CERES ORION L.P. - FORM 10-Q

Attached files

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EX-32.1 - EX-32.1 - CERES ORION L.P.	d165931dex321.htm
EX-31.1 - EX-31.1 - CERES ORION L.P.	d165931dex311.htm
EX-32.2 - EX-32.2 - CERES ORION L.P.	d165931dex322.htm
EX-31.2 - EX-31.2 - CERES ORION L.P.	d165931dex312.htm

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 0-50271

ORION FUTURES FUND L.P.

(Exact name of registrant as specified in its charter)

New York

22-3644546

(State or other jurisdiction of

incorporation or organization)

(I.R.S. Employer

Identification No.)

c/o Ceres Managed Futures LLC

522 Fifth Avenue

New York, New York 10036

(Address of principal executive offices) (Zip Code)

(855) 672-4468

(Registrant’s telephone number, including area code)

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

Yes X No

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of 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, 348,945.6338 Limited Partnership Class A Redeemable Units were outstanding and 2,595.7592 Limited Partnership Class Z Redeemable Units were outstanding.

ORION FUTURES FUND L.P.

FORM 10-Q

INDEX


		Page Number
PART I - Financial Information:

Item 1.	Financial Statements:

	Statements of Financial Condition at March 31, 2016 and December 31, 2015 (unaudited)	3

	Condensed Schedules of Investments at March 31, 2016 (unaudited) and December 31, 2015	4 –5

	Statements of Income and Expenses for the three months ended March 31, 2016 and 2015 (unaudited)	6

	Statements of Changes in Partners’ Capital for the three months ended March 31, 2016 and 2015 (unaudited)	7

	Notes to Financial Statements (unaudited)	8 – 22

Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	23 – 25

Item 3.	Quantitative and Qualitative Disclosures about Market Risk	25 –30

Item 4.	Controls and Procedures	31

PART II - Other Information

Item 1.	Legal Proceedings	32 –37

Item 1A.	Risk Factors	38

Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	38

Item 3.	Defaults Upon Senior Securities	38

Item 4.	Mine Safety Disclosures	38

Item 5.	Other Information	38

Item 6.	Exhibits	39 –41

PART I

Item 1. Financial Statements

Orion Futures Fund L.P.

Statements of Financial Condition

(Unaudited)


	March 31,		December 31,
	2016		2015
Assets:
Investment in the Funds⁽¹⁾, at fair value	$	952,006,257	$	998,303,064

Equity in trading account:
Investment in U.S. Treasury bills, at fair value (amortized cost $161,463,437 and $91,974,799 at March 31, 2016 and December 31, 2015, respectively)		161,479,170		91,990,239
Cash margin		27,297,417		17,384,114
Net unrealized appreciation on open futures contracts		1,185,871		137,936
Net unrealized appreciation on open forward contracts		2,139,170		467,991

Total equity in trading account		192,101,628		109,980,280

Cash at bank		802		-
Interest receivable		7,888		3,437

Total assets	$	1,144,116,575	$	1,108,286,781

Liabilities and Partners’ Capital:
Liabilities:
Cash overdraft	$	1,021,079	$	2,799,232
Accrued expenses:
Ongoing selling agent fees		2,221,390		2,758,713
Management fees		936,706		885,234
General Partner fees		712,775		688,987
Incentive fees		1,555,439		-
Professional fees		433,905		349,705
Redemptions payable to Limited Partners		20,583,515		10,105,529

Total liabilities		27,464,809		17,587,400


Partners’ Capital:
General Partner, Class Z (10,028.8593 and 10,602.7003 Redeemable Units outstanding at March 31, 2016 and December 31, 2015, respectively)		11,915,105		12,017,940
Limited Partners, Class A (350,771.1228 and 357,997.9468 Redeemable Units outstanding at March 31, 2016 and December 31, 2015, respectively)		1,101,652,687		1,075,725,600
Limited Partners, Class Z (2,595.7592 and 2,607.7592 Redeemable Units outstanding at March 31, 2016 and December 31, 2015, respectively)		3,083,974		2,955,841

Total partners’ capital (net asset value)		1,116,651,766		1,090,699,381

Total liabilities and partners’ capital	$	1,144,116,575	$	1,108,286,781

Net asset value per Redeemable Unit:
Class A	$	3,140.66	$	3,004.84

Class Z	$	1,188.08	$	1,133.48

⁽¹⁾ Defined in Note 1.

See accompanying notes to financial statements.

Orion Futures Fund L.P.

Condensed Schedule of Investments

March 31, 2016

(Unaudited)


			Notional($)/ Number of Contracts		Fair Value		% of Partners’ Capital
Futures Contracts Purchased
Energy				206	$	109,466		0.01	%
Grains				184		59,637		0.01
Indices				575		121,465		0.01
Interest Rates U.S.				3,002		1,259,141		0.11
Interest Rates Non-U.S.				2,244		162,181		0.01
Livestock				58		(39,260)		0.00	*
Metals				86		(74,105)		(0.01)
Softs				181		(106,294)		(0.01)

Total futures contracts purchased						1,492,231		0.13

Futures Contracts Sold
Energy				469		(197,050)		(0.02)
Grains				1,141		155,894		0.01
Indices				950		9,521		0.00	*
Interest Rates U.S.				928		(16,723)		(0.00)	*
Interest Rates Non-U.S.				1,969		(290,956)		(0.03)
Livestock				24		(20,040)		(0.00)	*
Metals				68		14,489		0.00	*
Softs				144		38,505		0.00	*

Total futures contracts sold						(306,360)		(0.04)

Net unrealized appreciation on open futures contracts					$	1,185,871		0.09	%


Unrealized Appreciation on Open Forward Contracts
Currencies				$292,865,090	$	7,088,054		0.63	%
Metals				689		1,210,965		0.11

Total unrealized appreciation on open forward contracts						8,299,019		0.74

Unrealized Depreciation on Open Forward Contracts
Currencies				$234,244,320		(4,786,954)		(0.43)
Metals				669		(1,372,895)		(0.12)

Total unrealized depreciation on open forward contracts						(6,159,849)		(0.55)

Net unrealized appreciation on open forward contracts					$	2,139,170		0.19	%


U.S. Government Securities

Face Amount	Maturity Date	Description			Fair Value		% of Partners’ Capital
$52,500,000	4/14/2016	U.S. Treasury bills, 0.28% (Amortized cost of $52,488,567)			$	52,498,359		4.70	%
$41,500,000	4/28/2016	U.S. Treasury bills, 0.23% (Amortized cost of $41,487,273)				41,495,366		3.72
$67,500,000	5/19/2016	U.S. Treasury bills, 0.135% (Amortized cost of $67,487,597)				67,485,445		6.04

Total U.S. Government Securities					$	161,479,170		14.46	%


Investment in the Funds
CMF Winton Master L.P.					$	325,677,263		29.17	%
Morgan Stanley Smith Barney TT II, LLC						328,859,791		29.45
CMF Willowbridge Master Fund L.P.						297,469,203		26.64

Total investment in the Funds					$	952,006,257		85.26	%

* Due to rounding.

See accompanying notes to financial statements.

Orion Futures Fund L.P.

Condensed Schedule of Investments

December 31, 2015


			Notional($)/ Number of Contracts		Fair Value		% of Partners’ Capital
Futures Contracts Purchased
Energy				9	$	(12,644)		(0.00)	*%
Grains				97		(18,421)		(0.00)	*
Indices				350		(81,722)		(0.01)
Interest Rates U.S.				1,293		(63,964)		(0.01)
Interest Rates Non-U.S.				478		(155,218)		(0.01)
Softs				20		(6,934)		(0.00)	*

Total futures contracts purchased						(338,903)		(0.03)

Futures Contracts Sold
Energy				689		630,002		0.06
Grains				802		454,795		0.04
Indices				646		(237,157)		(0.02)
Interest Rates U.S.				851		(38,851)		(0.00)	*
Interest Rates Non-U.S.				475		39,575		0.00	*
Livestock				72		(196,058)		(0.02)
Metals				185		(156,298)		(0.01)
Softs				14		(19,169)		(0.00)	*

Total futures contracts sold						476,839		0.05

Net unrealized appreciation on open futures contracts					$	137,936		0.02	%


Unrealized Appreciation on Open Forward Contracts
Currencies				$106,385,444	$	1,321,602		0.12	%
Metals				506		1,375,041		0.13

Total unrealized appreciation on open forward contracts						2,696,643		0.25

Unrealized Depreciation on Open Forward Contracts
Currencies				$132,627,103		(1,463,464)		(0.13)
Metals				346		(765,188)		(0.07)

Total unrealized depreciation on open forward contracts						(2,228,652)		(0.20)

Net unrealized appreciation on open forward contracts					$	467,991		0.05	%


U.S. Government Securities

Face Amount	Maturity Date	Description			Fair Value		% of Partners’ Capital
$23,000,000	1/21/16	U.S. Treasury bills, 0.19% (Amortized cost of $22,996,601)			$	22,998,491		2.11	%
$69,000,000	2/11/16	U.S. Treasury bills, 0.125% (Amortized cost of $68,978,198)				68,991,748		6.33

Total U.S. Government Securities					$	91,990,239		8.44	%


Investment in the Funds
CMF Winton Master L.P.					$	351,974,066		32.27	%
Morgan Stanley Smith Barney TT II, LLC						360,373,336		33.04
CMF Willowbridge Master Fund L.P.						285,955,662		26.22

Total investment in the Funds					$	998,303,064		91.53	%

* Due to rounding.

See accompanying notes to financial statements.

Orion Futures Fund L.P.

Statements of Income and Expenses

(Unaudited)


	Three Months Ended March 31,
	2016		2015
Investment Income:
Interest income	$	90,197	$	-
Interest income allocated from the Funds		524,254		16,335

Total investment income		614,451		16,335

Expenses:
Expenses allocated from the Funds		3,794,562		8,704,317
Clearing fees related to direct investments		108,620		-
Ongoing selling agent fees		3,224,300		2,972,813
Management fees		2,808,366		2,793,527
General Partner fees		2,167,742		2,216,356
Incentive fees		1,555,439		8,799,365
Professional fees		624,893		122,616

Total expenses		14,283,922		25,608,994

Net investment income (loss)		(13,669,471)		(25,592,659)

Trading Results:
Net gains (losses) on trading of commodity interests and investment in the Funds:
Net realized gains (losses) on closed contracts		8,528,747		-
Net realized gains (losses) on closed contracts allocated from the Funds		45,940,752		101,671,824
Net change in unrealized gains (losses) on open contracts		2,665,075		-
Net change in unrealized gains (losses) on open contracts allocated from the Funds		6,432,260		(17,211,890)

Total trading results		63,566,834		84,459,934

Net income (loss)	$	49,897,363	$	58,867,275

Net income (loss) allocation by Class:
Class A	$	49,157,432	$	58,055,343

Class Z	$	739,931	$	811,932

Net asset value per Redeemable Unit:
Class A (350,771.1228 and 356,344.9748 Redeemable Units outstanding at March 31, 2016 and 2015, respectively)	$	3,140.66	$	3,237.84

Class Z (12,624.6185 and 12,949.9205 Redeemable Units outstanding at March 31, 2016 and 2015, respectively)	$	1,188.08	$	1,211.43

Net income (loss) per Redeemable Unit*:
Class A	$	135.82	$	161.06

Class Z	$	54.60	$	63.20

Weighted average Redeemable Units outstanding:
Class A		359,053.0921		361,627.2818

Class Z		13,015.1792		12,927.2138

* Represents the change in net asset value per Redeemable Unit during the period.

See accompanying notes to financial statements.

Orion Futures Fund L.P.

Statements of Changes in Partners’ Capital

For the Three Months Ended March 31, 2016 and 2015

(Unaudited)


	Class A				Class Z				Total
	Amount		Redeemable Units		Amount		Redeemable Units		Amount		Redeemable Units
Partners’ Capital, December 31, 2015	$	1,075,725,600		357,997.9468	$	14,973,781		13,210.4595	$	1,090,699,381		371,208.4063
Subscriptions - Limited Partners		24,317,529		7,838.9270		-		-		24,317,529		7,838.9270
Redemptions - General Partner		-		-		(699,994)		(573.8410)		(699,994)		(573.8410)
Redemptions - Limited Partners		(47,547,874)		(15,065.7510)		(14,639)		(12.0000)		(47,562,513)		(15,077.7510)
Net income (loss)		49,157,432		-		739,931		-		49,897,363		-

Partners’ Capital, March 31, 2016	$	1,101,652,687		350,771.1228	$	14,999,079		12,624.6185	$	1,116,651,766		363,395.7413

Partners’ Capital, December 31, 2014	$	1,096,725,351		356,452.4588	$	14,714,839		12,815.2785	$	1,111,440,190		369,267.7373
Subscriptions - Limited Partners		39,571,422		12,518.7460		289,133		242.4710		39,860,555		12,761.2170
Redemptions - Limited Partners		(40,565,648)		(12,626.2300)		(127,972)		(107.8290)		(40,693,620)		(12,734.0590)
Net income (loss)		58,055,343		-		811,932		-		58,867,275		-

Partners’ Capital, March 31, 2015	$	1,153,786,468		356,344.9748	$	15,687,932		12,949.9205	$	1,169,474,400		369,294.8953

See accompanying notes to financial statements.

Orion Futures Fund L.P.

Notes to Financial Statements

(Unaudited)

1.	Organization:

Orion Futures Fund L.P. (the “Partnership”) is a limited partnership organized on March 22, 1999, under the partnership laws of the State of New York, to engage, directly or indirectly, in the speculative trading of a diversified portfolio of commodity interests, including futures, option, swap and forward contracts. The sectors traded include currencies, energy, grains, livestock, indices, U.S. and non-U.S. interest rates, softs and metals. The commodity interests that are traded by the Partnership, directly, and indirectly through its investments in the Funds (as defined below), are volatile and involve a high degree of market risk. The Partnership commenced trading on June 10, 1999. The Partnership privately and continuously offers redeemable units of limited Partnership interest (“Redeemable Units”) to qualified investors. There is no maximum number of Redeemable Units that may be sold by the Partnership. The General Partner may also determine to invest up to all of the Partnership’s 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.

Ceres Managed Futures LLC, a Delaware limited liability company, acts as the general partner (the “General Partner” or with respect to Transtrend Master (defined below), the “Trading Manager”) and commodity pool operator of the Partnership. The General Partner is wholly owned by Morgan Stanley Smith Barney Holdings LLC (“MSSB Holdings”). MSSB Holdings is ultimately owned by Morgan Stanley. Morgan Stanley is a publicly held company whose shares are listed on the New York Stock Exchange. Morgan Stanley is engaged in various financial services and other businesses. Prior to June 28, 2013, Morgan Stanley indirectly owned a majority equity interest in MSSB Holdings, and Citigroup Inc. indirectly owned a minority equity interest in MSSB Holdings. Prior to July 31, 2009, the date as of which MSSB Holdings became its owner, the General Partner was wholly owned by Citigroup Financial Products Inc., a wholly owned subsidiary of Citigroup Global Markets Holdings Inc., the sole owner of which is Citigroup Inc.

All trading decisions are made for the Partnership by Winton Capital Management Limited (“Winton”), Transtrend B.V. (“Transtrend”), Willowbridge Associates Inc. (“Willowbridge”) and Systematica Investments Limited (“Systematica”) (each an “Advisor” and, collectively, the “Advisors”), each of which is a registered commodity trading advisor. Each Advisor is allocated a portion of the Partnership’s assets to manage. The Partnership invests the portion of its assets allocated to each of the Advisors either directly or indirectly through investments in the Funds. In addition, the General Partner may allocate the Partnership’s assets to additional non-major trading advisors (i.e., commodity trading advisors intended to be allocated less than 10% of the Partnership’s assets). Information about advisors allocated less than 10% of the Partnership’s assets may not be disclosed.

On June 1, 2011, the Partnership began offering “Class A” Redeemable Units and “Class Z” Redeemable Units pursuant to the offering memorandum. All Redeemable Units issued prior to June 1, 2011, were deemed Class A Redeemable Units. The rights, powers, duties and obligations associated with investment in Class A Redeemable Units were not changed. Class Z Redeemable Units were first issued on August 1, 2011. Class Z Redeemable Units are offered to certain employees of Morgan Stanley and/or its subsidiaries (and their family members). Class A Redeemable Units and Class Z Redeemable Units will each be referred to as a “Class” and collectively referred to as the “Classes.” The Class of Redeemable Units that a limited partner receives upon a subscription will generally depend upon the status of the limited partner, although the General Partner may determine to offer a particular Class of Redeemable Units to investors at its discretion.

During the reporting periods ended March 31, 2016 and 2015, the Partnership’s/Funds’ commodity broker was Morgan Stanley & Co. LLC (“MS&Co.”), a registered futures commission merchant. The Partnership/Funds also deposit a portion of their cash in a non-trading account at JPMorgan Chase Bank, N.A.

CMF Winton Master L.P. (“Winton Master”), Morgan Stanley Smith Barney TT II, LLC (“Transtrend Master”) and CMF Willowbridge Master Fund L.P. (“Willowbridge Master”) have entered into futures brokerage account agreements and foreign exchange brokerage account agreements with MS&Co. Winton Master, Transtrend Master and Willowbridge Master are collectively referred to as the “Funds.”

Orion Futures Fund L.P.

Notes to Financial Statements

(Unaudited)

Effective March 1, 2014, the Partnership entered into a futures brokerage account agreement with MS&Co. (the “Customer Agreement”) and ceased paying brokerage commissions to MS&Co. Under the Customer Agreement, the Partnership pays MS&Co. (or will reimburse MS&Co. if previously paid) its allocable share of trading fees for the clearing and, where applicable, the execution of transactions, as well as exchange, clearing, user, give-up and National Futures Association (“NFA”) fees (collectively, the “clearing fees”) directly and through its investment in the Funds. MS&Co. clearing fees are allocated to the Partnership based on its proportionate ownership interest of the Funds. All of the Partnership’s assets not held in the Funds’ brokerage accounts at MS&Co. are deposited in the Partnership’s brokerage account at MS&Co. The Partnership’s cash is deposited by MS&Co. in segregated bank accounts to the extent required by Commodity Futures Trading Commission (“CFTC”) regulations. MS&Co. has agreed to pay the Partnership interest on 100% of the average daily equity maintained in cash in the Partnership’s (or the Partnership’s allocable portion of the Fund’s, except for Transtrend Master’s) brokerage account at the rate equal to the monthly average of the 4-week U.S. Treasury bill discount rate. MS&Co. has agreed to pay Transtrend Master interest on 100% of the average daily equity maintained in cash in Transtrend Master’s brokerage account at the rate equal to the monthly average of the 4-Week U.S. Treasury bill discount rate less 0.15% during such month but in no event less than zero. When the effective rate is less than zero, no interest is earned. All interest earned on U.S. Treasury bills and money market mutual fund securities purchased will be retained by the Partnership and/or the Funds, as applicable. For purposes of these interest credits, daily funds do not include monies due to Transtrend Master on or with respect to futures, forwards, or options contracts that have not been received. The Customer Agreement may generally be terminated upon notice by either party.

Effective March 1, 2014, the Partnership entered into a selling agreement with Morgan Stanley Smith Barney LLC (doing business as Morgan Stanley Wealth Management) (“Morgan Stanley Wealth Management”) (as amended, the “Selling Agreement”). Pursuant to the Selling Agreement, Morgan Stanley Wealth Management receives a monthly ongoing selling agent fee. Effective October 1, 2014, the ongoing selling agent fee is calculated by multiplying the Partnership’s round turn futures transactions by $15.00 each, swaps by up to an equivalent amount and options transactions by $7.50 each per side, with respect to Class A Redeemable Units. The ongoing selling agent fee amount is reduced by applicable floor brokerage fees. Class Z Redeemable Units are currently not subject to an ongoing selling agent fee. Morgan Stanley Wealth Management may pay a portion of its ongoing selling agent fees to other properly licensed and/or registered selling agents who sell Class A Redeemable Units, and such additional selling agents may share all or a substantial portion of such fees with their properly registered or exempted financial advisors who have sold Class A Redeemable Units.

The General Partner fees (formerly, the administrative fees), management fees, incentive fees and professional fees (formerly, other expenses) of the Partnership are allocated proportionally to each Class based on the net asset value of the Class.

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 cost of retaining the Administrator is allocated among the pools operated by the General Partner, including the Partnership.

Orion Futures Fund L.P.

Notes to Financial Statements

(Unaudited)

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

The accompanying financial statements and accompanying notes are unaudited but, in the opinion of the General Partner, include all adjustments, consisting only of normal recurring adjustments, necessary for a fair presentation of the Partnership’s financial condition at March 31, 2016, the results of its operations for the three months ended March 31, 2016 and 2015, and the 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 Partnership’s Annual Report on 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, income and expenses, and related disclosures of contingent assets and liabilities in the financial statements and accompanying notes. As a result, actual results could differ from these estimates.

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, redemptions and losses, if any.

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.

Partnership’s Investments in the Funds. The Partnership carries its investment in the Funds, other than its investment in Transtrend Master, based on the Fund’s net asset value per unit as calculated by the Funds. The Partnership carries its investment in Transtrend Master based on the Partnership’s (1) net contribution to Transtrend Master and (2) its allocated share of the undistributed profits and losses, including realized gains (losses) and net change in unrealized gains (losses), of Transtrend Master.

Partnership’s/Funds’ Derivative Investments. All commodity interests of the Partnership/Funds, 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 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 using the first-in, first-out method. Unrealized gains or losses on open contracts are included as a component of equity in trading account in the Partnership’s/Funds’ Statements of Financial Condition. Net realized gains or losses and net change in unrealized gains or losses are included in the Partnership’s/Funds’ Statements of Income and Expenses.

Partnership’s Cash. The Partnership’s cash includes cash denominated in foreign currencies of $504,929 (cost of $545,040) and $(3,091,422) (proceeds of $3,105,350) at March 31, 2016 and December 31, 2015, respectively.

Income Taxes. Income taxes have not been listed as each partner is individually liable for the taxes, if any, on its share of the Partnership’s income and expenses. The General Partner concluded that no provision for income tax is required in the Partnership’s financial statements. The Partnership files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The 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.

Investment Company Status. Effective January 1, 2014, the Partnership adopted Accounting Standards Update (“ASU”) 2013-08 “Financial Services—Investment Companies (Topic 946): Amendments to the Scope, Measurement and Disclosure Requirements” and based on the General Partner’s assessment, the Partnership has been deemed to be an investment company since inception. Accordingly, the Partnership follows the investment company accounting and reporting guidance of Topic 946 and reflects its investments at fair value with unrealized gains and losses resulting from changes in fair value reflected in the Statements of Income and Expenses.

Net Income (Loss) Per Redeemable Unit. Net income (loss) per Redeemable Unit is calculated in accordance with ASU 946 “Financial Services - Investment Companies.” See Note 3, “Financial Highlights.”

Orion Futures Fund L.P.

Notes to Financial Statements

(Unaudited)

Fair Value of Financial Instruments. The carrying value of the Partnership’s/Funds’ 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 2016-01’s 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 Partnership’s financial statements and related disclosures.

Reclassification. Certain prior period amounts have been reclassified to conform to current period presentation. Amounts reported as expenses allocated from the Funds were previously reported separately as clearing fees allocated from the Funds and as part of professional fees in the Statements of Income and Expenses. In addition, management fees and incentive fees allocated from Transtrend Master previously included within management fees and incentive fees are now included with expenses allocated from the Funds in the Statements of Income and Expenses. In the financial highlights, interest income per Redeemable Unit and expenses per Redeemable Unit previously presented separately are now combined into net investment loss per Redeemable Unit. Additionally, the net investment loss ratio previously presented without the effect of incentive fees is now presented with the effect of incentive fees.

There have been no material changes with respect to the Partnership’s critical accounting policies as reported in the Partnership’s Annual Report on Form 10-K for the year ended December 31, 2015.

Orion Futures Fund L.P.

Notes to Financial Statements

(Unaudited)

3.	Financial Highlights:

Financial highlights for the limited partner Classes 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
	Class A			Class Z			Class A			Class Z
Per Redeemable Unit Performance (for unit outstanding throughout the period):*
Net realized and unrealized gains (losses)	$	173.45		$	65.41		$	231.13		$	86.29
Net investment loss		(37.63)			(10.81)			(70.07)			(23.09)

Increase (decrease) for the year		135.82			54.60			161.06			63.20
Net asset value per Redeemable Unit, beginning of period		3,004.84			1,133.48			3,076.78			1,148.23

Net asset value per Redeemable Unit, end of period	$	3,140.66		$	1,188.08		$	3,237.84		$	1,211.43


	Three Months Ended March 31, 2016						Three Months Ended March 31, 2015
	Class A			Class Z			Class A			Class Z
Ratios to Average Limited Partners’ Capital**:
Net investment loss***		(3.9)	%		(2.8)	%		(4.9)	%		(4.0)	%

Operating expense		3.8	%		2.6	%		3.6	%		2.6	%
Incentive fees		0.3	%		0.4	%		1.3	%		1.4	%

Total expenses		4.1	%		3.0	%		4.9	%		4.0	%

Total return:
Total return before incentive fees		4.8	%		5.2	%		6.5	%		6.9	%
Incentive fees		(0.3)	%		(0.4)	%		(1.3)	%		(1.4)	%

Total return after incentive fees		4.5	%		4.8	%		5.2	%		5.5	%

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 (except for incentive fees).

***	Interest income less total expenses.

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

Orion Futures Fund 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 results of the Partnership’s trading activities are shown in the Statements of Income and Expenses. The Partnership also invests its assets through a “master/feeder” structure. The Partnership’s pro-rata share of the results of the Funds’ trading activities are shown in the Statements of Income and Expenses.

The Customer Agreement among the Partnership, each of the Funds and MS&Co. gives the Partnership and the Funds the legal right to net unrealized gains and losses on open futures, forward and option contracts in the Statements of Financial Condition. The Partnership and the Funds net, for financial reporting purposes, the unrealized gains and losses on open futures, forward and option contracts on the Statements of Financial Condition, as the criteria under ASC 210-20, “Balance Sheet,” have been met.

All of the commodity interests owned directly by the Partnership are held for trading purposes. All of the commodity interests owned by the Funds are held for trading purposes. The Partnership’s monthly average number of futures contracts traded during the period January 1, 2016 to March 31, 2016 was 9,346. The Partnership’s monthly average number of metals forward contracts traded during the period January 1, 2016 to March 31, 2016 was 1,136. The Partnership’s monthly average notional value of currency forward contracts traded during the period January 1, 2016 to March 31, 2016 was $681,617,217. During the period January 1, 2015 to March 31, 2015, the assets of the Partnership were not traded directly.

Ongoing selling agent fees and trading and transaction fees are based on the number of trades executed by the Advisors and the Partnership’s percentage ownership of each respective Fund.

All clearing fees paid to MS&Co. are borne by the Partnership for its direct trading. In addition, clearing fees are borne by the Funds and are allocated to the limited partners/members, including the Partnership.

Orion Futures Fund L.P.

Notes to Financial Statements

(Unaudited)

The following tables summarize the gross and net amounts recognized relating to assets and liabilities of the Partnership’s derivatives and their offsetting subject to master netting or similar arrangements as of March 31, 2016 and December 31, 2015.


			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	$	3,168,803	$	(1,982,932)	$	1,185,871	$	-	$	-	$	1,185,871
Forwards		8,299,019		(6,159,849)		2,139,170		-		-		2,139,170

Total assets	$	11,467,822	$	(8,142,781)	$	3,325,041	$	-	$	-	$	3,325,041

Liabilities
Futures	$	(1,982,932)	$	1,982,932	$	-	$	-	$	-	$	-
Forwards		(6,159,849)		6,159,849		-		-		-		-

Total liabilities	$	(8,142,781)	$	8,142,781	$	-	$	-	$	-	$	-

Net fair value											$	3,325,041	*


			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	$	2,021,386	$	(1,883,450)	$	137,936	$	-	$	-	$	137,936
Forwards		2,696,643		(2,228,652)		467,991		-		-		467,991

Total assets	$	4,718,029	$	(4,112,102)	$	605,927	$	-	$	-	$	605,927

Liabilities
Futures	$	(1,883,450)	$	1,883,450	$	-	$	-	$	-	$	-
Forwards		(2,228,652)		2,228,652		-		-		-		-

Total liabilities	$	(4,112,102)	$	4,112,102	$	-	$	-	$	-	$	-

Net fair value											$	605,927	*

In the event of default by the Partnership, MS&Co., the Partnership’s commodity futures broker and the sole counterparty to the Partnership’s off-exchange-traded contracts, as applicable, has the right to offset the Partnership’s obligation with the Partnership’s 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 Partnership is exposed to the amount shown in the Statements of Financial Condition. In the case of exchange-traded contracts, the Partnership’s exposure to counterparty risk may be reduced since the exchange’s clearinghouse interposes its credit between buyer and seller and the clearinghouse’s guarantee fund may be available in the event of a default.

Orion Futures Fund L.P.

Notes to Financial Statements

(Unaudited)

The following tables indicate the gross fair values of derivative instruments of futures and forward contracts held directly by the Partnership as separate assets and liabilities as of March 31, 2016 and December 31, 2015.


	March 31, 2016
Assets
Futures Contracts
Energy	$	298,727
Grains		457,476
Indices		477,634
Interest Rates U.S.		1,514,342
Interest Rates Non-U.S.		292,639
Metals		47,797
Softs		80,188

Total unrealized appreciation on open futures contracts		3,168,803


Liabilities
Futures Contracts
Energy		(386,311)
Grains		(241,945)
Indices		(346,648)
Interest Rates U.S.		(271,924)
Interest Rates Non-U.S.		(421,414)
Livestock		(59,300)
Metals		(107,413)
Softs		(147,977)

Total unrealized depreciation on open futures contracts		(1,982,932)

Net unrealized appreciation on open futures contracts	$	1,185,871	*


Assets
Forward Contracts
Currencies	$	7,088,054
Metals		1,210,965

Total unrealized appreciation on open forward contracts		8,299,019


Liabilities
Forward Contracts
Currencies		(4,786,954)
Metals		(1,372,895)

Total unrealized depreciation on open forward contracts		(6,159,849)

Net unrealized appreciation on open forward contracts	$	2,139,170	**

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

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

Orion Futures Fund L.P.

Notes to Financial Statements

(Unaudited)


	December 31, 2015

Assets
Futures Contracts
Energy	$	1,053,095
Grains		462,600
Indices		82,629
Interest Rates U.S.		316,861
Interest Rates Non-U.S.		55,080
Metals		49,160
Softs		1,961

Total unrealized appreciation on open futures contracts		2,021,386


Liabilities
Futures Contracts
Energy		(435,737)
Grains		(26,226)
Indices		(401,508)
Interest Rates U.S.		(419,676)
Interest Rates Non-U.S.		(170,723)
Livestock		(196,058)
Metals		(205,458)
Softs		(28,064)

Total unrealized depreciation on open futures contracts		(1,883,450)

Net unrealized appreciation on open futures contracts	$	137,936	*


Assets
Forward Contracts
Currencies	$	1,321,602
Metals		1,375,041

Total unrealized appreciation on open forward contracts		2,696,643


Liabilities
Forward Contracts
Currencies		(1,463,464)
Metals		(765,188)

Total unrealized depreciation on open forward contracts		(2,228,652)

Net unrealized appreciation on open forward contracts	$	467,991	**

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

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

Orion Futures Fund L.P.

Notes to Financial Statements

(Unaudited)

The following table indicates the trading gains and losses, by market sector, on derivative instruments traded directly by the Partnership for the period ended March 31, 2016. During the period ended March 31, 2015, no derivative instruments were traded directly by the Partnership.


	Three Months Ended
	March 31,
Sector	2016
Currencies	$	2,578,041
Energy		2,510,164
Grains		(615,180)
Indices		250,247
Interest Rates U.S.		3,171,771
Interest Rates Non-U.S.		4,649,685
Livestock		(435,153)
Metals		(913,707)
Softs		(2,046)

Total	$	11,193,822	***

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

5.	Fair Value Measurements:

Partnership’s and the Funds’ 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 is extrapolated on a forward basis from the spot prices quoted as of approximately 3:00 P.M. (E.T.) on the last business day of the reporting period from various exchanges. The fair value of non-exchange-traded foreign currency option contracts is calculated by applying an industry standard model application for options valuation of foreign currency options, using as inputs the spot prices, interest rates, and option implied volatilities quoted as of approximately 3:00 P.M. (E.T.) on the last business day of the reporting period. U.S. Treasury bills are valued at the last available bid price received from independent pricing services as of the close of the last business day of the reporting period.

The Partnership and the Funds consider 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 the 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 Partnership and the Funds did not hold any derivative instruments that were priced at fair value using unobservable inputs through the application of the General Partner’s assumptions and internal valuation pricing models (Level 3). Transfers between levels are recognized at the end of the reporting period. During the reporting periods, there were no transfers of assets or liabilities between Level 1 and Level 2.

Orion Futures Fund L.P.

Notes to Financial Statements

(Unaudited)


March 31, 2016	Total		Level 1		Level 2		Level 3
Assets
Futures	$	3,168,803	$	3,168,803	$	-	$	-
Forwards		8,299,019		1,210,965		7,088,054		-
U.S. Treasury bills		161,479,170		-		161,479,170		-

Total assets	$	172,946,992	$	4,379,768	$	168,567,224	$	-

Liabilities
Futures	$	1,982,932	$	1,982,932	$	-	$	-
Forwards		6,159,849		1,372,895		4,786,954		-

Total liabilities	$	8,142,781	$	3,355,827	$	4,786,954	$	-


December 31, 2015	Total		Level 1		Level 2		Level 3
Assets
Futures	$	2,021,386	$	2,021,386	$	-	$	-
Forwards		2,696,643		1,375,041		1,321,602		-
U.S. Treasury bills		91,990,239		-		91,990,239		-

Total assets	$	96,708,268	$	3,396,427	$	93,311,841	$	-

Liabilities
Futures	$	1,883,450	$	1,883,450	$	-	$	-
Forwards		2,228,652		765,188		1,463,464		-

Total liabilities	$	4,112,102	$	2,648,638	$	1,463,464	$	-

6.	Investment in the Funds:

On November 1, 2004, the assets allocated to Winton for trading were invested in Winton Master, a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 35,389.8399 units of Winton Master with cash equal to $33,594,083 and a contribution of open commodity futures and forwards contracts with a fair value of $1,795,757. Winton Master permits accounts managed by Winton using the Winton Futures Program (formerly, the Winton Diversified Program as applied without equities), a proprietary, systematic trading system, to invest together in one trading vehicle. The General Partner is also the general partner of Winton Master. Individual and pooled accounts currently managed by Winton, including the Partnership, are permitted to be limited partners of Winton Master. The General Partner and Winton believe that trading through this structure promotes efficiency and economy in the trading process. The General Partner and Winton have agreed that Winton will trade the Partnership’s assets allocated to Winton at a level that is up to 1.5 times the amount of assets allocated.

On June 1, 2011, the Partnership allocated a portion of its assets with cash equal to $384,370,435 to Transtrend Master, a limited liability company organized under the limited liability company laws of the State of Delaware. Transtrend Master permits accounts managed by Transtrend using the Diversified Trend Program-Enhanced Risk Profile (US Dollar), a proprietary, systematic trading system, to invest together in one trading vehicle. Individual and pooled accounts managed by Transtrend, including the Partnership, are permitted to be non-managing members of Transtrend Master. The Trading Manager and Transtrend believe that trading through this structure promotes efficiency and economy in the trading process.

Orion Futures Fund L.P.

Notes to Financial Statements

(Unaudited)

On August 1, 2014, the assets allocated to Willowbridge for trading were invested in Willowbridge Master, a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 9,633.9313 units of Willowbridge Master with cash equal to $21,000,000. Willowbridge Master permits accounts managed by Willowbridge using its wPraxis Futures Trading Approach, a proprietary, discretionary trading system, to invest together in one trading vehicle. The General Partner is also the general partner of Willowbridge Master. Individual and pooled accounts currently managed by Willowbridge, including the Partnership, are permitted to be limited partners of Willowbridge Master. The General Partner and Willowbridge believe that trading through this structure promotes efficiency and economy in the trading process. The General Partner and Willowbridge have agreed that Willowbridge will trade the Partnership’s assets at a level that is up to three times the amount of the assets allocated.

Systematica directly trades the Partnership’s assets allocated to it through a managed account in the name of the Partnership pursuant to Systematica’s BlueTrend Program.

The General Partner is not aware of any material changes to any of the trading programs discussed above during the fiscal quarter ended March 31, 2016.

The Funds’ and the Partnership’s trading of futures, forward, swap, and option contracts, if applicable, on commodities is done primarily on U.S. commodity exchanges and foreign commodity exchanges. The Funds and the Partnership engage in such trading through commodity brokerage accounts maintained with MS&Co.

Generally, a limited partner/member in the Funds withdraws all or part of its capital contribution and undistributed profits, if any, from the Funds as of the end of any month (the “Redemption Date”) after a request has been made to the General Partner/Trading Manager at least three days in advance of the Redemption Date. Such withdrawals are classified as a liability when the limited partner/member elects to redeem and informs the Funds. However, for all Funds other than Winton Master, a limited partner/member may request a withdrawal as of the end of any day if such request is received by the General Partner/Trading Manager at least three days in advance of the proposed withdrawal day.

Management fees, ongoing selling agent fees, the General Partner fees and incentive fees are charged at the Partnership level, except for management and incentive fees payable to Transtrend which are charged at the Transtrend Master level. Clearing fees are borne by the Funds and allocated to the Funds’ limited partners/non-managing members, including the Partnership. Clearing fees are also borne by the Partnership directly. Professional fees are borne by the Funds and allocated to the Partnership, and also charged directly at the Partnership level.

At March 31, 2016, the Partnership owned approximately 56.5% of Winton Master, 96.0% of Transtrend Master, and 72.8% of Willowbridge Master. At December 31, 2015, the Partnership owned approximately 58.4% of Winton Master, 96.1% of Transtrend Master and 82.0% of Willowbridge Master. It is the Partnership’s intention to continue to invest in the Funds. The performance of the Partnership is directly affected by the performance of the Funds. Expenses to investors as a result of investment in the Funds are approximately the same as they would be if the Partnership traded directly and redemption rights are not affected.

Summarized information reflecting the total assets, liabilities and partners’ capital/members’ capital of the Funds is shown in the following tables:


	March 31, 2016
	Total Assets		Total Liabilities		Total Capital
Winton Master	$	578,254,952	$	1,613,690	$	576,641,262
Transtrend Master		347,885,333		5,291,301		342,594,032
Willowbridge Master		431,268,589		22,482,971		408,785,618

	December 31, 2015
	Total Assets		Total Liabilities		Total Capital
Winton Master	$	603,348,671	$	307,301	$	603,041,370
Transtrend Master		375,412,557		351,832		375,060,725
Willowbridge Master		366,002,932		17,302,983		348,699,949

Orion Futures Fund L.P.

Notes to Financial Statements

(Unaudited)

Summarized information reflecting the net investment income (loss), total trading results and net income (loss) of the Funds is shown in the following tables:


	For the three months ended March 31, 2016
	Net Investment		Total Trading		Net Income
	Income (Loss)		Results		(Loss)
Winton Master	$	154,080	$	22,505,089	$	22,659,169
Transtrend Master		(3,581,951)		42,260,069		38,678,118
Willowbridge Master		(109,566)		(2,093,510)		(2,203,076)

	For the three months ended March 31, 2015
	Net Investment		Total Trading		Net Income
	Income (Loss)		Results		(Loss)
Winton Master	$	(216,697)	$	63,243,794	$	63,027,097
Transtrend Master		(8,583,013)		35,620,187		27,037,174
Willowbridge Master		(277,538)		11,233,268		10,955,730

Summarized information reflecting the Partnership’s investments in and the Partnership’s pro rata share of the results of operations of the Funds are shown in the following tables:


	March 31, 2016				For the three months ended March 31, 2016
	% of Partners’ Capital		Fair Value		Income (Loss)		Expenses				Management Fees		Incentive Fee		Net Income (Loss)
Funds	% of Partners’ Capital		Fair Value		Income (Loss)		Clearing Fees		Professional Fees		Management Fees		Incentive Fee		Net Income (Loss)		Investment Objective		Redemptions Permitted
Winton Master		29.17 %	$	325,677,263	$	13,477,000	$	95,297	$	11,727	$	-	$	-	$	13,369,976		Commodity Portfolio	Monthly
Transtrend Master		29.45 %		328,859,791		40,736,856		401,442		161		849,296		2,196,828		37,289,129		Commodity Portfolio	Monthly
Willowbridge Master		26.64 %		297,469,203		(1,316,590)		224,309		15,502		-		-		(1,556,401)		Commodity Portfolio	Monthly

Total			$	952,006,257	$	52,897,266	$	721,048	$	27,390	$	849,296	$	2,196,828	$	49,102,704


	December 31, 2015				For the three months ended March 31, 2015
	% of Partners’ Capital		Fair Value		Income (Loss)		Expenses				Management Fees		Incentive Fee		Net Income (Loss)		Investment Objective		Redemptions Permitted
Funds	% of Partners’ Capital		Fair Value		Income (Loss)		Clearing Fees		Professional Fees		Management Fees		Incentive Fee		Net Income (Loss)		Investment Objective		Redemptions Permitted
Winton Master		32.27 %	$	351,974,066	$	41,135,360	$	125,115	$	24,820	$	-	$	-	$	40,985,425		Commodity Portfolio	Monthly
Transtrend Master		33.04 %		360,373,336		34,611,329		419,527		-		1,342,186		6,569,923		26,279,693		Commodity Portfolio	Monthly
Willowbridge Master		26.22 %		285,955,662		8,729,580		197,104		25,642		-		-		8,506,834		Commodity Portfolio	Monthly

Total			$	998,303,064	$	84,476,269	$	741,746	$	50,462	$	1,342,186	$	6,569,923	$	75,771,952

Orion Futures Fund L.P.

Notes to Financial Statements

(Unaudited)

7.	Financial Instrument Risks:

In the normal course of business, the Partnership and the Funds are party to financial instruments with off-balance sheet risk, including derivative financial instruments and derivative commodity instruments. These financial instruments may include forwards, futures, options, and swaps, whose values are based upon an underlying asset, index, or reference rate, and generally represent future commitments to exchange currencies or cash balances, or to purchase or sell other financial instruments at specific terms at specified future dates, or, in the case of derivative commodity instruments, to have a reasonable possibility to be settled in cash, through physical delivery or with another financial instrument. These instruments may be traded on an exchange, a swap execution facility or over-the-counter (“OTC”). Exchange-traded instruments include futures and certain standardized forward, option and swap contracts. Certain swap contracts may also be traded on a swap execution facility or OTC. OTC contracts are negotiated between contracting parties and also include certain forward and option contracts. Specific market movements of commodities or futures contracts underlying an option cannot accurately be predicted. The purchaser of an option may lose the entire premium paid for the option. The writer or seller of an option has unlimited risk. Each of these instruments is subject to various risks similar to those relating to the underlying financial 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 29.4% to 44.1% of the Partnership’s/Funds’ contracts are traded OTC.

Futures Contracts. The Partnership and the Funds trade futures contracts. A futures contract is a firm commitment to buy or sell a specified quantity of investments, currency or a standardized amount of a deliverable grade commodity, at a specified price on a specified future date, unless the contract is closed before the delivery date or if the delivery quantity is something where physical delivery cannot occur (such as the S&P 500 Index), whereby such contract is settled in cash. Payments (“variation margin”) may be made or received by the Partnership and the Funds each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the Partnership and the Funds. When the contract is closed, the Partnership and the Funds record 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 Partnership’s/Funds’ Statements of Income and Expenses.

Forward Foreign Currency Contracts. Forward foreign currency contracts are those contracts where the Partnership and the Funds agree to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed-upon future date. Forward foreign currency contracts are valued daily, and the Partnership’s and the Funds’ 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 foreign exchange rates at the reporting date, is included in the Partnership’s/Funds’ Statements of Financial Condition. Net realized gains (losses) and net change in unrealized gains (losses) on forward foreign currency contracts are recognized in the period in which the contract is closed or the changes occur and are included in the Partnership’s/Funds’ Statements of Income and Expenses.

London Metals Exchange Forward Contracts. Metal contracts traded on the London Metals Exchange (“LME”) represent a firm commitment to buy or sell a specified quantity of aluminum, copper, lead, nickel, tin or zinc. LME contracts traded by the Partnership and the Funds are cash-settled based on prompt dates published by the LME. Payments (“variation margin”) may be made or received by the Partnership and the Funds each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the Partnership and the Funds. A contract is considered offset when all long positions have been matched with a like number of short positions settling on the same prompt date. When the contract is closed at the prompt date, the Partnership and the Funds record 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 Partnership’s/Funds’ Statements of Income and Expenses.

Options. The Partnership/Funds 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 Partnership/Funds write an option, the premium received is recorded as a liability in the Partnership’s/Funds’ Statements of Financial Condition and marked-to-market daily. When the Partnership/Funds purchase an

Orion Futures Fund L.P.

Notes to Financial Statements

(Unaudited)

option, the premium paid is recorded as an asset in the Partnership’s/Funds’ 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 Partnership’s/Funds’ Statements of Income and Expenses.

The Partnership and the Funds do not isolate the portion of the results of operations arising from the effect of changes in foreign exchange rates on investments from fluctuations due to changes in market prices of investments held. Such fluctuations are included in total trading results in the Partnership’s/Funds’ Statements of Income and Expenses.

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

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

As both a buyer and seller of options, the Partnership/Funds pay or receive a premium at the outset and then bear the risk of unfavorable changes in the price of the contract underlying the option. Written options expose the Partnership/Funds 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/Funds do not consider these contracts to be guarantees.

The General Partner monitors and attempts to control the Partnership’s/Funds’ 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/Funds 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, exchange-cleared swaps, forward and option contracts by sector, margin requirements, gain and loss transactions and collateral positions.

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

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

8.	Subsequent Events:

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

Item 2.

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

Liquidity and Capital Resources

The Partnership does not engage in sales of goods or services. Its assets are its (i) investments in the Funds, (ii) equity in its trading account, consisting of cash and cash margin, net unrealized appreciation on open futures contracts, net unrealized appreciation on open forward contracts, options purchased at fair value and investment in U.S. Treasury bills at fair value, if applicable, (iii) cash at bank and (iv) interest receivable. Because of the low margin deposits normally required in commodity futures trading, relatively small price movements may result in substantial losses to the Partnership, through its investments in the Funds and direct investments. While substantial losses could lead to a material decrease in liquidity, no such illiquidity occurred during the first quarter of 2016.

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

For the three months ended March 31, 2016, the Partnership’s capital increased 2.4% from $1,090,699,381 to $1,116,651,766. This increase was attributable to subscriptions of 7,838.9270 Class A Limited Partner Redeemable Units totaling $24,317,529, coupled with a net gain of $49,897,363, which was partially offset by redemptions of 15,065.7510 Class A Limited Partner Redeemable Units totaling $47,547,874, redemptions of 12.0000 Class Z Limited Partner Redeemable Units totaling $14,639 and redemptions of 573.8410 Class Z General Partner Redeemable Units totaling $699,994. Future redemptions can impact the amount of funds available for investment in the Funds in subsequent periods.

Critical Accounting Policies

The preparation of financial statements in conformity with GAAP requires the General Partner to make estimates and assumptions that affect the reported amounts of assets and liabilities, income and expenses, and related disclosures of contingent assets and liabilities in the financial statements and accompanying notes. As a result, actual results could differ from these estimates. The Partnership’s significant accounting policies are described in detail in Note 2 of the Financial Statements.

The Partnership/Funds records all investments at fair value in their 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.

Results of Operations

During the Partnership’s first quarter of 2016, the net asset value per Redeemable Unit for Class A increased 4.5% from $3,004.84 to $3,140.66, as compared to an increase of 5.2% in the first quarter of 2015. During the Partnership’s first quarter of 2016, the net asset value per Redeemable Unit for Class Z increased 4.8% from $1,133.48 to $1,188.08, as compared to an increase of 5.5% in the first quarter of 2015. The Partnership experienced a net trading gain before fees and expenses in the first quarter of 2016 of $63,566,834. Gains were primarily attributable to the Partnership’s/Funds’ trading of commodity futures in energy, grains and U.S. and non-U.S. interest rates and were partially offset by losses in currencies, livestock, metals, softs and indices. The Partnership experienced a net trading gain before fees and expenses in the first quarter of 2015 of $84,459,934. Gains were primarily attributable to the Partnership’s/Funds’ trading of commodity futures in currencies, energy, U.S. and non-U.S. interest rates, livestock, softs and indices and were partially offset by losses in grains and metals.

The most significant gains were achieved within the global interest rate sector during January and February from long positions in European and Asian fixed income futures as prices advanced after weakness in Chinese economic data revived concern about the stability of the global economy. Additional gains were recorded from long positions in U.S. fixed income futures as prices moved higher amid concern potential weakness in the U.S. economy could halt Federal Reserve Chair Janet Yellen’s plan to continue to raise interest rates. Within the energy complex, gains were recorded during January from short positions in crude oil and its related products as prices slumped after the OPEC nations failed to come to an agreement to curtail production. Gains were also experienced within the energy sector during February from short positions in natural gas futures as prices fell as mild weather in the U.S. diminished heating demand from homes and businesses. A portion of the Partnership’s gains during the quarter was offset by losses incurred within the metals sector during January and February from short positions in gold and silver futures as prices rose as a weakening U.S. dollar spurred investor demand for precious metals. Within the currency sector, losses were experienced primarily during March from short positions in the euro versus the U.S. dollar as the relative value of the dollar weakened following dovish comments from U.S. Federal Reserve Chair Janet Yellen that pushed out expectations for the U.S. central bank’s next interest rate hike. Losses within the global stock index markets were recorded during January from long positions in U.S. equity index futures as prices declined sharply amid mounting investor concerns about declining oil prices and a China-led slowdown in global growth. Additional losses within the global stock index sector were experienced during March from short positions in Asian equity index

futures as global stocks rallied, buoyed by rising commodity prices. Within the agricultural sector, losses were incurred during March from short positions in wheat futures as prices moved higher after rainy weather conditions threatened U.S. Midwest farmland. Additional losses in this sector were recorded during January from corn futures positions.

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

Interest income is earned on 100% of the average daily equity maintained in cash in the Partnership’s (or the Partnership’s allocable portion of Willowbridge Master’s or Winton Master’s) brokerage account during each month at a rate equal to the monthly 4-week U.S. Treasury bill discount rate. MS&Co. credits Transtrend Master with interest income at the rate equal to the monthly average of the 4-week U.S. Treasury bill discount rate less 0.15% each month on assets deposited with MS&Co. but in no event less than zero. When the effective rate is less than zero, no interest is earned. Any interest earned on the Partnership’s and/or each Fund’s account in excess of the amounts described above, if any, will be retained by MS&Co. and/or shared with the General Partner. All interest earned on U.S. Treasury bills and money market mutual fund securities will be retained by the Partnership and/or the Funds, as applicable. Interest income earned by the Partnership for the three months ended March 31, 2016 increased by $598,116 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 (1) the average daily equity in the Partnership’s and the Funds’ accounts, (2) the amount of Treasury bills and/or money market mutual funds purchased by the Partnership and/or the Funds and (3) upon interest rates over which the Partnership, the Funds and MS&Co. have no control.

Certain clearing fees are based on the number of trades executed by the Advisors for the Partnership/Funds. Accordingly, they must be compared in relation to the number of trades executed during the period. Clearing fees related to direct investments for the three months ended March 31, 2016 were $108,620. The Partnership did not trade directly during the three months ended March 31, 2015.

Ongoing selling agent fees are based on the number of trades executed by the Advisors. Accordingly, they must be compared in relation to the number of trades executed during the period. Ongoing selling agent fees for the three months ended March 31, 2016 increased by $251,487 compared to the corresponding period in 2015. The increase in ongoing selling agent fees during the three months ended March 31, 2016 as compared to the corresponding period in 2015 is primarily due to an increase in the number of trades executed by the Advisors during the period.

Management fees, except fees payable to Transtrend, are calculated as a percentage of the Partnership’s adjusted net asset value as of the end of each month and are affected by trading performance, subscriptions and redemptions. Accordingly, they must be compared in relation to the fluctuations in the monthly net asset values. Management fees payable to Transtrend are charged at the Transtrend Master level and are affected by trading performance, subscriptions and redemptions of Transtrend Master. Management fees for the three months ended March 31, 2016 decreased by $478,051 as compared to the corresponding period in 2015. The decrease in management fees is due to an overall reduction in the weighted average management fee rate among the Advisors during the three months ended March 31, 2016 as compared to the corresponding period in 2015.

Fees are paid to the General Partner for administering the business and affairs of the Partnership including, among other things, (i) selecting, appointing and terminating the Partnership’s commodity trading advisors, (ii) allocating and reallocating the Partnership’s assets among the commodity trading advisors and (iii) monitoring the activities of the commodity trading advisors. These fees are calculated as a percentage of the Partnership’s adjusted net asset value as of the end of each month and are affected by trading performance, subscriptions and redemptions. Accordingly, they must be compared in relation to the fluctuations in the monthly net asset values. The General Partner fees for the three months ended March 31, 2016 decreased by $48,614 as compared to the corresponding period in 2015. The decrease in the General Partner fees is due to lower average adjusted net assets during the three months ended March 31, 2016 as compared to the corresponding period in 2015.

Incentive fees paid by the Partnership are based on the new trading profits, as defined in the respective management agreement among the Partnership, the General Partner and each Advisor, generated by each Advisor at the end of the quarter or calendar half year, as applicable. Trading performance for the three months ended March 31, 2016 resulted in incentive fees of $3,752,267. Trading performance for the three months ended March 31, 2015 resulted in incentive fees of $15,369,288. To the extent an Advisor incurs a loss for the Partnership, the Advisor will not be paid an incentive fee until such Advisor recovers any net loss incurred by the Advisor and earns additional new trading profits for the Partnership.

In allocating the assets of the Partnership among the Advisors, the General Partner considers, among other factors, each Advisor’s past performance, trading style, volatility of markets traded and fee requirements. The General Partner may modify or terminate the allocation of assets among the Advisors and may allocate assets to additional advisors at any time.

As of March 31, 2016 and December 31, 2015, the Partnership’s assets were allocated among the trading Advisors in the following approximate percentages:


			March 31, 2016					December 31, 2015
	March 31, 2016		(percentage of net assets)			December 31, 2015		(percentage of net assets)
Winton Capital Management Limited	$	314,151,145		28	%	$	350,917,865		32	%
Transtrend B.V.	$	327,455,585		29	%	$	348,378,225		32	%
Willowbridge Associates, Inc.	$	286,633,111		26	%	$	285,106,315		26	%
Systematica Investments Limited	$	188,411,925		17	%	$	106,296,976		10	%

Item 3.

Quantitative and Qualitative Disclosures about Market Risk

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

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

Market movements result in frequent changes in the fair value of the Partnership’s/Funds’ open contracts and, consequently, in their earnings and cash balances. The Partnership’s/Funds’ market risk is influenced by a wide variety of factors, including the level and volatility of interest rates, exchange rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Partnership’s/Funds’ open contracts and the liquidity of the markets in which they trade.

The Partnership/Funds rapidly acquire and liquidate both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the Partnership’s/Funds’ past performances are not necessarily indicative of their future results.

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

Exchange margin requirements have been used by the Partnership/Funds as the measure of their 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 assessment of current market volatility (including the implied volatility of the options on a given futures contract) and economic fundamentals to provide a probabilistic estimate of the maximum expected near-term one-day price fluctuation.

Value at Risk tables represent a probabilistic assessment of the risk of loss in market risk sensitive instruments. The Advisors, with exception to Systematica, currently trade the Partnership’s assets indirectly in master fund managed accounts established in the name of the master funds over which they have been granted limited authority to make trading decisions. Systematica directly trades a managed account in the name of the Partnership. The first two trading Value at Risk tables reflect the market sensitive instruments held by the Partnership directly and through its investments in the Funds. The remaining trading Value at Risk tables reflect the market sensitive instruments held by the Partnership directly (i.e. in the managed account in the Partnership’s name traded by Systematica) and indirectly by each Fund separately. There has been no material change in the trading Value at Risk information previously disclosed in the Partnership’s Annual Report on Form 10-K for the year ended December 31, 2015.

The following tables indicate the trading Value at Risk associated with the Partnership’s open positions by market category as of March 31, 2016 and December 31, 2015. As of March 31, 2016, the Partnership’s total capitalization was $1,116,651,766.

March 31, 2016


			% of Total
Market Sector	Value at Risk		Capitalization
Commodities	$	29,618,826		2.65	%
Currencies		76,924,856		6.89	%
Interest Rates		38,927,324		3.49	%
Equities		33,944,547		3.04	%

Total	$	179,415,553		16.07	%

As of December 31, 2015, the Partnership’s total capitalization was $1,090,699,381. December 31, 2015
			% of Total
Market Sector	Value at Risk		Capitalization
Commodities	$	48,736,440		4.47	%
Currencies		112,093,671		10.28	%
Interest Rates		29,829,531		2.73	%
Equities		23,837,876		2.19	%

Total	$	214,497,518		19.67	%

The following tables indicate the trading Value at Risk associated with the Partnership’s direct investments and indirect investments in the Funds by market category as of March 31, 2016 and December 31, 2015, the highest and lowest value at any point and the average value during the period. All open position trading risk exposures have been included in the calculating the figures set forth below.

As of March 31, 2016 and December 31, 2015 the Partnership’s Value at Risk for the portion of its assets that are traded directly was as follows:

March 31, 2016


			% of Total			High		Low		Average
Market Sector	Value at Risk		Capitalization			Value at Risk		Value at Risk		Value at Risk*
Currencies	$	9,556,395		0.86	%	$	13,974,338	$	7,282,770	$	9,616,984
Energy		1,366,146		0.12	%		3,303,168		1,310,631		1,798,398
Grains		1,231,898		0.11	%		1,979,222		1,096,611		1,369,128
Indices		5,990,354		0.54	%		5,990,354		2,511,223		4,324,482
Interest Rates U.S.		2,704,257		0.24	%		2,704,257		1,175,197		2,018,220
Interest Rates Non-U.S.		4,093,377		0.37	%		4,093,377		1,595,866		2,891,500
Livestock		136,208		0.01	%		232,436		86,048		117,893
Metals		1,732,323		0.16	%		1,827,556		776,177		1,304,062
Softs		455,255		0.04	%		455,255		81,334		313,533

Total	$	27,266,213		2.45	%

* Average of month-end Values at Risk.

December 31, 2015


			% of Total			High		Low		Average
Market Sector	Value at Risk		Capitalization			Value at Risk		Value at Risk		Value at Risk*
Currencies	$	8,264,179		0.76	%	$	8,264,179	$	2,580,044	$	6,008,057
Energy		2,415,492		0.22	%		2,961,079		1,194,053		2,322,188
Grains		1,361,476		0.12	%		1,778,101		803,634		1,341,896
Indices		2,203,856		0.20	%		5,762,431		1,268,720		3,113,896
Interest Rates U.S.		617,589		0.06	%		1,843,149		617,589		1,005,168
Interest Rates Non-U.S.		1,132,208		0.10	%		3,044,969		1,036,552		2,153,444
Livestock		136,290		0.01	%		238,590		27,885		153,285
Metals		1,195,353		0.11	%		2,015,586		544,877		1,252,148
Softs		53,693		0.01	%		217,017		3,300		104,748

Total	$	17,380,136		1.59	%

*	Average of month-end Values at Risk.

As of March 31, 2016, Winton Master’s total capitalization was $576,641,262. The Partnership owned approximately 56.5% of Winton Master. As of March 31, 2016, Winton Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Winton for trading) was as follows:

March 31, 2016


			% of Total			High		Low		Average
Market Sector	Value at Risk		Capitalization			Value at Risk		Value at Risk		Value at Risk*
Currencies	$	26,385,425		4.58	%	$	42,598,786	$	26,385,425	$	31,767,892
Energy		4,651,257		0.81	%		9,165,346		4,651,257		6,135,762
Grains		2,991,612		0.52	%		4,040,676		2,926,518		3,352,882
Indices		17,937,504		3.11	%		18,586,082		15,402,673		17,124,163
Interest Rates U.S.		7,860,526		1.36	%		9,700,222		4,197,547		8,725,264
Interest Rates Non-U.S.		9,581,214		1.66	%		11,518,131		8,160,875		10,092,031
Livestock		839,768		0.15	%		882,833		721,875		811,745
Metals		2,833,869		0.49	%		8,129,524		2,551,532		4,358,890
Softs		1,329,342		0.23	%		1,329,342		1,074,232		1,229,976

Total	$	74,410,517		12.91	%

*	Average of month-end Values at Risk.

As of December 31, 2015, Winton Master’s total capitalization was $603,041,370. The Partnership owned approximately 58.4% of Winton Master. As of December 31, 2015, Winton’s Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Winton 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		Value at Risk*
Currencies	$	40,462,391		6.71	%	$	48,614,615	$	15,576,197	$	35,944,393
Energy		9,717,129		1.61	%		9,931,478		4,409,409		7,710,733
Grains		4,243,794		0.71	%		4,675,587		908,552		2,777,114
Indices		20,463,380		3.39	%		38,149,455		6,133,415		23,684,667
Interest Rates U.S.		4,509,892		0.75	%		12,570,085		4,509,892		9,528,608
Interest Rates Non-U.S.		9,044,627		1.50	%		14,830,759		4,180,208		10,971,313
Livestock		822,690		0.14	%		1,001,330		363,495		696,799
Metals		8,647,874		1.43	%		11,766,815		5,052,082		8,300,999
Softs		1,350,801		0.22	%		2,208,250		954,635		1,773,316

Total	$	99,262,578		16.46	%

*	Annual average of month-end Values at Risk.

As of March 31, 2016, Transtrend Master’s total capitalization was $342,594,032. The Partnership owned approximately 96.0% of Transtrend Master. As of March 31, 2016, Transtrend Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Transtrend for trading) was as follows:

March 31, 2016


			% of Total			High		Low		Average
Market Sector	Value at Risk		Capitalization			Value at Risk		Value at Risk		Value at Risk*
Commodities	$	13,060,945		3.81	%	$	28,363,248	$	10,854,560	$	18,955,445
Currencies		25,152,303		7.34	%		25,821,782		17,023,450		20,372,095
Interest Rates		18,306,993		5.34	%		21,050,104		16,421,806		18,477,573
Equities		10,981,257		3.21	%		11,020,988		4,492,623		7,604,816

Total	$	67,501,498		19.70	%

*	Average of daily Values at Risk.

As of December 31, 2015, Transtrend Master’s total capitalization was $375,060,725. The Partnership owned 96.1% of Transtrend Master. As of December 31, 2015, Transtrend Master’s Value at Risk for its assets (including the portion of the Partnerships’s assets allocated to Transtrend 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		Value at Risk*
Commodities	$	29,016,995		7.73	%	$	41,055,823	$	14,729,129	$	25,723,265
Currencies		17,915,751		4.78	%		35,884,544		13,251,842		24,581,868
Interest Rates		17,445,942		4.65	%		25,662,037		5,903,989		14,143,966
Equities		10,076,386		2.69	%		25,283,167		3,545,123		14,851,447

Total	$	74,455,074		19.85	%

*	Annual average of daily Values at Risk.

As of March 31, 2016, Willowbridge Master’s total capitalization was $408,785,618. The Partnership owned approximately 72.8% of Willowbridge Master. As of March 31, 2016, Willowbridge Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Willowbridge for trading) was as follows:

March 31, 2016


			% of Total			High		Low		Average
Market Sector	Value at Risk		Capitalization			Value at Risk		Value at Risk		Value at Risk*
Currencies	$	38,893,524		9.51	%	$	79,559,952	$	35,186,364	$	41,262,527
Energy		3,455,221		0.85	%		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		15.23	%

*	Average of month-end Values at Risk.

As of December 31, 2015, Willowbridge Master’s total capitalization was $348,699,949. The Partnership owned approximately 82.0% of Willowbridge Master. As of December 31, 2015, Willowbridge Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Willowbridge 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		Value at Risk*
Currencies	$	76,807,828		22.03	%	$	85,018,080	$	173,995	$	37,637,619
Energy		1,482,863		0.42	%		9,071,259		667,917		3,089,442
Interest Rates U.S.		4,144,323		1.19	%		16,624,123		367,325		3,833,031

Total	$	82,435,014		23.64	%

*	Annual average of month-end Values at Risk.

Item 4.

Controls and Procedures

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

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

The General Partner’s President and CFO have evaluated the effectiveness of the Partnership’s disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the Exchange Act) as of March 31, 2016, and, based on that evaluation, the General Partner’s President and CFO have concluded that, at that date, the Partnership’s disclosure controls and procedures were effective.

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

•

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

•

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

•

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

There were no changes in the Partnership’s internal control over the financial reporting process during the fiscal quarter ended March 31, 2016, that materially affected, or are reasonably likely to materially affect, the Partnership’s internal control over financial reporting.

Part II. OTHER INFORMATION

Item 1.

Legal Proceedings

This section describes the major pending legal proceedings, other than ordinary routine litigation incidental to the business, to which MS&Co. or its subsidiaries is a party or to which any of their property is subject. There are no material legal proceedings pending against the Partnership or the General Partner.

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, please refer to the “Legal Proceedings” section of Morgan Stanley’s 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 General’s Offices, concerning the origination, financing, purchase, securitization and servicing of subprime and non-subprime residential mortgages and related matters such as residential mortgage backed securities (“RMBS”), collateralized debt obligations (“CDOs”), structured investment vehicles (“SIVs”) and credit default swaps backed by or referencing mortgage pass-through certificates. These matters, some of which are in advanced stages, include, but are not limited to, investigations related to 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 Attorney’s Office for the Northern District of California, Civil Division (collectively, the “Civil Division”) to pay $2.6 billion to resolve certain claims that the Civil Division indicated it intended to bring against MS&Co. That settlement was finalized on February 10, 2016.

On April 1, 2016, the California Attorney General’s 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 residential mortgage-backed securities and notes issued by the Cheyne SIV (defined below), and asserts violations of the California False Claims Act and other state laws and seeks treble damages, civil penalties, disgorgement, and injunctive relief.

In October 2014, the Illinois Attorney General’s 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 General’s Office (“NYAG”), which is also a member of the RMBS Working Group, indicated that it intends to file a lawsuit related to approximately 30 subprime securitizations sponsored by 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 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 Commodity Exchange Act 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 of 1933, as amended, agreed to pay disgorgement and penalties in an amount of $275 million and neither admitted nor denied the SEC’s findings.

On April 21, 2015, the Chicago Board Options Exchange, Incorporated (“CBOE”) and the CBOE Futures Exchange, LLC (“CFE”) filed statements of charges against 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 Municipalities Continuing Disclosure Cooperation 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.

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 U.S. Dollars in cleared swap segregated accounts in the U.S. to meet all U.S. 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 U.S. dollars, to meet its U.S. 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 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 plaintiff’s purchase of such certificates. By orders dated June 23, 2011 and July 18, 2011, the court denied defendants’ omnibus motion to dismiss plaintiff’s amended complaint and on August 15, 2011, the court denied MS&Co.’s individual motion to dismiss the amended complaint. On March 7, 2013, the court

granted defendants’ motion to strike plaintiff’s 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 plaintiff’s purchase of such certificates. On August 11, 2011, plaintiff’s 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, plaintiff’s 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.

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 CDIB’s 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 plaintiff’s purchase of such certificates. The defendants filed a motion to dismiss the corrected amended complaint on May 27, 2011, which was denied on September 19, 2012. On December 13, 2013, the court entered an order dismissing all claims related to one of the securitizations at issue. After that dismissal, the remaining amount of certificates allegedly issued by 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 plaintiff’s purchase of such certificates. On May 26, 2011, defendants removed the case to the United States District Court for the District of Massachusetts. 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.

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 December 25, 2015, 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 court’s 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 SIV 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. The settlement does not cover certain claims that were previously dismissed.

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

On 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.

On September 2, 2011, the Federal Housing Finance Agency, as conservator for Fannie Mae and Freddie Mac, filed 17 complaints against numerous financial services companies, including MS&Co. and certain affiliates. A complaint against MS&Co. and certain affiliates and other defendants was filed in the Supreme Court of NY, 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, 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.

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 General’s 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.

Item lA.

Risk Factors.

There have been no material changes to the risk factors set forth under Part I, Item 1A “Risk Factors” in the Partnership’s Annual Report on Form 10-K for the fiscal year ended December 31, 2015.

Item 2.

Unregistered Sales of Equity Securities and Use of Proceeds.

For the three months ended March 31, 2016, there were subscriptions of 7,838.9270 Class A Redeemable Units totaling $24,317,529. The Redeemable Units were issued in reliance upon applicable exemptions from registration under Section 4(a)(2) of the Securities Act of 1933, as amended, and Section 506 of Regulation D promulgated thereunder. These Redeemable Units were purchased by accredited investors as defined in Regulation D. In determining the applicability of the exemption, the General Partner relied on the fact that the Redeemable Units were purchased by accredited investors in a private offering.

Proceeds from the sale of Redeemable Units are used in the trading of commodity interests including futures, option and forward contracts.

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

(c) Total Number of

(d) Maximum Number

Redeemable

(or Approximate

Class A

Class Z

Units Purchased

Dollar Value) of

Class A

(b) Average

Class Z

(b) Average

as Part of

Redeemable Units

(a) Total Number of

Price Paid per

(a) Total Number of

Price Paid per

Publicly

that May Yet Be

Redeemable

Announced

Purchased Under the

Period

Units Purchased*

Unit**

Units Purchased*

Unit**

Plans or Programs

January 1, 2016 -
January 31, 2016

5,202.8440

3,129.62

1,181.72

N/A

February 1, 2016 -
February 29, 2016

3,309.0250

3,227.97

12.0000

1,219.84

N/A

March 1, 2016 -
March 31, 2016

6,553.8820

3,140.66

1,188.08

N/A

15,065.7510

3,156.02

12.0000

1,219.84

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

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

Item 3.

Defaults Upon Senior Securities — None.

Item 4.

Mine Safety Disclosures — Not Applicable.

Item 5. Other Information — None.

Item 6.

Exhibits


3.1	(a)	Fourth Amended and Restated Limited Partnership Agreement, dated August 31, 2012 (filed as Exhibit 3.2 to the current report on Form 8-K filed on September 5, 2012 and incorporated herein by reference.

	(b)	Amendment No. 1 to the Fourth Amended and Restated Limited Partnership Agreement, dated as of January 1, 2016 (filed as Exhibit 3.1 to the current report on Form 8-K filed on January 6, 2016 and incorporated herein by reference).

3.2	(a)	Certificate of Limited Partnership of the Partnership as filed in the office of the Secretary of State of the State of the State of New York (filed as Exhibit 3.(I) to the general form for registration of securities on Form 10 filed on May 1, 2003 and incorporated herein by reference).

	(b)	1^st Certificate of Amendment to the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated April 3, 2001 (filed as Exhibit 3.(I) to the general form for registration of securities on Form 10 filed on May 1, 2003 and incorporated herein by reference).

	(c)	2^nd Certificate of Amendment to the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated May 21, 2003 (filed as Exhibit 3.2(b) to the quarterly report on Form 10-Q filed on November 16, 2009 and incorporated herein by reference).

	(d)	3^rd Certificate of Amendment to the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated September 21, 2005 (filed as Exhibit 3.2(c) to the quarterly report on Form 10-Q filed on November 16, 2009 and incorporated herein by reference).

	(e)	4^th Certificate of Amendment to the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated August 27, 2008 (filed as Exhibit 99.1 to the current report on Form 8-K filed on September 2, 2008 and incorporated herein by reference).

	(f)	5^th Certificate of Amendment to the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated September 19, 2008 (filed as Exhibit 3.2(e) to the quarterly report on Form 10-Q filed on November 16, 2009 and incorporated herein by reference).

	(g)	6^th Certificate of Amendment to the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated September 28, 2009 (filed as Exhibit 99.1(a) to the current report on Form 8-K filed on September 30, 2009 and incorporated herein by reference).

	(h)	1^st Certificate of Change to the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated January 31, 2000 (filed as Exhibit 3.2(g) to the quarterly report on Form 10-Q filed on November 16, 2009 and incorporated herein by reference).

	(i)	7^th Certificate of Amendment to the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated June 29, 2010 (filed as Exhibit 3.1(h) to the current report on Form 8-K filed on July 2, 2010 and incorporated herein by reference).

	(j)	8^th Certificate of Amendment to the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated September 2, 2011 (filed as Exhibit 3.1 to the current report on Form 8-K filed on September 7, 2011 and incorporated herein by reference).

	(k)	9^th Certificate of Amendment to the Certificate of Limited Partnership dated August 7, 2013 (filed as Exhibit 3.2 (j) to the quarterly report on Form 10-Q filed on August 14, 2013 and incorporated herein by reference).



10.1		Amended and Restated Management Agreement among the Partnership, the General Partner and Winton Capital Management Limited (filed as Exhibit 10.2 to the current report on Form 8-K filed on July 9, 2014 and incorporated herein by reference).

10.2		Amended and Restated Advisory Agreement among Transtrend Master, the General Partner and Transtrend B.V. (filed as Exhibit 10.1 to the current report on Form 8-K filed on December 22, 2015 and incorporated herein by reference).

10.3	(a)	Management Agreement among the Partnership, the General Partner and Willowbridge Advisors, Inc. (filed as Exhibit 10.3 to the Quarterly Report on Form 10-Q filed on August 13, 2014 and incorporated herein by reference).

	(b)	Letter extending the Management Agreement among the Partnership, the General Partner and Willowbridge Advisors, Inc. from June 30, 2015 to June 30, 2016 (filed as Exhibit 10.4(b) to the annual report on Form 10-K filed on March 28, 2016 and incorporated herein by reference).

10.4		Management Agreement among the Partnership, the General Partner and Systematica Investments Limited (filed as Exhibit 10.1 to the current report on Form 8-K filed on September 18, 2015 and incorporated herein by reference).

10.5	(a)	Amended and Restated Commodity Futures Customer Agreement between the Partnership and MS&Co., effective March 1, 2014 (filed as Exhibit 10.7 to the annual report on Form 10-K filed on March 28, 2014 and incorporated herein by reference.

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

10.6		Amended and Restated Alternative Investment Selling Agent Agreement between the Partnership, the General Partner and Morgan Stanley Wealth Management, effective March 3, 2016 (filed as Exhibit 10.1 to the current report on Form 8-K filed on March 8, 2016 and incorporated herein by reference).

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

10.8	(a)	Escrow Agreement among Ceres Managed Futures LLC, Morgan Stanley Smith Barney LLC and The Bank of New York (filed as Exhibit 10.8(a) to the annual report on Form 10-K filed on March 27, 2013 and incorporated herein by reference).

	(b)	Amendment No. 5 to Escrow Agreement among Ceres Managed Futures LLC, Morgan Stanley Smith Barney LLC and The Bank of New York (filed as Exhibit 10.8(b) to the annual report on Form 10-K filed on March 27, 2013 and incorporated herein by reference).

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

Exhibit 31.1 — Rule 13a-14(a)/15d-14(a) Certification (Certification of President and Director) (filed herewith).


Exhibit 31.2 — Rule 13a-14(a)/15d-14(a) Certification (Certification of Chief Financial Officer and Director) (filed herewith).

Exhibit 32.1 — Section 1350 Certification (Certification of President and Director) (filed herewith).

Exhibit 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.LAB XBRL Taxonomy Extension Label Linkbase Document.

101.PRE XBRL Taxonomy Extension Presentation Linkbase Document.

101.DEF XBRL Taxonomy Extension Definition Document.

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.


ORION FUTURES FUND 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

CERES ORION L.P. - FORM 10-Q - May 12, 2016

Attached files

CERES ORION L.P. Reports