Exhibit 99.1

To the Limited Partners of

CMF Aspect Master Fund L.P.

To the best of the knowledge and belief of the undersigned, the information contained herein is accurate and complete.

 

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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Partners of CMF Aspect Master Fund L.P.:

We have audited the accompanying statements of financial condition of CMF Aspect Master Fund L.P. (the “Partnership”), including the condensed schedules of investments, as of December 31, 2016 and 2015, and the related statements of income and expenses and changes in partners’ capital for each of the three years in the period ended December 31, 2016. These financial statements are the responsibility of the Partnership’s management. Our responsibility is to express an opinion on these financial statements based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. The Partnership is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Partnership’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, such financial statements present fairly, in all material respects, the financial position of CMF Aspect Master Fund L.P. as of December 31, 2016 and 2015, and the results of its operations and changes in its partners’ capital for each of the three years in the period ended December 31, 2016, in conformity with accounting principles generally accepted in the United States of America.

/s/ Deloitte & Touche LLP

New York, New York

March 24, 2017

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CMF Aspect Master Fund L.P.

Statements of Financial Condition

December 31, 2016 and 2015

 

		December 31, 2016				December 31, 2015
Assets:
Equity in trading account:
Investment in U.S. Treasury bills, at fair value (amortized cost $4,996,756 and $40,497,621 at December 31, 2016 and 2015, respectively)		$	4,998,896			$	40,493,444
Cash at MS&Co. (Note 3c)			39,226,305				17,827,848
Cash margin (Note 3c)			8,940,434				10,615,154
Net unrealized appreciation on open futures contracts			701,431				-
Net unrealized appreciation on open forward contracts			-				50,358
Total equity in trading account			53,867,066				68,986,804
Cash at bank (Note 1)			217				-
Total assets		$	53,867,283			$	68,986,804
Liabilities and Partners’ Capital:
Liabilities:
Net unrealized depreciation on open futures contracts		$	-			$	489,708
Net unrealized depreciation on open forward contracts			198,103				-
Accrued expenses:
Professional fees			39,812				31,519
Total liabilities			237,915				521,227
Partners’ Capital:
General Partner, 0.0000 Redeemable Units outstanding at December 31, 2016 and 2015			-				-
Limited Partners, 18,427.8586 and 22,063.2507 Redeemable Units outstanding at December 31, 2016 and 2015, respectively			53,629,368				68,465,577
Total partners’ capital (net asset value)			53,629,368				68,465,577
Total liabilities and partners’ capital		$	53,867,283			$	68,986,804
Net asset value per Redeemable Unit		$	2,910.23			$	3,103.15

 

See accompanying notes to financial statements.

 

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CMF Aspect Master Fund L.P.

Condensed Schedule of Investments

December 31, 2016

 

		Notional ($)/ Number of Contracts				Fair Value				% of Partners’ Capital
Futures Contracts Purchased
Currencies			1			$	(2,355)				(0.00)	%**
Energy			93				122,921				0.23
Grains			151				(123,600)				(0.23)
Indices			527				299,635				0.56
Interest Rates Non-U.S.			248				146,775				0.27
Interest Rates U.S.			1				1,063				0.00	**
Livestock			20				4,825				0.01
Metals			44				(144,738)				(0.27)
Softs			49				43,323				0.08
Total futures contracts purchased							347,849				0.65
Futures Contracts Sold
Currencies			14				8,388				0.02
Energy			20				(28,060)				(0.05)
Grains			216				76,681				0.14
Indices			208				6,126				0.01
Interest Rates Non-U.S.			1519				114,231				0.21
Interest Rates U.S.			141				(22,445)				(0.04)
Metals			48				78,810				0.15
Softs			132				119,851				0.22
Total futures contracts sold							353,582				0.66
Net unrealized appreciation on open futures contracts						$	701,431				1.31	%
Unrealized Appreciation on Open Forward Contracts
Currencies		$	73,110,010			$	1,059,242				1.98	%
Metals			38				138,928				0.25
Total unrealized appreciation on open forward contracts							1,198,170				2.23
Unrealized Depreciation on Open Forward Contracts
Currencies		$	56,326,138				(847,656)				(1.58)
Metals			97				(548,617)				(1.02)
Total unrealized depreciation on open forward contracts							(1,396,273)				(2.60)
Net unrealized depreciation on open forward contracts						$	(198,103)				(0.37)	%
U.S. Government Securities

 

Face Amount		Maturity Date		Description		Fair Value				% of Partners’   Capital
$5,000,000		1/19/2017		U.S. Treasury bills, 0.365%* (Amortized cost of $4,996,756)		$	4,998,896				9.32	%

* Liquid non-cash held as collateral.

** Due to rounding.

 

See accompanying notes to financial statements.

 

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CMF Aspect Master Fund L.P.

Condensed Schedule of Investments

December 31, 2015

 

		Notional ($)/ Number of Contracts				Fair Value				% of Partners’ Capital
Futures Contracts Purchased
Energy			31			$	(6,314)				(0.01)	%
Grains			53				(5,580)				(0.01)
Indices			187				(23,764)				(0.03)
Interest Rates Non-U.S.			1,016				(544,798)				(0.80)
Interest Rates U.S.			33				(33,469)				(0.05)
Softs			144				(62,028)				(0.09)
Total futures contracts purchased							(675,953)				(0.99)
Futures Contracts Sold
Currencies			18				11,035				0.02
Energy			487				59,343				0.09
Grains			426				305,258				0.45
Indices			154				(36,797)				(0.05)
Interest Rates Non-U.S.			442				99				0.00	**
Interest Rates U.S.			80				11,156				0.02
Livestock			82				(124,060)				(0.20)
Metals			116				(14,733)				(0.02)
Softs			36				(25,056)				(0.04)
Total futures contracts sold							186,245				0.27
Net unrealized depreciation on open futures contracts						$	(489,708)				(0.72)	%
Unrealized Appreciation on Open Forward Contracts
Currencies		$	86,637,220			$	1,110,816				1.63	%
Metals			122				167,604				0.24
Total unrealized appreciation on open forward contracts							1,278,420				1.87
Unrealized Depreciation on Open Forward Contracts
Currencies		$	53,242,690				(656,401)				(0.96)
Metals			288				(571,661)				(0.83)
Total unrealized depreciation on open forward contracts							(1,228,062)				(1.79)
Net unrealized appreciation on open forward contracts						$	50,358				0.08	%
U.S. Government Securities

 

Face Amount		Maturity Date		Description		Fair Value				% of Partners’   Capital
$40,500,000		3/3/2016		U.S. Treasury bills, 0.015%* (Amortized cost of $40,497,621)		$	40,493,444				59.14	%

* Liquid non-cash held as collateral.

** Due to rounding.

 

See accompanying notes to financial statements.

 

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CMF Aspect Master Fund L.P.

Statements of Income and Expenses

For the Years Ended December 31, 2016, 2015 and 2014

 

		2016				2015				2014
Investment Income:
Interest income		$	114,406			$	3,194			$	11,786
Expenses:
Clearing fees (Note 3c)			115,371				133,024				172,018
Professional fees			73,742				95,992				136,256
Total expenses			189,113				229,016				308,274
Net investment loss			(74,707)				(225,822)				(296,488)
Trading Results:
Net gains (losses) on trading of commodity interests:
Net realized gains (losses) on closed contracts			(4,039,906)				14,296,984				18,733,853
Net change in unrealized gains (losses) on open contracts			945,236				(5,839,162)				1,064,926
Total trading results			(3,094,670)				8,457,822				19,798,779
Net income (loss)		$	(3,169,377)			$	8,232,000			$	19,502,291
Net income (loss) per Redeemable Unit (Note 7)*		$	(190.85)			$	348.02			$	738.20
Weighted average Redeemable Units outstanding			19,005.5340				24,517.1700				36,977.9779

 

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

 

See accompanying notes to financial statements.

 

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CMF Aspect Master Fund L.P.

Statements of Changes in Partners’ Capital

For the Years Ended December 31, 2016, 2015 and 2014

 

		Partners’ Capital
Partners’ Capital, December 31, 2013		$	102,310,549
Net income (loss)			19,502,291
Subscriptions of 5,135.2740 Redeemable Units			11,158,228
Redemptions of 27,402.8799 Redeemable Units			(54,588,614)
Distribution of interest income to feeder funds			(11,786)
Partners’ Capital, December 31, 2014			78,370,668
Net income (loss)			8,232,000
Subscriptions of 2,967.4439 Redeemable Units			8,646,271
Redemptions of 9,346.5035 Redeemable Units			(26,776,307)
Distribution of interest income to feeder funds			(7,055)
Partners’ Capital, December 31, 2015			68,465,577
Net income (loss)			(3,169,377)
Subscriptions of 5,759.5745 Redeemable Units			17,781,496
Redemptions of 9,394.9666 Redeemable Units			(29,408,969)
Distribution of interest income to feeder funds			(39,359)
Partners’ Capital, December 31, 2016		$	53,629,368

Net asset value per Redeemable Unit:

2014:		$	2,755.43
2015:		$	3,103.15
2016:		$	2,910.23

 

See accompanying notes to financial statements.

 

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CMF Aspect Master Fund L.P.

Notes to Financial Statements

 

1.	Organization:

CMF Aspect Master Fund L.P. (the “Master”) is a limited partnership organized under the partnership laws of the State of New York to engage 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, metals, and softs. The commodity interests that are traded by 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 Master’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 Master may sell an unlimited number of redeemable units of limited partnership interest (“Redeemable Units”). The Redeemable Units of the Master are used solely for accounting purposes and do not represent units issued legally.

Ceres Managed Futures LLC, a Delaware limited liability company, acts as the general partner (the “General Partner”) and commodity pool operator of the Master. At December 31, 2016, the General Partner was a wholly-owned subsidiary of Morgan Stanley Smith Barney Holdings LLC (“MSSB Holdings”). MSSB Holdings was 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. All trading decisions for the Master are made by the Advisor (defined below).

On March 1, 2005 (commencement of trading operations), Diversified 2000 Futures Fund L.P. (“Diversified 2000”), Global Diversified Futures Fund L.P. (“Global Diversified”) and Tactical Diversified Futures Fund L.P. (“Tactical Diversified”) each allocated a portion of their capital to the Master. Diversified 2000 purchased 43,434.9465 Redeemable Units with cash equal to $40,490,895, and a contribution of open commodity futures and forward contracts with a fair value of $2,944,052. Global Diversified purchased 16,015.3206 Redeemable Units with cash equal to $14,955,106 and a contribution of open commodity futures and forward contracts with a fair value of $1,060,214. Tactical Diversified purchased 131,340.8450 Redeemable Units with cash equal to $122,786,448 and a contribution of open commodity futures and forward contracts with a fair value of $8,554,397. On July 1, 2005, Institutional Futures Portfolio L.P. (“Institutional Portfolio”) purchased 6,469.5213 Redeemable Units with cash equal to $7,000,000. On March 1, 2007, Global Futures Fund Ltd. (“Global Futures”) purchased 2,015.3949 Redeemable Units with cash equal to $2,500,000. On June 1, 2013, Morgan Stanley Managed Futures Custom Solutions Fund LP — Series A (“Custom Solutions”) allocated a portion of its capital to the Master and purchased 487.1564 Redeemable Units with cash equal to $1,000,000. The Master was formed to permit commodity pools managed by Aspect Capital Limited (the “Advisor”) using the Diversified Program, the Advisor’s proprietary, systematic trading program, to invest together in one trading vehicle.

During the periods covered by this report, the Master’s commodity broker was Morgan Stanley & Co. LLC (“MS&Co.”), a registered futures commission merchant. The Master also deposits a portion of its cash in a non-trading account at JPMorgan Chase Bank, N.A.

At December 31, 2016, the Master operated under a structure where its investors consisted of Institutional Portfolio, Diversified 2000, Global Diversified, Tactical Diversified, Global Futures and Custom Solutions (each a “Feeder,” collectively, the “Funds”). Institutional Portfolio, Diversified 2000, Global Diversified, Tactical Diversified, Global Futures and Custom Solutions owned approximately 12.4%, 13.9%, 11.2%, 44.7%, 10.7% and 7.1% of the Master at December 31, 2016, respectively. Institutional Portfolio, Diversified 2000, Global Diversified, Tactical Diversified, Global Futures and Custom Solutions owned approximately 8.9%, 13.5%, 10.5%, 55.3%, 6.9% and 4.9% of the Master at December 31, 2015, respectively.

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CMF Aspect Master Fund L.P.

Notes to Financial Statements

 

The Master will be liquidated upon the first to occur of the following: December 31, 2024; or under certain other circumstances as set forth in the limited partnership agreement of the Master (the “Limited Partnership Agreement”).

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 Master.

 

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

 

a.

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.

 

b.

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

 

c.

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 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 Statements of Financial Condition. Net realized gains or losses and net change in unrealized gains or losses are included in the Statements of Income and Expenses.

 

Master’s Cash. The Master’s cash includes cash denominated in foreign currencies of $(637,401) (proceeds of $634,933) and $438,318 (cost of $443,344) at December 31, 2016 and 2015, respectively.

 

d.

Income and Expenses Recognition. All of the income and expenses and realized and unrealized gains and losses on trading of commodity interests are determined on each valuation day and allocated pro rata among the Funds at the time of such determination.

 

e.

Income Taxes. Income taxes have not been listed as each partner is individually liable for the taxes, if any, on its share of the Master’s income and expenses. The General Partner concluded that no provision for income tax is required in the Master’s financial statements. The Master files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The 2013 through 2016 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.

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CMF Aspect Master Fund L.P.

Notes to Financial Statements

 

f.

Investment Company Status. Effective January 1, 2014, the Master 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 Master has been deemed to be an investment company since inception. Accordingly, the Master 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.

 

g.

Net Income (Loss) per Redeemable Unit. Net income (loss) per Redeemable Unit is calculated in accordance with Accounting Standards Codification (“ASC”) 946 “Financial Services – Investment Companies.” See Note 7, “Financial Highlights.”

 

h.

Fair Value of Financial Instruments. The carrying value of the Master’s assets and liabilities presented in the Statements of Financial Condition that qualify as financial instruments under the Financial Accounting Standards Board (“FASB”) ASC 825, “Financial Instruments,” approximates the fair value due to the short term nature of such balances.

 

i.

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 Master’s financial statements and related disclosures.

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CMF Aspect Master Fund L.P.

Notes to Financial Statements

 

3.	Agreements:

 

a.

Limited Partnership Agreement:

 

The General Partner administers the business and affairs of the Master, including selecting one or more advisors to make trading decisions for the Master.

 

b.

Management Agreement:

 

The General Partner, on behalf of the Master, has entered into a management agreement (the “Management Agreement”) with the Advisor, a registered commodity trading advisor. The Advisor is not affiliated with the General Partner or MS&Co. and is not responsible for the organization or operation of the Master. The Management Agreement provides that the Advisor has sole discretion in determining the investment of the assets of the Master. All management fees in connection with the Management Agreement are borne by the Funds. The Management Agreement may be terminated upon notice by either party.

 

c.

Customer Agreement:

 

The Master has entered into a customer agreement with MS&Co. (the “Customer Agreement”) and a foreign exchange brokerage account agreement with MS&Co.

 

Under the Customer Agreement and the foreign exchange brokerage account agreement, the Master pays MS&Co. trading fees for the clearing and, where applicable, the execution of transactions. Further, all trading, exchange, clearing, user, give-up, floor brokerage and National Futures Association fees (collectively, the “clearing fees”) are borne by the Master and allocated to the Funds. All other fees are borne by the Funds. All of the Master’s assets available for trading in commodity interests are deposited in the Master’s brokerage account at MS&Co. The Master’s cash deposited with MS&Co. is held in segregated bank accounts to the extent required by Commodity Futures Trading Commission regulations. At December 31, 2016 and 2015, the amount of cash held by the Master for margin requirements was $8,940,434 and $10,615,154, respectively. The Customer Agreement may generally be terminated upon notice by either party.

 

4.	Trading Activities:

The Master was formed for the purpose of trading contracts in a variety of commodity interests, including derivative financial instruments and derivative commodity interests. The results of the Master’s trading activities are shown in the Statements of Income and Expenses.

The Customer Agreement gives 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 in the Statements of Financial Condition, as the criteria under ASC 210-20, “Balance Sheet,” have been met.

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CMF Aspect Master Fund L.P.

Notes to Financial Statements

 

All of the commodity interests owned by the Master are held for trading purposes. The monthly average number of futures contracts traded during the years ended December 31, 2016 and 2015 were 2,888 and 3,725, respectively. The monthly average number of metals forward contracts traded during the years ended December 31, 2016 and 2015 were 371 and 581, respectively. The monthly average notional values of currency forward contracts traded during the years ended December 31, 2016 and 2015 were $185,377,242 and $214,525,918, respectively.

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 agreements or similar arrangements as of December 31, 2016 and 2015, respectively.

 

						Gross Amounts				Net Amounts				Gross Amounts Not Offset in the
						Offset in the				Presented in the				Statements of Financial Condition
						Statements of				Statements of								Cash Collateral
		Gross Amounts				Financial				Financial				Financial				Received/
December 31, 2016		Recognized				Condition				Condition				Instruments				Pledged *				Net Amount
Assets
Futures		$	1,449,819			$	(748,388)			$	701,431			$	-			$	-			$	701,431
Forwards			1,198,170				(1,198,170)				-				-				-				-
Total assets		$	2,647,989			$	(1,946,558)			$	701,431			$	-			$	-			$	701,431
Liabilities
Futures		$	(748,388)			$	748,388			$	-			$	-			$	-			$	-
Forwards			(1,396,273)				1,198,170				(198,103)				-				-				(198,103)
Total liabilities		$	(2,144,661)			$	1,946,558			$	(198,103)			$	-			$	-			$	(198,103)
Net fair value																						$	503,328	*
						Gross Amounts				Net Amounts				Gross Amounts Not Offset in the
						Offset in the				Presented in the				Statements of Financial Condition
						Statements of				Statements of								Cash Collateral
		Gross Amounts				Financial				Financial				Financial				Received/
December 31, 2015		Recognized				Condition				Condition				Instruments				Pledged *				Net Amount
Assets
Futures		$	1,342,898			$	(1,342,898)			$	-			$	-			$	-			$	-
Forwards			1,278,420				(1,228,062)				50,358				-				-				50,358
Total assets		$	2,621,318			$	(2,570,960)			$	50,358			$	-			$	-			$	50,358
Liabilities
Futures		$	(1,832,606)			$	1,342,898			$	(489,708)			$	-			$	-			$	(489,708)
Forwards			(1,228,062)				1,228,062				-				-				-				-
Total liabilities		$	(3,060,668)			$	2,570,960			$	(489,708)			$	-			$	-			$	(489,708)
Net fair value																						$	(439,350)	*

 

*

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 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.

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CMF Aspect Master Fund L.P.

Notes to Financial Statements

 

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

 

Assets		December 31, 2016
Futures Contracts
Currencies		$	9,839
Energy			136,180
Grains			104,209
Indices			460,014
Interest Rates Non-U.S.			377,722
Interest Rates U.S.			27,532
Livestock			8,130
Metals			104,220
Softs			221,973
Total unrealized appreciation on open futures contracts			1,449,819
Liabilities
Futures Contracts
Currencies			(3,806)
Energy			(41,319)
Grains			(151,128)
Indices			(154,253)
Interest Rates Non-U.S.			(116,716)
Interest Rates U.S.			(48,914)
Livestock			(3,305)
Metals			(170,148)
Softs			(58,799)
Total unrealized depreciation on open futures contracts			(748,388)
Net unrealized appreciation on open futures contracts		$	701,431	*
Assets
Forward Contracts
Currencies		$	1,059,242
Metals			138,928
Total unrealized appreciation on open forward contracts			1,198,170
Liabilities
Forward Contracts
Currencies			(847,656)
Metals			(548,617)
Total unrealized depreciation on open forward contracts			(1,396,273)
Net unrealized depreciation on open forward contracts		$	(198,103)	**

 

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

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

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CMF Aspect Master Fund L.P.

Notes to Financial Statements

 

 

Assets		December 31, 2015
Futures Contracts
Currencies		$	16,270
Energy			571,902
Grains			312,047
Indices			114,478
Interest Rates Non-U.S.			221,908
Interest Rates U.S.			13,360
Livestock			2,530
Metals			53,888
Softs			36,515
Total unrealized appreciation on open futures contracts			1,342,898
Liabilities
Futures Contracts
Currencies			(5,235)
Energy			(518,874)
Grains			(12,369)
Indices			(175,039)
Interest Rates Non-U.S.			(766,609)
Interest Rates U.S.			(35,672)
Livestock			(126,590)
Metals			(68,620)
Softs			(123,598)
Total unrealized depreciation on open futures contracts			(1,832,606)
Net unrealized depreciation on open futures contracts		$	(489,708)	*
Assets
Forward Contracts
Currencies		$	1,110,816
Metals			167,604
Total unrealized appreciation on open forward contracts			1,278,420
Liabilities
Forward Contracts
Currencies			(656,401)
Metals			(571,661)
Total unrealized depreciation on open forward contracts			(1,228,062)
Net unrealized appreciation on open forward contracts		$	50,358	**

 

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

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

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CMF Aspect Master Fund L.P.

Notes to Financial Statements

 

The following table indicates the trading gains and losses, by market sector, on derivative instruments for the years ended December 31, 2016, 2015 and 2014.

 

Sector		2016				2015				2014
Currencies		$	(1,409,821)			$	(740,075)			$	2,275,269
Energy			(968,201)				7,225,439				10,434,901
Grains			111,237				(608,465)				300,806
Indices			69,783				87,872				(1,336,223)
Interest Rates Non-U.S.			1,865,139				(8,282)				9,318,356
Interest Rates U.S.			(203,008)				(504,403)				(289,854)
Livestock			(283,540)				25,865				1,124,375
Metals			(1,446,209)				4,171,850				(2,044,455)
Softs			(830,050)				(1,191,979)				15,604
Total		$	(3,094,670)	***		$	8,457,822	***		$	19,798,779	***

 

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

 

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 falls in its entirety shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety.

The fair value of exchange-traded futures, option and forward contracts is determined by the various exchanges, and reflects the settlement price for each contract as of the close of business on the last business day of the reporting period. The fair value of foreign currency forward contracts is extrapolated on a forward basis from the spot prices quoted as of approximately 3:00 P.M. (E.T.) on the last business day of the reporting period from various exchanges. The fair value of non-exchange-traded foreign currency option contracts is calculated by applying an industry standard model application for options valuation of foreign currency options, using as input the spot prices, interest rates, and option implied volatilities quoted as of approximately 3:00 P.M. (E.T.) on the last business day of the reporting period. U.S. Treasury bills are valued at the last available bid price received from independent pricing services as of the close of the last business day of the reporting period.

The Master considers prices for exchange-traded commodity futures, forward, swap and option contracts to be based on unadjusted quoted prices in active markets for identical assets and liabilities (Level 1). The values of U.S. Treasury bills, non-exchange-traded forward, swap and certain option contracts for which market quotations are not readily available are priced by broker quotes or pricing services that derive fair values for those assets and liabilities from observable inputs (Level 2). As of and for the years ended December 31, 2016 and 2015, the Master did not hold any derivative instruments that were priced at fair value using unobservable inputs through the application of the General Partner’s assumptions and internal valuation pricing models (Level 3). Transfers between levels are recognized at the end of the reporting period. For the years ended December 31, 2016 and 2015, there were no transfers of assets or liabilities between Level 1 and Level 2.

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CMF Aspect Master Fund L.P.

Notes to Financial Statements

 

 

December 31, 2016		Total				Level 1				Level 2				Level 3
Assets
Futures		$	1,449,819			$	1,449,819			$	-			$	-
Forwards			1,198,170				138,928				1,059,242				-
U.S. Treasury bills			4,998,896				-				4,998,896				-
Total assets		$	7,646,885			$	1,588,747			$	6,058,138			$	-
Liabilities
Futures		$	748,388			$	748,388			$	-			$	-
Forwards			1,396,273				548,617				847,656				-
Total liabilities		$	2,144,661			$	1,297,005			$	847,656			$	-
December 31, 2015		Total				Level 1				Level 2				Level 3
Assets
Futures		$	1,342,898			$	1,342,898			$	-			$	-
Forwards			1,278,420				167,604				1,110,816				-
U.S. Treasury bills			40,493,444				-				40,493,444				-
Total assets		$	43,114,762			$	1,510,502			$	41,604,260			$	-
Liabilities
Futures		$	1,832,606			$	1,832,606			$	-			$	-
Forwards			1,228,062				571,661				656,401				-
Total liabilities		$	3,060,668			$	2,404,267			$	656,401			$	-

 

6.	Subscriptions, Distributions and Redemptions:

Subscriptions are accepted monthly from investors who become limited partners on the first day of the month after their subscriptions are processed. Distributions are made on a pro-rata basis at the sole discretion of the General Partner. No distributions have been made to date. The General Partner does not intend to make any distributions of the Master’s profits, except for distribution of interest income to feeder funds, as applicable. Generally, a limited partner withdraws 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 for redemption 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 elects to redeem and informs the Master. However, a limited partner may request a withdrawal as of the end of any day if such request is received by the General Partner at least three days in advance of the proposed withdrawal day.

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CMF Aspect Master Fund L.P.

Notes to Financial Statements

 

 

7.	Financial Highlights:

Financial highlights for the limited partner class as a whole for the years ended December 31, 2016, 2015 and 2014 were as follows:

 

		2016				2015				2014
Per Redeemable Unit Performance (for a unit outstanding throughout the year):*
Net realized and unrealized gains (losses)		$	(186.92)			$	357.21			$	747.18
Net investment loss			(3.93)				(9.19)				(8.98)
Increase (decrease) for the year			(190.85)				348.02				738.20
Distribution of interest income to feeder funds			(2.07)				(0.30)				(0.33)
Net asset value per Redeemable Unit, beginning of year			3,103.15				2,755.43				2,017.56
Net asset value per Redeemable Unit, end of year		$	2,910.23			$	3,103.15			$	2,755.43
		2016				2015				2014
Ratios to Average Limited Partners’ Capital:
Net investment loss**			(0.1)	%			(0.3)	%			(0.4)	%
Operating expenses			0.3	%			0.3	%			0.4	%
Total return			(6.2)	%			12.6	%			36.6	%

 

*

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 year. 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.

 

**	Interest income less total expenses.

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

 

8.	Financial Instrument Risks:

In the normal course of business, the Master is party to financial instruments with off-balance sheet risk, including derivative financial instruments and derivative commodity instruments. These financial instruments may include forwards, futures, options and swaps whose values are based upon an underlying asset, index, or reference rate, and generally represent future commitments to exchange currencies or cash balances, 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, swap and option 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. Each of these instruments is subject to various risks similar to those related to the underlying financial instruments, including market and credit risk. In general, the risks associated with OTC contracts are greater than those associated with exchange-traded instruments because of the greater risk of default by the counterparty to an OTC contract. The General Partner estimates that at any given time approximately 27.3% to 57.9% of the Master’s contracts are traded OTC.

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CMF Aspect Master Fund L.P.

Notes to Financial Statements

 

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

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 Statements of Financial Condition. Net realized gains (losses) and net change in unrealized gains (losses) on foreign currency contracts are recognized in the period in which the contract is closed or the changes occur, respectively, and are included in the Statements of Income and Expenses.

The Master does not isolate that 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 Statements of Income and Expenses.

London Metals Exchange Forward Contracts. Metal contracts traded on the London Metals Exchange (“LME”) represent a firm commitment to buy or sell a specified quantity of aluminum, copper, lead, nickel, tin or zinc. LME contracts traded by the Master are cash settled based on prompt dates published by the LME. 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 the value at the time it was closed. Transactions in LME contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the broker, directly with the LME. Net realized gains (losses) and net change in unrealized gains (losses) on metal contracts are included in the Statements of Income and Expenses.

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 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 Master’s risk of loss is reduced through the use of legally enforceable master netting agreements with counterparties that permit the Master to offset unrealized gains and losses and other assets and liabilities with such counterparties upon the occurrence of certain events. The 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 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 Master’s counterparty is an exchange or clearing organization.

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CMF Aspect Master Fund L.P.

Notes to Financial Statements

 

The General Partner monitors and attempts to control the 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 Master may be subject. These monitoring systems generally allow the General Partner to statistically analyze actual trading results with risk-adjusted performance indicators and correlation statistics. In addition, online monitoring systems provide account analysis of futures, forward and option contracts by sector, margin requirements, gain and loss transactions and collateral positions.

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

 

9.	Subsequent Events:

As of January 1, 2017, the General Partner became a wholly-owned subsidiary of Morgan Stanley Domestic Holdings, Inc. (“MSD Holdings”). Prior to January 1, 2017, the General Partner was a wholly-owned subsidiary of MSSB Holdings. MSD Holdings is ultimately owned by Morgan Stanley.

Effective February 27, 2017, Custom Solutions changed its name from Morgan Stanley Managed Futures Custom Solutions Fund LP - Series A to Managed Futures Custom Solutions Fund LP - Series A.

The General Partner has evaluated the subsequent events through the date the financial statements are issued and has determined that there were no additional subsequent events requiring adjustment to or disclosure in the financial statements.