Attached files
file | filename |
---|---|
EX-32.1 - EX-32.1 - Ceres Tactical Macro L.P. | d173287dex321.htm |
EX-31.1 - EX-31.1 - Ceres Tactical Macro L.P. | d173287dex311.htm |
EX-31.2 - EX-31.2 - Ceres Tactical Macro L.P. | d173287dex312.htm |
EX-32.2 - EX-32.2 - Ceres Tactical Macro L.P. | d173287dex322.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 March 31, 2016
OR ( ) TRANSITION REPORT PURSUANT TO SECTION 13 or 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934
For the transition period from to
Commission File Number 000-54284
MANAGED FUTURES PREMIER MACRO L.P.
(Exact name of registrant as specified in its charter)
Delaware | 27-3371689 | |
(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
(Registrants 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 this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).
Yes X No
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See the definitions of large accelerated filer, accelerated filer and smaller reporting company in Rule 12b-2 of the Exchange Act. (Check one):
Large accelerated filer |
Accelerated filer |
Non-accelerated filer X |
Smaller reporting company |
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).
Yes No X
As of April 30, 2016, 97,701.696 Limited Partnership Units Class A were outstanding, 15.414 Limited Partnership Units Class D were outstanding and 482.306 Limited Partnership Units Class Z were outstanding.
Table of Contents
MANAGED FUTURES PREMIER MACRO L.P.
FORM 10-Q
2
Table of Contents
Managed Futures Premier Macro L.P.
Statements of Financial Condition
(Unaudited)
March 31, 2016 |
December 31, 2015 |
|||||||
Assets: |
||||||||
Investment in the Master(1), at fair value |
$ | 53,034,186 | $ | 71,951,672 | ||||
Expense reimbursement |
982 | - | ||||||
Cash at bank |
964 | - | ||||||
|
|
|
|
|||||
Total assets |
$ | 53,036,132 | $ | 71,951,672 | ||||
|
|
|
|
|||||
Liabilities and Partners Capital: |
||||||||
Liabilities: |
||||||||
Accrued Expenses: |
||||||||
Management fees |
$ | 67,368 | $ | - | ||||
Redemptions payable to Limited Partners |
671,140 | 4,204,000 | ||||||
|
|
|
|
|||||
Total liabilities |
738,508 | 4,204,000 | ||||||
|
|
|
|
|||||
Partners Capital: |
||||||||
General Partner, Class Z (1,010.185 and 1,643.718 Units outstanding at |
557,357 | 1,006,167 | ||||||
Limited Partner, Class A (102,382.866 and 118,342.550 Units outstanding at |
51,466,458 | 66,343,350 | ||||||
Limited Partner, Class D (15.414 Units outstanding at |
7,701 | 8,560 | ||||||
Limited Partner, Class Z (482.306 and 636.459 Units outstanding at |
266,108 | 389,595 | ||||||
|
|
|
|
|||||
Total partners capital (net asset value) |
52,297,624 | 67,747,672 | ||||||
|
|
|
|
|||||
Total liabilities and partners capital |
$ | 53,036,132 | $ | 71,951,672 | ||||
|
|
|
|
|||||
Net asset value per Unit: |
||||||||
Class A |
$ | 502.69 | $ | 560.60 | ||||
|
|
|
|
|||||
Class D |
$ | 499.58 | $ | 555.33 | ||||
|
|
|
|
|||||
Class Z |
$ | 551.74 | $ | 612.13 | ||||
|
|
|
|
(1) | Defined in Note 1. |
See accompanying notes to financial statements.
3
Table of Contents
Managed Futures Premier Macro L.P.
Statements of Income and Expenses
(Unaudited)
Three Months Ended March 31, |
||||||||
2016 | 2015 | |||||||
Investment Income: |
||||||||
Interest income allocated from the Master |
$ | 22,884 | $ | - | ||||
|
|
|
|
|||||
Expenses: |
||||||||
Expenses allocated from the Master |
187,915 | 1,068,335 | ||||||
Management fees |
138,007 | - | ||||||
Ongoing placement agent fees |
292,159 | 865,585 | ||||||
General Partner fees |
148,940 | 447,190 | ||||||
Professional fees |
67,376 | 57,203 | ||||||
|
|
|
|
|||||
Total expenses |
834,397 | 2,438,313 | ||||||
Expenses borne by the General Partner |
(32,029 | ) | - | |||||
|
|
|
|
|||||
Net expenses |
802,368 | 2,438,313 | ||||||
|
|
|
|
|||||
Net investment income (loss) |
(779,484 | ) | (2,438,313 | ) | ||||
|
|
|
|
|||||
Trading Results: |
||||||||
Net gains (losses) on investment in the Master: |
||||||||
Net realized gains (losses) on closed contracts allocated from the Master |
(6,362,032 | ) | (5,663,404 | ) | ||||
Net change in unrealized gains (losses) on open contracts allocated from the Master |
221,672 | (10,691,423 | ) | |||||
|
|
|
|
|||||
Total trading results allocated from the Master |
(6,140,360 | ) | (16,354,827 | ) | ||||
|
|
|
|
|||||
Net income (loss) |
$ | (6,919,844 | ) | $ | (18,793,140 | ) | ||
|
|
|
|
|||||
Net income (loss) allocation by Class: |
||||||||
Class A |
$ | (6,787,820 | ) | $ | (18,043,885 | ) | ||
|
|
|
|
|||||
Class D |
$ | (859 | ) | $ | (419,670 | ) | ||
|
|
|
|
|||||
Class Z |
$ | (131,165 | ) | $ | (329,585 | ) | ||
|
|
|
|
|||||
Net asset value per Unit: |
||||||||
Class A |
$ | 502.69 | $ | 641.78 | ||||
|
|
|
|
|||||
Class D |
$ | 499.58 | $ | 629.66 | ||||
|
|
|
|
|||||
Class Z |
$ | 551.74 | $ | 690.17 | ||||
|
|
|
|
|||||
Net income (loss) per Unit:* |
||||||||
Class A |
$ | (57.91 | ) | $ | (75.82 | ) | ||
|
|
|
|
|||||
Class D |
$ | (55.75 | ) | $ | (72.11 | ) | ||
|
|
|
|
|||||
Class Z |
$ | (60.39 | ) | $ | (77.55 | ) | ||
|
|
|
|
|||||
Weighted average Units outstanding: |
||||||||
Class A |
110,488.143 | 242,337.796 | ||||||
|
|
|
|
|||||
Class D |
15.414 | 5,819.883 | ||||||
|
|
|
|
|||||
Class Z |
1,966.231 | 4,261.580 | ||||||
|
|
|
|
* | 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 Macro L.P.
Statements of Changes in Partners Capital
For the Three Months Ended March 31, 2016 and 2015
(Unaudited)
Class A | Class D | Class Z | Total | |||||||||||||||||||||||||||||
Amount | Units | Amount | Units | Amount | Units | Amount | Units | |||||||||||||||||||||||||
Partners Capital at December 31, 2015 |
$ | 66,343,350 | 118,342.550 | $ | 8,560 | 15.414 | $ | 1,395,762 | 2,280.177 | $ | 67,747,672 | 120,638.141 | ||||||||||||||||||||
Subscriptions - Limited Partners |
575,008 | 1,025.701 | - | - | - | - | 575,008 | 1,025.701 | ||||||||||||||||||||||||
Net income (loss) |
(6,787,820 | ) | - | (859 | ) | - | (131,165 | ) | - | (6,919,844 | ) | - | ||||||||||||||||||||
Redemptions - Limited Partners |
(8,664,080 | ) | (16,985.385 | ) | - | - | (86,068 | ) | (154.153 | ) | (8,750,148 | ) | (17,139.538 | ) | ||||||||||||||||||
Redemptions - General Partner |
- | - | - | - | (355,064 | ) | (633.533 | ) | (355,064 | ) | (633.533 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Partners Capital at March 31, 2016 |
$ | 51,466,458 | 102,382.866 | $ | 7,701 | 15.414 | $ | 823,465 | 1,492.491 | $ | 52,297,624 | 103,890.771 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Partners Capital at December 31, 2014 |
$ | 178,254,779 | 248,403.999 | $ | 4,084,197 | 5,819.883 | $ | 3,786,921 | 4,932.716 | $ | 186,125,897 | 259,156.598 | ||||||||||||||||||||
Subscriptions - Limited Partners |
1,622,929 | 2,295.740 | - | - | 36,818 | 49.190 | 1,659,747 | 2,344.930 | ||||||||||||||||||||||||
Net income (loss) |
(18,043,885 | ) | - | (419,670 | ) | - | (329,585 | ) | - | (18,793,140 | ) | - | ||||||||||||||||||||
Redemptions - Limited Partners |
(15,335,192 | ) | (22,429.237 | ) | - | - | (540,775 | ) | (727.930 | ) | (15,875,967 | ) | (23,157.167 | ) | ||||||||||||||||||
Redemptions - General Partner |
- | - | - | - | (535,155 | ) | (750.175 | ) | (535,155 | ) | (750.175 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Partners Capital at March 31, 2015 |
$ | 146,498,631 | 228,270.502 | $ | 3,664,527 | 5,819.883 | $ | 2,418,224 | 3,503.801 | $ | 152,581,382 | 237,594.186 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
5
Table of Contents
Managed Futures Premier Macro L.P.
(Unaudited)
1. Organization:
Managed Futures Premier Macro L.P. (formerly, Managed Futures Premier BHM L.P.) (the Partnership) is a limited partnership organized under the partnership laws of the State of Delaware on August 23, 2010, to engage in the speculative trading of a diversified portfolio of commodity interests, including futures, option, swap and forward contracts. The Partnership commenced trading on November 1, 2010. The commodity interests that are traded by the Partnership, through its investment in the Master (as defined below), are volatile and involve a high degree of market risk. The General Partner (defined below) may also determine to invest up to all of the Partnerships assets in United States (U.S.) Treasury bills and/or money market mutual funds, including money market mutual funds managed by Morgan Stanley or its affiliates. The Partnership is authorized to sell an unlimited number of units of limited partnership interest (Units) on a continuous basis.
Ceres Managed Futures LLC, a Delaware limited liability company, acts as the general partner (Ceres or the General Partner) and commodity pool operator of the Partnership. The General Partner is wholly owned 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 and Citigroup Inc. indirectly owned a minority equity interest in MSSB Holdings.
On November 1, 2010, the Partnership allocated substantially all of its capital to Morgan Stanley Smith Barney BHM I, LLC (BHM Master), a limited liability company organized under the limited liability company law of the State of Delaware. On February 1, 2016, the Partnership re-allocated substantially all of its capital to CMF Willowbridge Master Fund L.P. (Willowbridge Master or the Master), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased an interest in Willowbridge Master with cash equal to $56,358,832. References herein to the Master may include, as relevant, BHM Master. The General Partner is also the general partner of the Master.
Prior to January 31, 2016, all trading decisions for the Partnership were made by Blenheim Capital Management L.L.C. (Blenheim) using Blenheims Global Markets Strategy-Futures/FX program, a proprietary, discretionary trading program. Effective February 1, 2016, all trading decisions for the Partnership are made by Willowbridge Associates Inc. (Willowbridge or the Advisor) using Willowbridges wPraxis Futures Trading Approach, a proprietary discretionary trading program. Blenheim was terminated as advisor to the Partnership as of January 31, 2016, and the Partnership redeemed its entire investment in BHM Master for cash equal to $62,206,339. References herein to the Advisor may include, as relevant, Blenheim.
Effective February 1, 2016, Willowbridge receives a monthly management fee equal to 1.5% per year of the net assets of the Partnership as of the first day of each month. The Partnership will pay Willowbridge an incentive fee payable quarterly equal to 20% of the new trading profits. Willowbridge will not be paid incentive fee until it recovers the net loss incurred by Blenheim and earns additional new trading profits for the Partnership.
Prior to its termination, the Partnership directly paid BHM Master for its pro-rata portion of incentive and management fees. Effective February 1, 2016, the Partnership does not directly pay Willowbridge Master for its pro-rata portion of management or incentive fees. Such fees are directly paid by the Partnership to Willowbridge.
On February 1, 2011, the Units offered pursuant to the Partnerships limited partnership agreement, as amended from time to time (the Limited Partnership Agreement), were deemed Class A Units. The rights, liabilities, risks, and fees associated with investment in the Class A Units were not changed. In addition, beginning on February 1, 2011, Class D Units were offered. Beginning August 1, 2011, Class Z Units were offered to certain employees of Morgan Stanley Smith Barney LLC and its affiliates (and their family members). Class A, Class D and Class Z will each be referred to as a Class and collectively referred to as the Classes. The Class of Units that a limited partner of the Partnership (each a Limited Partner or collectively the Limited Partners) receives upon a subscription will generally depend upon the amount invested in the Partnership, although the General Partner may determine to offer Units to investors at its discretion.
Morgan Stanley Smith Barney LLC is doing business as Morgan Stanley Wealth Management. This entity currently serves as the placement agent to the Partnership (the Placement Agent). The clearing commodity broker for the Master is Morgan Stanley & Co. LLC (MS&Co.), a registered futures commission merchant. The Partnership/Master also deposit a portion of their cash in a non-trading account at JPMorgan Chase Bank, N.A.
6
Table of Contents
Managed Futures Premier Macro L.P.
Notes to Financial Statements
(Unaudited)
At March 31, 2016, the Partnership owned approximately 13.0% of Willowbridge Master. At December 31, 2015, the Partnership owned approximately 91.5% of BHM Master. The Partnership intends to continue to invest substantially all of its assets in Willowbridge Master. The performance of the Partnership is directly affected by the performance of Willowbridge Master and prior to January 31, 2016, was directly affected by the performance of BHM Master. Willowbridge Masters trading of futures, forward and option contracts, as applicable, is done primarily on U.S. and foreign commodity exchanges. Willowbridge Masters Statements of Financial Condition, including 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 of the Partnership share in the profits and losses of the Partnership in proportion to the amount of partnership interest owned by each, except that no Limited Partner is liable for obligations of the Partnership, in excess of its capital contribution and profits, if any, net of distributions or losses, if any.
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 furnishes certain administrative, accounting, regulatory, reporting, tax and other services as agreed from time to time. In addition, the Administrator maintains certain books and records of the Partnership. The costs of retaining the Administrator is 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 Partnerships financial condition at March 31, 2016 and December 31, 2015, and the results of its operations for the three months ended March 31, 2016 and 2015, and changes in partners capital for the three months ended March 31, 2016 and 2015. 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 Partnerships Annual Report on the Form 10-K (the Form 10-K) filed with the Securities and Exchange Commission (the SEC) for the year ended December 31, 2015. The December 31, 2015 information has been derived from the audited financial statements as of and for the year ended December 31, 2015.
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, revenues and expenses and related disclosure of contingent assets and liabilities in the financial statements and accompanying notes. As a result, actual results could differ from these estimates.
Due to the nature of commodity trading, the results of operations for the interim periods presented should not be considered indicative of the results that may be expected for the entire year.
Partnerships Investments. The Partnership carried its investments in BHM Master based on the Partnerships (1) net contribution to the Partnership and (2) its allocated share of the undistributed profits and losses, including realized gains (losses) and net change in unrealized gains (losses), of the Partnership. The Partnership carries its investment in Willowbridge Master based on Willowbridge Masters net asset value per Redeemable Unit as calculated by Willowbridge Master. The valuation of the Masters investments including the classification within the fair value hierarchy of the investments held by the Master are described in Note 5, Fair Value Measurements.
7
Table of Contents
Managed Futures Premier Macro L.P.
Notes to Financial Statements
(Unaudited)
Masters Investments. All commodity interests of the Master, including derivative financial instruments and derivative commodity instruments, are held for trading purposes. The commodity interests are recorded on trade date and open contracts are recorded at fair value (as described in Note 5, Fair Value Measurements) 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 and are determined by first-in, first-out method. Unrealized gains or losses on open contracts are included in the Masters Statements of Income and Expenses and Changes in Partners Capital.
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 Partners 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.
Masters Cash: Willowbridge Masters cash includes cash denominated in foreign currencies of $(653) and $8 as of March 31, 2016 and December 31, 2015, respectively. The cost of foreign currencies was $(653) and $8 as of March 31, 2016 and December 31, 2015, respectively. BHM Masters restricted and unrestricted cash included cash denominated in foreign currencies of $18,209,976 (cost of $18,977,804) as of December 31, 2015.
Income Taxes: Income taxes have not been listed as each partner is individually liable for the taxes, if any, on its share of the Partnerships income and expenses. The General Partner concluded that no provision for income tax is required in the Partnerships financial statements. The Partnership files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The 2012 through 2015 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 ASU 946 Financial Services Investment Companies. See Note 3, Financial Highlights.
Fair Value of Financial Instruments. The carrying value of the Masters assets and liabilities presented in the Statements of Financial Condition that qualify as financial instruments under the Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) 825, Financial Instruments, approximates the fair value due to the short term nature of such balances.
Recent Accounting Pronouncement: In January 2016, the FASB issued ASU 2016-01, Recognition and Measurement of Financial Assets and Financial Liabilities. The amendments in this update address certain aspects of recognition, measurement, presentation, and disclosure of financial instruments for all entities that hold financial assets or owe financial liabilities. One of the amendments in this update eliminates the requirement for public business entities to disclose the methods and significant assumptions used to estimate the fair value that is required to be disclosed for financial instruments measured at amortized cost on the balance sheet or a description of changes in the methods and significant assumptions. Additionally, the update eliminates the requirement to disclose the fair value of financial instruments measured at amortized cost for entities that are not public business entities. Investment companies are specifically exempted from ASU 2016-01s equity investment accounting provisions and will continue to follow the industry specific guidance for investment accounting under Topic 946. For public business entities, this update is effective for fiscal years beginning after December 15, 2017, and interim periods therein. For other entities, it is effective for fiscal years beginning after December 15, 2018, and interim periods within fiscal years beginning after December 15, 2019. The General Partner is currently evaluating the impact this guidance will have on the Partnerships financial statements and related disclosures.
There have been no material changes with respect to the Partnerships critical accounting policies as reported in the Partnerships Annual Report on Form 10-K for the year ended December 31, 2015.
8
Table of Contents
Managed Futures Premier Macro L.P.
Notes to Financial Statements
(Unaudited)
The Masters Statements of Financial Condition and Condensed Schedules of Investments as of March 31, 2016 and December 31, 2015, and Statements of Income and Expenses and Changes in Partners Capital for the three months ended March 31, 2016 and 2015, are presented below:
CMF Willowbridge Master L.P.
Statements of Financial Condition
(Unaudited)
March 31, 2016 |
December 31, 2015 |
|||||||
Assets: |
||||||||
Equity in trading account: |
||||||||
Investment in U.S. Treasury bills, at fair value (amortized cost $371,930,638 and $283,418,958 at March 31, 2016 and December 31, 2015, respectively) |
$ | 371,965,455 | $ | 283,468,837 | ||||
Cash margin |
58,769,854 | 82,435,014 | ||||||
Net unrealized appreciation on open futures contracts |
532,478 | - | ||||||
Net unrealized appreciation on open forward contracts |
- | 99,081 | ||||||
|
|
|
|
|||||
Total equity in trading account |
431,267,787 | 366,002,932 | ||||||
|
|
|
|
|||||
Cash at bank |
802 | - | ||||||
|
|
|
|
|||||
Total assets |
$ | 431,268,589 | $ | 366,002,932 | ||||
|
|
|
|
|||||
Liabilities and Partners Capital: |
||||||||
Liabilities: |
||||||||
Net unrealized depreciation on open futures contracts |
$ | - | $ | 639,013 | ||||
Net unrealized depreciation on open forward contracts |
585,079 | - | ||||||
Options written, at fair value (premiums received $4,123,537 and $2,896,314 at March 31, 2016 and December 31, 2015, respectively) |
3,141,818 | 2,004,116 | ||||||
Cash overdraft |
18,714,874 | 14,634,711 | ||||||
Accrued expenses: |
||||||||
Professional fees |
41,200 | 25,143 | ||||||
|
|
|
|
|||||
Total liabilities |
22,482,971 | 17,302,983 | ||||||
|
|
|
|
|||||
Partners Capital: |
||||||||
General Partner, 0.0000 Redeemable Units outstanding at March 31, 2016 and December 31, 2015 |
- | - | ||||||
Limited Partners, 142,014.3738 and 120,525.8758 Redeemable Units outstanding at March 31, 2016 and December 31, 2015, respectively |
408,785,618 | 348,699,949 | ||||||
|
|
|
|
|||||
Total liabilities and partners capital |
$ | 431,268,589 | $ | 366,002,932 | ||||
|
|
|
|
|||||
Net asset value per Redeemable Unit |
$ | 2,878.48 | $ | 2,893.15 | ||||
|
|
|
|
9
Table of Contents
Managed Futures Premier Macro L.P.
Notes to Financial Statements
(Unaudited)
CMF Willowbridge Master L.P.
Condensed Schedule of Investments
March 31, 2016
(Unaudited)
Notional ($)/ Number of Contracts |
Fair Value | % of Partners Capital |
||||||||||
Futures Contracts Purchased |
||||||||||||
Indices |
508 | $ | 286,446 | 0.07 | % | |||||||
Interest Rates U.S. |
549 | 378,344 | 0.09 | |||||||||
Interest Rates Non-U.S. |
1,379 | 325,100 | 0.08 | |||||||||
|
|
|
|
|||||||||
Total futures contracts purchased |
989,890 | 0.24 | ||||||||||
|
|
|
|
|||||||||
Futures Contracts Sold |
||||||||||||
Energy |
858 | (230,949) | (0.06) | |||||||||
Interest Rates Non-U.S. |
549 | (226,463) | (0.06) | |||||||||
|
|
|
|
|||||||||
Total futures contracts sold |
(457,412) | (0.12) | ||||||||||
|
|
|
|
|||||||||
Net unrealized appreciation on open futures contracts |
$ | 532,478 | 0.12 | % | ||||||||
|
|
|
|
|||||||||
Unrealized Appreciation on Open Forward Contracts |
||||||||||||
Currencies |
$ | 403,942,088 | $ | 3,175,995 | 0.78 | % | ||||||
|
|
|
|
|||||||||
Total unrealized appreciation on open forward contracts |
3,175,995 | 0.78 | ||||||||||
|
|
|
|
|||||||||
Unrealized Depreciation on Open Forward Contracts |
||||||||||||
Currencies |
$ | 500,629,782 | (3,761,074) | (0.92) | ||||||||
|
|
|
|
|||||||||
Total unrealized depreciation on open forward contracts |
(3,761,074) | (0.92) | ||||||||||
|
|
|
|
|||||||||
Net unrealized depreciation on open forward contracts |
$ | (585,079) | (0.14) | % | ||||||||
|
|
|
|
|||||||||
Options Written |
||||||||||||
Calls |
||||||||||||
Indices |
610 | $ | (793,000) | (0.19) | % | |||||||
Interest Rates U.S. |
277 | (848,313) | (0.21) | |||||||||
Metals |
286 | (540,540) | (0.13) | |||||||||
Puts |
||||||||||||
Energy |
286 | 321,790 | 0.08 | |||||||||
Indices |
610 | (442,250) | (0.11) | |||||||||
Interest Rates U.S. |
277 | (173,125) | (0.04) | |||||||||
Metals |
286 | (666,380) | (0.16) | |||||||||
|
|
|
|
|||||||||
Total options written (premiums received $4,123,537) |
$ | (3,141,818) | (0.76) | % | ||||||||
|
|
|
|
|||||||||
U.S. Government Securities |
Face Amount |
Maturity Date | Description |
Fair Value | % of Partners Capital |
||||||||||
U.S. Treasury bills, 0.23% | ||||||||||||||
$ 98,000,000 | 4/28/2016 | (Amortized cost of $97,969,947) | $ | 97,989,056 | 23.97 | % | ||||||||
U.S. Treasury bills, 0.14% | ||||||||||||||
$ 187,000,000 | 4/28/2016 | (Amortized cost of $186,979,638) | 186,979,118 | 45.74 | ||||||||||
U.S. Treasury bills, 0.28% | ||||||||||||||
$ 87,000,000 | 4/14/2016 | (Amortized cost of $86,981,053) | 86,997,281 | 21.28 | ||||||||||
|
|
|
|
|||||||||||
Total U.S. Government Securities |
$ | 371,965,455 | 90.99 | % | ||||||||||
|
|
|
|
10
Table of Contents
Managed Futures Premier Macro L.P.
Notes to Financial Statements
(Unaudited)
CMF Willowbridge Master L.P.
Condensed Schedule of Investments
December 31, 2015
(Unaudited)
Notional ($)/ Number of Contracts |
Fair Value | % of Partners Capital |
||||||||||
Futures Contracts Purchased |
||||||||||||
Interest Rates Non-U.S. |
4,695 | $ | (1,284,726) | (0.37) | % | |||||||
|
|
|
|
|||||||||
Total futures contracts purchased |
(1,284,726) | (0.37) | ||||||||||
|
|
|
|
|||||||||
Futures Contracts Sold |
||||||||||||
Interest Rates Non-U.S. |
2,815 | 645,713 | 0.19 | |||||||||
|
|
|
|
|||||||||
Total futures contracts sold |
645,713 | 0.19 | ||||||||||
|
|
|
|
|||||||||
Net unrealized depreciation on open futures contracts |
$ | (639,013) | (0.18) | % | ||||||||
|
|
|
|
|||||||||
Unrealized Appreciation on Open Forward Contracts |
||||||||||||
Currencies |
$ | 253,329,859 | $ | 291,647 | 0.08 | % | ||||||
|
|
|
|
|||||||||
Total unrealized appreciation on open forward contracts |
291,647 | 0.08 | ||||||||||
|
|
|
|
|||||||||
Unrealized Depreciation on Open Forward Contracts |
||||||||||||
Currencies |
$ | 205,291,607 | (192,566) | (0.06) | ||||||||
|
|
|
|
|||||||||
Total unrealized depreciation on open forward contracts |
(192,566) | (0.06) | ||||||||||
|
|
|
|
|||||||||
Net unrealized appreciation on open forward contracts |
$ | 99,081 | 0.02 | % | ||||||||
|
|
|
|
|||||||||
Options Written |
||||||||||||
Calls |
||||||||||||
Energy |
522 | $ | (111,360) | (0.03) | % | |||||||
Interest Rates Non-U.S. |
1,881 | (411,469) | (0.12) | |||||||||
Puts |
||||||||||||
Interest Rates Non-U.S. |
1,881 | (1,481,287) | (0.42) | |||||||||
|
|
|
|
|||||||||
Total options written (premiums received $2,896,314) |
$ | (2,004,116) | (0.57) | % | ||||||||
|
|
|
|
|||||||||
U.S. Government Securities |
Face Amount |
Maturity Date | Description |
Fair Value | % of Partners Capital |
||||||||||
U.S. Treasury bills, 0.19% | ||||||||||||||
$ 50,750,000 | 1/21/2016 | (Amortized cost of $50,742,500) | $ | 50,746,670 | 14.55 | % | ||||||||
U.S. Treasury bills 0.125% | ||||||||||||||
$ 232,750,000 | 2/11/2016 | (Amortized cost of $232,676,458) | 232,722,167 | 66.74 | ||||||||||
|
|
|
|
|||||||||||
Total U.S. Government Securities |
$ | 283,468,837 | 81.29 | % | ||||||||||
|
|
|
|
11
Table of Contents
Managed Futures Premier Macro L.P.
Notes to Financial Statements
(Unaudited)
CMF Willowbridge Master L.P.
Statements of Income and Expenses
and Changes in Partners Capital
(Unaudited)
Three Months Ended March 31, |
||||||||
2016 | 2015 | |||||||
Investment Income: |
||||||||
Interest income |
$ | 208,516 | $ | 7,880 | ||||
|
|
|
|
|||||
Expenses: |
||||||||
Clearing fees |
297,559 | 252,579 | ||||||
Professional fees |
20,523 | 32,839 | ||||||
|
|
|
|
|||||
Total expenses |
318,082 | 285,418 | ||||||
|
|
|
|
|||||
Net investment income (loss) |
(109,566) | (277,538) | ||||||
|
|
|
|
|||||
Trading Results: |
||||||||
Net gains (losses) on trading of commodity interests: |
||||||||
Net realized gains (losses) on closed contracts |
(2,670,362) | 7,725,472 | ||||||
Net change in unrealized gains (losses) on open contracts |
576,852 | 3,507,796 | ||||||
|
|
|
|
|||||
Total trading results |
(2,093,510) | 11,233,268 | ||||||
|
|
|
|
|||||
Net income (loss) |
(2,203,076) | 10,955,730 | ||||||
Subscriptions - Limited Partners |
71,836,799 | 75,925,975 | ||||||
Redemptions - Limited Partners |
(9,513,726) | (10,955,581) | ||||||
Distribution of interest income to feeder funds |
(34,328) | (7,880) | ||||||
|
|
|
|
|||||
Net increase (decrease) in Partners Capital |
60,085,669 | 75,918,244 | ||||||
Partners Capital, beginning of period |
348,699,949 | 315,540,363 | ||||||
|
|
|
|
|||||
Partners Capital, end of period |
$ | 408,785,618 | $ | 391,458,607 | ||||
|
|
|
|
|||||
Net asset value per Redeemable Unit (142,014.3738 and 132,819.9169 Redeemable Units outstanding at March 31, 2016 and 2015, respectively) |
$ | 2,878.48 | $ | 2,947.29 | ||||
|
|
|
|
|||||
Net income (loss) per Redeemable Unit* |
$ | (14.41) | $ | 89.33 | ||||
|
|
|
|
|||||
Weighted average Redeemable Units outstanding |
135,735.8999 | 128,156.0183 | ||||||
|
|
|
|
* | Represents the change in net asset value per Redeemable Unit during the period before distribution of interest income to feeder fund. |
12
Table of Contents
Managed Futures Premier Macro L.P.
Notes to Financial Statements
(Unaudited)
3. Financial Highlights:
Financial highlights for each limited partner class as a whole for the three months ended March 31, 2016 and 2015, were as follows:
Three Months Ended March 31, 2016 |
Three Months Ended March 31, 2015 |
|||||||||||||||||||||||
Per Unit Performance (for unit outstanding throughout | Class A | Class D | Class Z | Class A | Class D | Class Z | ||||||||||||||||||
the period):* |
||||||||||||||||||||||||
Net realized and unrealized gains (losses) |
$ | (50.99) | $ | (50.55) | $ | (55.71) | $ | (66.06) | $ | (64.72) | $ | (70.88) | ||||||||||||
Net investment loss |
(6.92) | (5.20) | (4.68) | (9.76) | (7.39) | (6.67) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Increase (decrease) for the period |
(57.91) | (55.75) | (60.39) | (75.82) | (72.11) | (77.55) | ||||||||||||||||||
Net asset value per Unit, beginning of period |
560.60 | 555.33 | 612.13 | 717.60 | 701.77 | 767.72 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Net asset value per Unit, end of period |
$ | 502.69 | $ | 499.58 | $ | 551.74 | $ | 641.78 | $ | 629.66 | $ | 690.17 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
Three Months Ended March 31, 2016 |
Three Months Ended March 31, 2015 |
|||||||||||||||||||||||
Class A | Class D | Class Z | Class A | Class D | Class Z | |||||||||||||||||||
Ratio to Average Limited Partners Capital:** |
||||||||||||||||||||||||
Net investment loss*** |
(5.5) | % | (4.0) | % | (3.7) | % | (5.8) | % | (4.4) | % | (4.0) | % | ||||||||||||
Operating expenses before expenses borne by the |
5.9 | % | 4.4 | % | 4.1 | % | 5.8 | % | 4.4 | % | 4.0 | % | ||||||||||||
Expenses borne by the General Partner |
(0.1) | % | (0.1) | % | (0.1) | % | - | % | - | % | - | % | ||||||||||||
Incentive fees |
- | % | - | % | - | % | - | % | - | % | - | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Operating expenses after expenses borne by the |
5.8 | % | 4.3 | % | 4.0 | % | 5.8 | % | 4.4 | % | 4.0 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total return: |
||||||||||||||||||||||||
Total return before incentive fees |
(10.3) | % | (10.0) | % | (9.9) | % | (10.6) | % | (10.3) | % | (10.1) | % | ||||||||||||
Incentive fees |
- | % | - | % | - | % | - | % | - | % | - | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total return after incentive fees |
(10.3) | % | (10.0) | % | (9.9) | % | (10.6) | % | (10.3) | % | (10.1) | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
* | Net investment loss per Unit is calculated by dividing the expenses net of interest income by the average number of Units outstanding during the period. The net realized and unrealized gains (losses) per Unit is a balancing amount necessary to reconcile the change in net asset value per Unit with the other per unit information. |
** | Annualized (except for incentive fees). |
*** | Interest income allocated from the 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 using the Limited Partners share of income, expenses and average Partners Capital of the Partnership and includes the income and expenses allocated from the Master.
13
Table of Contents
Managed Futures Premier Macro L.P.
Notes to Financial Statements
(Unaudited)
Financial Highlights of Willowbridge Master:
Three Months Ended March 31, |
||||||||
2016 | 2015 | |||||||
Per Redeemable Unit Performance (for a unit outstanding throughout the period):* |
||||||||
Net realized and unrealized gains (losses) |
$ | (13.57) | $ | 91.55 | ||||
Net investment loss |
(0.84) | (2.22) | ||||||
|
|
|||||||
Increase (decrease) for the period |
(14.41) | 89.33 | ||||||
Distribution of interest income to feeder funds |
(0.26) | (0.06) | ||||||
Net asset value per Redeemable Unit, beginning of period |
2,893.15 | 2,858.02 | ||||||
|
|
|
|
|||||
Net asset value per Redeemable Unit, end of period |
$ | 2,878.48 | $ | 2,947.29 | ||||
|
|
|
|
|||||
Three Months Ended March 31, |
||||||||
2016 | 2015 | |||||||
Ratios to Average Limited Partners Capital:** |
||||||||
Net investment loss*** |
(0.1) | % | (0.3) | % | ||||
|
|
|
|
|||||
Operating expenses |
0.3 | % | 0.3 | % | ||||
|
|
|
|
|||||
Total return |
(0.5) | % | 3.1 | % | ||||
|
|
|
|
* | Net investment loss per Redeemable Unit is calculated by dividing the expenses net of interest income by the average number of Redeemable Units outstanding during the period. The net realized and unrealized gains (losses) per Redeemable Unit is a balancing amount necessary to reconcile the change in net asset value per Redeemable Unit with the other per unit information. |
** | Annualized. |
*** | Interest income less total expenses. |
14
Table of Contents
Managed Futures Premier Macro L.P.
Notes to Financial Statements
(Unaudited)
4. Trading Activities:
The Partnership was formed for the purpose of trading contracts in a variety of commodity interests, including derivative financial instruments and derivative commodity instruments. The Partnership invests substantially all of its assets through a master/feeder structure. The Partnerships pro-rata share of the results of the Masters trading activities is shown in the Statements of Income and Expenses and Changes in Partners Capital.
The Partnership and the Master, in the normal course of business, enter into various contracts with MS&Co. acting as their commodity broker. The brokerage agreement with MS&Co. gives the Partnership and the Master, respectively, the legal right to net unrealized gains and losses on open futures and forward contracts. The Master nets, for financial reporting purposes, the unrealized gains and losses on open futures and forward contracts in its Statements of Financial Condition as the criteria under ASC 210-20, Balance Sheet, have been met.
All of the commodity interests owned by the Master are held for trading purposes. The monthly average number of futures contracts traded during the three months ended March 31, 2016 and 2015 were 3,639 and 4,495, respectively. The monthly average number of option contracts traded during the three months ended March 31, 2016 and 2015 were 3,840 and 8,621, respectively. The monthly average number of metals forward contracts traded during the three months ended March 31, 2016 and 2015 were 0 and 339, respectively. The monthly average notional value of currency forward contracts held during the three months ended March 31, 2016 and 2015 were $825,565,766 and $231,272,563, respectively.
15
Table of Contents
Managed Futures Premier Macro L.P.
Notes to Financial Statements
(Unaudited)
The following tables summarize the gross and net amounts relating to assets and liabilities of the Masters derivatives and their offsetting subject to master netting agreements or similar agreements as of March 31, 2016 and December 31, 2015, respectively.
Gross Amounts Offset in the |
Amounts Presented in the |
Gross Amounts Not Offset in the Statements of Financial Condition |
||||||||||||||||||||||
March 31, 2016 |
Gross Amounts Recognized |
Statements of Financial Condition |
Statements of Financial Condition |
Financial Instruments |
Cash Collateral Received/ Pledged* |
Net Amount | ||||||||||||||||||
Assets |
||||||||||||||||||||||||
Futures |
$ | 1,101,292 | $ | (568,814) | $ | 532,478 | $ | - | $ | - | $ | 532,478 | ||||||||||||
Forwards |
3,175,995 | (3,175,995) | - | - | - | - | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total assets |
$ | 4,277,287 | $ | (3,744,809) | $ | 532,478 | $ | - | $ | - | $ | 532,478 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Liabilities |
||||||||||||||||||||||||
Futures |
$ | (568,814) | $ | 568,814 | $ | - | $ | - | $ | - | $ | - | ||||||||||||
Forwards |
(3,761,074) | 3,175,995 | (585,079) | - | - | (585,079) | ||||||||||||||||||
Options written |
(3,141,818) | - | (3,141,818) | - | - | (3,141,818) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total liabilities |
$ | (7,471,706) | $ | 3,744,809 | $ | (3,726,897) | $ | - | $ | - | $ | (3,726,897) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Net fair value |
$ | (3,194,419) | * | |||||||||||||||||||||
|
|
|||||||||||||||||||||||
Gross Amounts Offset in the |
Amounts Presented in the |
Gross Amounts Not Offset in the Statements of Financial Condition |
||||||||||||||||||||||
December 31, 2015 |
Gross Amounts Recognized |
Statements of Financial Condition |
Statements of Financial Condition |
Financial Instruments |
Cash Collateral Received/ Pledged* |
Net Amount | ||||||||||||||||||
Assets |
||||||||||||||||||||||||
Futures |
$ | 645,713 | $ | (645,713) | $ | - | $ | - | $ | - | $ | - | ||||||||||||
Forwards |
291,647 | (192,566) | 99,081 | - | - | 99,081 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total assets |
$ | 937,360 | $ | (838,279) | $ | 99,081 | $ | - | $ | - | $ | 99,081 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Liabilities |
||||||||||||||||||||||||
Futures |
$ | (1,284,726) | $ | 645,713 | $ | (639,013) | $ | - | $ | - | $ | (639,013) | ||||||||||||
Forwards |
(192,566) | 192,566 | - | - | - | - | ||||||||||||||||||
Options written |
(2,004,116) | - | (2,004,116) | - | - | (2,004,116) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total liabilities |
$ | (3,481,408) | $ | 838,279 | $ | (2,643,129) | $ | - | $ | - | $ | (2,643,129) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Net fair value |
$ | (2,544,048) | * | |||||||||||||||||||||
|
|
* | In the event of default by the Master, MS&Co., the Masters commodity futures broker and the sole counterparty to the Masters off exchange-traded contracts, as applicable, has the right to offset the Masters obligation with the Masters cash and/or U.S. Treasury bills 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 in the Statements of Financial Condition. In the case of exchangetraded contracts, the Masters exposure to counterparty risk may be reduced since the exchanges clearinghouse interposes its credit between buyer and seller and the clearinghouses guarantee fund may be available in the event of a default. |
16
Table of Contents
Managed Futures Premier Macro L.P.
Notes to Financial Statements
(Unaudited)
The following tables indicate the Masters gross fair values of derivative instruments of futures, forward and option contracts as separate assets and liabilities as of March 31, 2016 and December 31, 2015, respectively.
March 31, 2016 |
||||
Assets |
||||
Futures Contracts |
||||
Energy |
$ | 64,350 | ||
Indices |
333,498 | |||
Interest Rates U.S. |
378,344 | |||
Interest Rates Non-U.S. |
325,100 | |||
|
|
|||
Total unrealized appreciation on open futures contracts |
1,101,292 | |||
|
|
|||
Liabilities |
||||
Futures Contracts |
||||
Energy |
(295,299) | |||
Indices |
(47,052) | |||
Interest Rates Non-U.S. |
(226,463) | |||
|
|
|||
Total unrealized depreciation on open futures contracts |
(568,814) | |||
|
|
|||
Net unrealized appreciation on open futures contracts |
$ | 532,478 | * | |
|
|
|||
Assets |
||||
Forward Contracts |
||||
Currencies |
$ | 3,175,995 | ||
|
|
|||
Total unrealized appreciation on open forward contracts |
3,175,995 | |||
|
|
|||
Liabilities |
||||
Forward Contracts |
||||
Currencies |
(3,761,074) | |||
|
|
|||
Total unrealized depreciation on open forward contracts |
(3,761,074) | |||
|
|
|||
Net unrealized depreciation on open forward contracts |
$ | (585,079) | ** | |
|
|
|||
Liabilities |
||||
Options Written |
||||
Energy |
$ | 321,790 | ||
Indices |
(1,235,250) | |||
Interest Rates U.S. |
(1,021,438) | |||
Metals |
(1,206,920) | |||
|
|
|||
Total options written |
$ | (3,141,818) | *** | |
|
|
* | This amount is in Net unrealized appreciation on open futures contracts in the Masters Statements of Financial Condition. |
** | This amount is in Net unrealized depreciation on open forward contracts in the Masters Statements of Financial Condition. |
*** | This amount is in Options written, at fair value in the Masters Statements of Financial Condition. |
17
Table of Contents
Managed Futures Premier Macro L.P.
Notes to Financial Statements
(Unaudited)
December 31, 2015 |
||||
Assets |
||||
Futures Contracts |
||||
Interest Rates Non-U.S. |
$ | 645,713 | ||
|
|
|||
Total unrealized appreciation on open futures contracts |
645,713 | |||
|
|
|||
Liabilities |
||||
Futures Contracts |
||||
Interest Rates Non-U.S. |
(1,284,726) | |||
|
|
|||
Total unrealized depreciation on open futures contracts |
(1,284,726) | |||
|
|
|||
Net unrealized depreciation on open futures contracts |
$ | (639,013) | * | |
|
|
|||
Assets |
||||
Forward Contracts |
||||
Currencies |
$ | 291,647 | ||
|
|
|||
Total unrealized appreciation on open forward contracts |
291,647 | |||
|
|
|||
Liabilities |
||||
Forward Contracts |
||||
Currencies |
(192,566) | |||
|
|
|||
Total unrealized depreciation on open forward contracts |
(192,566) | |||
|
|
|||
Net unrealized appreciation on open forward contracts |
$ | 99,081 | ** | |
|
|
|||
Liabilities |
||||
Options Written |
||||
Energy |
$ | (111,360) | ||
Interest Rates Non-U.S. |
(1,892,756) | |||
|
|
|||
Total options written |
$ | (2,004,116) | *** | |
|
|
* | This amount is in Net unrealized depreciation on open futures contracts in the Masters Statements of Financial Condition. |
** | This amount is in Net unrealized appreciation on open forward contracts in the Masters Statements of Financial Condition. |
*** | This amount is in Options written, at fair value in the Masters Statements of Financial Condition. |
18
Table of Contents
Managed Futures Premier Macro L.P.
Notes to Financial Statements
(Unaudited)
The following tables indicate the trading gains and losses, by market sector, on derivative instruments for the three months ended March 31, 2016 and 2015.
Three Months Ended March 31, |
||||||||
Sector |
2016 | 2015 | ||||||
Currencies |
$ | (2,252,233) | $ | 10,943,927 | ||||
Energy |
(3,869,100) | 3,530,967 | ||||||
Indices |
80,681 | (4,997,835) | ||||||
Interest Rates U.S. |
3,571,225 | (1,990,532) | ||||||
Interest Rates Non-U.S. |
137,050 | 4,371,191 | ||||||
Metals |
238,867 | 384,639 | ||||||
Softs |
- | (1,009,089) | ||||||
|
|
|
|
|||||
Total |
$ | (2,093,510) | * | $ | 11,233,268 | * | ||
|
|
|
|
* | This amount is in Total trading results on the Masters Statements of Income and Expenses and Changes in Partners Capital. |
5. Fair Value Measurements:
Masters 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.
The 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 was 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 was calculated by applying an industry standard model application for options valuation of foreign currency options, using as input the spot prices, interest rates, and option implied volatilities quoted as of approximately 3:00 P.M. (E.T.) on the last business day of the reporting period. 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.
The Master considers prices for exchange-traded commodity futures, forward, swap and option 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 quotes or pricing services that derive fair values for those assets and liabilities from observable inputs (Level 2). As of March 31, 2016 and December 31, 2015 and for the periods ended March 31, 2016 and 2015, the Master did not hold any derivative instruments that were priced at fair value using unobservable inputs through the application of the General Partners assumptions and internal valuation pricing models (Level 3). Transfers between levels are recognized at the end of the reporting period. During the reporting periods, there were no transfers of assets or liabilities between Level 1 and Level 2.
19
Table of Contents
Managed Futures Premier Macro L.P.
Notes to Financial Statements
(Unaudited)
March 31, 2016 |
Total | Level 1 | Level 2 | Level 3 | ||||||||||||||||
Assets |
||||||||||||||||||||
Futures |
$ | 1,101,292 | $ | 1,101,292 | $ | - | $ | - | ||||||||||||
Forwards |
3,175,995 | - | 3,175,995 | - | ||||||||||||||||
U.S. Treasury bills |
371,965,455 | - | 371,965,455 | - | ||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
Total Assets |
$ | 376,242,742 | $ | 1,101,292 | $ | 375,141,450 | $ | - | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
Liabilities |
||||||||||||||||||||
Futures |
$ | 568,814 | $ | 568,814 | $ | - | $ | - | ||||||||||||
Forwards |
3,761,074 | - | 3,761,074 | - | ||||||||||||||||
Options written |
3,141,818 | 3,141,818 | - | - | ||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
Total Liabilities |
$ | 7,471,706 | $ | 3,710,632 | $ | 3,761,074 | $ | - | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
December 31, 2015 |
Total | Level 1 | Level 2 | Level 3 | ||||||||||||||||
Assets |
||||||||||||||||||||
Futures |
$ | 645,713 | $ | 645,713 | $ | - | $ | - | ||||||||||||
Forwards |
291,647 | - | 291,647 | - | ||||||||||||||||
U.S. Treasury bills |
283,468,837 | - | 283,468,837 | - | ||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
Total Assets |
$ | 284,406,197 | $ | 645,713 | $ | 283,760,484 | $ | - | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
Liabilities |
||||||||||||||||||||
Futures |
$ | 1,284,726 | $ | 1,284,726 | $ | - | $ | - | ||||||||||||
Forwards |
192,566 | - | 192,566 | - | ||||||||||||||||
Options written |
2,004,116 | 2,004,116 | - | - | ||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
Total Liabilities |
$ | 3,481,408 | $ | 3,288,842 | $ | 192,566 | $ | - | ||||||||||||
|
|
|
|
|
|
|
|
6. Financial Instrument Risks:
In the normal course of business, the Partnership, through its investment in the Master, is party to financial instruments with off-balance sheet risk, including derivative financial instruments and derivative commodity instruments. These financial instruments may include forwards, futures, options and swaps, whose values are based upon an underlying asset, index, or reference rate, and generally represent future commitments to exchange currencies or cash balances, or to purchase or sell other financial instruments at specific terms at specified future dates, or, in the case of derivative commodity instruments, to have a reasonable possibility to be settled in cash, through physical delivery or with another financial instrument. These instruments may be traded on an exchange or over-the-counter (OTC). Exchange-traded instruments are standardized and include futures and certain forwards and option contracts. OTC contracts are negotiated between contracting parties and include certain forwards 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 related to the underlying financial instruments including market and credit risk. In general, the risks associated with OTC contracts are greater than those associated with exchange-traded instruments because of the greater risk of default by the counterparty to an OTC contract. The General Partner estimates that at any given time approximately 0.0% to 100.0% of the Masters contracts are traded OTC.
20
Table of Contents
Managed Futures Premier Macro L.P.
Notes to Financial Statements
(Unaudited)
Futures Contracts. The Master trades futures contracts. A futures contract is a firm commitment to buy or sell a specified quantity of investments, currency or a standardized amount of a deliverable grade commodity, at a specified price on a specified future date, unless the contract is closed before the delivery date or the delivery quantity is something where physical delivery cannot occur (such as the S&P 500 Index), whereby such contract is settled in cash. Payments (variation margin) may be made or received by the Master each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the Master. When the contract is closed, the Master records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Transactions in futures contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the futures broker, directly with the exchange on which the contracts are traded. Net realized gains (losses) and net change in unrealized gains (losses) on futures contracts are included in the Masters Statements of Income and Expenses and Changes in Partners Capital.
London Metals Exchange Forward Contracts. Metal contracts traded on the London Metals Exchange (LME) represent a firm commitment to buy or sell a specified quantity of aluminum, copper, lead, nickel, tin or zinc. LME contracts traded by the Master are cash settled based on prompt dates published by the LME. Payments (variation margin) may be made or received by the Master 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 Masters Statements of Income and Expenses and Changes in Partners Capital.
Forward Foreign Currency Contracts. Forward foreign currency contracts are those contracts where the Master agrees to receive or deliver a fixed quantity of foreign currency for an agreed- upon price on an agreed future date. Forward foreign currency contracts are valued daily, and the Masters net equity therein, representing unrealized gain or loss on the contracts as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward rates at the reporting date, is included in the Masters Statements of Financial Condition. Net realized gains (losses) and net change in unrealized gains (losses) on foreign currency contracts are recognized in the period in which the contract is closed or the changes occur, respectively, and are included in the Masters Statements of Income and Expenses.
Options. The Master may purchase and write (sell) both exchange-listed and OTC options on commodities or financial instruments. An option is a contract allowing, but not requiring, its holder to buy (call) or sell (put) a specific or standard commodity or financial instrument at a specified price during a specified time period. The option premium is the total price paid or received for the option contract. When the Master writes an option, the premium received is recorded as a liability in the Masters Statements of Financial Condition and marked-to-market daily. When the Master purchases an option, the premium paid is recorded as an asset in the Masters Statements of Financial Condition and marked-to-market daily. Net realized gains (losses) and net change in unrealized gains (losses) on option contracts are included in the Masters 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 investment held. Such fluctuations are included in total trading results in the Masters Statements of Income and Expenses and Changes in Partners Capital.
Market risk is the potential for changes in the value of the financial instruments traded by the Master due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity or security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. The Master is exposed to a market risk equal to the value of the futures and forward contracts purchased and unlimited liability on such contracts sold short.
Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. The Partnerships/Masters 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 Partnerships/Masters 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 an MS&Co. affiliate is the sole counterparty or broker with respect to the Partnerships/Masters assets. Credit risk with respect to exchange-traded instruments is reduced to the extent that, through MS&Co. or an MS&Co. affiliate, the Partnerships/Masters counterparty is an exchange or clearing organization.
21
Table of Contents
Managed Futures Premier Macro L.P.
Notes to Financial Statements
(Unaudited)
As both a buyer and seller of options, the Master pays or receives a premium at the outset and then bears the risk of unfavorable changes in the price of the contract underlying the option. Written options expose the Partnership/Master to potentially unlimited liability; for purchased options the risk of loss is limited to the premiums paid. Certain written put options permit cash settlement and do not require the option holder to own the reference asset. The Partnership/Master does not consider these contracts to be guarantees.
The General Partner monitors and attempts to control the Partnerships/Masters risk exposure on a daily basis through financial, credit and risk management monitoring systems, and accordingly, believes that it has effective procedures for evaluating and limiting the credit and market risks to which the 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 risk to the limited partners that have purchased Units is limited to the amount of their share of the Partnerships net assets and undistributed profits. This limited liability is a result of the organization of the Partnership as a limited partnership under Delaware law.
The majority of these financial instruments mature within one year of the inception date. However, due to the nature of the Partnerships/Masters business, these instruments may not be held to maturity.
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 adjustments to or disclosure in the financial statements.
22
Table of Contents
Item 2. Managements 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. The Partnerships only assets are its investment in the Master, expense reimbursement and cash. The Master does not engage in sales of goods or services. The Masters only assets are its cash at bank and equity in trading account, consisting of cash, cash margin, net unrealized appreciation on open futures contracts, net unrealized appreciation on open forward contracts, options purchased at fair value and U.S. Treasury bills at fair value, if applicable. Because of the low margin deposits normally required in futures trading, relatively small price movements may result in substantial losses to the Partnership, through its investment in the Master. While substantial losses could lead to a material decrease in liquidity, no such illiquidity occurred in the first quarter of 2016.
There are no known trends, demands, commitments, events, or uncertainties at the present time that are reasonably likely to result in the Partnerships liquidity increasing or decreasing in any material way.
The Partnerships capital consists of the capital contributions of the partners as increased or decreased by income (loss) from its investment in the Master and by expenses, interest income, subscriptions and redemptions of Units and distributions of profits, if any.
For the three months ended March 31, 2016, the Partnerships capital decreased 22.8% from $67,747,672 to $52,297,624. This decrease was attributable to the redemptions of 16,985.385 Class A Limited Partner Units totaling $8,664,080, redemptions of 154.153 Class Z Limited Partner Units totaling $86,068 and redemptions of 633.533 Class Z General Partner Units totaling $355,064, coupled with a net loss of $6,919,844, which was partially offset by the subscriptions of 1,025.701 Class A Limited Partner Units totaling $575,008. Future redemptions could impact the amount of funds available for investment in the Master in subsequent periods.
The Masters capital consists of the capital contributions of the partners as increased or decreased by net realized and/or unrealized gains or losses on commodity futures trading, expenses, interest income, subscriptions, redemptions and distributions of profits, if any.
For the three months ended March 31, 2016, the Masters capital increased 17.2% from $348,699,949 to $408,785,618. This increase was attributable to the subscriptions of $71,836,799 which was partially offset by a net loss of $2,203,076, redemptions totaling $9,513,726 and distribution of interest income to feeder funds totaling $34,328. Future redemptions can impact the amount of funds available for investment in commodity contracts positions in subsequent periods.
There are no known material trends, favorable or unfavorable, that would affect, nor any expected material changes to, the Partnerships capital resource arrangements at the present time.
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 expense 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 Partnerships significant accounting policies are described in detail in Note 2, Basis of Presentation and Summary of Significant Accounting Policies, 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 and Changes in Partners Capital.
Results of Operations
During the Partnerships first quarter of 2016, the net asset value per Unit for Class A decreased 10.3% from $560.60 to $502.69, as compared to a decrease of 10.6% in the first quarter of 2015. During the Partnerships first quarter of 2016, the net asset value per Unit for Class D decreased 10.0% from $555.33 to $499.58, as compared a decrease of 10.3% in the first quarter of 2015. During the Partnerships first quarter of 2016, the net asset value per Unit for Class Z decreased 9.9% from $612.13 to $551.74, as compared to a decrease of 10.1% in the first quarter of 2015. The Partnership, through its investment in the Master, experienced a net trading loss in the first quarter of 2016 of $6,140,360 Losses were primarily attributable to the Masters trading in currencies, energy, grains, U.S. interest rates, metals and softs and were partially offset by gains in non-U.S. interest rates and indices. The Partnership, through its investment in the Blenheim Master, experienced a net trading loss in the first quarter of 2015 of $16,354,827. Losses were primarily attributable to the Blenheim Masters trading in commodities and were partially offset by gains in currencies, equities and interest rates.
23
Table of Contents
The most significant losses were incurred within the agricultural markets during January from long positions in cocoa futures as prices tumbled as funds cut bets on higher prices and signs emerged that the crop in Ghana, the second-biggest cocoa producer, was recovering from a five-year low. Within the metals sector, losses were experienced primarily from long positions in tin futures as prices fell during the first half of January after the release of a gloomy forecast for Chinese manufacturing growth. Additional losses within the metals sector were also experienced during January from long positions in palladium futures as prices fell on reduced industrial demand from the auto industry. Within the energy markets, losses were recorded during March from short positions in crude oil futures as prices moved higher as Saudi Arabia opened negotiations with global oil producers to curtail current production levels. Losses were also recorded in the energies during January from long positions in Brent crude oil futures as turmoil in Chinese markets and an expected increase in Iranian crude exports added to concerns that a global supply glut may continue. Losses were incurred within the currency sector during March from short positions in the euro versus the U.S. dollar as the relative value of the dollar declined following dovish comments from U.S. Federal Reserve Chair Janet Yellen that pushed out expectations for the U.S. central banks next interest rate hike. Losses were also recorded in the currency sector during January from short positions in the Saudi riyal versus the U.S. dollar. Within the global interest rate sector, losses were incurred during March from long positions in U.S. Treasury bond futures as prices fell after a report showed U.S. jobs growth was solid enough in February to sustain speculation that the U.S. Federal Reserve may raise interest rates this year. The Partnerships trading losses for the quarter were partially offset by trading gains within the global stock index markets from short positions in U.S. equity index futures as prices declined sharply during January amid mounting investor concerns about declining oil prices and a China-led slowdown in global growth.
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 Advisors ability to forecast price changes in energy and energy-related commodities. Such price changes are influenced by, among other things, changing supply and demand relationships, weather, governmental, agricultural, commercial and trade programs, policies, national and international political and economic events, and changes in interest rates. To the extent that the Advisor correctly makes such forecasts, the Partnership (and the Master) expects to increase capital through operations.
24
Table of Contents
Interest income on 80% of the Partnerships daily average equity allocated to it by Willowbridge Master was earned at the monthly average of the 4-week U.S. Treasury bill discount rate less 0.15% during such month. All interest earned on U.S. Treasury bills purchased will be retained by the Partnership and Willowbridge Master. Interest income allocated from Willowbridge Master for the three months ended March 31, 2016 increased by $22,884, as compared to the corresponding period in 2015. The increase in interest income is primarily due to higher 4-week U.S. Treasury bill discount rates along with additional interest income earned on U.S. Treasury bills during the three months ended March 31, 2016, as compared to the corresponding period in 2015. 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 Willowbridge Masters account and upon interest rates over which the Partnership, Willowbridge Master and the commodity broker have no control.
BHM Masters cash was on deposit in commodity brokerage accounts with Morgan Stanley and was maintained in cash, U.S. Treasury bills and/or other permitted investments and segregated as customer funds, to the extent required by the Commodity Futures Trading Commission (CFTC) regulations. From time to time, a portion of the BHM Masters excess cash (BHM Masters assets not used for futures interest trading or required margin for such trading) might have been invested by MS&Co. in permitted investments chosen by the General Partner from time to time. The Master received 100% of the interest income earned on any excess cash invested in permitted investments. For excess cash which was not invested, MS&Co. credited BHM Master on 100% of the average daily equity maintained in cash in BHM Masters account during each month at the rate equal to the monthly average of the 4-week U.S. Treasury bill discount less 0.15% during such month.
Ongoing placement agent fees are calculated on a monthly basis as a percentage of the net assets (as defined in the Limited Partnership Agreement) of the Partnership as of the beginning of each month. The ongoing placement agent fees for the three months ended March 31, 2016 decreased $573,426, as compared to the corresponding period in 2015. The decrease in ongoing placement agent fees is due to lower average net assets during the three months ended March 31, 2016, as compared to the corresponding period in 2015.
General Partner fees (formerly, administrative fees) are calculated on a monthly basis as a percentage of the net assets (as defined in the Limited Partnership Agreement) of the Partnership as of the beginning of each month. General Partner fees for the three months ended March 31, 2016 decreased $298,250, as compared to the corresponding period in 2015. The decrease in General Partner fees is due to lower average net assets during the three months ended March 31, 2016, as compared to the corresponding period in 2015.
Management fees were borne by Blenheim Master, prior to its termination effective January 31, 2016. Effective February 1, 2016 management fees began to be charged on the Partnership level based on the net assets of the Partnership as of the first day of each month. Accordingly, they must be analyzed in relation to the fluctuations in monthly beginning net asset values. Management fees for the three months ended March 31, 2016 were $138,007.
Incentive fees were borne by BHM Master, prior to its termination effective January 31, 2016. Effective February 1, 2016 incentive fees began to be charged on the Partnership level. Incentive fees are based on the new trading profits generated by the Advisor at the end of the quarter, as defined in the management agreement among the Partnership, the General Partner and the Advisor. There were no incentive fees paid for the three months ended March 31, 2016 and 2015. 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.
The Partnership pays the ongoing administrative, operating, offering and organizational expenses of the Partnership and the Master as such expenses are incurred, not to exceed 0.25% annually of the net assets of the Partnership.
In allocating substantially all of the assets of the Partnership to the Master, the General Partner considers, among other factors, the Advisors 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 and allocate assets to additional advisors at any time.
Off-Balance Sheet Arrangements and Contractual Obligations
The Partnership does not have any off-balance sheet arrangements, nor does it have contractual obligations or commercial commitments to make future payments, that would affect its liquidity or capital resources.
25
Table of Contents
Item 3. Quantitative and Qualitative Disclosures about Market Risk
All of the Partnerships 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 Partnerships capital is 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 Masters and the Partnerships 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 Masters open positions and, consequently, in its earnings and cash balances. The Masters and the Partnerships market risk is influenced by a wide variety of factors, including the level and volatility of interest rates, exchange rates, equity price levels, the value of financial instruments and contracts, the diversification results among the Masters open positions and the liquidity of the markets in which it trades.
The Master rapidly acquires and liquidates both long and short positions in a range of different markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the Masters 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 Masters speculative trading and the recurrence in the markets traded by the Master of market movements far exceeding expectations could result in actual trading or non-trading losses far beyond the indicated Value at Risk or the Masters 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 Masters losses in any market sector will be limited to Value at Risk or by the Masters 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 sensitive instruments. The following tables indicate the trading Value at Risk associated with the Masters open positions by market category as of March 31, 2016 and December 31, 2015, and the highest, lowest and average value during the three months ended March 31, 2016 and during the twelve months ended December 31, 2015. 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 Partnerships Annual Report on Form 10-K for the year ended December 31, 2015.
As of March 31, 2016, Willowbridge Masters total capitalization was $408,785,618, and the Partnership owned approximately 13.0% of the Master. The Partnership invests substantially all of its assets in the Master. The Masters Value at Risk as of March 31, 2016 was as follows:
March 31, 2016
Market Sector |
Value at Risk | % of Total
Capitalization |
High
Value at Risk |
Low
Value at Risk |
Average
Risk* |
|||||||||||||||
Currencies |
$ | 38,893,524 | 9.51 | % | $ | 79,559,952 | $ | 35,186,364 | $ | 41,262,527 | ||||||||||
Energy |
3,455,221 | 0.84 | 12,259,443 | 378,906 | 3,473,316 | |||||||||||||||
Indices |
9,996,561 | 2.45 | 9,996,561 | - | 3,332,187 | |||||||||||||||
Interest Rates U.S. |
5,365,546 | 1.31 | 22,748,409 | 515,185 | 7,800,674 | |||||||||||||||
Interest Rates Non-U.S. |
1,091,038 | 0.27 | 4,149,092 | - | 1,028,877 | |||||||||||||||
Metals |
3,431,571 | 0.84 | 3,876,473 | - | 1,143,857 | |||||||||||||||
|
|
|
|
|||||||||||||||||
Total |
$ | 62,233,461 | 15.22 | % | ||||||||||||||||
|
|
|
|
* | Average of month-end VaR. |
26
Table of Contents
As of December 31, 2015, BHM Masters total capitalization was $78,671,908. The Partnership owned approximately 91.5% of BHM Master. As of December 31, 2015, BHM Masters Value at Risk for its assets (including the portion of the Partnerships assets allocated to Blenheim for trading) was as follows:
December 31, 2015
% of Total | High | Low | Average | |||||||||||||||||
Market Sector |
Value at Risk | Capitalization | Value at Risk | Value at Risk | Risk* | |||||||||||||||
Commodity |
$ | 6,369,443 | 8.10 | % | $ | 43,569,935 | $ | 5,462,314 | $ | 19,190,910 | ||||||||||
Equity |
294,019 | 0.37 | 1,990,777 | 53,641 | 565,750 | |||||||||||||||
Currency |
363,989 | 0.46 | 4,636,011 | 194,711 | 1,030,885 | |||||||||||||||
Interest Rate |
11,825 | 0.02 | 1,399,215 | - | 162,482 | |||||||||||||||
|
|
|
|
|||||||||||||||||
Total |
$ | 7,039,276 | 8.95 | % | ||||||||||||||||
|
|
|
|
* | Annual average of daily VaR. |
27
Table of Contents
Item 4. Controls and Procedures
The Partnerships 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 Exchange Act is recorded, processed, summarized and reported within the time periods expected in the SECs 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 Partnerships external disclosures.
The General Partners President and CFO have evaluated the effectiveness of the Partnerships disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the Exchange Act) as of March 31, 2016 and, based on that evaluation, the General Partners President and CFO have concluded that, at that date, the Partnerships disclosure controls and procedures were effective.
The Partnerships internal control over financial reporting is a process under the supervision of the General Partners 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 Partnerships receipts are handled and expenditures are made only pursuant to authorizations of the General Partner; and |
| provide reasonable assurance regarding prevention or timely detection and correction of unauthorized acquisition, use or disposition of the Partnerships assets that could have a material effect on the financial statements. |
There were no changes in the Partnerships internal control over financial reporting process during the fiscal quarter ended March 31, 2016 that materially affected, or are reasonably likely to materially affect, the Partnerships internal control over financial reporting.
28
Table of Contents
There are no material legal proceedings pending against the Partnership or the General Partner.
The following information supplements and amends the discussion set forth under Part I. Item 3. Legal Proceedings in the Partnerships Annual Report on Form 10-K for the fiscal year ended December 31, 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.).
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 Exchange Act, which include current descriptions of material litigation and material proceedings and investigations, if any, by governmental and/or regulatory agencies or self-regulatory organizations concerning Morgan Stanley and its subsidiaries, including MS&Co. As a consolidated subsidiary of Morgan Stanley, MS&Co. does not file its own periodic reports with the SEC that contain descriptions of material litigation, proceedings and investigations. As a result, we refer you to the Legal Proceedings section of Morgan Stanleys SEC 10-K filings for 2015, 2014, 2013, 2012 and 2011.
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.
MS&Co. 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 Generals 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 MS&Co.s due diligence on the loans that it purchased for securitization, MS&Co.s communications with ratings agencies, MS&Co.s disclosures to investors, and MS&Co.s handling of servicing and foreclosure related issues.
On February 25, 2015, MS&Co. reached an agreement in principle with the United States Department of Justice, Civil Division and the United States Attorneys 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 MS&Co. That settlement was finalized on February 10, 2016.
On April 1, 2016, the California Attorney Generals Office filed an action against MS&Co. and certain affiliates in California state court styled California v. Morgan Stanley, et al., on behalf of California investors, including the California Public Employees Retirement System and the California Teachers Retirement System. The complaint alleges that MS&Co. made misrepresentations and omissions regarding RMBS and notes issued by the Cheyne SIV, and asserts violations of the California False Claims Act and other state laws and seeks treble damages, civil penalties, disgorgement, and injunctive relief.
29
Table of Contents
In October 2014, the Illinois Attorney Generals Office (ILAG) sent a letter to MS&Co. alleging that MS&Co. knowingly made misrepresentations related to RMBS purchased by certain pension funds affiliated with the State of Illinois and demanding that MS&Co. pay ILAG approximately $88 million. MS&Co. and ILAG reached an agreement to resolve the matter on February 10, 2016.
On January 13, 2015, the New York Attorney Generals 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 MS&Co. NYAG indicated that the lawsuit would allege that MS&Co. 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. MS&Co. and NYAG reached an agreement to resolve the matter on February 10, 2016.
On June 5, 2012, MS&Co. consented to and became the subject of an Order Instituting Proceedings Pursuant to Sections 6(c) and 6(d) of the Commodity Exchange Act, as amended, Making Findings and Imposing Remedial Sanctions by The Commodity Futures Trading Commission (CFTC) to resolve allegations related to the failure of a salesperson to comply with exchange rules that prohibit off-exchange futures transactions unless there is an Exchange for Related Position (EFRP). Specifically, the CFTC found that from April 2008 through October 2009, MS&Co. violated Section 4c(a) of the Commodity Exchange Act, as amended (the CEA), and CFTC Regulation 1.38 by executing, processing and reporting numerous off-exchange futures trades to the Chicago Mercantile Exchange (CME) and Chicago Board of Trade (CBOT) as EFRPs in violation of CME and CBOT rules because those trades lacked the corresponding and related cash, OTC swap, OTC option, or other OTC derivative position. In addition, the CFTC found that MS&Co. violated CFTC Regulation 166.3 by failing to supervise the handling of the trades at issue and failing to have adequate policies and procedures designed to detect and deter the violations of the CEA and CFTC Regulations. Without admitting or denying the underlying allegations and without adjudication of any issue of law or fact, MS&Co. accepted and consented to entry of findings and the imposition of a cease and desist order, a fine of $5,000,000, and undertakings related to public statements, cooperation and payment of the fine. MS&Co. entered into corresponding and related settlements with the CME and CBOT in which the CME found that MS&Co. violated CME Rules 432.Q and 538 and fined MS&Co. $750,000 and CBOT found that MS&Co. violated CBOT Rules 432.Q and 538 and fined MS&Co. $1,000,000.
On July 23, 2014, the SEC approved a settlement by MS&Co. and certain affiliates to resolve an investigation related to certain subprime RMBS transactions sponsored and underwritten by those entities in 2007. Pursuant to the settlement, MS&Co. and certain affiliates were charged with violating Sections 17(a)(2) and 17(a)(3) of the Securities Act, agreed to pay disgorgement and penalties in an amount of $275 million and neither admitted nor denied the SECs findings.
On April 21, 2015, the Chicago Board Options Exchange, Incorporated (CBOE) and the CBOE Futures Exchange, LLC (CFE) filed statements of charges against MS&Co. in connection with trading by one of MS&Co.s former traders of EEM options contracts that allegedly disrupted the final settlement price of the November 2012 VXEM futures. CBOE alleged that MS&Co. violated CBOE Rules 4.1, 4.2 and 4.7, Sections 9(a) and 10(b) of the Exchange Act, and Rule 10b-5 thereunder. CFE alleged that MS&Co. violated CFE Rules 608, 609 and 620. Both matters are ongoing.
On June 18, 2015, MS&Co. entered into a settlement with the SEC and paid a fine of $500,000 as part of the MCDC Initiative to resolve allegations that MS&Co. 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 MS&Co. acted as senior or sole underwriter.
30
Table of Contents
On August 6, 2015, MS&Co. consented to and became the subject of an order by the CFTC to resolve allegations that MS&Co. 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 MS&Co. 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 MS&Co. violated CFTC Regulation 166.3 by failing to have in place adequate procedures to ensure that it complied with CFTC Regulation 22.9(a). Without admitting or denying the findings or conclusions and without adjudication of any issue of law or fact, MS&Co. 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.
Civil Litigation
On December 23, 2009, the Federal Home Loan Bank of Seattle filed a complaint against MS&Co. 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 MS&Co. was approximately $233 million. The complaint raises claims under the Washington State Securities Act and seeks, among other things, to rescind the plaintiffs purchase of such certificates By orders dated June 23, 2011 and July 18, 2011, the court denied defendants omnibus motion to dismiss plaintiffs amended complaint and on August 15, 2011, the court denied MS&Co.s individual motion to dismiss the amended complaint. On March 7, 2013, the court granted defendants motion to strike plaintiffs demand for a jury trial. The defendants joint motions for partial summary judgment were denied on November 9, 2015. At March 25, 2016, the current unpaid balance of the mortgage pass-through certificates at issue in this action was approximately $45 million, and the certificates had not yet incurred actual losses. Based on currently available information, MS&Co. believes it could incur a loss in this action up to the difference between the $45 million unpaid balance of these certificates (plus any losses incurred) and their fair market value at the time of a judgment against MS&Co., plus pre- and post-judgment interest, fees and costs. MS&Co. may be entitled to be indemnified for some of these losses and to an offset for interest received by the plaintiff prior to a judgment.
On March 15, 2010, the Federal Home Loan Bank of San Francisco filed a complaint against MS&Co. and other defendants in the Superior Court of the State of California styled Federal Home Loan Bank of San Francisco v. Deutsche Bank Securities Inc. et al. An amended complaint, filed on June 10, 2010, alleges that defendants made untrue statements and material omissions in connection with the sale to plaintiff of certain mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The amount of certificates allegedly sold to plaintiff by MS&Co. was approximately $276 million. The complaint raises claims under both the federal securities laws and California law and seeks, among other things, to rescind the plaintiffs purchase of such certificates. On August 11, 2011, plaintiffs federal securities law claims were dismissed with prejudice. On February 9, 2012, defendants demurrers with respect to all other claims were overruled. On December 20, 2013, plaintiffs negligent misrepresentation claims were dismissed with prejudice. At March 25, 2016, the current unpaid balance of the mortgage pass-through certificates at issue in these cases was approximately $56 million, and the certificates had incurred actual losses of approximately $1 million. Based on currently available information, MS&Co. believes it could incur a loss for 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 MS&Co., or upon sale, plus pre- and post-judgment interest, fees and costs. MS&Co. may be entitled to be indemnified for some of these losses and to an offset for interest received by the plaintiff prior to a judgment.
31
Table of Contents
On July 15, 2010, China Development Industrial Bank (CDIB) filed a complaint against MS&Co., 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 MS&Co. misrepresented the risks of the STACK 2006-1 CDO to CDIB, and that MS&Co. 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 CDIBs obligation to pay an additional $12 million, punitive damages, equitable relief, fees and costs. On February 28, 2011, the court denied MS&Co.s motion to dismiss the complaint. Based on currently available information, MS&Co. 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 MS&Co. 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 MS&Co. at issue in the action was approximately $203 million. The complaint seeks, among other things, to rescind the plaintiffs 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 MS&Co. or sold to plaintiff by MS&Co. was approximately $78 million. At March 25, 2016, the current unpaid balance of the mortgage pass-through certificates at issue in this action was approximately $50 million, and the certificates had not yet incurred actual losses. Based on currently available information, MS&Co. believes it could incur a loss in this action up to the difference between the $50 million unpaid balance of these certificates (plus any losses incurred) and their fair market value at the time of a judgment against MS&Co., plus pre- and post-judgment interest, fees and costs. MS&Co. may be entitled to be indemnified for some of these losses and to an offset for interest received by the plaintiff prior to a judgment.
On April 20, 2011, the Federal Home Loan Bank of Boston filed a complaint against MS&Co. 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 MS&Co. or sold to plaintiff by MS&Co. was approximately $385 million. The amended complaint raises claims under the Massachusetts Uniform Securities Act, the Massachusetts Consumer Protection Act and common law and seeks, among other things, to rescind the plaintiffs purchase of such certificates. On May 26, 2011, defendants removed the case to the United States District Court for the District of Massachusetts. The defendants motions to dismiss the amended complaint were granted in part and denied in part on September 30, 2013. On November 25, 2013, July 16, 2014, and May 19, 2015, respectively, the plaintiff voluntarily dismissed its claims against MS&Co. with respect to three of the securitizations at issue. After these voluntary dismissals, the remaining amount of certificates allegedly issued by MS&Co. or sold to plaintiff by MS&Co. was approximately $332 million. At March 25, 2016, the current unpaid balance of the mortgage pass-through certificates at issue in this action was approximately $54 million, and the certificates had not yet incurred actual losses. Based on currently available information, MS&Co. believes it could incur a loss in this action up to the difference between the $54 million unpaid balance of these certificates (plus any losses incurred) and their fair market value at the time of a judgment against MS&Co., or upon sale, plus pre- and post-judgment interest, fees and costs. MS&Co. may be entitled to be indemnified for some of these losses and to an offset for interest received by the plaintiff prior to a judgment.
32
Table of Contents
On May 3, 2013, plaintiffs in Deutsche Zentral-Genossenschaftsbank AG et al. v. Morgan Stanley et al. filed a complaint against MS&Co., certain affiliates, and other defendants in the Supreme Court of NY. The complaint alleges that defendants made material misrepresentations and omissions in the sale to plaintiffs of certain mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The total amount of certificates allegedly sponsored, underwritten and/or sold by MS&Co. to plaintiff currently at issue in this action was approximately $644 million. The complaint alleges causes of action against MS&Co. 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 granted in part and denied in part MS&Co.s motion to dismiss the complaint. MS&Co. perfected its appeal from that decision on June 12, 2015. At March 25, 2016, the current unpaid balance of the mortgage pass-through certificates at issue in this action was approximately $263 million, and the certificates had incurred actual losses of approximately $84 million. Based on currently available information, MS&Co. believes it could incur a loss in this action up to the difference between the $263 million unpaid balance of these certificates (plus any losses incurred) and their fair market value at the time of a judgment against MS&Co., or upon sale, plus pre- and post-judgment interest, fees and costs. MS&Co. may be entitled to be indemnified for some of these losses.
On May 17, 2013, plaintiff in IKB International S.A. in Liquidation, et al. v. Morgan Stanley, et al. filed a complaint against MS&Co. 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 MS&Co. to plaintiff was approximately $132 million. The complaint alleges causes of action against MS&Co. 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 MS&Co.s motion to dismiss. All claims regarding four certificates were dismissed. After these dismissals, the remaining amount of certificates allegedly issued by MS&Co. or sold to plaintiff by MS&Co. was approximately $116 million. On August 26, 2015, MS&Co. perfected its appeal from the courts October 29, 2014 decision. At March 25, 2016, the current unpaid balance of the mortgage pass-through certificates at issue in this action was approximately $28 million, and the certificates had incurred actual losses of $58 million. Based on currently available information, MS&Co. believes it could incur a loss in this action up to the difference between the $28 million unpaid balance of these certificates (plus any losses incurred) and their fair market value at the time of a judgment against MS&Co., or upon sale, plus pre- and post-judgment interest, fees and costs. MS&Co. may be entitled to be indemnified for some of these losses and to an offset for interest received by the plaintiff prior to a judgment.
Settled Civil Litigation
On August 25, 2008, MS&Co. 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 RMBS 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.
33
Table of Contents
On March 15, 2010, the Federal Home Loan Bank of San Francisco filed a complaint against MS&Co. and other defendants in the Superior Court of the State of California styled Federal Home Loan Bank of San Francisco v. Credit Suisse Securities (USA) LLC, et al. An amended complaint filed on June 10, 2010 alleged that defendants made untrue statements and material omissions in connection with the sale to plaintiff of a number of mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The amount of certificates allegedly sold to plaintiff by MS&Co. was approximately $704 million. The complaint raised claims under both the federal securities laws and California law and sought, among other things, to rescind the plaintiffs purchase of such certificates. 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 plaintiffs claims, including all remaining claims against MS&Co.
On July 9, 2010 and February 11, 2011, Cambridge Place Investment Management Inc. filed two separate complaints against MS&Co. and/or its affiliates and other defendants in the Superior Court of the Commonwealth of Massachusetts, both styled Cambridge Place Investment Management Inc. v. Morgan Stanley & Co., Inc., et al. The complaints asserted claims on behalf of certain clients of plaintiffs affiliates and allege that defendants made untrue statements and material omissions in the sale of a number of mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The total amount of certificates allegedly issued by MS&Co. and/or its affiliates or sold to plaintiffs affiliates clients by MS&Co. and/or its affiliates in the two matters was approximately $263 million. On February 11, 2014, the parties entered into an agreement to settle the litigation. On February 20, 2014, the court dismissed the action.
On October 25, 2010, MS&Co., certain affiliates and Pinnacle Performance Limited, a special purpose vehicle (SPV), were named as defendants in a purported class action in the United States District Court for the Southern District of New York (SDNY), styled Ge Dandong, et al. v. Pinnacle Performance Ltd., et al. On January 31, 2014, the plaintiffs in the action, which related to securities issued by the SPV in Singapore, 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 MS&Co. 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 MS&Co. 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 MS&Co. appealed on April 11, 2013. On May 3, 2013, MS&Co. filed its answer to the amended complaint. On January 16, 2015, the parties reached an agreement to settle the litigation.
On July 18, 2011, the Western and Southern Life Insurance Company and certain affiliated companies filed a complaint against MS&Co. 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 MS&Co. was approximately $153 million. On June 8, 2015, the parties reached an agreement to settle the litigation.
34
Table of Contents
On September 2, 2011, the Federal Housing Finance Agency (FHFA), as conservator for Fannie Mae and Freddie Mac, filed 17 complaints against numerous financial services companies, including MS&Co. and certain affiliates. A complaint against MS&Co. and certain affiliates and other defendants was filed in the Supreme Court of NY, 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 MS&Co. 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 MS&Co. 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.
On April 25, 2012, The Prudential Insurance Company of America and certain affiliates filed a complaint against MS&Co. and certain affiliates in the Superior Court of the State of New Jersey, styled The Prudential Insurance Company of America, et al. v. Morgan Stanley, et al. On October 16, 2012, plaintiffs filed an amended complaint. The amended complaint alleged that defendants made untrue statements and material omissions in connection with the sale to plaintiffs of certain mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The total amount of certificates allegedly sponsored, underwritten and/or sold by MS&Co. was 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 RICO statute, and includes a claim for treble damages. On January 8, 2016, the parties reached an agreement to settle the litigation.
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 (FDIC), as receiver for Franklin Bank S.S.B, filed two complaints against MS&Co. in the District Court of the State of Texas. Each was styled Federal Deposit Insurance Corporation as Receiver for Franklin Bank, S.S.B v. Morgan Stanley & Company LLC F/K/A Morgan Stanley & Co. Inc. and alleged that MS&Co. made untrue statements and material omissions in connection with the sale to plaintiff of mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The amount of certificates allegedly underwritten and sold to plaintiff by MS&Co. 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 MS&Co. 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 MS&Co. 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.
35
Table of Contents
On September 23, 2013, the plaintiff in National Credit Union Administration Board v. Morgan Stanley & Co. Inc., et al. filed a complaint against MS&Co. and certain affiliates in the SDNY. The complaint alleged 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 MS&Co. to plaintiffs in the matter was approximately $417 million. The complaint alleged violations of federal and various state securities laws and sought, among other things, rescissionary and compensatory damages. On November 23, 2015, the parties reached an agreement to settle the matter.
On September 16, 2014, the Virginia Attorney Generals Office filed a civil lawsuit, styled Commonwealth of Virginia ex rel. Integra REC LLC v. Barclays Capital Inc., et al., against MS&Co. and several other defendants in the Circuit Court of the City of Richmond related to RMBS. The lawsuit alleged that MS&Co. and the other defendants knowingly made misrepresentations and omissions related to the loans backing RMBS purchased by the Virginia Retirement System. 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 6, 2016, the parties reached an agreement to settle the litigation. An order dismissing the action with prejudice was entered on January 28, 2016.
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.
36
Table of Contents
There have been no material changes to the risk factors set forth under Part I, Item 1A. Risk Factors in the Partnerships Annual Report on the Form 10-K for the fiscal year ended December 31, 2015.
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds
For the three months ended March 31, 2016, there were subscriptions of 1,025.701 Units of Class A totaling $575,008. The Units were issued in reliance upon applicable exemptions from registration under Section 4(a)(2) of the Securities Act, and Section 506 of Regulation D promulgated thereunder. The Units were purchased by accredited investors as described in Regulation D.
Proceeds from the sale of Units are used in the trading of commodity interests including futures, swaps, options and forward contracts.
Period |
Class A (a) Total Number of |
Class A (b) Average Price Paid per |
Class Z (a) Total Number of Units Purchased* |
Class Z (b) Average Price Paid per Unit** |
(c) Total Units Plans or Programs |
(d) Maximum Number (or that May Yet be Purchased Under the Plans or Programs | ||||||||||
January 1, 2016 - January 31, 2016 |
10,990.038 | $510.40 | 154.153 | $558.33 | N/A | N/A | ||||||||||
February 1, 2016 -February 29, 2016 |
4,660.249 | $511.48 | - | $560.45 | N/A | N/A | ||||||||||
March 1, 2016 -March 31, 2016 |
1,335.098 | $502.69 | - | $551.74 | N/A | N/A | ||||||||||
16,985.385 | $510.09 | 154.153 | $558.33 | N/A | N/A |
* | Generally, Limited Partners are permitted to redeem their Units as of the end of each month on three business days notice to the General Partner. Under certain circumstances, the General Partner may compel redemption but to date the General Partner has not exercised this right. Purchases of Units by the Partnership reflected in the chart above were made in the ordinary course of the Partnerships business in connection with effecting redemptions for Limited Partners. |
** | Redemptions of Units are affected as of the last day of each month at the net asset value per Unit as of that day. |
Item 4. Mine Safety Disclosures Not applicable.
Item 5. Other Information None.
37
Table of Contents
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 and Director) (filed herewith).
32.1 Section 1350 Certification (Certification of President and Director) (filed herewith).
32.2 Section 1350 Certification (Certification of Chief Financial Officer and Director) (filed herewith).
101.INS* |
XBRL Instance Document | |
101.SCH* |
XBRL Taxonomy Extension Schema Document | |
101.CAL* |
XBRL Taxonomy Extension Calculation Linkbase Document | |
101.DEF* |
XBRL Taxonomy Extension Definition Linkbase Document | |
101.LAB* |
XBRL Taxonomy Extension Label Linkbase Document | |
101.PRE* |
XBRL Taxonomy Extension Presentation Linkbase Document |
Notes to Exhibits List
* Submitted electronically herewith.
38
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 Macro L.P. | ||
By: | Ceres Managed Futures LLC (General Partner) | |
By: | /s/ Patrick T. Egan | |
Patrick T. Egan President and Director |
Date: May 12, 2016
By: | /s/ Steven Ross | |
Steven Ross Chief Financial Officer and Director (Principal Accounting Officer) |
Date: May 12, 2016
The General Partner which signed the above is the only party authorized to act for the registrant. The registrant has no principal executive officer, principal financial officer, controller, or principal accounting officer and has no Board of Directors.
39