment in the Master, is party to financial instruments with off-balance sheet risk, including derivative financial instruments and derivative commodity instruments. These financial instruments may include forwards, futures, options and swaps, whose values are based upon an underlying asset, index, or reference rate, and generally represent future commitments to exchange currencies or cash balances, or to purchase or sell other financial instruments at specific terms at specified future dates, or, in the case of derivative commodity instruments, to have a reasonable possibility to be settled in cash, through physical delivery or with another financial instrument. These instruments may be traded on an exchange, a swap execution facility or over-the-counter (“OTC”). Exchange-traded instruments include futures and certain standardized forward, option and swap contracts. Certain swap contracts may also be traded on a swap execution facility or OTC. OTC contracts are negotiated between contracting parties and also include certain forward and option contracts. Specific market movements of commodities or futures contracts underlying an option cannot accurately be predicted. The purchaser of an option may lose the entire premium paid for the option. The writer or seller of an option has unlimited risk. Each of these instruments is subject to various risks similar to those relating to the underlying financial instrument, including market and credit risk. In general, the risks associated with OTC contracts are greater than those associated with exchange-traded instruments because of the greater risk of default by the counterparty to an OTC contract. The General Partner estimates that at any given time, approximately 23.1% to 31.8% of the Master’s contracts are traded OTC.

The Master trades futures contracts. A futures contract is a firm commitment to buy or sell a specified quantity of investments, currency or a standardized amount of a deliverable grade commodity, at a specified price on a specified future date, unless the contract is closed before the delivery date or if the delivery quantity is something where physical delivery cannot occur (such as the S&P 500 Index), whereby such contract is settled in cash. Payments (“variation margin”) may be made or received by the Master on

 

21


Table of Contents

Managed Futures Premier Abingdon L.P.

Notes to Financial Statements

September 30, 2015

(Unaudited)

 

each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the Master. When the contract is closed, the Master records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Transactions in futures contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the futures broker, directly with the exchange on which the contracts are traded. Net realized gains (losses) and net change in unrealized gains (losses) on futures contracts are included in the Master’s Statements of Income and Expenses and Changes in Partners’ Capital.

Forward foreign currency contracts are those contracts where the Master agrees to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed future date. Forward foreign currency contracts are valued daily, and the Master’s net equity therein, representing unrealized gain or loss on the contracts as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward rates at the reporting date, is included in the Statements of Financial Condition. Net realized gains (losses) and net change in unrealized gains (losses) on forward foreign currency contracts are recognized in the period in which the contract is closed or the changes occur, respectively, and are included in the Master’s Statements of Income and Expenses and Changes in Partners’ Capital.

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

Metal contracts traded on the London Metals Exchange (“LME”) represent a firm commitment to buy or sell a specified quantity of aluminum, copper, lead, nickel, tin or zinc. LME contracts traded by the Master are cash settled based on prompt dates published by the LME. Payments (“variation margin”) may be made or received by the Master on each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the Master. A contract is considered offset when all long positions have been matched with a like number of short positions settling on the same prompt date. When the contract is closed at the prompt date, the Master records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Transactions in LME contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the broker, directly with the LME. Net realized gains (losses) and net change in unrealized gains (losses) on metal contracts are included in the Master’s Statements of Income and Expenses and Changes in Partners’ Capital.

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

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

 

22


Table of Contents

Managed Futures Premier Abingdon L.P.

Notes to Financial Statements

September 30, 2015

(Unaudited)

 

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

The General Partner monitors and attempts to control the Partnership’s/Master’s risk exposure on a daily basis through financial, credit and risk management monitoring systems, and accordingly, believes that it has effective procedures for evaluating and limiting the credit and market risks to which the Partnership/Master may be subject. These monitoring systems generally allow the General Partner to statistically analyze actual trading results with risk-adjusted performance indicators and correlation statistics. In addition, online monitoring systems provide account analysis of futures, forward and option contracts by sector, margin requirements, gain and loss transactions and collateral positions.

The majority of these financial instruments mature within one year of the inception date. However, due to the nature of the Partnership’s/Master’s business, these instruments may not be held to maturity.

 

23


Table of Contents

Managed Futures Premier Abingdon L.P.

Notes to Financial Statements

September 30, 2015

(Unaudited)

 

7. Subsequent Events.

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

 

24


Table of Contents

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

Liquidity and Capital Resources

The Partnership does not engage in sales of goods or services. Its only assets are its investment in the Master and cash. The Master does not engage in sales of goods or services. The Master’s only assets are its equity in its trading accounts, consisting of cash, cash margin, net unrealized appreciation on open futures contracts, net unrealized appreciation on forward contracts and investment in U.S. Treasury bills at fair value, if applicable. Because of the low margin deposits normally required in commodity trading, relatively small price movements may result in substantial losses to the Partnership, through its investment in the Master. While substantial losses could lead to a material decrease in liquidity, no such illiquidity occurred in the third quarter of 2015.

The Partnership’s capital consists of capital contributions, as increased or decreased by income (loss) from its investment in the Master, expenses, interest income, redemptions of Redeemable Units and distributions of profits, if any. For the nine months ended September 30, 2015, Partnership capital increased 9.8% from $201,065,289 to $220,801,538. This increase was attributable to subscriptions for 25,254.0560 Redeemable Units of Class A totaling $35,350,272, 3,449.7730 Redeemable Units of Class D totaling $4,720,000, 38.1430 Redeemable Units of Class Z totaling $50,000 and 216.9500 General Partner Redeemable Units of Class Z totaling $300,000. This increase was partially offset by a net loss of $5,043,463 and redemptions of 11,411.3190 Redeemable Units of Class A totaling $15,640,560.

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

For the nine months ended September 30, 2015, the Master’s capital decreased 7.1% from $697,801,812 to $648,281,926. This decrease was attributable to redemptions of 35,810.0620 units totaling $132,828,327 and distributions of interest income to feeder funds totaling $33,285. This decrease was partially offset by subscriptions of 16,338.9054 units totaling $60,164,260 and net income of $23,177,466. Future redemptions can impact the amount of funds available for investment in commodity contract positions in subsequent periods.

Critical Accounting Policies

The preparation of financial statements in conformity with GAAP requires the General Partner to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. The General Partner believes that the estimates and assumptions utilized in preparing the financial statements are reasonable. Actual results could differ from those estimates. The Partnership’s significant accounting policies are described in detail in Note 2 of the Financial Statements.

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

 

25


Table of Contents

Results of Operations

During the Partnership’s third quarter of 2015, the net asset value per Redeemable Unit for Class A increased 2.5% from $1,319.79 to $1,352.80, as compared to an increase of 0.5% in the third quarter of 2014. During the Partnership’s third quarter of 2015, the net asset value per Redeemable Unit for Class D increased 2.8% from $1,233.09 to $1,267.89, as compared to an increase of 0.9% in the third quarter of 2014. During the Partnership’s third quarter of 2015, the net asset value per Redeemable Unit for Class Z increased 3.0% from $1,247.01 to $1,284.61, as compared to an increase of 1.1% in the third quarter of 2014. The Partnership, through its investment in the Master, experienced a net trading gain before fees and expenses in the third quarter of 2015 of $8,191,347. Gains were primarily attributable to the Master’s trading of commodity futures in energy, non-U.S. interest rates, livestock, metals and softs, and were partially offset by losses in currencies, grains, indices and U.S. interest rates. The Partnership, through its investment in the Master, experienced a net trading gain before fees and expenses in the third quarter of 2014 of $3,316,685. Gains were primarily attributable to the Master’s trading of commodity futures in energy, non-U.S. interest rates, livestock, metals and softs, and were partially offset by losses in currencies, grains, indices and U.S. interest rates.

The most significant gains were achieved within the global interest rate sector during September from long positions in European and U.S. fixed income futures as prices rallied after the U.S. Federal Open Market Committee (“FOMC”) decided to leave interest rates unchanged following its September meeting. Additional gains in this sector were recorded during July from long positions in European fixed income futures as prices advanced as slowing consumer-price growth in some European nations boosted speculation the European Central Bank would maintain its economic stimulus program. Within the energy sector, gains were recorded during July and September from short positions in crude oil and its related products as prices slumped as record production in the U.S. and Middle East boosted global supplies. Within the metals markets, gains were achieved during July from short positions in gold and silver futures as prices moved lower as a strengthening U.S. dollar curbed demand for precious metals as a store of value. Additional gains in this sector were recorded during July from short positions in copper futures as prices declined amid investor concern of slowing demand from China. Gains within the agricultural sector were recorded during September from short positions in cattle futures as prices moved lower on signs of weaker-than-expected beef demand amid increased supplies. A portion of the Partnership’s gains during the quarter was offset by losses incurred within the global stock index sector during August from long positions in U.S., European, and Asian equity index futures as prices fell amid concern a slowdown in Chinese economic growth would adversely affect the global economy. Losses within the currency sector were recorded during August from short positions in the euro and Japanese yen versus the U.S. dollar as the value of the U.S. dollar declined as fears over a hard landing in China and its impact on global growth outlook pushed back expectations for a U.S. Federal Reserve rate hike at the September FOMC meeting. Additional losses in this sector were recorded during August from long positions in the Chinese renminbi.

During the Partnership’s nine months ended September 30, 2015, the net asset value per Redeemable Unit for Class A decreased 1.9% from $1,379.28 to $1,352.80, as compared to an increase of 4.7% in the nine months ended September 30, 2014. During the Partnership’s nine months ended September 30, 2015, the net asset value per Redeemable Unit for Class D decreased 1.0% from $1,280.58 to $1,267.89, as compared to an increase of 6.1% in the nine months ended September 30, 2014. During the Partnership’s nine months ended September 30, 2015, the net asset value per Redeemable Unit for Class Z decreased 0.4% from $1,290.15 to $1,284.61, as compared to an increase of 6.7% in the nine months ended September 30, 2014. The Partnership, through its investment in the Master, experienced a net trading gain before fees and expenses in the nine months ended September 30, 2015 of $6,409,489. Gains were primarily attributable to the Master’s trading of commodity futures in energy, U.S. and non-U.S. interest rates, livestock, metals and softs, and were partially offset by losses in currencies, grains and indices. The Partnership, through its investment in the Master, experienced a net trading gain before fees and expenses in the nine months ended September 30, 2014 of $16,471,874. Gains were primarily attributable to the Master’s trading of commodity futures in currencies, energy, indices, U.S. and non-U.S. interest rates and livestock, and were partially offset by losses in grains, metals and softs.

The most significant losses were incurred within the global stock index markets during August from long positions in U.S., European, and Asian equity index futures as prices fell amid concern a slowdown in Chinese economic growth would adversely affect the global economy. Additional losses in this sector were experienced during June from long positions in European, U.S., and Asian equity index futures as prices declined as concerns over Greece’s efforts to avoid a default weighed on global financial markets. Within the currency sector, losses were recorded during August from short positions in the euro and Japanese yen versus the U.S. dollar as the value of the U.S. dollar declined as fears over a hard landing in China and its impact on global growth outlook pushed back expectations for a U.S. Federal Reserve rate hike at the September FOMC meeting. Additional losses in this sector were recorded during April from short positions in the euro versus the U.S. dollar after the relative value of the dollar slumped following the release of lower-than-expected first quarter Gross Domestic Product totals in the U.S. The Partnership’s trading losses for the first nine months of the year were offset by trading gains achieved within the global interest rate markets during January from long positions in European fixed income futures as prices advanced on increased speculation that slow growth in Eurozone economies will spur the European Central Bank to increase its quantitative easing measures. Additional gains were experienced during January from long positions in U.S. Treasury note and Treasury bond futures as prices climbed higher over investor concern that record crude oil inventories could dampen inflation projections in the U.S. Gains were also recorded in this sector during September from long positions in European and U.S. fixed income futures. Within the energy markets, gains were experienced during July and September from short positions in crude oil and its related products as prices slumped as record production in the U.S. and Middle East boosted

 

26


Table of Contents

global supplies. Further gains in this sector were recorded during March. Within the metals markets, gains were achieved primarily during July from short positions in gold and silver futures as prices fell as a strengthening U.S. dollar curbed demand for precious metals as a store of value. Additional gains in this sector were recorded during July from short positions in copper futures as prices declined amid investor concern of slowing demand from China. Gains within the agricultural complex were recorded during September from short positions in cattle futures as prices moved lower on signs of weaker-than-expected beef demand amid increased supplies.

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

Interest income on 80% of the Partnership’s average daily equity allocated to it by the Master during each month was earned at the monthly average of the 4-week U.S. Treasury bill discount rate. All interest earned on Treasury bills will be retained by the Partnership. Interest income allocated from the Master for the three months ended September 30, 2015 increased by $4,035, as compared to the corresponding period in 2014. The increase in interest income is primarily due to higher average daily equity during the three months ended September 30, 2015, as compared to the corresponding period in 2014. Interest income allocated from the Master for the nine months ended September 30, 2015 decreased by $6,690, as compared to the corresponding period in 2014. The decrease in interest income is primarily due to lower U.S. Treasury bill rates during the nine months ended September 30, 2015, as compared to the corresponding period in 2014. Interest earned by the Partnership will increase the net asset value of the Partnership. The amount of interest income earned by the Partnership depends on the average daily equity in the Partnership’s (or the Partnership’s allocable portion of the Master’s) account and upon interest rates over which the Partnership, the Master and MS&Co. have no control.

Ongoing selling agent fees are calculated as a percentage of the adjusted net asset value per class as of the end of each month and are affected by trading performance, subscriptions and redemptions. Accordingly, they must be analyzed in relation to the fluctuations in the monthly net asset values. Ongoing selling agent fees for the three and nine months ended September 30, 2015 decreased by $20,455 and $1,098,214, respectively, as compared to the corresponding periods in 2014. The decrease in ongoing selling agent fees is due to lower ongoing selling agent fee rates, but was partially offset by higher net assets per Class during the three and nine months ended September 30, 2015, as compared to the corresponding periods in 2014.

Management fees are calculated as a percentage of the net asset value per class as of the end of each month and are affected by trading performance, subscriptions and redemptions. Accordingly, they must be analyzed in relation to the fluctuations in the monthly net asset values. Management fees for the three and nine months ended September 30, 2015 increased by $171,343 and $440,070, respectively, as compared to the corresponding periods in 2014. The increase in management fees is due to higher net assets per Class during the three and nine months ended September 30, 2015, as compared to the corresponding periods in 2014.

General Partner fees are paid to the General Partner for administering the business and affairs of the Partnership including, among other things, (i) selecting, appointing and terminating the Partnership’s commodity trading advisor and (ii) monitoring the activities of the commodity trading advisor. These fees are calculated as a percentage of the net asset value per class as of the end of each month and are affected by trading performance, subscriptions and redemptions. Accordingly, they must be analyzed in relation to the fluctuations in the monthly net asset values. General Partner fees for the three and nine months ended September 30, 2015 increased by $334,958 and $987,480, respectively, as compared to the corresponding periods in 2014. The increase in General Partner fees is due to higher General Partner fee rates as well as higher average net assets per Class during the three and nine months ended September 30, 2015, as compared to the corresponding periods in 2014.

Incentive fees paid by the Partnership are based on the new trading profits generated by the Advisor at the end of the quarter, as defined in the management agreements among the Partnership, the General Partner and the Advisor. Incentive fees borne by the Partnership for the three and nine months ended September 30, 2015 were $0 and $3,535,100, respectively. Incentive fees for the three and nine months ended September 30, 2014 were $268,488 and $926,232, respectively. The Advisor will not be paid incentive fees until the Advisor recovers the net loss incurred and earns additional new trading profits for the Partnership.

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

 

27


Table of Contents

Item 3. Quantitative and Qualitative Disclosures about Market Risk

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

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

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

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

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

Exchange margin requirements have been used by the Master as the measure of its Value at Risk. Margin requirements are set by exchanges to equal or exceed the maximum losses reasonably expected to be incurred in the fair value of any given contract in 95%-99% of any one-day interval. The margin levels are established by dealers and exchanges using historical price studies as well as an assessment of current market volatility (including the implied volatility of the options on a given futures contract) and economic fundamentals to provide a probabilistic estimate of the maximum expected near-term one-day price fluctuation.

Value at Risk tables represent a probabilistic assessment of the risk of loss in market risk sensitive instruments. The following tables indicate the trading Value at Risk associated with the Master’s open positions by market category as of September 30, 2015 and December 31, 2014, and the highest, lowest and average values during the three months ended September 30, 2015 and for the twelve months ended December 31, 2014. All open position trading risk exposures of the Master have been included in calculating the figures set forth below. There has been no material change in the trading Value at Risk information previously disclosed in the Partnership’s Annual Report on Form 10-K for the year ended December 31, 2014.

As of September 30, 2015, the Master’s total capitalization was $648,281,926 and the Partnership owned approximately 34.4% of the Master. The Partnership invests substantially all of its assets in the Master. The Master’s Value at Risk as of September 30, 2015 was as follows:

September 30, 2015

 

                  Three Months Ended September 30, 2015  

Market Sector

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

Currencies

     $ 34,554,187           5.33     %      $       48,614,615         $       30,375,198           $       38,811,756     

Energy

     8,989,734           1.39     %      9,010,849         5,213,902           8,583,899     

Grains

     4,416,303           0.68     %      4,548,272         1,815,481           3,248,851     

Indices

     7,192,893           1.11     %      23,534,332         6,133,415           12,295,904     

Interest Rates U.S.

     11,522,225           1.78     %      11,724,708         6,520,666           10,640,136     

Interest Rates Non-U.S.

     14,830,759           2.29     %      14,830,759         4,478,636           12,939,124     

Livestock

     840,015           0.13     %      876,645         553,245           817,465     

Metals

     9,548,108           1.47     %      11,766,815         9,073,965           10,746,275     

Softs

     1,970,150           0.30     %      2,023,358         1,816,112           1,944,224     
  

 

 

    

 

 

         

Total

     $     93,864,374                       14.48     %         
  

 

 

    

 

 

         

 

*

Average of month-end Values at Risk.

 

28


Table of Contents

As of December 31, 2014, the Master’s total capitalization was $697,801,812 and the Partnership owned approximately 29.9% of the Master. The Partnership invests substantially all of its assets in the Master. The Master’s Value at Risk as of December 31, 2014 was as follows:

December 31, 2014

 

                  Twelve Months Ended December 31, 2014  

Market Sector

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

Currencies

     $ 32,224,643           4.62     %      $       46,206,758           $       32,224,643           $       39,296,361     

Energy

     5,549,664           0.80     %      8,807,820           2,522,147           4,712,524     

Grains

     2,079,743           0.30     %      6,803,017           1,490,355           4,170,978     

Indices

     20,399,383           2.92     %      38,072,737           8,890,588           29,808,840     

Interest Rates U.S.

     6,850,223           0.98     %      13,373,014           3,884,773           9,651,736     

Interest Rates Non-U.S.

     11,751,881           1.69     %      16,055,733           6,963,948           13,910,466     

Livestock

     514,635           0.07     %      1,046,318           379,670           749,689     

Metals

     6,484,422           0.93     %      10,460,750           4,878,593           7,358,093     

Softs

     1,407,923           0.20     %      2,499,906           1,135,915           1,784,789     
  

 

 

    

 

 

         

Total

     $     87,262,517                       12.51     %         
  

 

 

    

 

 

         

 

*

Annual average of month-end Values at Risk.

 

29


Table of Contents

Item 4. Controls and Procedures

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

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

The General Partner’s President and CFO have evaluated the effectiveness of the Partnership’s disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the Exchange Act) as of September 30, 2015 and, based on that evaluation, the General Partner’s President and CFO have concluded that, at that date, the Partnership’s disclosure controls and procedures were effective.

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

 

   

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

 

   

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

 

   

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

There were no changes in the Partnership’s internal control over financial reporting process during the fiscal quarter ended September 30, 2015 that materially affected, or are reasonably likely to materially affect, the Partnership’s internal control over financial reporting other than the engagement of an Administrator to provide the services described in Note 1 of Item 1 of this Part under the supervision of the General Partner.

 

30


Table of Contents

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, 2014, as updated by the Partnership’s Quarterly Reports on Form 10-Q for the quarters ended March 31, 2015 and June 30, 2015.

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.” or the “Company”).

MS&Co. is a wholly owned, indirect subsidiary of Morgan Stanley, a Delaware holding company. Morgan Stanley files periodic reports with the SEC as required by the Securities Exchange Act of 1934, 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, please refer to the “Legal Proceedings” section of Morgan Stanley’s SEC 10-K filings for 2014, 2013, 2012, 2011 and 2010.

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 the National Futures Association.

Regulatory and Governmental Matters.

The Company has received subpoenas and requests for information from certain federal and state regulatory and governmental entities, including among others various members of the RMBS Working Group of the Financial Fraud Enforcement Task Force, such as the United States Department of Justice, Civil Division and several state Attorney General’s Offices, concerning the origination, financing, purchase, securitization and servicing of subprime and non-subprime residential mortgages and related matters such as residential mortgage backed securities (“RMBS”), collateralized debt obligations (“CDOs”), structured investment vehicles (“SIVs”) and credit default swaps backed by or referencing mortgage pass-through certificates. These matters, some of which are in advanced stages, include, but are not limited to, investigations related to the Company’s due diligence on the loans that it purchased for securitization, the Company’s communications with ratings agencies, the Company’s disclosures to investors, and the Company’s handling of servicing and foreclosure related issues.

On February 25, 2015, the Company reached an agreement in principle with the United States Department of Justice, Civil Division and the United States Attorney’s Office for the Northern District of California, Civil Division (collectively, the “Civil Division”) to pay $2.6 billion to resolve certain claims that the Civil Division indicated it intended to bring against the Company. While the Company and the Civil Division have reached an agreement in principle to resolve this matter, there can be no assurance that the Company and the Civil Division will agree on the final documentation of the settlement.

In May 2014, the California Attorney General’s Office (“CAAG”), which is one of the members of the RMBS Working Group, indicated that it has made certain preliminary conclusions that the Company made knowing and material misrepresentations regarding RMBS and that it knowingly caused material misrepresentations to be made regarding the Cheyne SIV, which issued securities marketed to the California Public Employees Retirement System. The CAAG has further indicated that it believes the Company’s conduct violated California law and that it may seek treble damages, penalties and injunctive relief. The Company does not agree with these conclusions and has presented defenses to them to the CAAG.

 

31


Table of Contents

On September 16, 2014, the Virginia Attorney General’s Office filed a civil lawsuit, styled Commonwealth of Virginia ex rel. Integra REC LLC v. Barclays Capital Inc., et al., against the Company and several other defendants in the Circuit Court of the City of Richmond related to RMBS. The lawsuit alleges that the Company and the other defendants knowingly made misrepresentations and omissions related to the loans backing RMBS purchased by the Virginia Retirement System (“VRS”). The complaint alleges VRS suffered total losses of approximately $384 million on these securities, but does not specify the amount of alleged losses attributable to RMBS sponsored or underwritten by the Company. The complaint asserts claims under the Virginia Fraud Against Taxpayers Act, as well as common law claims of actual and constructive fraud, and seeks, among other things, treble damages and civil penalties. On January 20, 2015, the defendants filed a demurrer to the complaint and a plea in bar seeking dismissal of the complaint.

In October 2014, the Illinois Attorney General’s Office (“IL AG”) sent a letter to the Company alleging that the Company knowingly made misrepresentations related to RMBS purchased by certain pension funds affiliated with the State of Illinois and demanding that the Company pay the IL AG approximately $88 million. The Company does not agree with these allegations and has presented defenses to them to the IL AG.

On January 13, 2015, the New York Attorney General’s Office (“NYAG”), which is also a member of the RMBS Working Group, indicated that it intends to file a lawsuit related to approximately 30 subprime securitizations sponsored by the Company. NYAG indicated that the lawsuit would allege that the Company misrepresented or omitted material information related to the due diligence, underwriting and valuation of the loans in the securitizations and the properties securing them and indicated that its lawsuit would be brought under the Martin Act. The Company does not agree with NYAG’s allegations and has presented defenses to them to NYAG.

On June 5, 2012, the Company 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 (the “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, the Company violated Section 4c(a) of the Commodity Exchange Act and Commission 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 the Company 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, the Company 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. The Company entered into corresponding and related settlements with the CME and CBOT in which the CME found that the Company violated CME Rules 432.Q and 538 and fined the Company $750,000 and CBOT found that the Company violated CBOT Rules 432.Q and 538 and fined the Company $1,000,000.

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 of 1933, as amended, agreed to pay disgorgement and penalties in an amount of $275 million and neither admitted nor denied the SEC’s findings.

On April 21, 2015, the Chicago Board Options Exchange, Incorporated (“CBOE”) and the CBOE Futures Exchange, LLC (“CFE”) filed statements of charges against the Company in connection with trading by one of the Company’s former traders of EEM options contracts that allegedly disrupted the final settlement price of the November 2012 VXEM futures. CBOE alleged that the Company violated CBOE Rules 4.1, 4.2 and 4.7, Sections 9(a) and 10(b) of the Securities Exchange Act of 1934, and Rule 10b-5 thereunder. CFE alleged that the Company violated CFE Rules 608, 609 and 620. Both matters are ongoing.

 

32


Table of Contents

On June 18, 2015, the Company entered into a settlement with the SEC and paid a fine of $500,000 as part of the Municipalities Continuing Disclosure Cooperation Initiative to resolve allegations that the Company failed to form a reasonable basis through adequate due diligence for believing the truthfulness of the assertions by issuers and/or obligors regarding their compliance with previous continuing disclosure undertakings pursuant to Rule 15c2-12 in connection with offerings in which the Company acted as senior or sole underwriter.

On August 6, 2015, the Company consented to and became the subject of an order by the CFTC to resolve allegations that the Company violated CFTC Regulation 22.9(a) by failing to hold sufficient US Dollars in cleared swap segregated accounts in the United States to meet all US Dollar obligations to cleared swaps customers. Specifically, the CFTC found that while the Company at all times held sufficient funds in segregation to cover its obligations to its customers, on certain days during 2013 and 2014, it held currencies, such as euros, instead of US dollars, to meet its US dollar obligations. In addition, the CFTC found that the Company violated Regulation 166.3 by failing to have in place adequate procedures to ensure that it complied with Regulation 22.9(a). Without admitting or denying the findings or conclusions and without adjudication of any issue of law or fact, the Company accepted and consented to the entry of findings, the imposition of a cease and desist order, a civil monetary penalty of $300,000, and undertakings related to public statements, cooperation, and payment of the monetary penalty.

Other Litigation

On December 23, 2009, the Federal Home Loan Bank of Seattle filed a complaint against the Company and another defendant 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 the Company 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 the Company’s individual motion to dismiss the amended complaint. On March 7, 2013, the court granted defendants’ motion to strike plaintiff’s demand for a jury trial. At September 25, 2015, the current unpaid balance of the mortgage pass-through certificates at issue in this action was approximately $48 million, and the certificates had not yet incurred actual losses. Based on currently available information, the Company believes it could incur a loss in this action up to the difference between the $48 million unpaid balance of these certificates (plus any losses incurred) and their fair market value at the time of a judgment against the Company, plus pre- and post-judgment interest, fees and costs. The Company 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 March 15, 2010, the Federal Home Loan Bank of San Francisco filed two complaints against the Company 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 the Company 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 federal securities law claims 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. On January 26, 2015, as a result of a settlement with certain other defendants, the plaintiff requested and the court subsequently entered a dismissal with prejudice of certain of the plaintiff’s claims, including all remaining claims against the Company in the Federal Home Loan Bank of San Francisco v. Credit Suisse Securities (USA) LLC, et al. action. On February 18, 2015, the court entered an order setting a number of claims for trial throughout 2016. Claims against the Company have not yet been set for trial. At September 25, 2015, the current unpaid balance of the mortgage pass-through certificates at issue in these cases was approximately $61 million, and the certificates had incurred actual losses of approximately $1 million. Based on currently available information, the Company believes it could incur a loss for this action up to the difference between the $61 million unpaid balance of these certificates (plus any losses incurred) and their fair market value at the time of a judgment against the Company, or upon sale, plus pre- and post-judgment interest, fees and costs. The Company 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.

 

33


Table of Contents

On July 15, 2010, China Development Industrial Bank (“CDIB”) filed a complaint against the Company, 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”). The complaint relates to a $275 million credit default swap referencing the super senior portion of the STACK 2006-1 CDO. The complaint asserts claims for common law fraud, fraudulent inducement and fraudulent concealment and alleges that the Company misrepresented the risks of the STACK 2006-1 CDO to CDIB, and that the Company 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 denied the Company’s motion to dismiss the complaint. Based on currently available information, the Company believes it 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 the Company 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. A corrected amended complaint was filed on April 8, 2011. The corrected amended 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 and asserts claims under Illinois law. The total amount of certificates allegedly sold to plaintiff by the Company at issue in the action was approximately $203 million. The complaint seeks, among other things, to rescind the plaintiff’s purchase of such certificates. The defendants filed a motion to dismiss the corrected amended complaint on May 27, 2011, which was denied on September 19, 2012. On December 13, 2013, the court entered an order dismissing all claims related to one of the securitizations at issue. After that dismissal, the remaining amount of certificates allegedly issued by the Company or sold to plaintiff by the Company was approximately $78 million. At September 25, 2015, the current unpaid balance of the mortgage pass-through certificates at issue in this action was approximately $52 million, and the certificates had not yet incurred actual losses. Based on currently available information, the Company believes it could incur a loss in this action up to the difference between the $52 million unpaid balance of these certificates (plus any losses incurred) and their fair market value at the time of a judgment against the Company, plus pre- and post-judgment interest, fees and costs. The Company 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, The Prudential Insurance Company of America and certain affiliates filed a complaint against the Company 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. On October 16, 2012, plaintiffs filed an amended complaint. The amended 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 the Company is approximately $1.073 billion. The amended complaint raises claims under the New Jersey Uniform Securities Law, as well as common law claims of negligent misrepresentation, fraud, fraudulent inducement, equitable fraud, aiding and abetting fraud, and violations of the New Jersey Racketeer Influenced and Corrupt Organizations Act, and includes a claim for treble damages. On March 15, 2013, the court denied the defendants’ motion to dismiss the amended complaint. On January 2, 2015, the court denied defendants’ renewed motion to dismiss the amended complaint. At September 25, 2015, the current unpaid balance of the mortgage pass-through certificates at issue in this action was approximately $581 million, and the certificates had not yet incurred actual losses. Based on currently available information, the Company believes it could incur a loss in this action up to the difference between the $581 million unpaid balance of these certificates (plus any losses incurred) and their fair market value at the time of a judgment against the Company, or upon sale, plus pre- and post-judgment interest, fees and costs. The Company 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 20, 2011, the Federal Home Loan Bank of Boston filed a complaint against the Company 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 29, 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 mortgage loans. The total amount of certificates allegedly issued by the Company or sold to plaintiff by the Company was approximately $385 million. The amended complaint

 

34


Table of Contents

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 were 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 has voluntarily dismissed its claims against the Company with respect to two of the securitizations at issue, such that the remaining amount of certificates allegedly issued by the Company or sold to plaintiff by the Company is approximately $358 million. At September 25, 2015, the current unpaid balance of the mortgage pass-through certificates at issue in this action was approximately $56 million, and the certificates had not yet incurred actual losses. Based on currently available information, the Company believes it could incur a loss in this action up to the difference between the $56 million unpaid balance of these certificates (plus any losses incurred) and their fair market value at the time of a judgment against the Company, or upon sale, plus pre- and post-judgment interest, fees and costs. The Company 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 May 3, 2013, plaintiffs in Deutsche Zentral-Genossenschaftsbank AG et al. v. Morgan Stanley et al. filed a complaint against the Company, certain affiliates, and other defendants in the Supreme Court of NY. 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 the Company to plaintiff was approximately $694 million. The complaint alleges causes of action against the Company 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 the defendants’ motion to dismiss. On August 4, 2014, claims regarding two certificates were dismissed by stipulation. After these dismissals, the remaining amount of certificates allegedly issued by the Company or sold to plaintiff by the Company was approximately $644 million. On September 12, 2014, the Company filed a notice of appeal from the denial of the motion to dismiss. On January 12, 2015, the Company filed an amended answer to the complaint. At September 25, 2015, the current unpaid balance of the mortgage pass-through certificates at issue in this action was approximately $277 million, and the certificates had incurred actual losses of approximately $81 million. Based on currently available information, the Company believes it could incur a loss in this action up to the difference between the $277 million unpaid balance of these certificates (plus any losses incurred) and their fair market value at the time of a judgment against the Company, or upon sale, plus pre- and post-judgment interest, fees and costs. The Company may be entitled to be indemnified for some of these losses.

On May 17, 2013, the plaintiff in IKB International S.A. in Liquidation, et al. v. Morgan Stanley, et al. filed a complaint against the Company and certain affiliates in the Supreme Court of NY. 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 the Company to plaintiff was approximately $132 million. The complaint alleges causes of action against the Company for common law fraud, fraudulent concealment, aiding and abetting fraud, and negligent misrepresentation, and seeks, among other things, compensatory and punitive damages. On October 29, 2014, the court granted in part and denied in part the Company’s motion to dismiss. All claims regarding four certificates were dismissed. After these dismissals, the remaining amount of certificates allegedly issued by the Company or sold to plaintiff by the Company was approximately $116 million. On August 26, 2015, the Company appealed from the portion of the Court’s decision denying the Company’s motion to dismiss. At September 25, 2015, the current unpaid balance of the mortgage pass-through certificates at issue in this action was approximately $29 million, and the certificates had incurred actual losses of $58 million. Based on currently available information, the Company believes it could incur a loss in this action up to the difference between the $29 million unpaid balance of these certificates (plus any losses incurred) and their fair market value at the time of a judgment against the Company, or upon sale, plus pre- and post-judgment interest, fees and costs. The Company 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 September 23, 2013, the plaintiff in National Credit Union Administration Board v. Morgan Stanley & Co. Inc., et al. filed a complaint against the Company and certain affiliates in the United States District Court for the Southern District of New York (“SDNY”). The complaint alleges that defendants made untrue statements of material fact or omitted to state material facts in the sale to the plaintiff 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 the Company to plaintiffs was approximately $417 million. The complaint alleges causes of action against the Company for violations of Section 11 and Section 12(a)(2) of the Securities Act of 1933, as amended, violations of the Texas Securities Act, and violations of the Illinois Securities Law of 1953 and seeks, among other things,

 

35


Table of Contents

rescissory 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, as amended and denied defendants’ motion to dismiss with respect to claims arising under Texas Securities Act and the Illinois Securities Law of 1953. On November 17, 2014, the plaintiff filed an amended complaint. On December 15, 2014, defendants answered the amended complaint. At September 25, 2015, the current unpaid balance of the mortgage pass-through certificates at issue in this action was approximately $194 million, and the certificates had incurred actual losses of $31 million. Based on currently available information, the Company believes it could incur a loss in this action up to the difference between the $194 million unpaid balance of these certificates (plus any losses incurred) and their fair market value at the time of a judgment against the Company, or upon sale, plus pre- and post-judgment interest, fees and costs. The Company 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.

Settled Civil Litigation

On August 25, 2008, the Company and two ratings agencies were named as defendants in a purported class action related to securities issued by a structured investment vehicle called Cheyne Finance PLC and Cheyne Finance LLC (together, the “Cheyne SIV”). The case was styled Abu Dhabi Commercial Bank, et al. v. Morgan Stanley & Co. Inc., et al. The complaint alleged, among other things, that the ratings assigned to the securities issued by the Cheyne SIV were false and misleading, including because the ratings did not accurately reflect the risks associated with the subprime residential mortgage backed securities held by the Cheyne SIV. The plaintiffs asserted allegations of aiding and abetting fraud and negligent misrepresentation relating to approximately $852 million of securities issued by the Cheyne SIV. On April 24, 2013, the parties reached an agreement to settle the case, and on April 26, 2013, the court dismissed the action with prejudice. The settlement does not cover certain claims that were previously dismissed.

On July 9, 2010 and February 11, 2011, Cambridge Place Investment Management Inc. filed two separate complaints against the Company 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 asserted 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 the Company and/or its affiliates or sold to plaintiff’s affiliates’ clients by the Company 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 October 25, 2010, the Company, certain affiliates and Pinnacle Performance Limited, a special purpose vehicle (“SPV”), were named as defendants in a purported class action related to securities issued by the SPV in Singapore, commonly referred to as “Pinnacle Notes.” The case is styled Ge Dandong, et al. v. Pinnacle Performance Ltd., et al. and was pending in the SDNY. On January 31, 2014, the plaintiffs filed a second amended complaint, which asserted 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 to settle the litigation, which received final court approval on July 2, 2015.

On July 5, 2011, Allstate Insurance Company and certain of its affiliated entities filed a complaint against the Company in the Supreme Court of NY, styled Allstate Insurance Company, et al. v. Morgan Stanley, et al. An amended complaint was filed on September 9, 2011, and alleges that the defendants made untrue statements and material omissions in the sale to the plaintiffs of certain mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The total amount of certificates allegedly issued and/or sold to the plaintiffs by the Company was approximately $104 million. The complaint raised common law claims of fraud, fraudulent inducement, aiding and abetting fraud, and negligent misrepresentation and seeks, among other things, compensatory and/or recessionary damages associated with the 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 the Company appealed on April 11, 2013. On May 3, 2013, the Company filed its answer to the amended complaint. On January 16, 2015, the parties reached an agreement to settle the litigation.

 

36


Table of Contents

On July 18, 2011, the Western and Southern Life Insurance Company and certain affiliated companies filed a complaint against the Company 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 plaintiffs by the Company was approximately $153 million. On June 8, 2015, the parties reached an agreement to settle the litigation.

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 the Company and certain affiliates. A complaint against the Company and certain affiliates and other defendants was filed in the Supreme Court of NY, 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.

On April 25, 2012, Metropolitan Life Insurance Company and certain affiliates filed a complaint against the Company and certain affiliates in the Supreme Court of NY, styled Metropolitan Life Insurance Company, et al. v. Morgan Stanley, et al. An amended complaint was filed on June 29, 2012, and alleges that the defendants made untrue statements and material omissions in the sale to the 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 the Company 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 the plaintiffs’ purchases of such certificates. On April 11, 2014, the parties entered into a settlement agreement.

In re Morgan Stanley Mortgage Pass-Through Certificates Litigation, which had been pending in the SDNY, was a putative class action involving allegations that, among other things, the registration statements and offering documents related to the offerings of certain mortgage pass-through certificates in 2006 and 2007 contained false and misleading information concerning the pools of residential loans that backed these securitizations. On December 18, 2014, the parties’ agreement to settle the litigation received final court approval, and on December 19, 2014, the court entered an order dismissing the action.

On November 4, 2011, the Federal Deposit Insurance Corporation, as receiver for Franklin Bank S.S.B, filed two complaints against the Company 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 the Company 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 plaintiff by the Company in these cases was approximately $67 million and $35 million, respectively. On July 2, 2015, the parties reached an agreement to settle the litigation.

On February 14, 2013, Bank Hapoalim B.M. filed a complaint against the Company and certain affiliates in the Supreme Court of NY, 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 the Company to plaintiff was approximately $141 million. On July 28, 2015, the parties reached an agreement to settle the litigation, and on August 12, 2015, the plaintiff filed a stipulation of discontinuance with prejudice.

Additional lawsuits containing claims similar to those described above may be filed in the future. In the course of its business, MS&Co., as a major futures commission merchant, is party to various civil actions, claims and routine regulatory investigations and proceedings that the General Partner believes do not have a material effect on the business of MS&Co. MS&Co. may establish reserves from time to time in connections with such actions.

 

37


Table of Contents

Item 1A. Risk Factors

There have been no material changes to the risk factors set forth under Part 1, Item 1A. “Risk Factors” in the Partnership’s Annual Report on Form 10-K for the fiscal year ended December 31, 2014 and under Part II, Item 1A. “Risk Factors” in the Partnership’s Quarterly Reports on Form 10-Q for the quarters ended March 31, 2015 and June 30, 2015.

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

For the three months ended September 30, 2015, there were subscriptions for 5,058.2170 Redeemable Units of Class A totaling $6,805,969. The Redeemable Units were issued in reliance upon applicable exemptions from registration under Section 4(a)(2) of the Securities Act of 1933, as amended, and Section 506 of Regulation D promulgated thereunder. The Redeemable Units were purchased by accredited investors as defined in Regulation D. In determining the applicability of the exemption, the General Partner relied on the fact that the Redeemable Units were purchased by accredited investors in a private offering.

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

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

 

Period    Class A
(a) Total
Number
of Redeemable
Units
Purchased*
     Class A
(b) Average
Price Paid per
Redeemable
Unit**
     (c) Total Number of
Redeemable Units
  Purchased as Part of  
Publicly Announced
Plans or Programs
   (d) Maximum Number
(or Approximate Dollar
Value) of Redeemable
Units that May Yet Be
Purchased Under the
Plans or Programs

July 1, 2015 - July 31, 2015

     2,790.9590       $ 1,391.09       N/A    N/A

August 1, 2015 - August 31, 2015

     1,562.6670       $ 1,288.00       N/A    N/A

September 1, 2015 - September 30, 2015

     1,263.8320       $ 1,352.80       N/A    N/A
       5,617.4580       $ 1,353.80             

* Generally, limited partners are permitted to redeem their Redeemable Units as of the end of each month on three business days’ notice to the General Partner. Under certain circumstances, the General Partner can compel redemption, although to date the General Partner has not exercised this right. Purchases of Redeemable Units by the Partnership reflected in the chart above were made in the ordinary course of the Partnership’s business in connection with effecting redemptions for limited partners.

** Redemptions of Redeemable Units are effected as of the end of each month at the net asset value per Redeemable Unit as of that day. No fee will be charged for redemptions.

Item 3. Defaults Upon Senior Securities – None

Item 4. Mine Safety Disclosures – Not Applicable

Item 5. Other Information – None

 

38


Table of Contents

Item 6. Exhibits

 

3.1

   (a)    Certificate of Limited Partnership of the Partnership as filed in the office of the Secretary of State of the State of New York, dated November 1, 2005 (filed as Exhibit 3.1 to the General Form for Registration of Securities on Form 10-12G filed on April 30, 2008 and incorporated herein by reference).
   (b)    Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated September 19, 2008 (filed as Exhibit 3.1(b) to the Quarterly Report on Form 10-Q filed on November 16, 2009 and incorporated herein by reference).
   (c)    Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated September 28, 2009 (filed as Exhibit 99.1 to the Current Report on Form 8-K filed on September 30, 2009 and incorporated herein by reference).
   (d)    Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated June 29, 2010 (filed as Exhibit 3.1(d) to the Current Report on Form 8-K filed on July 2, 2010 and incorporated herein by reference).
   (e)    Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated September 2, 2011 (filed as Exhibit 3.1 to the Current Report on Form 8-K filed on September 7, 2011 and incorporated herein by reference).
   (f)    Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated August 7, 2013 (filed as Exhibit 3.1(f) to the Quarterly Report on Form 10-Q filed on August 14, 2013 and incorporated herein by reference).

3.2

      Fourth Amended and Restated Limited Partnership Agreement, dated November 29, 2012 (filed as Exhibit 3.2 to the Current Report on Form 8-K filed on December 5, 2012 and incorporated herein by reference).

10.1

      Commodity Futures Customer Agreement between the Partnership and MS&Co., effective October 29, 2013 (filed as Exhibit 10.1(b) to the Quarterly Report on Form 10-Q filed on November 14, 2013 and incorporated herein by reference).
   (a)   

U.S. Treasury Securities Purchase Authorization Agreement, between the Partnership and MS&Co., effective June 1, 2015 (filed as Exhibit 10.1 to the Current Report on Form 8-K filed on November 4, 2015 and incorporated herein by reference).

10.2

      Amended and Restated Management Agreement among the Partnership, the General Partner and the Advisor, dated July 3, 2014 (filed as Exhibit 10.2 to the Current Report on Form 8-K filed on July 9, 2014 and incorporated herein by reference).

10.3

   (a)    Alternative Investment Selling Agent Agreement among the Partnership, the General Partner and Morgan Stanley Wealth Management, effective October 1, 2013 (filed as Exhibit 10.3(b) to the Quarterly Report on Form 10-Q filed on November 14, 2013 and incorporated herein by reference).
   (b)    Letter amending the Alternative Investment Selling Agent Agreement among the Partnership, the General Partner and Morgan Stanley Wealth Management, effective April 1, 2014 (filed as Exhibit 10.3(c) to the Quarterly Report on Form 10-Q filed on May 14, 2014 and incorporated herein by reference).
   (c)    Letter amending the Alternative Investment Selling Agent Agreement among the Partnership, the General Partner and Morgan Stanley Wealth Management, effective October 1, 2014 (filed as Exhibit 10.3(d) to the Quarterly Report on Form 10-Q filed on August 13, 2014 and incorporated herein by reference).

10.4

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

10.5

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

10.6

      Form of Subscription Agreement (filed as Exhibit 10.6 to the Quarterly Report on Form 10-Q filed on November 14, 2012 and incorporated herein by reference).

 

39


Table of Contents

10.7

      Amended & Restated Master Services Agreement by and among the Partnership, the General Partner and SS&C Technologies, Inc. (filed as Exhibit 10.1 to the Current Report on Form 8-K filed on August 6, 2015 and incorporated herein by reference).

31.1

   —      Rule 13a-14(a)/15d-14(a) Certification (Certification of President and Director) (filed herewith).

31.2

   —      Rule 13a-14(a)/15d-14(a) Certification (Certification of Chief Financial Officer) (filed herewith).

32.1

   —      Section 1350 Certification (Certification of President and Director) (filed herewith).

32.2

   —      Section 1350 Certification (Certification of Chief Financial Officer) (filed herewith).

101.INS

       XBRL Instance Document.

101.SCH

       XBRL Taxonomy Extension Schema Document.

101.CAL

       XBRL Taxonomy Extension Calculation Linkbase Document.

101.LAB

       XBRL Taxonomy Extension Label Linkbase Document.

101.PRE

       XBRL Taxonomy Extension Presentation Linkbase Document.

101.DEF

       XBRL Taxonomy Extension Definition Linkbase Document.

 

40


Table of Contents

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

 

MANAGED FUTURES PREMIER ABINGDON L.P.
By:  

Ceres Managed Futures LLC

(General Partner)

By:   /s/ Patrick T. Egan
  Patrick T. Egan
  President and Director

 

Date: November 12, 2015

By:  

/s/ Steven Ross

 

Steven Ross

 

Chief Financial Officer

 

(Principal Accounting Officer)

Date: November 12, 2015

 

41