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Table of Contents

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 10-Q

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

ACT OF 1934

For the quarterly period ended June 30, 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 0-53210

MANAGED FUTURES PREMIER ABINGDON L.P.

 

(Exact name of registrant as specified in its charter)

 

New York   20-3845005

(State or other jurisdiction of

incorporation or organization)

 

(I.R.S. Employer

Identification No.)

c/o Ceres Managed Futures LLC

522 Fifth Avenue

New York, New York 10036

 

(Address of principal executive offices) (Zip Code)

(855) 672-4468

 

(Registrant’s telephone number, including area code)

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

Yes X  No     

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

Yes X  No     

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

 

Large accelerated filer        Accelerated filer        Non-accelerated filer X    Smaller reporting company    

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

Yes       No X

As of July 31, 2016, there were 158,528.7262 Limited Partnership Redeemable Units of Class A outstanding, 14,179.1386 Limited Partnership Redeemable Units of Class D outstanding and 471.4422 Limited Partnership Redeemable Units of Class Z outstanding.


Table of Contents

MANAGED FUTURES PREMIER ABINGDON L.P.

FORM 10-Q

INDEX

 

         

Page
Number

PART I - Financial Information:   

Item 1.

  

Financial Statements:

  
  

Statements of Financial Condition at June 30, 2016 and December 31, 2015 (unaudited)

   3
  

Statements of Income and Expenses for the three and six months ended June 30, 2016 and 2015 (unaudited)

   4
  

Statements of Changes in Partners’ Capital for the six months ended June 30, 2016 and 2015 (unaudited)

   5
  

Notes to Financial Statements, including the Financial Statements of CMF Winton Master L.P. (unaudited)

   6 – 23

Item 2.

  

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

   24 – 26

Item 3.

  

Quantitative and Qualitative Disclosures about Market Risk

   27 – 28

Item 4.

  

Controls and Procedures

   29
PART II - Other Information:   

Item 1.

  

Legal Proceedings

   30 – 37

Item 1A.

  

Risk Factors

   38

Item 2.

  

Unregistered Sales of Equity Securities and Use of Proceeds

   38

Item 3.

  

Defaults Upon Senior Securities

   38

Item 4.

  

Mine Safety Disclosures

   38

Item 5.

  

Other Information

   38

Item 6.

  

Exhibits

   39 - 40

 

2


Table of Contents

PART I. FINANCIAL INFORMATION

Item 1. Financial Statements

Managed Futures Premier Abingdon L.P.

Statements of Financial Condition

(Unaudited)

 

     June 30,
2016
     December 31,
2015
 

Assets:

     

Investment in the Master(1) , at fair value

     $ 247,741,461          $ 234,617,857    

Cash at MS&Co.

     283,174          329,610    

Cash at bank

     607          -      
  

 

 

    

 

 

 

Total assets

     $     248,025,242          $ 234,947,467    
  

 

 

    

 

 

 

Liabilities and Partners’ Capital

     

Liabilities:

     

Accrued expenses:

     

Ongoing selling agent fees

     $ 388,160          $ 367,700    

Management fees

     309,278          292,913    

General Partner fees

     206,185          195,275    

Professional fees

     214,905          249,711    

Redemptions payable to Limited Partners

     500,969          8,142,717    
  

 

 

    

 

 

 

Total liabilities

     1,619,497          9,248,316    
  

 

 

    

 

 

 

Partners’ Capital:

     

General Partner, Class A, 0.0000 Redeemable Units outstanding at June 30, 2016 and December 31, 2015

     -            -      

General Partner, Class D, 0.0000 Redeemable Units outstanding at June 30, 2016 and December 31, 2015

     -            -      

General Partner, Class Z, 1,909.7640 Redeemable Units outstanding at June 30, 2016 and December 31, 2015

     2,599,029          2,462,400    

Limited Partners, Class A, 158,825.6532 and 151,491.9322 Redeemable Units outstanding at June 30, 2016 and December 31, 2015, respectively

     224,226,599          204,669,817    

Limited Partners, Class D, 14,179.1386 Redeemable Units outstanding at June 30, 2016 and December 31, 2015

     18,938,524          18,010,427    

Limited Partners, Class Z, 471.4422 and 431.6102 Redeemable Units outstanding at June 30, 2016 and December 31, 2015, respectively

     641,593          556,507    
  

 

 

    

 

 

 

Total partners’ capital (net asset value)

     246,405,745          225,699,151    
  

 

 

    

 

 

 

Total liabilities and partners’ capital

     $ 248,025,242          $ 234,947,467    
  

 

 

    

 

 

 

Class A, net asset value per Redeemable Unit

     $ 1,411.78          $ 1,351.03    
  

 

 

    

 

 

 

Class D, net asset value per Redeemable Unit

     $ 1,335.66          $ 1,270.21    
  

 

 

    

 

 

 

Class Z, net asset value per Redeemable Unit

     $ 1,360.92          $ 1,289.37    
  

 

 

    

 

 

 

 

(1)

Defined in Note 1.

See accompanying notes to financial statements.

 

3


Table of Contents

Managed Futures Premier Abingdon L.P.

Statements of Income and Expenses

(Unaudited)

 

    Three Months
Ended June 30,
    Six Months
Ended June 30,
 
    2016     2015     2016     2015  

Income:

       

Interest income allocated from the Master

    $ 133,684          $ 3,443          $ 267,552          $ 7,363     
 

 

 

   

 

 

   

 

 

   

 

 

 

Expenses:

       

Expenses allocated from the Master

    77,654          85,391          152,911          159,869     

Ongoing selling agent fees

    1,114,162          1,055,958          2,245,468          2,124,704     

Management fees

    887,842          843,820          1,790,803          1,688,840     

General Partner fees

    591,896          562,547          1,193,868          1,125,894     

Incentive fees

    -            -            -            3,535,100     

Professional fees

    148,682          86,001          298,647          152,347     
 

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

    2,820,236          2,633,717          5,681,697          8,786,754     
 

 

 

   

 

 

   

 

 

   

 

 

 

Net investment loss

    (2,686,552)         (2,630,274)         (5,414,145)         (8,779,391)    
 

 

 

   

 

 

   

 

 

   

 

 

 

Trading results:

       

Net gains (losses) on investment in the Master:

       

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

    (8,635,318)         (13,337,481)         (224,926)         8,431,438     

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

    16,092,916          (8,737,817)         16,259,387          (10,213,296)    
 

 

 

   

 

 

   

 

 

   

 

 

 

Total trading results

    7,457,598          (22,075,298)         16,034,461          (1,781,858)    
 

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

    $ 4,771,046          $ (24,705,572)         $ 10,620,316          $ (10,561,249)    
 

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss) allocation by Class:

       

Class A

    $ 4,282,574          $ (22,449,824)         $ 9,521,410          $ (9,463,728)    
 

 

 

   

 

 

   

 

 

   

 

 

 

Class D

    $ 410,293          $ (1,940,524)         $ 928,097          $ (975,615)    
 

 

 

   

 

 

   

 

 

   

 

 

 

Class Z

    $ 78,179          $ (315,224)         $ 170,809          $ (121,906)    
 

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value per Redeemable Unit:

       

Class A (158,825.6532 and 148,264.9242 Redeemable Units outstanding at June 30, 2016 and 2015, respectively)

    $ 1,411.78          $ 1,319.79          $ 1,411.78          $ 1,319.79     
 

 

 

   

 

 

   

 

 

   

 

 

 

Class D (14,179.1386 Redeemable Units outstanding at June 30, 2016 and 2015)

    $ 1,335.66          $ 1,233.09          $ 1,335.66          $ 1,233.09     
 

 

 

   

 

 

   

 

 

   

 

 

 

Class Z (2,381.2062 and 2,341.3742 Redeemable Units outstanding at June 30, 2016 and 2015, respectively)

    $ 1,360.92          $ 1,247.01          $ 1,360.92          $ 1,247.01     
 

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss) per Redeemable Unit*

       

Class A

    $ 26.26          $ (151.08)         $ 60.75          $ (59.49)    
 

 

 

   

 

 

   

 

 

   

 

 

 

Class D

    $ 28.94          $ (136.86)         $ 65.45          $ (47.49)    
 

 

 

   

 

 

   

 

 

   

 

 

 

Class Z

    $ 31.98          $ (135.80)         $ 71.55          $ (43.14)    
 

 

 

   

 

 

   

 

 

   

 

 

 

Weighted average Redeemable Units outstanding

       

Class A

    158,195.9512          148,823.4815          155,753.8032          145,224.0905     
 

 

 

   

 

 

   

 

 

   

 

 

 

Class D

    14,179.1386          14,179.1386          14,179.1386          12,481.7491     
 

 

 

   

 

 

   

 

 

   

 

 

 

Class Z

    2,360.0402          2,315.9455          2,350.7072          2,201.1134     
 

 

 

   

 

 

   

 

 

   

 

 

 

 

*

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

See accompanying notes to financial statements.

 

4


Table of Contents

Managed Futures Premier Abingdon L.P.

Statements of Changes in Partners’ Capital

For the Six Months Ended June 30, 2016 and 2015

(Unaudited)

 

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

Partners’ Capital, December 31, 2015

    $ 204,669,817          151,491.9322          $ 18,010,427          14,179.1386          $ 3,018,907          2,341.3742          $ 225,699,151          168,012.4450     

Subscriptions - Limited Partners

    20,580,043          14,895.3090          -            -            50,906          39.8320          20,630,949          14,935.1410     

Net income (loss)

    9,521,410          -            928,097          -            170,809          -            10,620,316          -       

Redemptions - Limited Partners

    (10,544,671)         (7,561.5880)         -            -            -            -            (10,544,671)         (7,561.5880)    
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Partners’ Capital, June 30, 2016

    $ 224,226,599          158,825.6532          $ 18,938,524          14,179.1386          $ 3,240,622          2,381.2062          $ 246,405,745          175,385.9980     
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Partners’ Capital, December 31, 2014

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

Subscriptions - Limited Partners

    28,544,303          20,195.8390          4,720,000          3,449.7730          50,000          38.1430          33,314,303          23,683.7550     

Subscriptions - General Partner

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

Net income (loss)

    (9,463,728)         -            (975,615)         -            (121,906)         -            (10,561,249)         -       

Redemptions - Limited Partners

    (8,035,657)         (5,793.8610)         -            -            -            -            (8,035,657)         (5,793.8610)    
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Partners’ Capital, June 30, 2015

    $   195,678,812          148,264.9242          $   17,484,164          14,179.1386          $   2,919,710          2,341.3742          $   216,082,686          164,785.4370     
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

5


Table of Contents

Managed Futures Premier Abingdon L.P.

Notes to Financial Statements

(Unaudited)

1. Organization:

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

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

During the reporting periods ended June 30, 2016 and 2015, the Partnership’s and the Master’s commodity broker was Morgan Stanley & Co. LLC (“MS&Co.”), a registered futures commission merchant. The Partnership and the Master also deposit a portion of their cash in non-trading accounts at JPMorgan Chase Bank, N.A.

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

A limited partner in the Master may withdraw all or part of its capital contribution and undistributed profits, if any, from the Master as of the end of any month (the “Redemption Date”) after a request has been made to the General Partner at least three days in advance of the Redemption Date. Such withdrawals are classified as a liability when the limited partner in the Master elects to redeem and informs the Master.

The General Partner is not aware of any material changes to the trading program discussed above during the fiscal quarter ended June 30, 2016.

 

6


Table of Contents

Managed Futures Premier Abingdon L.P.

Notes to Financial Statements

(Unaudited)

 

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

At June 30, 2016 and December 31, 2015, the Partnership owned approximately 42.9% and 38.9%, respectively, of the Master. The Partnership intends to continue to invest substantially all of its assets in the Master. The performance of the Partnership is directly affected by the performance of the Master. The Master’s trading of futures, forward, swap and option contracts, if applicable, on commodities is done primarily on U.S. and foreign commodity exchanges. The Master engages in such trading through a commodity brokerage account maintained with MS&Co. The Master’s Statements of Financial Condition, Condensed Schedules of Investments and Statements of Income and Expenses and Changes in Partners’ Capital are included herein.

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

The Master has entered into a foreign exchange brokerage account agreement and a futures brokerage account agreement with MS&Co. The Partnership has also entered into a futures brokerage account agreement with MS&Co. The Partnership, through its investment in the Master, pays MS&Co. (or will reimburse MS&Co., if previously paid) its allocable share of all trading fees for the clearing and, where applicable, execution of transactions as well as exchange, clearing, user, give-up, floor brokerage and National Futures Association fees (collectively, the “clearing fees”).

The Partnership has also entered into a selling agreement with Morgan Stanley Wealth Management (as amended, the “Selling Agreement”). Pursuant to the Selling Agreement, Morgan Stanley Wealth Management is paid a monthly ongoing selling agent fee at the rates described above. The ongoing selling agent fee received by Morgan Stanley Wealth Management is shared with the properly registered/exempted financial advisors of Morgan Stanley Wealth Management who sell Class A and/or Class D Redeemable Units.

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.

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 June 30, 2016, the results of its operations for the three and six months ended June 30, 2016 and 2015 and changes in partners’ capital for the six months ended June 30, 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.

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

 

7


Table of Contents

Managed Futures Premier Abingdon L.P.

Notes to Financial Statements

(Unaudited)

 

Use of Estimates: 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.

Statement of Cash Flows: The Partnership is not required to provide a Statement of Cash Flows.

Partnership’s Investment: The Partnership carries its investment in the Master at fair value based on the Master’s net asset value per Redeemable Unit, as a practical expedient, as calculated by the Master. The valuation of the Master’s investments including the classification within the fair value hierarchy of the investments held by the Master are described in Note 5, “Fair Value Measurements.”

Master’s Investments: All commodity interests of the Master, including derivative financial instruments and derivative commodity instruments, are held for trading purposes. The commodity interests are recorded on the trade date and open contracts are recorded at fair value (as described in Note 5, “Fair Value Measurements”) at the measurement date. Investments in commodity interests denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Gains or losses are realized when contracts are liquidated and are determined 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 Master’s Statements of Financial Condition. Net realized gains or losses and net change in unrealized gains or losses are included in the Master’s Statements of Income and Expenses and Changes in Partners’ Capital.

Master’s Fair Value of Financial Instruments: The carrying value of the Master’s assets and liabilities presented in the Master’s 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.

Master’s Cash: The Master’s cash includes cash denominated in foreign currencies of $3,578,455 (cost of $3,563,688) and $15,762,494 (cost of $15,855,406) as of June 30, 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 for each Class is calculated in accordance with ASU 946, “Financial Services – Investment Companies.” See Note 3, “Financial Highlights.”

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.

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.

 

8


Table of Contents

Managed Futures Premier Abingdon L.P.

Notes to Financial Statements

(Unaudited)

 

The Master’s Statements of Financial Condition and Condensed Schedules of Investments as of June 30, 2016 and December 31, 2015 and Statements of Income and Expenses and Changes in Partners’ Capital for the three and six months ended June 30, 2016 and 2015 are presented below:

CMF Winton Master L.P.

Statements of Financial Condition

(Unaudited)

 

     June 30,
2016
     December 31,
2015
 

Assets:

     

Equity in trading account:

     

Investment in U.S. Treasury bills, at fair value (amortized cost $456,737,623 and $472,872,074 at June 30, 2016 and December 31, 2015, respectively)

    $ 456,892,688         $ 472,950,344    

Cash at MS&Co.

     12,764,389          25,746,373    

Cash margin

     63,688,189          99,262,577    

Net unrealized appreciation on open futures contracts

     39,683,773          5,389,377    

Net unrealized appreciation on open forward contracts

     4,105,053          -      
  

 

 

    

 

 

 

Total equity in trading account

     577,134,092          603,348,671    

Cash at bank

     607          -      
  

 

 

    

 

 

 

Total assets

    $     577,134,699         $     603,348,671    
  

 

 

    

 

 

 

Liabilities and Partners’ Capital:

     

Liabilities:

     

Net unrealized depreciation on open forward contracts

    $ -           $ 269,234    

Accrued expenses:

     

Professional fees

     45,523          38,067    
  

 

 

    

 

 

 

Total liabilities

     45,523          307,301    
  

 

 

    

 

 

 

Partners’ Capital:

     

General Partner, 0.0000 Redeemable Units outstanding at June 30, 2016 and December 31, 2015

     -            -      

Limited Partners, 144,872.0830 and 161,976.6460 Redeemable Units outstanding at June 30, 2016 and December 31, 2015, respectively

     577,089,176          603,041,370    
  

 

 

    

 

 

 

Total liabilities and partners’ capital

    $ 577,134,699         $ 603,348,671    
  

 

 

    

 

 

 

Net asset value per Redeemable Unit

    $ 3,983.44         $ 3,723.01    
  

 

 

    

 

 

 

 

9


Table of Contents

Managed Futures Premier Abingdon L.P.

Notes to Financial Statements

(Unaudited)

CMF Winton Master L.P.

Condensed Schedule of Investments

June 30, 2016

(Unaudited)

 

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

Futures Contracts Purchased

        

Currencies

     1,150          $ 2,809,789           0.49  

Grains

     736           1,134,183           0.20     

Indices

     1,645           1,524,288           0.26     

Interest Rates U.S.

     1,712           9,769,086           1.69     

Interest Rates Non-U.S.

     20,163           15,905,199           2.76     

Livestock

     221           42,290           0.01     

Metals

     527           2,783,845           0.48     

Softs

     393           342,689           0.06     
     

 

 

    

 

 

 

Total futures contracts purchased

        34,311,369           5.95     
     

 

 

    

 

 

 

Futures Contracts Sold

        

Currencies

     2,161           6,848,931           1.19     

Energy

     497           (483,582)          (0.08)    

Grains

     705           1,366,670           0.23     

Indices

     696           (585,430)          (0.10)    

Interest Rates U.S.

     920           (1,393,282)          (0.24)    

Interest Rates Non-U.S.

     142           (17,466)          (0.00)  * 

Livestock

     290           107,378           0.02     

Metals

     62           (158,905)          (0.03)    

Softs

     429           (311,910)          (0.06)    
     

 

 

    

 

 

 

Total futures contracts sold

        5,372,404           0.93     
     

 

 

    

 

 

 

Net unrealized appreciation on open futures contracts

       $     39,683,773           6.88  
     

 

 

    

 

 

 

Unrealized Appreciation on Open Forward Contracts

        

Currencies

    $     307,886,860          $ 8,990,284           1.55  

Metals

     482           1,189,365           0.21     
     

 

 

    

 

 

 

Total unrealized appreciation on open forward contracts

        10,179,649           1.76     
     

 

 

    

 

 

 

Unrealized Depreciation on Open Forward Contracts

        

Currencies

    $ 226,275,721           (3,862,879)          (0.67)    

Metals

     740           (2,211,717)          (0.38)    
     

 

 

    

 

 

 

Total unrealized depreciation on open forward contracts

        (6,074,596)          (1.05)    
     

 

 

    

 

 

 

Net unrealized appreciation on open forward contracts

       $ 4,105,053           0.71  
     

 

 

    

 

 

 

U.S. Government Securities

        

Face Amount

  

Maturity Date

  

Description

   Fair Value      % of Partners’
Capital
 
      U.S. Treasury bills, 0.205%      

$    27,000,000

   7/7/2016    (Amortized cost of $26,992,159)     $ 26,999,696          4.68 
      U.S. Treasury bills, 0.265%      

$    140,000,000

   8/11/2016    (Amortized cost of $139,926,831)      139,969,306          24.25    
      U.S. Treasury bills, 0.29%      

$    260,000,000

   8/11/2016    (Amortized cost of $259,836,633)      259,942,998          45.04    
      U.S. Treasury bills, 0.24%      

$    30,000,000

   9/29/2016    (Amortized cost of $29,982,000)      29,980,688          5.20    
        

 

 

    

 

 

 

Total U.S. Government Securities

    $   456,892,688          79.17 
        

 

 

    

 

 

 

 

*

Due to rounding.

 

10


Table of Contents

Managed Futures Premier Abingdon L.P.

Notes to Financial Statements

(Unaudited)

CMF Winton Master L.P.

Condensed Schedule of Investments

December 31, 2015

 

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

Futures Contracts Purchased

        

Currencies

     510          $ 30,126           0.01 %   

Energy

     75           (7,647)          (0.00) *   

Grains

     95           (17,551)          (0.00) *   

Indices

     2,628           1,099,760           0.18       

Interest Rates U.S.

     614           (610,774)          (0.10)      

Interest Rates Non-U.S.

     19,410           (3,062,521)          (0.51)      

Livestock

     3           160           0.00  *   

Softs

     311           64,286           0.01       
     

 

 

    

 

 

 

Total futures contracts purchased

        (2,504,161)          (0.41)      
     

 

 

    

 

 

 

Futures Contracts Sold

        

Currencies

     4,548           3,922,263           0.65       

Energy

     2,317           1,273,340           0.21       

Grains

     2,492           2,035,524           0.34       

Indices

     1,710           (453,830)          (0.08)      

Interest Rates U.S.

     122           (3,016)          (0.00) *   

Interest Rates Non-U.S.

     556           (29,705)          (0.00) *   

Livestock

     394           (660,400)          (0.11)      

Metals

     1,441           2,011,420           0.33       

Softs

     544           (202,058)          (0.03)      
     

 

 

    

 

 

 

Total futures contracts sold

        7,893,538           1.31       
     

 

 

    

 

 

 

Net unrealized appreciation on open futures contracts

       $     5,389,377           0.90 %   
     

 

 

    

 

 

 

Unrealized Appreciation on Open Forward Contracts

        

Currencies

    $     285,098,551          $ 3,394,312           0.56 %   

Metals

     492           1,854,557           0.31       
     

 

 

    

 

 

 

Total unrealized appreciation on open forward contracts

        5,248,869           0.87       
     

 

 

    

 

 

 

Unrealized Depreciation on Open Forward Contracts

        

Currencies

    $ 245,182,550           (4,880,125)          (0.81)      

Metals

     353           (637,978)          (0.11)      
     

 

 

    

 

 

 

Total unrealized depreciation on open forward contracts

        (5,518,103)          (0.92)      
     

 

 

    

 

 

 

Net unrealized depreciation on open forward contracts

       $ (269,234)          (0.05)%   
     

 

 

    

 

 

 

U.S. Government Securities

        

Face Amount

  

Maturity Date

  

Description

   Fair Value      % of Partners’
Capital
 
      U.S. Treasury bills, 0.19%      

$    128,000,000

   1/21/2016    (Amortized cost of $127,981,084)     $ 127,991,600         21.23  
      U.S. Treasury bills, 0.125%      

$    345,000,000

   2/11/2016    (Amortized cost of $344,890,990)      344,958,744         57.20     
        

 

 

    

 

 

 

Total U.S. Government Securities

    $     472,950,344         78.43  
        

 

 

    

 

 

 

* Due to rounding.

 

11


Table of Contents

Managed Futures Premier Abingdon L.P.

Notes to Financial Statements

(Unaudited)

CMF Winton Master L.P.

Statements of Income and Expenses and Changes in Partners’ Capital

(Unaudited)

 

     Three Months Ended
June 30,
     Six Months Ended
June 30,
 
     2016      2015      2016      2015  

Investment Income:

           

Interest income

    $           319,721          $             11,695          $           661,185          $             26,025     
  

 

 

    

 

 

    

 

 

    

 

 

 

Expenses:

           

Clearing fees

     161,803           219,450           328,664           412,402     

Professional fees

     20,520           27,027           41,043           65,102     
  

 

 

    

 

 

    

 

 

    

 

 

 

Total expenses

     182,323           246,477           369,707           477,504     
  

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income (loss)

     137,398           (234,782)          291,478           (451,479)    
  

 

 

    

 

 

    

 

 

    

 

 

 

Trading Results:

           

Net gains (losses) on trading of commodity interests:

           

Net realized gains (losses) on closed contracts

     (20,269,506)          (38,258,932)          778,811           27,666,900     

Net change in unrealized gains (losses) on open contracts

     37,319,590           (25,643,607)          38,776,362           (28,325,645)    
  

 

 

    

 

 

    

 

 

    

 

 

 

Total trading results

     17,050,084           (63,902,539)          39,555,173           (658,745)    
  

 

 

    

 

 

    

 

 

    

 

 

 

Net income (loss)

     17,187,482           (64,137,321)          39,846,651           (1,110,224)    

Subscriptions - Limited Partners

     12,010,492           21,423,134           20,730,949           38,306,707     

Redemptions - Limited Partners

     (28,701,797)          (41,897,509)          (86,405,119)          (108,157,378)    

Distribution of interest income to feeder funds

     (48,263)           (11,695)          (124,675)          (26,025)    
  

 

 

    

 

 

    

 

 

    

 

 

 

Net increase (decrease) in Partners’ Capital

     447,914           (84,623,391)          (25,952,194)          (70,986,920)    

Partners’ Capital, beginning of period

     576,641,262           711,438,283           603,041,370           697,801,812     
  

 

 

    

 

 

    

 

 

    

 

 

 

Partners’ Capital, end of period

    $     577,089,176          $     626,814,892          $     577,089,176          $     626,814,892     
  

 

 

    

 

 

    

 

 

    

 

 

 

Net asset value per Redeemable Unit (144,872.0830 and 176,513.8464 Redeemable Units outstanding at June 30, 2016 and 2015, respectively)

    $           3,983.44          $           3,551.08          $           3,983.44          $           3,551.08     
  

 

 

    

 

 

    

 

 

    

 

 

 

Net income (loss) per Redeemable Unit*

    $              120.39          $            (360.86)         $              261.27          $              (19.06)    
  

 

 

    

 

 

    

 

 

    

 

 

 

Weighted average Redeemable Units outstanding

     145,876.3773           181,548.6669           148,983.3565           185,758.8999     
  

 

 

    

 

 

    

 

 

    

 

 

 

 

*

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

 

12


Table of Contents

Managed Futures Premier Abingdon L.P.

Notes to Financial Statements (Unaudited)

3. Financial Highlights:

Financial highlights for the limited partner classes as a whole for the three and six months ended June 30, 2016 and 2015 were as follows:

 

     Three Months Ended
June 30,
 
     2016      2015  
Per Redeemable Unit Performance (for a unit outstanding
throughout the period):*
   Class A      Class D      Class Z      Class A      Class D      Class Z  

Net realized and unrealized gains (losses)

    $ 42.13          $ 39.90          $ 40.68          $ (134.62)         $ (125.52)         $ (126.76)    

Net investment loss

     (15.87)          (10.96)          (8.70)          (16.46)          (11.34)          (9.04)    
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Increase (decrease) for the period

     26.26           28.94           31.98           (151.08)          (136.86)          (135.80)    

Net asset value per Redeemable Unit, beginning of period

     1,385.52           1,306.72           1,328.94           1,470.87           1,369.95           1,382.81     
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net asset value per Redeemable Unit, end of period

    $     1,411.78          $     1,335.66          $     1,360.92          $     1,319.79          $     1,233.09          $     1,247.01     
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
     Six Months Ended
June 30,
 
     2016      2015  
Per Redeemable Unit Performance (for a unit outstanding
throughout the period):*
   Class A      Class D      Class Z      Class A      Class D      Class Z  

Net realized and unrealized gains (losses)

    $ 93.22          $ 87.84          $ 89.30          $ (2.63)         $ (2.86)         $ (3.12)    

Net investment loss

     (32.47)          (22.39)          (17.75)          (56.86)          (44.63)          (40.02)    
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Increase (decrease) for the period

     60.75           65.45           71.55           (59.49)          (47.49)          (43.14)    

Net asset value per Redeemable Unit, beginning of period

     1,351.03           1,270.21           1,289.37           1,379.28           1,280.58           1,290.15     
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net asset value per Redeemable Unit, end of period

    $     1,411.78          $     1,335.66          $     1,360.92          $     1,319.79          $     1,233.09          $     1,247.01     
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

13


Table of Contents

Managed Futures Premier Abingdon L.P.

Notes to Financial Statements

(Unaudited)

 

     Three Months Ended June 30,  
     2016     2015  
           Class A                 Class D                 Class Z                 Class A                 Class D                 Class Z        

Ratios to Average Limited Partners’ Capital:**

            

Net investment loss***

     (4.7 ) %      (3.4 ) %      (2.7 ) %      (4.8 ) %      (3.7 ) %      (2.9 ) % 

Operating expenses

     5.0  %      3.6  %      2.9  %      4.8  %      3.7  %      2.9  % 

Incentive fees

     -      %      -      %      -      %      -      %         %         % 
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     5.0        3.6        2.9  %      4.8  %      3.7  %      2.9  % 
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total return:

            

Total return before incentive fees

     1.9  %      2.2  %      2.4  %      (10.3 ) %      (10.0 ) %      (9.8 ) % 

Incentive fees

     -      %      -      %      -      %      -      %      -      %      -      % 
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total return after incentive fees

     1.9  %      2.2  %      2.4  %      (10.3 ) %      (10.0 ) %      (9.8 ) % 
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
     Six Months Ended June 30,  
     2016     2015  
     Class A     Class D     Class Z     Class A     Class D     Class Z  

Ratios to Average Limited Partners’ Capital:**

            

Net investment loss***

     (4.8 ) %      (3.4 ) %      (2.7 ) %      (6.6) %        (5.1 ) %      (4.5 ) % 

Operating expenses

     5.0  %      3.7  %      2.9  %      5.0  %        3.7  %      2.9  % 

Incentive fees

     -      %      -    %      -      %      1.6  %        1.4  %      1.6  % 
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     5.0   %      3.7  %      2.9  %      6.6 %        5.1  %      4.5  % 
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total return:

            

Total return before incentive fees

     4.5   %      5.2  %      5.5  %      (2.7)  %      (2.3 ) %      (1.7 ) % 

Incentive fees

     -      %      -      %      -      %      (1.6)  %      (1.4 ) %      (1.6 ) % 
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total return after incentive fees

     4.5   %      5.2  %      5.5  %      (4.3)  %      (3.7 ) %      (3.3 ) % 
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

*

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 (other than incentive fees).

***

Interest income allocated from the Master less total expenses.

The above ratios and total return may vary for individual investors based on the timing of capital transactions during the period. Additionally, these ratios are calculated for the limited partner class for the 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 Master.

 

14


Table of Contents

Managed Futures Premier Abingdon L.P.

Notes to Financial Statements

(Unaudited)

 

Financial Highlights of the Master:

 

     Three Months Ended
June 30,
    Six Months Ended
June 30,
 
     2016     2015     2016     2015  

Per Redeemable Unit Performance (for a unit outstanding throughout the period):*

        

Net realized and unrealized gains (losses)

    $ 119.45         $ (359.54)        $ 259.31         $ (16.56)    

Net investment income (loss)

     0.94          (1.32)         1.96          (2.50)    
  

 

 

   

 

 

   

 

 

   

 

 

 

Increase (decrease) for the period

     120.39          (360.86)         261.27          (19.06)    

Distribution of interest income to feeder funds

     (0.33)         (0.07)         (0.84)         (0.15)    

Net asset value per Redeemable Unit, beginning of period

     3,863.38          3,912.01          3,723.01          3,570.29     
  

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value per Redeemable Unit, end of period

    $     3,983.44         $     3,551.08         $     3,983.44         $     3,551.08     
  

 

 

   

 

 

   

 

 

   

 

 

 
     Three Months Ended
June 30,
    Six Months Ended
June 30,
 
     2016     2015     2016     2015  

Ratios to Average Limited Partners’ Capital:**

        

Net investment income (loss)***

     0.1      (0.1 )%      0.1      (0.1 )% 
  

 

 

   

 

 

   

 

 

   

 

 

 

Operating expenses

     0.1      0.1      0.1      0.1 
  

 

 

   

 

 

   

 

 

   

 

 

 

Total return

     3.1      (9.2 )%      7.0      (0.5 )% 
  

 

 

   

 

 

   

 

 

   

 

 

 

 

*

Net investment income (loss) per Redeemable Unit is calculated by dividing the expenses net of interest income by the average number of Redeemable Units outstanding during the period. The net realized and unrealized gains (losses) per Redeemable Unit is a balancing amount necessary to reconcile the change in net asset value per Redeemable Unit with the other per unit information.

**

Annualized.

***

Interest income less total expenses.

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

 

15


Table of Contents

Managed Futures Premier Abingdon L.P.

Notes to Financial Statements

(Unaudited)

 

4. Trading Activities:

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

The futures brokerage account agreements with MS&Co. give the Partnership and the Master the legal right to net unrealized gains and losses on open futures and forward contracts. The Master nets, for financial reporting purposes, the unrealized gains and losses on open futures and forward contracts on its Statements of Financial Condition as the criteria under ASC 210-20, “Balance Sheet,” have been met.

Trading and transaction fees are based on the number of trades executed by the Advisor for the Master and the Partnership’s percentage ownership of the Master. All clearing fees paid to MS&Co. are borne by the Master and allocated to the Master’s limited partners, including the Partnership.

All of the commodity interests owned by the Master are held for trading purposes. The monthly average number of futures contracts traded by the Master during the three months ended June 30, 2016 and 2015 was 31,670 and 47,675, respectively. The monthly average number of futures contracts traded by the Master during the six months ended June 30, 2016 and 2015 was 35,826 and 48,538, respectively. The monthly average number of metals forward contracts traded by the Master during the three months ended June 30, 2016 and 2015 was 930 and 1,380, respectively. The monthly average number of metals forward contracts traded by the Master during the six months ended June 30, 2016 and 2015 was 819 and 1,205, respectively. The average notional value of currency forward contracts traded by the Master during the three months ended June 30, 2016 and 2015 was $613,596,023 and $602,291,493, respectively. The average notional value of currency forward contracts traded by the Master during the six months ended June 30, 2016 and 2015 was $603,010,884 and $585,562,096, respectively.

 

16


Table of Contents

Managed Futures Premier Abingdon L.P.

Notes to Financial Statements

(Unaudited)

 

The following tables summarize the gross and net amounts recognized relating to assets and liabilities of the Master’s derivatives and their offsetting subject to master netting arrangements or similar agreements as of June 30, 2016 and December 31, 2015, respectively.

 

     Gross Amounts
Recognized
     Gross Amounts
Offset in the

Statements of
Financial
Condition
     Amounts
Presented in the

Statements of
Financial
Condition
     Gross Amounts Not Offset in the
Statements of Financial Condition
     Net
Amount
 

June 30, 2016

            Financial
Instruments
     Cash Collateral
Received/
Pledged*
    

Assets

                 

Futures

    $ 44,201,887          $ (4,518,114)         $ 39,683,773          $ -              $ -              $ 39,683,773     

Forwards

     10,179,649           (6,074,596)          4,105,053           -               -               4,105,053     
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total assets

    $ 54,381,536          $ (10,592,710)         $ 43,788,826          $ -              $ -              $ 43,788,826     
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Liabilities

                 

Futures

    $ (4,518,114)         $ 4,518,114          $ -              $ -              $ -              $ -         

Forwards

     (6,074,596)          6,074,596           -               -               -               -         
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total liabilities

    $ (10,592,710)         $ 10,592,710          $ -              $ -              $ -              $ -         
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net fair value

                   $ 43,788,826*   
                 

 

 

 
     Gross Amounts
Recognized
     Gross Amounts
Offset in the

Statements of
Financial
Condition
     Amounts
Presented in the

Statements of
Financial
Condition
     Gross Amounts Not Offset in the
Statements of Financial Condition
     Net
Amount
 

December 31, 2015

            Financial
Instruments
     Cash Collateral
Received/
Pledged*
    

Assets

                 

Futures

    $ 17,800,660          $ (12,411,283)         $ 5,389,377          $ -              $ -              $ 5,389,377     

Forwards

     5,248,869           (5,248,869)          -               -               -               -         
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total assets

    $ 23,049,529          $ (17,660,152)         $ 5,389,377          $ -              $ -              $ 5,389,377     
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Liabilities

                 

Futures

    $ (12,411,283)         $ 12,411,283          $ -              $ -              $ -              $ -       

Forwards

     (5,518,103)          5,248,869           (269,234)          -               -               (269,234)    
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total liabilities

    $ (17,929,386)         $ 17,660,152          $ (269,234)         $ -              $ -              $ (269,234)    
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net fair value

                   $ 5,120,143*   
                 

 

 

 

 

  *

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

 

17


Table of Contents

Managed Futures Premier Abingdon L.P.

Notes to Financial Statements

(Unaudited)

 

The following tables indicate the gross fair values of the Master’s derivative instruments of futures and forward contracts as separate assets and liabilities as of June 30, 2016 and December 31, 2015, respectively.

 

     June 30,
2016
 

Assets

  

Futures Contracts

  

Currencies

    $ 10,130,251     

Energy

     161,783     

Grains

     2,782,904     

Indices

     1,729,358     

Interest Rates U.S.

     9,791,039     

Interest Rates Non-U.S.

     15,951,118     

Livestock

     297,763     

Metals

     2,790,945     

Softs

     566,726     
  

 

 

 

Total unrealized appreciation on open futures contracts

         44,201,887     
  

 

 

 

Liabilities

  

Futures Contracts

  

Currencies

     (471,531)    

Energy

     (645,365)    

Grains

     (282,051)    

Indices

     (790,500)    

Interest Rates U.S.

     (1,415,235)    

Interest Rates Non-U.S.

     (63,385)    

Livestock

     (148,095)    

Metals

     (166,005)    

Softs

     (535,947)    
  

 

 

 

Total unrealized depreciation on open futures contracts

     (4,518,114)    
  

 

 

 

Net unrealized appreciation on open futures contracts

    $ 39,683,773  
  

 

 

 

Assets

  

Forward Contracts

  

Currencies

    $ 8,990,284     

Metals

     1,189,365     
  

 

 

 

Total unrealized appreciation on open forward contracts

     10,179,649     
  

 

 

 

Liabilities

  

Forward Contracts

  

Currencies

     (3,862,879)    

Metals

     (2,211,717)    
  

 

 

 

Total unrealized depreciation on open forward contracts

     (6,074,596)    
  

 

 

 

Net unrealized appreciation on open forward contracts

    $ 4,105,053   ** 
  

 

 

 

 

*

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

**

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

 

18


Table of Contents

Managed Futures Premier Abingdon L.P.

Notes to Financial Statements

(Unaudited)

 

     December 31,
2015
 

Assets

  

Futures Contracts

  

Currencies

    $ 4,375,005     

Energy

     3,059,034     

Grains

     2,067,358     

Indices

     2,758,533     

Interest Rates U.S.

     7,546     

Interest Rates Non-U.S.

     3,038,265     

Livestock

     31,455     

Metals

     2,228,435     

Softs

     235,029     
  

 

 

 

Total unrealized appreciation on open futures contracts

         17,800,660     
  

 

 

 

Liabilities

  

Futures Contracts

  

Currencies

     (422,616)    

Energy

     (1,793,341)    

Grains

     (49,385)    

Indices

     (2,112,603)    

Interest Rates U.S.

     (621,336)    

Interest Rates Non-U.S.

     (6,130,491)    

Livestock

     (691,695)    

Metals

     (217,015)    

Softs

     (372,801)    
  

 

 

 

Total unrealized depreciation on open futures contracts

     (12,411,283)    
  

 

 

 

Net unrealized appreciation on open futures contracts

    $ 5,389,377  
  

 

 

 

Assets

  

Forward Contracts

  

Currencies

    $ 3,394,312     

Metals

     1,854,557     
  

 

 

 

Total unrealized appreciation on open forward contracts

     5,248,869     
  

 

 

 

Liabilities

  

Forward Contracts

  

Currencies

     (4,880,125)    

Metals

     (637,978)    
  

 

 

 

Total unrealized depreciation on open forward contracts

     (5,518,103)    
  

 

 

 

Net unrealized depreciation on open forward contracts

    $ (269,234 ) ** 
  

 

 

 

 

*

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

**

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

 

19


Table of Contents

Managed Futures Premier Abingdon L.P.

Notes to Financial Statements

(Unaudited)

 

The following table indicates the Master’s total trading gains and losses, by market sector, on derivative instruments for the three and six months ended June 30, 2016 and 2015.

 

                                                                                                   
     Three Months Ended
June 30,
    Six Months Ended
June 30,
 
     2016     2015     2016     2015  
Sector         

Currencies

     $ 11,775,135          $ (15,988,636)         $ 7,326,396          $ 4,023,509     

Energy

     (8,127,874)         (13,347,908)         (1,815,490)         (12,199,271)    

Grains

     (1,900,206)         (4,676,952)         (1,939,135)         (6,563,808)    

Indices

     (8,019,293)         (9,362,567)         (14,797,985)         9,834,648     

Interest Rates U.S.

     8,199,514          (3,327,426)         15,164,334          9,862,738     

Interest Rates Non-U.S.

     14,164,170          (18,301,771)         50,451,143          (5,176,533)    

Livestock

     714,435          1,869          1,186,790          784,304     

Metals

     966,051          292,589          (15,401,208)         (5,619,732)    

Softs

     (721,848)         808,263          (619,672)         4,395,400     
  

 

 

   

 

 

   

 

 

   

 

 

 

Total

     $ 17,050,084   ***      $ (63,902,539)  ***      $ 39,555,173   ***      $ (658,745)  *** 
  

 

 

   

 

 

   

 

 

   

 

 

 

 

***

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

 

20


Table of Contents

Managed Futures Premier Abingdon L.P.

Notes to Financial Statements

(Unaudited)

 

5. Fair Value Measurements:

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

The fair value of exchange-traded futures 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 input the spot prices, interest rates, and option implied volatilities quoted as of approximately 3:00 P.M. (E.T.) on the last business day of the reporting period. U.S. Treasury bills are valued at the last available bid price received from independent pricing services as of the close of the last business day of the reporting period.

The Master considers prices for exchange-traded commodity futures and forward contracts to be based on unadjusted quoted prices in active markets for identical assets and liabilities (Level 1). The values of U.S. Treasury bills and non-exchange-traded forward 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 June 30, 2016 and December 31, 2015 and for the periods ended June 30, 2016 and 2015, the Master did not hold any derivative instruments that were priced at fair value using unobservable inputs through the application of the General 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.

 

                                                                                                                           

June 30, 2016        

   Total      Level 1      Level 2      Level 3  

Assets

           

U.S. Treasury bills

     $ 456,892,688           $ -               $ 456,892,688           $ -         

Futures

     44,201,887           44,201,887           -               -         

Forwards

     10,179,649           1,189,365           8,990,284           -         
  

 

 

    

 

 

    

 

 

    

 

 

 

Total assets

     $ 511,274,224           $ 45,391,252           $ 465,882,972           $ -         
  

 

 

    

 

 

    

 

 

    

 

 

 

Liabilities

           

Futures

     $ 4,518,114           $ 4,518,114           $ -               $ -         

Forwards

     6,074,596           2,211,717           3,862,879           -         
  

 

 

    

 

 

    

 

 

    

 

 

 

Total liabilities

     $ 10,592,710           $ 6,729,831           $ 3,862,879           $ -         
  

 

 

    

 

 

    

 

 

    

 

 

 

December 31, 2015        

   Total      Level 1      Level 2      Level 3  

Assets

           

U.S. Treasury bills

     $ 472,950,344           $ -               $ 472,950,344           $ -         

Futures

     17,800,660           17,800,660           -               -         

Forwards

     5,248,869           1,854,557           3,394,312           -         
  

 

 

    

 

 

    

 

 

    

 

 

 

Total assets

     $ 495,999,873           $ 19,655,217           $ 476,344,656           $ -         
  

 

 

    

 

 

    

 

 

    

 

 

 

Liabilities

           

Futures

     $ 12,411,283           $ 12,411,283           $ -               $ -         

Forwards

     5,518,103           637,978           4,880,125           -         
  

 

 

    

 

 

    

 

 

    

 

 

 

Total liabilities

     $ 17,929,386           $ 13,049,261           $ 4,880,125           $ -         
  

 

 

    

 

 

    

 

 

    

 

 

 

 

21


Table of Contents

Managed Futures Premier Abingdon L.P.

Notes to Financial Statements

(Unaudited)

 

6. Financial Instrument Risks:

In the normal course of business, the Partnership, through its investment in the Master, is party to financial instruments with off-balance sheet risk, including derivative financial instruments and derivative commodity instruments. These financial instruments may include futures, forwards, options and swaps, whose values are based upon an underlying asset, index, or reference rate, and generally represent future commitments to exchange currencies or cash balances, or to purchase or sell other financial instruments at specific terms at specified future dates, or, in the case of derivative commodity instruments, to have a reasonable possibility to be settled in cash, through physical delivery or with another financial instrument. These instruments may be traded on an exchange, a swap execution facility or over-the-counter (“OTC”). Exchange-traded instruments include futures and certain standardized forward, option and swap contracts. Certain swap contracts may also be traded on a swap execution facility or OTC. OTC contracts are negotiated between contracting parties and also include certain forward and option contracts. Specific market movements of commodities or futures contracts underlying an option cannot accurately be predicted. The purchaser of an option may lose the entire premium paid for the option. The writer or seller of an option has unlimited risk. Each of these instruments is subject to various risks similar to those relating to the underlying financial instrument, including market and credit risk. In general, the risks associated with OTC contracts are greater than those associated with exchange-traded instruments because of the greater risk of default by the counterparty to an OTC contract. The General Partner estimates that, at any given time, approximately 21.2% to 30.3% of the Master’s contracts are traded OTC.

Futures Contracts. The Master trades futures contracts. A futures contract is a firm commitment to buy or sell a specified quantity of investments, currency or a standardized amount of a deliverable grade commodity, at a specified price on a specified future date, unless the contract is closed before the delivery date or if the delivery quantity is something where physical delivery cannot occur (such as the S&P 500 Index), whereby such contract is settled in cash. Payments (“variation margin”) may be made or received by the Master each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the Master. When the contract is closed, the Master records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and its value at the time it was closed. Transactions in futures contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the futures broker, directly with the exchange on which the contracts are traded. Net realized gains (losses) and net change in unrealized gains (losses) on futures contracts are included in the Master’s Statements of Income and Expenses and Changes in Partners’ Capital.

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

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

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

 

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Managed Futures Premier Abingdon L.P.

Notes to Financial Statements

(Unaudited)

 

Market risk is the potential for changes in the value of the financial instruments traded by the Master due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity or security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. The Master is exposed to 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/Master’s risk of loss in the event of a counterparty default is typically limited to the amounts recognized in the Statements of Financial Condition and is not represented by the contract or notional amounts of the instruments. The Partnership’s/Master’s risk of loss is reduced through the use of legally enforceable master netting agreements with counterparties that permit the Partnership/Master to offset unrealized gains and losses and other assets and liabilities with such counterparties upon the occurrence of certain events. The Partnership/Master has credit risk and concentration risk, as MS&Co. or an MS&Co. affiliate is the sole counterparty or broker with respect to the Partnership’s/Master’s assets. Credit risk with respect to exchange-traded instruments is reduced to the extent that, through MS&Co. or an MS&Co. affiliate, the Partnership’s/Master’s counterparty is an exchange or clearing organization.

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

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

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

7. Subsequent Events:

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

 

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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. The Partnership’s only assets are its investment in the Master and cash. The Master does not engage in sales of goods or services. The Master’s only assets are its cash at bank and equity in trading account, consisting of cash at MS&Co., cash margin, net unrealized appreciation on open futures contracts, net unrealized appreciation on open forward contracts and investment in U.S. Treasury bills at fair value, if applicable. Because of the low margin deposits normally required in commodity trading, relatively small price movements may result in substantial losses to the Partnership, through its investment in the Master. While substantial losses could lead to a material decrease in liquidity, no such illiquidity occurred in the second quarter of 2016.

The Partnership’s capital consists of capital contributions, as increased or decreased by income (loss) from its investment in the Master, expenses, interest income, subscriptions, redemptions of Redeemable Units and distributions of profits, if any.

For the six months ended June 30, 2016, Partnership capital increased 9.2% from $225,699,151 to $246,405,745. This increase was attributable to subscriptions for 14,895.3090 Redeemable Units of Class A totaling $20,580,043, subscriptions for 39.8320 Redeemable Units of Class Z totaling $50,906 and net income of $10,620,316. This increase was partially offset by redemptions of 7,561.5880 Redeemable Units of Class A totaling $10,544,671.

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

For the six months ended June 30, 2016, the Master’s capital decreased 4.3% from $603,041,370 to $577,089,176. This decrease was attributable to redemptions of 22,493.2888 units totaling $86,405,119 and distributions of interest income to feeder funds totaling $124,675. This decrease was partially offset by subscriptions of 5,388.7258 units totaling $20,730,949 and net income of $39,846,651. Future redemptions can impact the amount of funds available for investment in commodity contract positions in subsequent periods.

Critical Accounting Policies

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

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

 

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Results of Operations

During the Partnership’s second quarter of 2016, the net asset value per Redeemable Unit for Class A increased 1.9% from $1,385.52 to $1,411.78, as compared to a decrease of 10.3% in the second quarter of 2015. During the Partnership’s second quarter of 2016, the net asset value per Redeemable Unit for Class D increased 2.2% from $1,306.72 to $1,335.66, as compared to a decrease of 10.0% in the second quarter of 2015. During the Partnership’s second quarter of 2016, the net asset value per Redeemable Unit for Class Z increased 2.4% from $1,328.94 to $1,360.92, as compared to a decrease of 9.8% in the second quarter of 2015. The Partnership, through its investment in the Master, experienced a net trading gain before fees and expenses in the second quarter of 2016 of $7,457,598. Gains were primarily attributable to the Master’s trading of commodity futures in currencies, U.S and non-U.S. interest rates, livestock and metals, and were partially offset by losses in energy, grains, indices and softs. The Partnership, through its investment in the Master, experienced a net trading loss before fees and expenses in the second quarter of 2015 of $22,075,298. Losses were primarily attributable to the Master’s trading of commodity futures in currencies, energy, grains, indices and U.S. and non-U.S. interest rates, and were partially offset by gains in livestock, metals and softs.

The most significant gains were achieved within the global interest rate markets during June from long positions in European and U.S. fixed income futures as prices advanced as uncertainty surrounding the economic and political fallout surrounding the U.K.’s vote increased demand for the relative “safety” of government debt. Within the currency sector, gains were recorded during June from long positions in the Japanese yen versus the U.S. dollar as the relative value of the Asian currency rallied amid increased investor demand for “safe-haven” assets. Additional currency gains were experienced during June from positions in the Brazilian real and British pound. Gains within the metals markets were achieved during June from long positions gold and silver futures as prices moved higher amid the economic turmoil caused by the U.K. referendum. A portion of the Partnership’s gains for the quarter were offset by losses incurred within the energy markets during April from short positions in crude oil and its related products as prices surged as data from the Energy Information Agency showed U.S. crude oil production continued to decline. Additional losses were recorded during June from short positions in natural gas futures. Losses were experienced within the global stock index sector during June from long positions in U.S., European, and Asian equity index futures as prices fell amid uncertainty surrounding the economic situation in Europe. Additional losses within this sector were recorded during April from short positions in U.S., European, and European equity index futures as prices rallied early in the month amid signs of optimism about the global economy. Within the agricultural markets, losses were recorded during April from short positions in corn and soybean futures as prices advanced as severe drought conditions in Brazil threatened grain harvests.

During the Partnership’s six months ended June 30, 2016, the net asset value per Redeemable Unit for Class A increased 4.5% from $1,351.03 to $1,411.78, as compared to a decrease of 4.3% in the six months ended June 30, 2015. During the Partnership’s six months ended June 30, 2016, the net asset value per Redeemable Unit for Class D increased 5.2% from $1,270.21 to $1,335.66, as compared to a decrease of 3.7% in the six months ended June 30, 2015. During the Partnership’s six months ended June 30, 2016, the net asset value per Redeemable Unit for Class Z increased 5.5% from $1,289.37 to $1,360.92, as compared to a decrease of 3.3% in the six months ended June 30, 2015. The Partnership, through its investment in the Master, experienced a net trading gain before fees and expenses in the six months ended June 30, 2016 of $16,034,461. Gains were primarily attributable to the Master’s trading of commodity futures in currencies, U.S and non-U.S. interest rates and livestock, and were partially offset by losses in energy, grains, indices, metals and softs. The Partnership, through its investment in the Master, experienced a net trading loss before fees and expenses in the six months ended June 30, 2015 of $1,781,858. Losses were primarily attributable to the Master’s trading of commodity futures in energy, grains, non-U.S. interest rates and metals, and were partially offset by gains in currencies, indices, U.S. interest rates, livestock and softs.

The most significant gains were achieved within the global interest rate markets during January and February from long positions in European and U.S. fixed income futures as prices advanced after weakness in Chinese economic data revived concern about the stability of the global economy. Additional gains were experienced during June from long positions in European and U.S. fixed income futures amid increased demand for stable assets as global risk assets roiled surrounding the U.K. Referendum vote. Within the currency sector, gains were recorded during June from long positions in the Japanese yen versus the U.S. dollar as the relative value of the Asian currency rallied amid increased investor demand for “safe-haven” assets. Gains within the currency markets were also experienced during April from long positions in the Japanese yen versus the U.S. dollar as the relative value of the dollar slid lower on the release of weaker-than-expected economic figures in the U.S. A portion of the Partnership’s gains during the first six months of the year was offset by losses incurred within the global stock index sector during March from short positions in Asian and European equity index futures as rising commodity prices buoyed global stocks. Losses within the global stock index markets were also recorded during June from positions in U.S and European equity index futures. Within the metals complex, losses were experienced during January and February from short positions in gold and silver futures as prices advanced after a weakening U.S. dollar reignited demand for the precious metals. Additional losses were incurred within the energy markets during March and April from short positions in crude oil and its related products as prices surged as U.S. oil rig counts continued to decline. Within the agricultural sector, losses were recorded during March and April from short positions in corn, wheat, and soybean futures as adverse weather conditions in South America threatened Brazilian and Argentinian grain harvests.

 

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

Interest income on 80% of the average daily equity maintained in cash in the Partnership’s (or the Partnership’s allocable portion of the Master’s) brokerage account during each month is earned at the monthly average of the 4-week U.S. Treasury bill discount rate. Any interest earned on the Partnership’s and the Master’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/or money market mutual fund securities will be retained by the Partnership and/or the Master, as applicable. Interest income allocated from the Master for the three and six months ended June 30, 2016 increased by $130,241 and $260,189, respectively, as compared to the corresponding periods 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 and six months ended June 30, 2016, as compared to the corresponding periods 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 (or the Partnership’s allocable portion of the Master’s) account, (2) the amount of U.S. Treasury bills and/or money market mutual fund securities purchased by the Partnership and/or the Master, and (3) interest rates over which the Partnership, the Master and MS&Co. have no control.

Ongoing selling agent fees are calculated as a percentage of the Partnership’s adjusted net asset value per Class as of the end of each month and are affected by trading performance, subscriptions and redemptions. Accordingly, they must be analyzed in relation to the fluctuations in the monthly net asset values. Ongoing selling agent fees for the three and six months ended June 30, 2016 increased by $58,204 and $120,764, respectively, as compared to the corresponding periods in 2015. The increase in ongoing selling agent fees is due to higher average net assets per Class during the three and six months ended June 30, 2016, as compared to the corresponding periods in 2015.

Management fees are calculated as a percentage of the Partnership’s adjusted net asset value per Class as of the end of each month and are affected by trading performance, subscriptions and redemptions. Accordingly, they must be analyzed in relation to the fluctuations in the monthly net asset values. Management fees for the three and six months ended June 30, 2016 increased by $44,022 and $101,963, respectively, as compared to the corresponding periods in 2015. The increase in management fees is due to higher average net assets per Class during the three and six months ended June 30, 2016, as compared to the corresponding periods in 2015.

General Partner fees are paid to the General Partner for administering the business and affairs of the Partnership including, among other things, (i) selecting, appointing and terminating the Partnership’s commodity trading advisor and (ii) monitoring the activities of the commodity trading advisor. These fees are calculated as a percentage of the adjusted net asset value per Class as of the end of each month and are affected by trading performance, subscriptions and redemptions. Accordingly, they must be analyzed in relation to the fluctuations in the monthly net asset values. General Partner fees for the three and six months ended June 30, 2016 increased by $29,349 and $67,974, respectively, as compared to the corresponding periods in 2015. The increase in General Partner fees is due to higher average net assets per Class during the three and six months ended June 30, 2016, as compared to the corresponding periods in 2015.

Incentive fees paid by the Partnership are based on the new trading profits generated by the Advisor at the end of the quarter, as defined in the management agreement among the Partnership, the General Partner and the Advisor. Incentive fees borne by the Partnership for the three and six months ended June 30, 2016 were $0. Incentive fees for the three and six months ended June 30, 2015 were $0 and $3,535,100, respectively. The Advisor will not be paid incentive fees until the Advisor recovers the net loss incurred and earns additional new trading profits for the Partnership.

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

 

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

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

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

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

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

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

Value at Risk tables represent a probabilistic assessment of the risk of loss in market sensitive instruments. The following tables indicate the trading Value at Risk associated with the Master’s open positions by market category as of June 30, 2016 and December 31, 2015, and the highest, lowest and average values during the three months ended June 30, 2016 and for the twelve months ended December 31, 2015. All open position trading risk exposures of the Master have been included in calculating the figures set forth below. There has been no material change in the trading Value at Risk information previously disclosed in the Partnership’s Annual Report on Form 10-K for the year ended December 31, 2015.

As of June 30, 2016, the Master’s total capitalization was $577,089,176 and the Partnership owned approximately 42.9% of the Master. The Partnership invests substantially all of its assets in the Master. The Master’s Value at Risk as of June 30, 2016 was as follows:

June 30, 2016

 

Market Sector

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

Currencies

   $ 22,899,975           3.97       $     27,918,295           $     22,212,213           $     24,224,155     

Energy

     1,453,279           0.25          4,416,149           1,148,413           1,947,054     

Grains

     2,285,587           0.40          2,876,320           2,129,164           2,252,025     

Indices

     10,799,248           1.87          19,527,015           10,596,963           16,091,465     

Interest Rates U.S.

     7,572,324           1.31          8,583,709           5,946,740           7,037,362     

Interest Rates Non-U.S.

     10,901,716           1.89          10,920,379           7,710,628           9,196,768     

Livestock

     636,570           0.11          938,273           623,700           638,220     

Metals

     5,656,569           0.98          6,065,349           2,614,164           4,667,008     

Softs

     $ 1,482,922           0.26          1,486,358           1,119,642           1,316,999     
  

 

 

    

 

 

         

Total

     $     63,688,190           11.04   %         
  

 

 

    

 

 

         

* Average of month-end Values at Risk.

 

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As of December 31, 2015, the Master’s total capitalization was $603,041,370 and the Partnership owned approximately 38.9% of the Master. The Partnership invests substantially all of its assets in the Master. The Master’s Value at Risk as of December 31, 2015 was as follows:

December 31, 2015

 

Market Sector

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

 

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Item 4. Controls and Procedures

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

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

The General Partner’s President and CFO have evaluated the effectiveness of the Partnership’s disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the Exchange Act) as of June 30, 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 financial reporting process during the fiscal quarter ended June 30, 2016 that materially affected, or are reasonably likely to materially affect, the Partnership’s internal control over financial reporting.

 

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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, MS&Co. annually prepares an Audited, Consolidated Statement of Financial Condition (“Audited Financial Statement”) that is publicly available on Morgan Stanley’s website at www.morganstanley.com. We refer you to the Commitments, Guarantees and Contingencies – Legal section of MS&Co.’s 2015 Audited Financial Statement.

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.

 

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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. On July 20, 2016, MS&Co. filed a demurrer.

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. The matters were resolved on June 28, 2016 without any findings of fraud.

 

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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 June 25, 2016, the current unpaid balance of the mortgage pass-through certificates at issue in this action was approximately $44 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 $44 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 June 25, 2016, the current unpaid balance of the mortgage pass-through certificates at issue in these cases was approximately $55 million, and the certificates had incurred actual losses of approximately $2 million. Based on currently available information, MS&Co. believes it could incur a loss for this action up to the difference between the $55 million unpaid balance of these certificates (plus any losses incurred) and their fair

 

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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 June 25, 2016, the current unpaid balance of the mortgage pass-through certificates at issue in this action was approximately $49 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 $49 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 June 25, 2016, the current unpaid balance of the mortgage pass-through certificates at issue in this action was approximately $53 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 $53 million unpaid balance of these

 

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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 June 25, 2016, the current unpaid balance of the mortgage pass-through certificates at issue in this action was approximately $258 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 $258 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 June 25, 2016, the current unpaid balance of the mortgage pass-through certificates at issue in this action was approximately $26 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 $26 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.

 

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On March 15, 2010, the Federal Home Loan Bank of San Francisco filed a complaint against MS&Co. and other defendants in the Superior Court of the State of California styled Federal Home Loan Bank of San Francisco v. Credit Suisse Securities (USA) LLC, et al. An amended complaint filed on June 10, 2010 alleged that defendants made untrue statements and material omissions in connection with the sale to plaintiff of a number of mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The amount of certificates allegedly sold to plaintiff by MS&Co. was approximately $704 million. The complaint raised claims under both the federal securities laws and California law and sought, among other things, to rescind the plaintiff’s purchase of such certificates. On January 26, 2015, as a result of a settlement with certain other defendants, the plaintiff requested and the court subsequently entered a dismissal with prejudice of certain of the plaintiff’s claims, including all remaining claims against MS&Co.

On July 9, 2010 and February 11, 2011, Cambridge Place Investment Management Inc. filed two separate complaints against MS&Co. and/or its affiliates and other defendants in the Superior Court of the Commonwealth of Massachusetts, both styled Cambridge Place Investment Management Inc. v. Morgan Stanley & Co., Inc., et al. The complaints asserted claims on behalf of certain clients of 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.

 

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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.

 

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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.

 

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Item 1A. Risk Factors.

There have been no material changes to the risk factors set forth under Part I, Item 1A. “Risk Factors” in the Partnership’s Annual Report on Form 10-K for the fiscal year ended December 31, 2015 and under Part II, Item 1A. “Risk Factors” in the Partnership’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2016.

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

For the three months ended June 30, 2016, there were subscriptions for 8,728.0420 Redeemable Units of Class A totaling $11,859,586 and 39.8320 Redeemable Units of Class Z totaling $50,906. The Redeemable Units were issued in reliance upon applicable exemptions from registration under Section 4(a)(2) of the Securities Act of 1933, as amended, and Section 506 of Regulation D promulgated thereunder. The Redeemable Units were purchased by accredited investors as defined in Regulation D. In determining the applicability of the exemption, the General Partner relied on the fact that the Redeemable Units were purchased by accredited investors in a private offering.

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

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

 

Period   

Class A (a)

Total

Number of

Redeemable

Units

Purchased*

   

Class A (b)

Average

Price Paid

per

Redeemable Unit**

   

(c) Total  

Number of  

Redeemable  

Units  

Purchased  

as Part of  

Publicly  

Announced  

Plans or  

Programs  

   

(d) Maximum

Number (or

Approximate

Dollar Value)

of

Redeemable

Units that

May Yet Be

Purchased

Under the

Plans or

Programs

 

April 1, 2016 - April 30, 2016

     2,055.6930      $ 1,350.47        N/A        N/A   

May 1, 2016 - May 31, 2016

     809.6910      $ 1,314.23        N/A        N/A   

June 1, 2016 - June 30, 2016

     354.8490      $ 1,411.78        N/A        N/A   
       3,220.2330      $         1,348.11                   

 

*

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

 

**

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

Item 3. Defaults Upon Senior Securities – None.

Item 4. Mine Safety Disclosures – Not applicable.

Item 5. Other Information – None.

 

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Item 6. Exhibits

  3.1

 

(a)

  

Certificate of Limited Partnership of the Partnership as filed in the office of the Secretary of State of the State of New York, dated November 1, 2005 (filed as Exhibit 3.1 to the General Form for Registration of Securities on Form 10-12G filed on April 30, 2008 and incorporated herein by reference).

 

(b)

  

Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated September 19, 2008 (filed as Exhibit 3.1(b) to the Quarterly Report on Form 10-Q filed on November 16, 2009 and incorporated herein by reference).

 

(c)

  

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

 

(d)

  

Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated June 29, 2010 (filed as Exhibit 3.1(d) to the Current Report on Form 8-K filed on July 2, 2010 and incorporated herein by reference).

 

(e)

  

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

 

(f)

  

Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated November 27, 2012 (filed as Exhibit 3.1 to the Current Report on Form 8-K filed on December 5, 2012 and incorporated herein by reference).

 

(g)

  

Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated August 7, 2013 (filed as Exhibit 3.1(f) to the Quarterly Report on Form 10-Q filed on August 14, 2013 and incorporated herein by reference).

  3.2

 

(a)

  

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

 

(b)

  

Amendment No. 1 to the Fourth Amended and Restated Limited Partnership Agreement of the Partnership, dated December 30, 2015 (filed as Exhibit 3.1 to the Current Report on Form 8-K filed on January 6, 2016 and incorporated herein by reference).

10.1

 

(a)

  

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

 

(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).

10.2

    

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

10.3

 

(a)

  

Agency Agreement among the Partnership, the General Partner and Citigroup Global Markets Inc., effective February 1, 2007 (filed as Exhibit 10.3 to the General Form for Registration of Securities on Form 10-12G filed on April 30, 2008 and incorporated herein by reference).

 

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(b)

  

Amended and Restated Alternative Investment Selling Agent Agreement among the Partnership, the General Partner and Morgan Stanley Smith Barley LLC (doing business as Morgan Stanley Wealth Management), dated 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).

10.4

    

Selling Agreement among the Partnership, the General Partner, CGM and Credit Suisse Securities (USA) LLC, dated September 30, 2008 (filed as Exhibit 10.4 to the Quarterly Report on Form 10-Q filed on November 14, 2011 and incorporated herein by reference).

10.5

    

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

10.6

    

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

10.7

 

(a)

  

Subscription Escrow Agreement among The Bank of New York, the General Partner and Morgan Stanley & Co. Incorporated, dated July 25, 2007 (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 the Escrow Agreement among The Bank of New York, the General Partner and Morgan Stanley Smith Barney LLC, dated October 4, 2012 (filed as Exhibit 10.8(b) to the Annual Report on Form 10-K filed on March 27, 2013 and incorporated herein by reference).

10.8

    

Amended and Restated Master Services Agreement by and among the Partnership, the General Partner and the Administrator, effective March 31, 2015 (filed as Exhibit 10.1 to the Current Report on Form 8-K filed on August 6, 2015 and incorporated herein by reference).

31.1 —

  

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

31.2 —

  

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

32.1 —

  

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

32.2 —

  

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

 

101.INS

 

XBRL Instance Document.

101.SCH

 

XBRL Taxonomy Extension Schema Document.

101.CAL

 

XBRL Taxonomy Extension Calculation Linkbase Document.

101.LAB

 

XBRL Taxonomy Extension Label Linkbase Document.

101.PRE

 

XBRL Taxonomy Extension Presentation Linkbase Document.

101.DEF

 

XBRL Taxonomy Extension Definition Linkbase Document.

 

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SIGNATURES

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

 

MANAGED FUTURES PREMIER ABINGDON L.P.

By:

 

Ceres Managed Futures LLC

(General Partner)

By:

 

/s/ Patrick T. Egan

 

Patrick T. Egan

President and Director

Date:

  August 11, 2016

By:

 

/s/ Steven Ross

 

Steven Ross

Chief Financial Officer and Director

(Principal Accounting Officer)

Date:

  August 11, 2016

 

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