CERES ORION L.P. - FORM 10-Q

Attached files

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EX-32.2 - EXHIBIT 32.2 - CERES ORION L.P.	d671660dex322.htm
EX-32.1 - EXHIBIT 32.1 - CERES ORION L.P.	d671660dex321.htm
EX-31.2 - EXHIBIT 31.2 - CERES ORION L.P.	d671660dex312.htm
EX-31.1 - EXHIBIT 31.1 - CERES ORION L.P.	d671660dex311.htm

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 10-Q

(X) QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d)

OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended June 30, 2018

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

OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from to

Commission File Number 0-50271

CERES ORION L.P.

(Exact name of registrant as specified in its charter)

New York

22-3644546

(State or other jurisdiction of

incorporation or organization)

(I.R.S. Employer

Identification No.)

c/o Ceres Managed Futures LLC

522 Fifth Avenue

New York, New York 10036

(Address of principal executive offices) (Zip Code)

(855) 672-4468

(Registrant’s telephone number, including area code)

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

Yes X No

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

Yes X No

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


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

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.

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, 2018, 250,765.4118 Limited Partnership Class A Redeemable Units were outstanding and 4,079.8432 Limited Partnership Class Z Redeemable Units were outstanding.

PART I. FINANCIAL INFORMATION

Item 1. Financial Statements.

Ceres Orion L.P.

Statements of Financial Condition


	June 30, 2018 (Unaudited)		December 31, 2017
Assets:
Investment in the Funds ⁽¹⁾, at fair value	$	664,079,441	$	656,495,374
Redemptions receivable from the Funds		5,439,961		12,837,759

Equity in trading account:
Unrestricted cash		53,160,232		100,615,185
Restricted cash		18,187,276		42,619,216
Net unrealized appreciation on open futures contracts		256,132		5,004,060
Net unrealized appreciation on open forward contracts		1,576,060		873,274

Total equity in trading account		73,179,700		149,111,735

Cash at bank		-		436
Interest receivable		87,613		139,020

Total assets	$	742,786,715	$	818,584,324

Liabilities and Partners’ Capital:
Liabilities:
Accrued expenses:
Ongoing selling agent fees	$	2,277,512	$	2,622,825
Management fees		606,771		699,501
General Partner fees		462,582		509,718
Professional fees		377,723		412,503
Redemptions payable to Limited Partners		9,829,668		15,806,850

Total liabilities		13,554,256		20,051,397

Partners’ Capital:
General Partner, Class Z, 7,429.6743 and 8,552.3863 Redeemable Units outstanding at June 30, 2018 and December 31, 2017, respectively		8,237,690		9,602,692
Limited Partners, Class A, 253,919.5838 and 272,051.1558 Redeemable Units outstanding at June 30, 2018 and December 31, 2017, respectively		716,504,695		785,537,773
Limited Partners, Class Z, 4,049.6522 and 3,021.4072 Redeemable Units outstanding at June 30, 2018 and December 31, 2017, respectively		4,490,074		3,392,462

Total partners’ capital (net asset value)		729,232,459		798,532,927

Total liabilities and partners’ capital	$	742,786,715	$	818,584,324

Net asset value per Redeemable Unit:
Class A	$	2,821.78	$	2,887.46

Class Z	$	1,108.76	$	1,122.81

⁽¹⁾ Defined in Note 1.

See accompanying notes to financial statements.

Ceres Orion L.P.

Condensed Schedule of Investments

June 30, 2018

(Unaudited)


	Notional($)/ Number of Contracts		Fair Value		% of Partners’ Capital
Futures Contracts Purchased
Energy		348	$	547,830		0.07	%
Grains		169		(91,353)		(0.01)
Indices		688		(604,800)		(0.08)
Interest Rates U.S.		734		(35,078)		(0.00)	*
Interest Rates Non-U.S.		2,548		665,681		0.09
Metals		6		(36,630)		(0.01)
Softs		90		(226,520)		(0.03)

Total futures contracts purchased				219,130		0.03

Futures Contracts Sold
Grains		694		537,171		0.07
Indices		801		(303,637)		(0.04)
Interest Rates U.S.		358		(53,188)		(0.01)
Interest Rates Non-U.S.		2,264		(278,855)		(0.03)
Livestock		63		(94,182)		(0.01)
Metals		102		136,740		0.02
Softs		87		92,953		0.01

Total futures contracts sold				37,002		0.01

Net unrealized appreciation on open futures contracts			$	256,132		0.04	%


Unrealized Appreciation on Open Forward Contracts
Currencies	$	231,293,920	$	3,357,270		0.46	%
Metals		401		1,717,126		0.24

Total unrealized appreciation on open forward contracts				5,074,396		0.70

Unrealized Depreciation on Open Forward Contracts
Currencies	$	140,229,957		(1,221,490)		(0.17)
Metals		556		(2,276,846)		(0.31)

Total unrealized depreciation on open forward contracts				(3,498,336)		(0.48)

Net unrealized appreciation on open forward contracts			$	1,576,060		0.22	%


Investment in the Funds
CMF Winton Master L.P.			$	163,560,958		22.43	%
CMF TT II, LLC				161,814,921		22.19
CMF Willowbridge Master Fund L.P.				198,468,424		27.22
CMF FORT Contrarian Master Fund LLC				140,235,138		19.23

Total investment in the Funds			$	664,079,441		91.07	%

*	Due to rounding.

See accompanying notes to financial statements.

Ceres Orion L.P.

Condensed Schedule of Investments

December 31, 2017


	Notional($)/ Number of Contracts		Fair Value		% of Partners’ Capital
Futures Contracts Purchased
Energy		842	$	3,926,924		0.49	%
Grains		40		(7,380)		(0.00)	*
Indices		2,560		248,920		0.03
Interest Rates U.S.		2,389		(673,740)		(0.08)
Interest Rates Non-U.S.		2,820		(1,016,225)		(0.13)
Metals		135		664,797		0.08
Softs		185		459,870		0.06

Total futures contracts purchased				3,603,166		0.45

Futures Contracts Sold
Energy		659		(203,923)		(0.03)
Grains		1,662		607,241		0.08
Indices		1,980		990,738		0.12
Interest Rates U.S.		194		(12,188)		(0.00)	*
Interest Rates Non-U.S.		3,696		335,531		0.04
Livestock		19		(27,290)		(0.00)	*
Metals		93		(262,045)		(0.03)
Softs		304		(27,170)		(0.00)	*

Total futures contracts sold				1,400,894		0.18

Net unrealized appreciation on open futures contracts			$	5,004,060		0.63	%


Unrealized Appreciation on Open Forward Contracts
Currencies	$	504,572,117	$	8,187,150		1.03	%
Metals		873		3,586,972		0.45

Total unrealized appreciation on open forward contracts				11,774,122		1.48

Unrealized Depreciation on Open Forward Contracts
Currencies	$	547,763,469		(7,330,639)		(0.92)
Metals		818		(3,570,209)		(0.45)

Total unrealized depreciation on open forward contracts				(10,900,848)		(1.37)

Net unrealized appreciation on open forward contracts			$	873,274		0.11	%


Investment in the Funds
CMF Winton Master L.P.			$	186,666,465		23.38	%
CMF TT II, LLC				201,709,447		25.26
CMF Willowbridge Master Fund L.P.				268,119,462		33.58

Total investment in the Funds			$	656,495,374		82.22	%

*	Due to rounding.

See accompanying notes to financial statements.

Ceres Orion L.P.

Statements of Income and Expenses

(Unaudited)


	Three Months Ended June 30,				Six Months Ended June 30,
	2018		2017		2018		2017
Investment Income:
Interest income	$	327,610	$	349,068	$	740,497	$	597,987
Interest income allocated from the Funds		2,422,699		1,249,357		4,610,200		2,168,848

Total investment income		2,750,309		1,598,425		5,350,697		2,766,835

Expenses:
Expenses allocated from the Funds		1,227,753		1,215,443		2,745,294		2,514,849
Clearing fees related to direct investments		94,644		240,385		215,479		442,339
Ongoing selling agent fees		3,689,567		3,686,935		7,791,042		7,328,449
Management fees		1,822,392		2,325,769		3,845,484		4,784,671
General Partner fees		1,395,395		1,709,983		2,863,302		3,549,834
Professional fees		374,686		441,534		767,219		903,735

Total expenses		8,604,437		9,620,049		18,227,820		19,523,877

Net investment loss		(5,854,128)		(8,021,624)		(12,877,123)		(16,757,042)

Trading Results:
Net gains (losses) on trading of commodity interests and investment in the Funds:
Net realized gains (losses) on closed contracts		(2,489,576)		4,270,829		(6,292,828)		9,213,388
Net realized gains (losses) on closed contracts allocated from the Funds		12,510,258		(21,348,935)		2,906,979		(18,108,588)
Net change in unrealized gains (losses) on open contracts		764,883		(11,654,855)		(3,885,964)		(13,016,861)
Net change in unrealized gains (losses) on open contracts allocated from the Funds		7,389,408		(5,973,626)		1,947,410		(16,426,240)

Total trading results		18,174,973		(34,706,587)		(5,324,403)		(38,338,301)

Net income (loss)	$	12,320,845	$	(42,728,211)	$	(18,201,526)	$	(55,095,343)

Net income (loss) per Redeemable Unit*:
Class A	$	46.15	$	(136.03)	$	(65.68)	$	(173.43)

Class Z	$	23.63	$	(47.71)	$	(14.05)	$	(57.75)

Weighted average Redeemable Units outstanding:
Class A		260,312.4265		311,835.2838		265,542.5908		319,308.0796

Class Z		11,358.3275		12,717.9102		11,257.7648		12,620.9963

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

See accompanying notes to financial statements.

Ceres Orion L.P.

Statements of Changes in Partners’ Capital

For the Six Months Ended June 30, 2018 and 2017

(Unaudited)


	Class A				Class Z				Total
	Amount		Redeemable Units		Amount		Redeemable Units		Amount		Redeemable Units
Partners’ Capital, December 31, 2017	$	785,537,773		272,051.1558	$	12,995,154		11,573.7935	$	798,532,927		283,624.9493
Subscriptions - Limited Partners		21,345,723		7,562.8080		1,175,000		1,061.9520		22,520,723		8,624.7600
Redemptions - General Partner		-		-		(1,300,011)		(1,122.7120)		(1,300,011)		(1,122.7120)
Redemptions - Limited Partners		(72,282,585)		(25,694.3800)		(37,069)		(33.7070)		(72,319,654)		(25,728.0870)
Net income (loss)		(18,096,216)		-		(105,310)		-		(18,201,526)		-

Partners’ Capital, June 30, 2018	$	716,504,695		253,919.5838	$	12,727,764		11,479.3265	$	729,232,459		265,398.9103


Partners’ Capital, December 31, 2016	$	983,754,958		329,826.9338	$	14,158,793		12,420.2125	$	997,913,751		342,247.1463
Subscriptions - Limited Partners		20,730,112		7,035.5830		421,476		371.7440		21,151,588		7,407.3270
Redemptions - General Partner		-		-		(1,274,988)		(1,178.1120)		(1,274,988)		(1,178.1120)
Redemptions - Limited Partners		(102,650,164)		(35,185.9500)		(116,718)		(106.0540)		(102,766,882)		(35,292.0040)
Net income (loss)		(54,360,913)		-		(734,430)		-		(55,095,343)		-

Partners’ Capital, June 30, 2017	$	847,473,993		301,676.5668	$	12,454,133		11,507.7905	$	859,928,126		313,184.3573

See accompanying notes to financial statements.

Ceres Orion L.P.

Notes to Financial Statements

(Unaudited)

1.	Organization:

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

Ceres Managed Futures LLC, a Delaware limited liability company, acts as the general partner (the “General Partner”) and commodity pool operator of the Partnership and is the trading manager (the “Trading Manager”) of Transtrend Master (as defined below) and FORT Contrarian Master (as defined below). The General Partner is a wholly-owned subsidiary of Morgan Stanley Domestic Holdings, Inc. (“MSD Holdings”). MSD 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.

As of June 30, 2018, all trading decisions are made for the Partnership by Winton Capital Management Limited (“Winton”), Transtrend B.V. (“Transtrend”), Willowbridge Associates Inc. (“Willowbridge”), FORT L.P. (“FORT”) and Systematica Investments Limited (“Systematica”) (each an “Advisor” and, collectively, the “Advisors”), each of which is a registered commodity trading advisor. Each Advisor is allocated a portion of the Partnership’s assets to manage. The Partnership invests the portion of its assets allocated to each of the Advisors either directly, through an individually managed account, or indirectly, through its investment in the Funds. In addition, the General Partner may allocate the Partnership’s assets to additional non-major trading advisors (i.e., commodity trading advisors intended to be allocated less than 10% of the Partnership’s assets). Information about advisors allocated less than 10% of the Partnership’s assets may not be disclosed.

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

During the reporting periods ended June 30, 2018 and 2017, the Partnership’s/Funds’ commodity broker was Morgan Stanley & Co. LLC (“MS&Co.”), a registered futures commission merchant. JPMorgan Chase Bank, N.A. (“JPMorgan”) was also a foreign exchange forward counterparty for certain Funds. During prior periods included in this report, the Partnership/Funds also deposited a portion of their cash in non-trading bank accounts at JPMorgan.

Effective February 28, 2018, the Partnership changed its name from Orion Futures Fund L.P. to Ceres Orion L.P.

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

The Partnership, CMF Winton Master L.P. (“Winton Master”), CMF TT II, LLC (formerly, Morgan Stanley Smith Barney TT II, LLC) (“Transtrend Master”) and CMF Willowbridge Master Fund L.P. (“Willowbridge Master”) have entered into futures brokerage account agreements and foreign exchange brokerage account agreements with MS&Co. CMF FORT Contrarian Master Fund LLC (“FORT Contrarian Master”) has entered into a futures brokerage account agreement with MS&Co. Winton Master, Transtrend Master, Willowbridge Master and FORT Contrarian Master are collectively referred to as the “Funds.” The Partnership, directly and through its investment in the Funds, 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, user, give-up, floor brokerage and National Futures Association fees (collectively, the “clearing fees”).

Ceres Orion L.P.

Notes to Financial Statements

(Unaudited)

Effective July 12, 2017, Winton Master, Transtrend Master and Willowbridge Master each entered into certain agreements with JPMorgan in connection with trading in forward foreign currency contracts on behalf of the referenced Funds and indirectly, the Partnership. These agreements include a foreign exchange and bullion authorization agreement (“FX Agreement”), an International Swap Dealers Association, Inc. master agreement (“Master Agreement”), a schedule to the Master Agreement, a 2016 credit support annex for variation margin to the schedule and an institutional account agreement. In addition to Willowbridge Master, Willowbridge is party to the FX Agreement for Willowbridge Master. Under each FX Agreement, JPMorgan charges a fee on the aggregate foreign currency transactions entered into on behalf of the respective Fund during a month.

The Partnership has entered into a selling agent agreement with Morgan Stanley Wealth Management (as amended, the “Selling Agreement”). Pursuant to the Selling Agreement, the Partnership pays Morgan Stanley Wealth Management a monthly ongoing selling agent fee. The ongoing selling agent fee is $15.00 each for futures transactions and up to an equivalent amount for swaps and $7.50 each per side for options transactions, with respect to Class A Redeemable Units. Class Z Redeemable Units are not subject to an ongoing selling agent fee. The ongoing selling agent fee amount is reduced by applicable floor brokerage fees. The Partnership may pay an ongoing selling agent fee to other properly licensed and/or registered selling agents who sell Redeemable Units, and such additional selling agents may share all or a substantial portion of such fees with their properly registered or exempted financial advisors who have sold Redeemable Units.

As of January 19, 2018, the Partnership entered into an alternative investment placement agent agreement (the “Harbor Selling Agreement”), by and among the Partnership, the General Partner, and Harbor Investment Advisory, LLC, a Maryland limited liability company (“Harbor”). Pursuant to the Harbor Selling Agreement, Harbor has been appointed as a non-exclusive selling agent of the Partnership for the purpose of finding eligible investors for Redeemable Units through offerings that are exempt from registration under the Securities Act of 1933, as amended (the “Securities Act”), pursuant to Section 4(a)(2) thereof and Rule 506 of Regulation D promulgated thereunder and to serve as an investment advisor to its customers investing in one or more of the partnerships party to the Harbor Selling Agreement; provided, that, included within such appointment, Harbor will provide certain services to certain holders of Redeemable Units, who had acquired such Redeemable Units prior to such holders becoming clients of Harbor. The Harbor Selling Agreement continues in effect until September 30, 2018 unless terminated in certain circumstances as set forth in the Harbor Selling Agreement, after which the General Partner or the Partnership may, in its sole discretion, renew the Harbor Selling Agreement for additional one year periods. After September 30, 2018, the Harbor Selling Agreement may be terminated by any party on thirty days’ prior written notice. Pursuant to the Harbor Selling Agreement, the Partnership will pay Harbor an ongoing selling agent fee equal to $15.00 per round turn, swaps by up to an equivalent amount and options transactions by $7.50 each per side, with respect to Class A Redeemable Units held by Harbor clients. In each case, the amount will be reduced by applicable floor brokerage. Harbor may share all or a substantial portion of such fees with its properly registered or exempted financial advisors who sell Class A Redeemable Units.

Effective April 1, 2018, the monthly management fee Willowbridge receives was reduced to 1.25% per year of month-end net assets allocated to Willowbridge.

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

In July 2015, the General Partner delegated certain administrative functions to SS&C Technologies, Inc., a Delaware corporation, currently doing business as SS&C GlobeOp (the “Administrator”). Pursuant to a master services agreement, the Administrator furnishes certain administrative, accounting, regulatory reporting, tax and other services as agreed from time to time. In addition, the Administrator maintains certain books and records of the Partnership. The cost of retaining the Administrator is allocated among the pools operated by the General Partner, including the Partnership.

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, 2018, and the results of its operations for the three and six months ended June 30, 2018 and 2017 and changes in partners’ capital for the six months ended June 30, 2018 and 2017. 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 (the “Form 10-K”) filed with the Securities and Exchange Commission (the “SEC”) for the year ended December 31, 2017. The December 31, 2017 information has been derived from the audited financial statements as of and for the year ended December 31, 2017.

Ceres Orion L.P.

Notes to Financial Statements

(Unaudited)

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.

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, and those differences could be material.

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

Statement of Cash Flows. The Partnership has not provided a Statement of Cash Flows, as permitted by Accounting Standards Codification (“ASC”) 230, “Statement of Cash Flows.” The Statements of Changes in Partners’ Capital is included herein, and as of and for the periods ended June 30, 2018 and 2017, the Partnership carried no debt and all of the Partnership’s and the Funds’ investments were carried at fair value and classified as Level 1 and Level 2 measurements.

Partnership’s Investment in the Funds. The Partnership carries its investment in Winton Master and Willowbridge Master based on the respective Fund’s net asset value per unit as calculated by the Fund. The Partnership carries its investment in Transtrend Master and FORT Contrarian Master based on the Partnership’s (1) net contributions to Transtrend Master and FORT Contrarian Master and (2) its allocated share of the undistributed profits and losses, including realized gains (losses) and net change in unrealized gains (losses), of Transtrend Master and FORT Contrarian Master.

Partnership’s/Funds’ Derivative Investments. All commodity interests held by the Partnership/Funds, including derivative financial instruments and derivative commodity instruments, are held for trading purposes. The commodity interests are recorded on trade date and open contracts are recorded at fair value at the measurement date. Investments in commodity interests denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Gains or losses are realized when contracts are liquidated and are determined using the first-in, first-out method. Unrealized gains or losses on open contracts are included as a component of equity in trading account in the Partnership’s/Funds’ Statements of Financial Condition. Net realized gains or losses and net change in unrealized gains or losses are included in the Partnership’s/Funds’ Statements of Income and Expenses.

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

Partnership’s Cash. The Partnership’s restricted cash is equal to the cash portion of assets on deposit to meet margin requirements, as determined by the exchange or counterparty, and required by MS&Co. At June 30, 2018 and December 31, 2017, the amount of cash held for margin requirements was $18,187,276 and $42,619,216, respectively. Cash that is not classified as restricted cash is therefore classified as unrestricted cash. The Partnership’s restricted and unrestricted cash includes cash denominated in foreign currencies of $743,888 (cost of $675,399) and $(4,275,539) (proceeds of $4,184,850) at June 30, 2018 and December 31, 2017, respectively.

Income Taxes. Income taxes have not been recorded as each partner is individually liable for the taxes, if any, on its share of the Partnership’s income and expenses. The Partnership follows the guidance of ASC 740, “Income Taxes,” which prescribes a recognition threshold and measurement attribute for financial statement recognition and measurement of tax positions taken or expected to be taken in the course of preparing the Partnership’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained “when challenged” or “when examined” by the applicable tax authority. Tax positions determined not to meet the more-likely-than-not threshold would be recorded as a tax benefit or liability in the Partnership’s Statements of Financial Condition for the current year. If a tax position does not meet the minimum statutory threshold to avoid the incurring of penalties, an expense for the amount of the statutory penalty and interest, if applicable, shall be recognized in the Statements of Income and Expenses in the years in which the position is claimed or expected to be claimed. The General Partner has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. The Partnership files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The 2014 through 2017 tax years remain subject to examination by U.S. federal and most state tax authorities.

Ceres Orion L.P.

Notes to Financial Statements

(Unaudited)

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

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

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, 2017.

Ceres Orion 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, 2018 and 2017 were as follows:


	Three Months Ended June 30, 2018						Three Months Ended June 30, 2017						Six Months Ended June 30, 2018						Six Months Ended June 30, 2017
	Class A			Class Z			Class A			Class Z			Class A			Class Z			Class A			Class Z
Per Redeemable Unit Performance (for a unit outstanding throughout the period):*
Net realized and unrealized gains (losses)	$	68.50		$	26.83		$	(110.52)		$	(42.45)		$	(17.51)		$	(6.45)		$	(121.38)		$	(46.64)
Net investment loss		(22.35)			(3.20)			(25.51)			(5.26)			(48.17)			(7.60)			(52.05)			(11.11)

Increase (decrease) for the period		46.15			23.63			(136.03)			(47.71)			(65.68)			(14.05)			(173.43)			(57.75)
Net asset value per Redeemable Unit, beginning of period		2,775.63			1,085.13			2,945.24			1,129.94			2,887.46			1,122.81			2,982.64			1,139.98

Net asset value per Redeemable Unit, end of period	$	2,821.78		$	1,108.76		$	2,809.21		$	1,082.23		$	2,821.78		$	1,108.76		$	2,809.21		$	1,082.23


	Three Months Ended June 30, 2018						Three Months Ended June 30, 2017						Six Months Ended June 30, 2018						Six Months Ended June 30, 2017
	Class A			Class Z			Class A			Class Z			Class A			Class Z			Class A			Class Z
Ratios to Average Limited Partners’
Capital:**
Net investment loss***		(3.2)	%		(1.2)	%		(3.6)	%		(2.0)	%		(3.5)	%		(1.6)	%		(3.6)	%		(2.1)	%


Operating expenses		4.7	%		2.7	%		4.3	%		2.7	%		4.9	%		2.9	%		4.2	%		2.7	%
Incentive fees		-	%		-	%		-	%		-	%		0.0	%****		0.0	%****		0.0	%****		0.0	%****

Total expenses		4.7	%		2.7	%		4.3	%		2.7	%		4.9	%		2.9	%		4.2	%		2.7	%

Total return:
Total return before incentive fees		1.7	%		2.2	%		(4.6)	%		(4.2)	%		(2.3)	%		(1.3)	%		(5.8)	%		(5.1)	%
Incentive fees		-	%		-	%		-	%		-	%		(0.0)	%****		(0.0)	%****		(0.0)	%****		(0.0)	%****

Total return after incentive fees		1.7	%		2.2	%		(4.6)	%		(4.2)	%		(2.3)	%		(1.3)	%		(5.8)	%		(5.1)	%

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

**	Annualized (except for incentive fees).

***	Interest income less total expenses.

****	Due to rounding.

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 Classes using the limited partners’ share of income, expenses and average partners’ capital of the Partnership and include the income and expenses allocated from the Funds.

Ceres Orion L.P.

Notes to Financial Statements

(Unaudited)

4.	Trading Activities:

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

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

All of the commodity interests owned directly by the Partnership are held for trading purposes. All of the commodity interests owned by the Funds are held for trading purposes. The monthly average number of futures contracts traded directly by the Partnership during the three months ended June 30, 2018 and 2017 were 9,493 and 21,131, respectively. The monthly average number of futures contracts traded directly by the Partnership during the six months ended June 30, 2018 and 2017 were 10,913 and 21,043, respectively. The monthly average number of metals forward contracts traded directly by the Partnership during the three months ended June 30, 2018 and 2017 were 711 and 2,450, respectively. The monthly average number of metals forward contracts traded directly by the Partnership during the six months ended June 30, 2018 and 2017 were 1,052 and 2,374, respectively. The monthly average notional value of currency forward contracts traded directly by the Partnership during the three months ended June 30, 2018 and 2017 were $482,539,603 and $1,698,051,921, respectively. The monthly average notional value of currency forward contracts traded directly by the Partnership during the six months ended June 30, 2018 and 2017 were $489,180,730 and $1,663,989,287, respectively.

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

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

Ceres Orion L.P.

Notes to Financial Statements

(Unaudited)

The following tables summarize the gross and net amounts recognized relating to assets and liabilities of the Partnership’s derivatives and their offsetting subject to master netting or similar arrangements as of June 30, 2018 and December 31, 2017, respectively.


				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
June 30, 2018	Gross Amounts Recognized						Amounts Presented in the Statements of Financial Condition		Financial Instruments		Cash Collateral Received/ Pledged*		Net Amount
Assets
Futures	$	2,594,586		$	(2,338,454	)	$	256,132	$	-	$	-	$	256,132
Forwards		5,074,396			(3,498,336	)		1,576,060		-		-		1,576,060

Total assets	$	7,668,982		$	(5,836,790	)	$	1,832,192	$	-	$	-	$	1,832,192

Liabilities
Futures	$	(2,338,454	)	$	2,338,454		$	-	$	-	$	-	$	-
Forwards		(3,498,336	)		3,498,336			-		-		-		-

Total liabilities	$	(5,836,790	)	$	5,836,790		$	-	$	-	$	-	$	-

Net fair value													$	1,832,192	*


	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
December 31, 2017	Gross Amounts Recognized						Amounts Presented in the Statements of Financial Condition		Financial Instruments		Cash Collateral Received/ Pledged*		Net Amount
Assets
Futures	$	9,793,492		$	(4,789,432	)	$	5,004,060	$	-	$	-	$	5,004,060
Forwards		11,774,122			(10,900,848	)		873,274		-		-		873,274

Total assets	$	21,567,614		$	(15,690,280	)	$	5,877,334	$	-	$	-	$	5,877,334

Liabilities
Futures	$	(4,789,432	)	$	4,789,432		$	-	$	-	$	-	$	-
Forwards		(10,900,848	)		10,900,848			-		-		-		-

Total liabilities	$	(15,690,280	)	$	15,690,280		$	-	$	-	$	-	$	-

Net fair value													$	5,877,334	*

In the event of default by the Partnership, MS&Co., the Partnership’s commodity futures brokers and the sole counterparty to the Partnership’s non-exchange-traded contracts, as applicable, has the right to offset the Partnership’s obligation with the Partnership’s cash and/or U.S. Treasury bills held by MS&Co., thereby minimizing MS&Co.’s risk of loss. In certain instances, MS&Co. may not post collateral and as such, in the event of default by MS&Co., the Partnership is exposed to the amount shown in the Statements of Financial Condition. In the case of exchange-traded contracts, the Partnership’s exposure to counterparty risk may be reduced since the exchange’s clearinghouse interposes its credit between buyer and seller and the clearinghouse’s guarantee funds may be available in the event of a default.

Ceres Orion L.P.

Notes to Financial Statements

(Unaudited)

The following tables indicate the gross fair values of derivative instruments of futures and forward contracts held directly by the Partnership as separate assets and liabilities as of June 30, 2018 and December 31, 2017, respectively.


	June 30, 2018
Assets
Futures Contracts
Energy	$	602,251
Grains		582,157
Indices		368,442
Interest Rates U.S.		79,437
Interest Rates Non-U.S.		713,102
Livestock		4,031
Metals		138,403
Softs		106,763

Total unrealized appreciation on open futures contracts		2,594,586


Liabilities
Futures Contracts
Energy		(54,421)
Grains		(136,339)
Indices		(1,276,879)
Interest Rates U.S.		(167,703)
Interest Rates Non-U.S.		(326,276)
Livestock		(98,213)
Metals		(38,293)
Softs		(240,330)

Total unrealized depreciation on open futures contracts		(2,338,454)

Net unrealized appreciation on open futures contracts	$	256,132	*

Assets
Forward Contracts
Currencies	$	3,357,270
Metals		1,717,126

Total unrealized appreciation on open forward contracts		5,074,396


Liabilities
Forward Contracts
Currencies		(1,221,490)
Metals		(2,276,846)

Total unrealized depreciation on open forward contracts		(3,498,336)

Net unrealized appreciation on open forward contracts	$	1,576,060	**

*	This amount is in “Net unrealized appreciation 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.

Ceres Orion L.P.

Notes to Financial Statements

(Unaudited)


	December 31, 2017
Assets
Futures Contracts
Energy	$	4,510,786
Grains		629,298
Indices		2,719,041
Interest Rates U.S.		71,430
Interest Rates Non-U.S.		641,412
Livestock		-
Metals		666,037
Softs		555,488

Total unrealized appreciation on open futures contracts		9,793,492


Liabilities
Futures Contracts
Energy		(787,785)
Grains		(29,437)
Indices		(1,479,383)
Interest Rates U.S.		(757,358)
Interest Rates Non-U.S.		(1,322,106)
Livestock		(27,290)
Metals		(263,285)
Softs		(122,788)

Total unrealized depreciation on open futures contracts		(4,789,432)

Net unrealized appreciation on open futures contracts	$	5,004,060	*

Assets
Forward Contracts
Currencies	$	8,187,150
Metals		3,586,972

Total unrealized appreciation on open forward contracts		11,774,122


Liabilities
Forward Contracts
Currencies		(7,330,639)
Metals		(3,570,209)

Total unrealized depreciation on open forward contracts		(10,900,848)

Net unrealized appreciation on open forward contracts	$	873,274	**

*	This amount is in “Net unrealized appreciation 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.

Ceres Orion L.P.

Notes to Financial Statements

(Unaudited)

The following table indicates the trading gains and losses, by market sector, on derivative instruments traded directly by the Partnership for the three and six months ended June 30, 2018 and 2017, respectively.


	Three Months Ended June 30,						Six Months Ended June 30,
Sector	2018			2017			2018			2017
Currencies	$	(1,155,135)		$	(4,092,545)		$	(2,546,219)		$	(4,762,308)
Energy		3,342,796			(541,770)			3,959,508			(3,817,427)
Grains		(673,407)			(3,695,728)			(2,965,581)			(5,506,234)
Indices		(2,032,706)			3,490,969			(6,085,200)			16,313,804
Interest Rates U.S.		51,045			22,805			(1,885,050)			524,378
Interest Rates Non-U.S.		(710,168)			(1,526,306)			339,315			(4,417,586)
Livestock		(170,217)			552,070			(205,427)			484,840
Metals		(775,353)			(1,400,064)			(1,410,240)			(2,780,752)
Softs		398,452			(193,457)			620,102			157,812

Total	$	(1,724,693)	***	$	(7,384,026)	***	$	(10,178,792)	***	$	(3,803,473)	***

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

5.	Fair Value Measurements:

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

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

The Partnership and the Funds consider prices for commodity futures, 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 pricing services that derive fair values for those assets and liabilities from observable inputs (Level 2). As of June 30, 2018 and December 31, 2017 and for the periods ended June 30, 2018 and 2017, the Partnership and the Funds did not hold any derivative instruments that were priced at fair value using unobservable inputs through the application of the General Partner’s assumptions and internal valuation pricing models (Level 3). Transfers between levels are recognized at the beginning of the reporting period.

Ceres Orion L.P.

Notes to Financial Statements

(Unaudited)


June 30, 2018	Total		Level 1		Level 2		Level 3
Assets
Futures	$	2,594,586	$	2,594,586	$	-	$	-
Forwards		5,074,396		-		5,074,396		-

Total assets	$	7,668,982	$	2,594,586	$	5,074,396	$	-

Liabilities
Futures	$	2,338,454	$	2,338,454	$	-	$	-
Forwards		3,498,336		-		3,498,336		-

Total liabilities	$	5,836,790	$	2,338,454	$	3,498,336	$	-


December 31, 2017*	Total		Level 1		Level 2		Level 3
Assets
Futures	$	9,793,492	$	9,793,492	$	-	$	-
Forwards		11,774,122		-		11,774,122		-

Total assets	$	21,567,614	$	9,793,492	$	11,774,122	$	-

Liabilities
Futures	$	4,789,432	$	4,789,432	$	-	$	-
Forwards		10,900,848		-		10,900,848		-

Total liabilities	$	15,690,280	$	4,789,432	$	10,900,848	$	-

$3,292,660 of assets and $3,786,690 of liabilities were transferred from Level 1 to Level 2 during the year ended December 31, 2017. The General Partner believes that for London Metal Exchange (“LME”) forward contracts, the inputs are derived from an exchange and not actively quoted prices, which is more representative of a Level 2 security.

6.	Investment in the Funds:

On November 1, 2004, the assets allocated to Winton for trading were invested in Winton Master, a limited partnership organized under the partnership laws of the State of New York. Winton Master permits accounts managed by Winton using the Winton Futures Program, a proprietary, systematic trading system, to invest together in one trading vehicle. The General Partner is also the general partner of Winton Master. Individual and pooled accounts currently managed by Winton, including the Partnership, are permitted to be limited partners of Winton Master. The General Partner and Winton believe that trading through this structure promotes efficiency and economy in the trading process. The General Partner and Winton have agreed that Winton will trade the Partnership’s assets allocated to Winton at a level that is up to 1.5 times the amount of assets allocated.

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

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

Ceres Orion L.P.

Notes to Financial Statements

(Unaudited)

On February 1, 2018, the assets allocated to FORT for trading were invested in FORT Contrarian Master, a limited liability company organized under the limited liability company laws of the State of Delaware. FORT Contrarian Master permits accounts managed by FORT using its Global Contrarian Trading Program, a proprietary, systematic trading system, to invest together in one trading vehicle. The General Partner is also the Trading Manager of FORT Contrarian Master. Individual and pooled accounts currently managed by FORT, including the Partnership, are permitted to be members of FORT Contrarian Master. The Trading Manager and FORT believe that trading through this structure promotes efficiency and economy in the trading process. The Trading Manager and FORT have agreed that FORT will trade the Partnership’s assets allocated to FORT at a level that is up to 1.25 times the amount of the assets allocated.

The General Partner is not aware of any material changes to any of the trading programs discussed above during the fiscal quarter ended June 30, 2018.

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

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

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

At June 30, 2018, the Partnership owned approximately 44.5% of Winton Master, 100.0% of Transtrend Master, 88.2% of Willowbridge Master and 84.1% of FORT Contrarian Master. Prior to the close of business on December 31, 2017, the Partnership owned approximately 45.8% of Winton Master, 95.8% of Transtrend Master and 82.5% of Willowbridge Master. It is the Partnership’s intention to continue to invest in the Funds. The performance of the Partnership is directly affected by the performance of the Funds. Expenses to investors as a result of investment in the Funds are approximately the same as they would be if the Partnership traded directly and redemption rights are not affected.

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


	June 30, 2018
	Total Assets		Total Liabilities		Total Capital
Winton Master	$	371,169,513	$	3,958,267	$	367,211,246
Transtrend Master		166,034,298		4,219,376		161,814,922
Willowbridge Master		229,364,163		4,674,220		224,689,943
FORT Contrarian Master		167,232,889		612,283		166,620,606

	December 31, 2017
	Total Assets		Total Liabilities		Total Capital
Winton Master	$	408,725,040	$	11,076,733	$	397,648,307
Transtrend Master		217,045,353		15,335,906		201,709,447
Willowbridge Master		336,101,673		39,096,772		297,004,901

Ceres Orion L.P.

Notes to Financial Statements

(Unaudited)

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


	For the three months ended June 30, 2018
	Net Investment Income (Loss)		Total Trading Results		Net Income (Loss)
Winton Master	$	1,271,544	$	15,346,120	$	16,617,664
Transtrend Master		(70,079)		8,187,929		8,117,850
Willowbridge Master		332,539		1,079,570		1,412,109
FORT Contrarian Master		482,012		4,767,045		5,249,057

	For the six months ended June 30, 2018
	Net Investment Income (Loss)		Total Trading Results		Net Income (Loss)
Winton Master	$	2,368,295	$	3,609,609	$	5,977,904
Transtrend Master		(219,472)		(5,142,034)		(5,361,506)
Willowbridge Master		464,454		7,068,987		7,533,441
FORT Contrarian Master ^(a)		733,246		757,328		1,490,574

	For the three months ended June 30, 2017
	Net Investment Income (Loss)		Total Trading Results		Net Income (Loss)
Winton Master	$	539,856	$	(16,536,338)	$	(15,996,482)
Transtrend Master		(611,087)		(23,814,308)		(24,425,395)
Willowbridge Master		375,645		3,267,721		3,643,366

	For the six months ended June 30, 2017
	Net Investment Income (Loss)		Total Trading Results		Net Income (Loss)
Winton Master	$	930,843	$	(9,105,370)	$	(8,174,527)
Transtrend Master		(1,420,737)		(29,612,392)		(31,033,129)
Willowbridge Master		572,557		(3,370,192)		(2,797,635)

(a) From February 1, 2018, the date the Partnership invested into FORT Contrarian Master, through June 30, 2018.

Ceres Orion L.P.

Notes to Financial Statements

(Unaudited)

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


	June 30, 2018					For the three months ended June 30, 2018
	% of								Expenses								Net
Funds	Partners’ Capital			Fair Value		Income (Loss)			Clearing Fees		Professional Fees		Management Fees		Incentive Fee		Income (Loss)			Investment Objective		Redemptions Permitted

Winton Master		22.43	%	$	163,560,958	$	7,392,371		$	47,359	$	7,504	$	-	$	-	$	7,337,508			Commodity Portfolio		Monthly
Transtrend Master		22.19	%		161,814,921		8,696,244			229,138		-		349,256		-		8,117,850			Commodity Portfolio		Monthly
Willowbridge Master		27.22	%		198,468,424		1,717,678			454,531		16,020		-		-		1,247,127			Commodity Portfolio		Monthly
FORT Contrarian Master		19.23	%		140,235,138		4,516,072			109,740		14,205		-		-		4,392,127			Commodity Portfolio		Monthly

Total				$	664,079,441	$	22,322,365		$	840,768	$	37,729	$	349,256	$	-	$	21,094,612


	June 30, 2018					For the six months ended June 30, 2018
	% of								Expenses								Net
Funds	Partners’ Capital			Fair Value		Income (Loss)			Clearing Fees		Professional Fees		Management Fees		Incentive Fee		Income (Loss)			Investment Objective		Redemptions Permitted

Winton Master		22.43	%	$	163,560,958	$	3,835,447		$	106,237	$	15,183	$	-	$	-	$	3,714,027			Commodity Portfolio		Monthly
Transtrend Master		22.19	%		161,814,921		(4,071,834	)		489,935		194		752,503		47,039		(5,361,505	)		Commodity Portfolio		Monthly
Willowbridge Master		27.22	%		198,468,424		7,966,377			1,093,138		32,298		-		-		6,840,941			Commodity Portfolio		Monthly
FORT Contrarian Master ^(a)		19.23	%		140,235,138		1,734,599			185,209		23,558		-		-		1,525,832			Commodity Portfolio		Monthly

Total				$	664,079,441	$	9,464,589		$	1,874,519	$	71,233	$	752,503	$	47,039	$	6,719,295


	December 31, 2017					For the three months ended June 30, 2017
	% of								Expenses								Net
Funds	Partners’ Capital			Fair Value		Income (Loss)			Clearing Fees		Professional Fees		Management Fees		Incentive Fee		Income (Loss)			Investment Objective		Redemptions Permitted

Winton Master		23.38	%	$	186,666,465	$	(7,049,189	)	$	66,568	$	7,146	$	-	$	-	$	(7,122,903	)		Commodity Portfolio		Monthly
Transtrend Master		25.26	%		201,709,447		(22,252,081	)		399,370		187		510,614		-		(23,162,252	)		Commodity Portfolio		Monthly
Willowbridge Master		33.58	%		268,119,462		3,228,066			217,790		13,768		-		-		2,996,508			Commodity Portfolio		Monthly

Total				$	656,495,374	$	(26,073,204	)	$	683,728	$	21,101	$	510,614	$	-	$	(27,288,647	)


	December 31, 2017					For the six months ended June 30, 2017
	% of								Expenses								Net
Funds	Partners’ Capital			Fair Value		Income (Loss)			Clearing Fees		Professional Fees		Management Fees		Incentive Fee		Income (Loss)			Investment Objective		Redemptions Permitted

Winton Master		23.38	%	$	186,666,465	$	(3,315,793	)	$	135,803	$	14,732	$	-	$	-	$	(3,466,328	)		Commodity Portfolio		Monthly
Transtrend Master		25.26	%		201,709,447		(27,483,871	)		829,157		372		1,070,639		25,157		(29,409,196	)		Commodity Portfolio		Monthly
Willowbridge Master		33.58	%		268,119,462		(1,566,316	)		411,834		27,155		-		-		(2,005,305	)		Commodity Portfolio		Monthly

Total				$	656,495,374	$	(32,365,980	)	$	1,376,794	$	42,259	$	1,070,639	$	25,157	$	(34,880,829	)

(a) From February 1, 2018, the date the Partnership invested into FORT Contrarian Master, through June 30, 2018.

Ceres Orion L.P.

Notes to Financial Statements

(Unaudited)

7.	Financial Instrument Risks:

In the normal course of business, the Partnership and the Funds are parties to financial instruments with off-balance-sheet risk, including derivative financial instruments and derivative commodity instruments. These financial instruments may include forwards, futures, options, and swaps, whose values are based upon an underlying asset, index, or reference rate, and generally represent future commitments to exchange currencies or cash balances, or to purchase or sell other financial instruments at specific terms at specified future dates, or, in the case of derivative commodity instruments, to have a reasonable possibility to be settled in cash, through physical delivery or with another financial instrument. These instruments may be traded on an exchange, a swap execution facility or over-the-counter (“OTC”). Exchange-traded instruments include futures and certain standardized forward, option and swap contracts. Certain swap contracts may also be traded on a swap execution facility or OTC. OTC contracts are negotiated between contracting parties and also include certain forward and option contracts. Specific market movements of commodities or futures contracts underlying an option cannot accurately be predicted. The purchaser of an option may lose the entire premium paid for the option. The writer or seller of an option has unlimited risk. Each of these instruments is subject to various risks similar to those relating to the underlying financial instruments, including market and credit risk. In general, the risks associated with OTC contracts are greater than those associated with exchange-traded instruments because of the greater risk of default by the counterparty to an OTC contract. The General Partner estimates that at any given time approximately 28.2% to 44.5% of the Partnership’s/Funds’ contracts are traded OTC.

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

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

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

Ceres Orion L.P.

Notes to Financial Statements

(Unaudited)

Options. The Partnership/Funds may purchase and write (sell) both exchange-listed and OTC options on commodities or financial instruments. An option is a contract allowing, but not requiring, its holder to buy (call) or sell (put) a specific or standard commodity or financial instrument at a specified price during a specified time period. The option premium is the total price paid or received for the option contract. When the Partnership/Funds write an option, the premium received is recorded as a liability in the Partnership’s/Funds’ Statements of Financial Condition and marked-to-market daily. When the Partnership/Funds purchase an option, the premium paid is recorded as an asset in the Partnership’s/Funds’ Statements of Financial Condition and marked-to-market daily. Net realized gains (losses) and net change in unrealized gains (losses) on option contracts are included in the Partnership’s/Funds’ Statements of Income and Expenses.

As both a buyer and seller of options, the Partnership/Funds pay or receive a premium at the outset and then bear the risk of unfavorable changes in the price of the contract underlying the option. Written options expose the Partnership/Funds to potentially unlimited liability; for purchased options, the risk of loss is limited to the premiums paid. Certain written put options permit cash settlement and do not require the option holder to own the reference asset. The Partnership/Funds do not consider these contracts to be guarantees.

Futures-Style Options. The Funds may trade futures-style option contracts. Unlike traditional option contracts, the premiums for futures-style option contracts are not received or paid upon the onset of the trade. The premiums are recognized and received or paid as part of the sales price when the contract is closed. Similar to a futures contract, variation margin for the futures-style option contract may be made or received by the Funds each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the Funds. Transactions in futures-style option 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. Futures-style option contracts are presented as part of “Net unrealized appreciation on open futures contracts” or “Net unrealized depreciation on open futures contracts,” as applicable, in the Funds’ Statements of Financial Condition. Net realized gains (losses) and net change in unrealized gains (losses) on futures-style option contracts are included in the Funds’ Statements of Income and Expenses.

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

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

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

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

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

Ceres Orion L.P.

Notes to Financial Statements

(Unaudited)

In the ordinary course of business, the Partnership/Funds enter into contracts and agreements that contain various representations and warranties and which provide general indemnifications. The Partnership’s/Funds’ maximum exposure under these arrangements cannot be determined, as this could include future claims that have not yet been made against the Partnership/Funds. The Partnership/Funds consider the risk of any future obligation relating to these indemnifications to be remote.

8.	Subsequent Events:

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

Item 2.

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

Liquidity and Capital Resources

The Partnership does not have, nor does it expect to have, any capital assets. The Partnership does not engage in sales of goods or services. Its assets are its (i) investment in the Funds, (ii) redemptions receivable from the Funds, (iii) its equity in trading account, consisting of unrestricted cash, restricted cash, 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, (iv) cash at bank and (v) interest receivable. Because of the low margin deposits normally required in commodity futures trading, relatively small price movements may result in substantial losses to the Partnership, through its investment in the Funds and direct investments. While substantial losses could lead to a material decrease in liquidity, no such illiquidity occurred during the second quarter of 2018.

The Partnership’s/Funds’ investment in futures, forwards and options may, from time to time, be illiquid. Most U.S. futures exchanges limit fluctuations in prices during a single day by regulations referred to as “daily price fluctuation limits” or “daily limits.” Trades may not be executed at prices beyond the daily limit. If the price for a particular futures or option contract has increased or decreased by an amount equal to the daily limit, positions in that futures or option contract can neither be taken nor liquidated unless traders are willing to effect trades at or within the limit. Futures prices have occasionally moved the daily limit for several consecutive days with little or no trading. These market conditions could prevent the Partnership and/or the Funds from promptly liquidating their futures or option contracts and result in restrictions on redemptions.

There is no limitation on daily price movements in trading forward contracts on foreign currencies. The markets for some world currencies have low trading volume and are illiquid, which may prevent the Partnership and/or the Funds from trading in potentially profitable markets or prevent the Partnership and/or the Funds from promptly liquidating unfavorable positions in such markets, subjecting them to substantial losses. Either of these market conditions could result in restrictions on redemptions. For the periods covered by this report, illiquidity has not materially affected the Partnership’s or the Funds’ assets.

Other than the risks inherent in commodity futures, forwards, options, swaps and other derivatives trading and U.S. Treasury bills and money market mutual fund securities, the Partnership and the Funds know of no trends, demands, commitments, events or uncertainties at the present time that are reasonably likely to result in the Partnership’s or the Funds’ liquidity increasing or decreasing in any material way.

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

For the six months ended June 30, 2018, the Partnership’s capital decreased 8.7% from $798,532,927 to $729,232,459. This decrease was attributable to redemptions of 25,694.3800 Class A limited partner Redeemable Units totaling $72,282,585, redemptions of 33.7070 Class Z limited partner Redeemable Units totaling $37,069, redemptions of 1,122.7120 Class Z General Partner Redeemable Units totaling $1,300,011 and a net loss of $18,201,526, which was partially offset by subscriptions of 7,562.8080 Class A limited partner Redeemable Units totaling $21,345,723 and subscriptions of 1,061.9520 Class Z limited partner Redeemable Units totaling $1,175,000. Future redemptions can impact the amount of funds available for investment in subsequent periods.

Other than as discussed above, there are no known material trends, favorable or unfavorable, that would affect, nor any expected material changes to, the Partnership’s capital resource arrangements at the present time.

Off-Balance Sheet Arrangements and Contractual Obligations

The Partnership does not have any off-balance sheet arrangements, nor does it have contractual obligations or commercial commitments to make future payments, that would affect its liquidity or capital resources.

Critical Accounting Policies

The preparation of financial statements in conformity with GAAP requires the General Partner to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expense during the reporting periods. The General Partner believes that the estimates 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 and the Funds record all investments at fair value in their financial statements, with changes in fair value reported as a component of net realized gains (losses) and net change in unrealized gains (losses) in the Statements of Income and Expenses.

Results of Operations

During the Partnership’s second quarter of 2018, the net asset value per Redeemable Unit for Class A increased 1.7% from $2,775.63 to $2,821.78, as compared to a decrease of 4.6% in the second quarter of 2017. During the Partnership’s second quarter of 2018, the net asset value per Redeemable Unit for Class Z increased 2.2% from $1,085.13 to $1,108.76, as compared to a decrease of 4.2% in the second quarter of 2017. The Partnership experienced a net trading gain before fees and expenses in the second quarter of 2018 of $18,174,973. Gains were primarily attributable to the Partnership’s/Funds’ trading of commodity futures in energy, U.S. and non-U.S. interest rates and softs and were partially offset by losses in currencies, grains, livestock, metals and indices. The Partnership experienced a net trading loss before fees and expenses in the second quarter of 2017 of $34,706,587. Losses were primarily attributable to the Partnership’s/Funds’ trading of commodity futures in currencies, energy, grains, U.S. and non-U.S. interest rates and metals and were partially offset by gains in livestock, softs and indices.

The most significant gains were achieved within the energy markets during April from long positions in crude oil and its refined products as prices surged amid fears tensions in the Middle East region could affect oil supplies. Further gains within the energy sector were experienced during May due to long positions in crude oil futures as prices advanced after the U.S. announced it would pull out of the Iranian nuclear agreement. Within the global interest rate sector, gains were achieved during May from long positions in German fixed income futures as turmoil surrounding the election of a populist Prime Minister in Italy sparked investor demand for the safety of government debt. Additional gains within the fixed income sector were recorded during June from short positions in U.S. fixed income futures as a strengthening U.S. economy limited demand for safe-haven assets. A portion of the Partnership’s gains for the quarter was offset by losses incurred within the currency sector during April from long positions in the Russian ruble versus the U.S. dollar as the value of the ruble slumped following the announcement of new economic sanctions to be imposed on Russia. Additional losses in the currencies occurred during May due to positions in the Mexican peso, Turkish lira, and Japanese yen. Within the agricultural markets, losses were experienced during May from long positions in soybean, soybean meal, and soybean oil futures as prices slumped on prospects of a potential trade war between the U.S. and China. Further losses in the agricultural complex were incurred during May from positions in sugar and cocoa futures.

During the Partnership’s six months ended June 30, 2018, the net asset value per Redeemable Unit for Class A decreased 2.3% from $2,887.46 to $2,821.78, as compared to a decrease of 5.8% during the six months ended June 30, 2017. During the Partnership’s six months ended June 30, 2018, the net asset value per Redeemable Unit for Class Z decreased 1.3% from $1,122.81 to $1,108.76, as compared to a decrease of 5.1% during the six months ended June 30, 2017. The Partnership experienced a net trading loss before fees and expenses for the six months ended June 30, 2018 of $5,324,403. Losses were primarily attributable to the Partnership’s/Funds’ trading of commodity futures in currencies, grains, livestock, metals and indices and were partially offset by gains in energy, U.S. and non-U.S. interest rates and softs. The Partnership experienced a net trading loss before fees and expenses for the six months ended June 30, 2017 of $38,338,301. Losses were primarily attributable to the Partnership’s/Funds’ trading of commodity futures in currencies, energy, grains, U.S. and non-U.S. interest rates and metals and were partially offset by gains in livestock, softs and indices.

The most notable losses were recorded during February from long positions in global stock indices as prices reversed sharply lower early in the month after previously trending higher for several months. Smaller losses in global stock indices were recorded in May from long positions in European and Asian equity index futures as tumultuous geopolitical events in Europe and Asia pulled stocks prices lower. In the agricultural sector, losses were incurred in the grains markets from January through May as weather related factors resulted in short-term price volatility. Within the metals markets, losses were experienced from long positions in industrial metals as prices reversed lower in February on equity market weakness and in March on concerns of a burgeoning trade war. Losses within the currency sector were incurred during primarily during February from long positions in the Indian rupee, Australian dollar, and British pound versus the U.S. dollar. as the value of the dollar strengthened. Additional losses in currencies occurred during April from long positions in the Russian ruble versus the U.S. dollar. The Partnership’s overall trading losses for the first six months of the year were partially offset by trading gains in the energy markets during March, April, and May from long positions in crude oil and its refined products as geopolitical turmoil and supply concerns pushed energy prices higher. Within the global interest rate sector, gains were recorded January from short positions in U.S. fixed income futures as prices declined amid signs the U.S. economy was gaining strength. Further gains in the global interest rate sector were experienced during March and May due to long positions in European fixed income futures.

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

Interest income is earned on 100% of the average daily equity maintained in cash in the Partnership’s (or the Partnership’s allocable portion of FORT Contrarian Master’s, Willowbridge Master’s or Winton Master’s) brokerage account during each month at the rate equal to the monthly average of the 4-week U.S. Treasury bill discount rate. MS&Co. will pay monthly interest to Transtrend Master on 100% of the average daily equity maintained in cash in Transtrend Master’s brokerage account during each month at the rate equal to the monthly average of the 4-week U.S. Treasury bill discount rate less 0.15% during such month but in no event less than zero. When the effective rate is less than zero, no interest is earned. For the avoidance of doubt, the Partnership/Funds will not receive interest on amounts in the futures brokerage account that are committed to margin. Any interest earned on the Partnership’s and/or each Fund’s cash account in excess of the amounts described above, if any, will be retained by MS&Co. and/or shared with the General Partner. All interest earned on U.S. Treasury bills and money market mutual fund securities will be retained by the Partnership and/or the Funds, as applicable. Any interest income earned on collateral or excess cash deposited by certain of the Funds and held by JPMorgan in its capacity as such Funds’ forward foreign currency counterparty will be retained by such Funds, and the Partnership will receive its allocable portion of such interest from the applicable Fund. Interest income earned by the Partnership for the three and six months ended June 30, 2018 and 2017 increased by $1,151,884 and $2,583,862, respectively, as compared to the corresponding periods in 2017. The increase in interest income was primarily due to higher 4-week U.S. Treasury bill discount rates during the three and six months ended June 30, 2018 as compared to the corresponding periods in 2017. 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 maintained in cash in the Partnership’s and/or the Funds’ accounts, (2) the amount of U.S. Treasury bills and/or money market mutual fund securities held by the Partnership and/or the Funds and (3) interest rates over which none of the Partnership, the Funds, MS&Co. or JPMorgan has control.

Certain clearing fees are based on the number of trades executed by the Advisors for the Partnership/Funds. Accordingly, they must be compared in relation to the number of trades executed during the period. Clearing fees related to direct investments for the three and six months ended June 30, 2018 decreased by $145,741 and $266,860, respectively, as compared to the corresponding periods in 2017. The decrease in these clearing fees was primarily due to a decrease in the number of direct trades made by the Partnership during the three and six months ended June 30, 2018 as compared to the corresponding periods in 2017.

Ongoing selling agent fees are based on the number of trades executed by the Advisors. Accordingly, they must be compared in relation to the number of trades executed during the period. Ongoing selling agent fees for the three and six months ended June 30, 2018 increased by $2,632 and $462,593, respectively, as compared to the corresponding periods in 2017. The increase in ongoing selling agent fees was primarily due to an increase in the number of trades executed by the Advisors during the three and six months ended June 30, 2018 as compared to the corresponding periods in 2017.

Management fees, except fees payable to Transtrend, are calculated as a percentage of the Partnership’s adjusted net asset value as of the end of each month and are affected by trading performance, subscriptions and redemptions. Accordingly, they must be compared in relation to the fluctuations in the monthly net asset values. Management fees payable to Transtrend are charged at the Transtrend Master level and are affected by trading performance, subscriptions and redemptions of Transtrend Master. Management fees for the three and six months ended June 30, 2018 decreased by $664,735 and $1,257,323, respectively, as compared to the corresponding periods in 2017. The decrease in management fees was due to lower average adjusted net assets during the three and six months ended June 30, 2018 as compared to the corresponding periods in 2017.

Fees are paid to the General Partner for administering the business and affairs of the Partnership including, among other things, (i) selecting, appointing and terminating the Partnership’s commodity trading advisors, (ii) allocating and reallocating the Partnership’s assets among the commodity trading advisors and (iii) monitoring the activities of the commodity trading advisors. These fees are calculated as a percentage of the Partnership’s adjusted net asset value as of the end of each month and are affected by trading performance, subscriptions and redemptions. Accordingly, they must be compared in relation to the fluctuations in the monthly net asset values. The General Partner fees for the three and six months ended June 30, 2018 decreased by $314,588 and $686,532, respectively, as compared to the corresponding periods in 2017. The decrease in the General Partner fees was due to lower average adjusted net assets during the three and six months ended June 30, 2018 as compared to the corresponding periods in 2017.

Incentive fees paid by the Partnership are based on the new trading profits, as defined in the respective management agreements among the Partnership, the General Partner and each Advisor, generated by each Advisor at the end of the quarter, calendar half year or annually, as applicable. Trading performance for the three and six months ended June 30, 2018 resulted in incentive fees of $0 and $25,157, respectively. Trading performance for the three and six months ended June 30, 2017 resulted in incentive fees of $0 and $47,039, respectively. To the extent an Advisor incurs a loss for the Partnership, the Advisor will not be paid an incentive fee until such Advisor recovers any net loss incurred by the Advisor and earns additional new trading profits for the Partnership.

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

As of June 30, 2018 and March 31, 2018, the Partnership’s assets were allocated among the Advisors in the following approximate percentages:


Advisor	June 30, 2018		June 30, 2018 (percentage of net assets)			March 31, 2018		March 31, 2018 (percentage of net assets)
Winton	$	163,671,738		23	%	$	157,518,188		21	%
Transtrend		161,323,314		22	%		163,809,205		22	%
Willowbridge		198,305,015		27	%		199,575,179		27	%
FORT		140,093,205		19	%		126,602,089		17	%
Systematica		65,839,187		9	%		94,224,599		13	%

Item 3.

Quantitative and Qualitative Disclosures about Market Risk.

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

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

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

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

Quantifying the Partnership’s and the Funds’ Trading Value at Risk

The following quantitative disclosures regarding the Partnership’s and the Funds’ market risk exposures contain “forward-looking statements” within the meaning of the safe harbor from civil liability provided for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section 27A of the Securities Act, and Section 21E of the Securities Exchange Act of 1934, as amended (the “Exchange Act”)). All quantitative disclosures in this section are deemed to be forward-looking statements for purposes of the safe harbor, except for statements of historical fact.

The Partnership and the Funds account for open positions on the basis of fair value accounting principles. Any loss in the market value of the Partnership’s and each Fund’s open positions is directly reflected in the Partnership’s and each Fund’s earnings and cash flow.

The Partnership’s and the Funds’ risk exposure in the market sectors traded by the Advisors is estimated below in terms of Value at Risk. Please note that the Value at Risk model is used to numerically quantify market risk for historic reporting purposes only and is not utilized by either the General Partner or the Advisors in their daily risk management activities.

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

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

Value at Risk tables represent a probabilistic assessment of the risk of loss in market risk sensitive instruments. The Advisors, with the exception of Systematica, currently trade the Partnership’s assets indirectly in master fund managed accounts established in the name of the master funds over which they have been granted limited authority to make trading decisions. Systematica directly trades a managed account in the name of the Partnership. The first two trading Value at Risk tables reflect the market sensitive instruments held by the Partnership directly and through its investments in the Funds. The remaining trading Value at Risk tables reflect the market sensitive instruments held by the Partnership directly (i.e. in the managed account in the Partnership’s name traded by Systematica) and indirectly by each Fund separately. There has been no material change in the trading Value at Risk information previously disclosed in the Partnership’s Annual Report on Form 10-K for the year ended December 31, 2017.

The following tables indicate the trading Value at Risk associated with the Partnership’s open positions by market category as of June 30, 2018 and December 31, 2017. As of June 30, 2018, the Partnership’s total capitalization was $729,232,459.

June 30, 2018


Market Sector	Value at Risk		% of Total Capitalization
Commodities	$	17,599,461		2.41	%
Currencies		50,027,025		6.86
Interest Rates		26,011,601		3.57
Equities		17,805,844		2.44

Total	$	111,443,931		15.28	%


As of December 31, 2017, the Partnership’s total capitalization was $798,532,927. December 31, 2017

Market Sector	Value at Risk		% of Total Capitalization
Commodities	$	31,695,545		3.97	%
Currencies		67,295,666		8.43
Interest Rates		21,758,941		2.72
Equities		40,033,293		5.01

Total	$	160,783,445		20.13	%

The following tables indicate the trading Value at Risk associated with the Partnership’s direct investments and indirect investments in the Funds by market category as of June 30, 2018 and December 31, 2017, and the highest, lowest and average values during the three months ended June 30, 2018 and the twelve months ended December 31, 2017. All open position trading risk exposures have been included in calculating the figures set forth below.

As of June 30, 2018 and December 31, 2017, the Partnership’s Value at Risk for the portion of its assets that are traded directly was as follows:

June 30, 2018


						Three Months Ended June 30, 2018
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	7,579,063		1.04	%	$	14,424,016	$	7,465,463	$	10,180,620
Energy		901,852		0.12			1,617,994		833,360		1,263,735
Grains		676,271		0.09			1,044,535		556,098		808,556
Indices		4,997,222		0.69			7,385,680		3,360,157		5,693,909
Interest Rates U.S.		302,383		0.04			497,279		243,308		375,476
Interest Rates Non-U.S.		1,670,449		0.23			1,698,117		1,147,410		1,544,249
Livestock		105,600		0.01			173,140		84,040		127,013
Metals		1,013,913		0.14			1,133,860		209,245		845,076
Softs		383,478		0.05			511,443		308,733		410,627

Total	$	17,630,231		2.41	%


* Average of month-end Values at Risk. December 31, 2017
						Twelve Months Ended December 31, 2017
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	16,587,445		2.08	%	$	44,314,503	$	16,281,723	$	29,394,065
Energy		3,259,297		0.41			4,922,921		1,292,232		3,057,028
Grains		1,413,905		0.18			2,933,816		734,795		2,212,317
Indices		14,823,350		1.86			19,782,557		9,987,367		14,365,095
Interest Rates U.S.		849,657		0.11			3,122,851		849,657		2,039,105
Interest Rates Non-U.S.		2,728,281		0.34			6,750,624		1,672,930		3,702,845
Livestock		27,720		0.00	**		534,628		27,720		250,623
Metals		2,081,248		0.26			3,289,718		1,068,033		2,113,256
Softs		831,695		0.10			1,073,556		258,210		696,301

Total	$	42,602,598		5.34	%

*	Annual average of month-end Values at Risk.

**	Due to rounding.

As of June 30, 2018, Winton Master’s total capitalization was $367,211,246 and the Partnership owned approximately 44.5% of Winton Master. As of June 30, 2018, Winton Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Winton for trading) was as follows:

June 30, 2018


						Three Months Ended June 30, 2018
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	14,709,207		4.01	%	$	17,711,686	$	12,849,924	$	15,211,557
Energy		3,177,668		0.87			4,959,417		3,100,278		4,150,350
Grains		1,857,630		0.51			1,861,149		1,330,620		1,551,356
Indices		1,617,138		0.44			3,013,952		1,617,138		1,868,692
Interest Rates U.S.		936,131		0.25			1,731,250		936,131		1,365,959
Interest Rates Non-U.S.		2,449,366		0.67			2,449,366		872,593		1,547,276
Livestock		587,290		0.16			608,080		190,245		521,785
Metals		7,503,785		2.04			7,801,447		5,285,944		7,154,349
Softs		2,062,728		0.56			2,459,115		1,909,209		2,224,664

Total	$	34,900,943		9.51	%


* Average of month-end Values at Risk. Prior to the close of business on December 31, 2017, Winton Master’s total capitalization was $408,679,588 and the Partnership owned approximately 45.8% of Winton Master. Prior to the close of business on December 31, 2017, Winton’s Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Winton for trading) was as follows: December 31, 2017
						Twelve Months Ended December 31, 2017
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	37,375,662		9.15	%	$	41,685,050	$	6,859,203	$	29,801,089
Energy		6,288,778		1.54			6,288,778		660,791		2,375,862
Grains		1,358,483		0.33			2,712,999		1,100,657		1,778,122
Indices		20,126,411		4.92			31,470,290		17,643,595		23,398,714
Interest Rates U.S.		1,109,639		0.27			5,362,330		514,996		2,048,055
Interest Rates Non-U.S.		2,562,664		0.63			5,374,331		1,520,731		3,434,888
Livestock		502,480		0.12			850,960		359,920		611,098
Metals		10,415,048		2.55			10,465,318		1,732,090		4,070,470
Softs		2,704,190		0.66			2,735,012		1,140,436		1,782,061

Total	$	82,443,355		20.17	%

*	Annual average of month-end Values at Risk.

As of June 30, 2018, Transtrend Master’s total capitalization was $161,814,922 and the Partnership owned 100.0% of Transtrend Master. As of June 30, 2018, Transtrend Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Transtrend for trading) was as follows:

June 30, 2018


						Three Months Ended June 30, 2018
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Commodities	$	7,037,565		4.35	%	$	8,514,951	$	6,863,159	$	7,859,271
Currencies		8,617,940		5.33			12,003,095		8,480,711		9,848,550
Interest Rates		12,423,215		7.68			12,441,448		7,742,275		10,220,507
Equities		8,006,179		4.95			11,112,513		4,495,057		8,035,280

Total	$	36,084,899		22.31	%

* Average of daily Values at Risk. Prior to the close of business on December 31, 2017, Transtrend Master’s total capitalization was $216,893,179 and the Partnership owned approximately 95.8% of Transtrend Master. Prior to the close of business on December 31, 2017, Transtrend Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Transtrend for trading) was as follows: December 31, 2017
						Twelve Months Ended December 31, 2017
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Commodities	$	14,981,202		6.91	%	$	16,281,307	$	8,420,726	$	13,271,018
Currencies		19,248,396		8.87			32,480,250		11,349,411		20,816,692
Interest Rates		12,582,632		5.80			18,335,424		4,377,363		10,507,441
Equities		16,705,050		7.70			23,325,397		9,893,398		15,903,292

Total	$	63,517,280		29.28	%

*	Annual average of daily Values at Risk.

As of June 30, 2018, Willowbridge Master’s total capitalization was $224,689,943 and the Partnership owned approximately 88.2% of Willowbridge Master. As of June 30, 2018, Willowbridge Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Willowbridge for trading) was as follows:

June 30, 2018


						Three Months Ended June 30, 2018
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	29,499,515		13.13	%	$	41,237,343	$	5,901,091	$	25,705,511
Energy		294,360		0.13			1,053,910		96,375		369,885
Interest Rates U.S.		7,788,232		3.47			10,443,027		-		3,055,107

Total	$	37,582,107		16.73	%


* Average of month-end Values at Risk. Prior to the close of business on December 31, 2017, Willowbridge Master’s total capitalization was $332,211,210 and the Partnership owned approximately 82.5% of Willowbridge Master. Prior to the close of business on December 31, 2017, Willowbridge Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Willowbridge for trading) was as follows: December 31, 2017
						Twelve Months Ended December 31, 2017
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	18,377,762		5.53	%	$	83,446,338	$	3,531,563	$	34,901,146
Interest Rates Non-U.S.		5,390,008		1.62			21,928,085		-		6,693,730

Total	$	23,767,770		7.15	%

*	Annual average of month-end Values at Risk.

As of June 30, 2018, Fort Contrarian Master’s total capitalization was $166,620,606 and the Partnership owned approximately 84.1% of Fort Contrarian Master. As of June 30, 2018, FORT Contrarian Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to FORT for trading) was as follows:

June 30, 2018


						Three Months Ended June 30, 2018
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	1,505,176		0.90	%	$	1,799,886	$	500,354	$	1,249,805
Energy		413,861		0.25			967,522		247,315		582,075
Indices		4,854,716		2.91			6,238,106		3,005,779		5,039,274
Interest Rates U.S.		537,662		0.32			1,225,323		75,563		509,535
Interest Rates Non-U.S.		3,314,641		1.99			3,704,423		1,521,862		2,641,704
Metals		135,493		0.08			152,125		33,545		121,840

Total	$	10,761,549		6.45	%

*	Average of month-end Values at Risk.

Item 4.

Controls and Procedures.

The Partnership’s disclosure controls and procedures are designed to ensure that information required to be disclosed by the Partnership on the reports that it files or submits under the 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, 2018, and, based on that evaluation, the General Partner’s President and CFO have concluded that, at that date, the Partnership’s disclosure controls and procedures were effective.

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

•

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

•

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

•

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

There were no changes in the Partnership’s internal control over the financial reporting process during the fiscal quarter ended June 30, 2018 that materially affected, or are reasonably likely to materially affect, the Partnership’s internal control over financial reporting.

Part II. OTHER INFORMATION

Item 1.

Legal Proceedings.

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

On June 1, 2011, Morgan Stanley & Co. Incorporated converted from a Delaware corporation to a Delaware limited liability company. As a result of that conversion, Morgan Stanley & Co. Incorporated is now named Morgan Stanley & Co. LLC (“MS&Co.”).

MS&Co. is a wholly-owned, indirect subsidiary of Morgan Stanley, a Delaware holding company. Morgan Stanley files periodic reports with the SEC as required by the Exchange Act, which include current descriptions of material litigation and material proceedings and investigations, if any, by governmental and/or regulatory agencies or self-regulatory organizations concerning Morgan Stanley and its subsidiaries, including MS&Co. As a consolidated subsidiary of Morgan Stanley, MS&Co. does not file its own periodic reports with the SEC that contain descriptions of material litigation, proceedings and investigations. As a result, please refer to the “Legal Proceedings” section of Morgan Stanley’s SEC 10-K filings for 2017, 2016, 2015, 2014, and 2013. 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. Please refer to the Commitments, Guarantees and Contingencies – Legal section of MS&Co.’s 2017 Audited Financial.

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.

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.

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 intended 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.

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 under the Exchange Act 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 United States 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 CFTC Regulation 22.9(a). Without admitting or denying the findings or conclusions and without adjudication of any issue of law or fact, MS&Co. accepted and consented to the entry of findings, the imposition of a cease and desist order, a civil monetary penalty of $300,000, and undertakings related to public statements, cooperation, and payment of the monetary penalty.

On December 20, 2016, MS&Co. consented to and became the subject of an order by the SEC in connection with allegations that MS&Co. willfully violated Sections 15(c)(3) and 17(a)(1) of the Exchange Act and Rules 15c3-3(e), 17a-5(a), and 17a-5(d) thereunder, by inaccurately calculating its Reserve Account requirement under Rule 15c3-3 by including margin loans to an affiliate in its calculations, which resulted in making inaccurate records and submitting inaccurate reports to the SEC. Without admitting or denying the underlying allegations and without adjudication of any issue of law or fact, MS&Co. consented to a cease and desist order, a censure, and a civil monetary penalty of $7,500,000.

On September 28, 2017, the CFTC issued an order filing and simultaneously settling charges against MS&Co. regarding violations of CFTC Rule 166.3 by failing to diligently supervise the reconciliation of exchange and clearing fees with the amounts it ultimately charged customers for certain transactions on multiple exchanges. The order and settlement required MS&Co. to pay a $500,000 penalty and cease and desist from violating Rule 166.3.

On November 2, 2017, the CFTC issued an order filing and simultaneously settling charges against MS&Co. for non-compliance with applicable rules governing Part 17 Large Trader reports to the CFTC. The order requires MS&Co. to pay a $350,000 penalty and cease and desist from further violations of the Commodity Exchange Act.

Civil Litigation

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. On June 27, 2018, the Firm filed a motion for summary judgment and spoliation sanctions against CDIB. 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, which 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. On January 18, 2017, the court entered an order dismissing all claims related to an additional securitization at issue. After those dismissals, the remaining amount of certificates allegedly issued by MS&Co. or sold to plaintiff by MS&Co. was approximately $65 million. At June 25, 2018, the current unpaid balance of the mortgage pass-through certificates at issue in this action was approximately $37 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 $37 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 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 $133 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 11, 2016, the Appellate Division, First Department affirmed the trial court’s decision denying in part MS&Co.’s motion to dismiss the complaint. At June 25, 2018, the current unpaid balance of the mortgage pass-through certificates at issue in this action was approximately $24 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 $24 million unpaid balance of these certificates (plus any losses incurred) and their fair market value at the time of a judgment against MS&Co., or upon sale, plus pre- and post-judgment interest, fees and costs. MS&Co. may be entitled to be indemnified for some of these losses and to an offset for interest received by the plaintiff prior to a judgment.

On April 1, 2016, the California Attorney General’s Office filed an action against MS&Co. 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 September 30, 2016, the court granted MS&Co.’s demurrer, with leave to replead. On October 21, 2016, the California Attorney General filed an amended complaint. On January 25, 2017, the court denied MS&Co.’s demurrer with respect to the amended complaint.

Settled 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. On January 23, 2017, the parties reached an agreement to settle the litigation.

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 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 December 21, 2016, the parties reached an agreement to settle the litigation.

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 alleged 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 alleged 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 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 alleged that defendants made untrue statements and material omissions in the sale to plaintiffs of certain mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The amount of the certificates allegedly sold to plaintiffs by MS&Co. was approximately $153 million. On June 8, 2015, the parties reached an agreement to settle the litigation.

On September 2, 2011, the Federal Housing Finance Agency, as conservator for Fannie Mae and Freddie Mac, filed 17 complaints against numerous financial services companies, including MS&Co. and certain affiliates. A complaint against MS&Co. and certain affiliates and other defendants was filed in the Supreme Court of NY, styled Federal Housing Finance Agency, as Conservator v. Morgan Stanley et al. The complaint alleged 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 sought, 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 alleged 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 sought, 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 raised claims under the New Jersey Uniform Securities Law, as well as common law claims of negligent misrepresentation, fraud, fraudulent inducement, equitable fraud, aiding and abetting fraud, and violations of the New Jersey Racketeer Influenced and Corrupt Organizations Act, and included a claim for treble damages. On January 8, 2016, the parties reached an agreement to settle the litigation.

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

On November 4, 2011, the Federal Deposit Insurance Corporation, as receiver for Franklin Bank S.S.B, filed two complaints against MS&Co. in the District Court of the State of Texas. Each was styled Federal Deposit Insurance Corporation as Receiver for Franklin Bank, S.S.B v. Morgan Stanley & Company LLC F/K/A Morgan Stanley & Co. Inc. and alleged that MS&Co. made untrue statements and material omissions in connection with the sale to plaintiff of mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The amount of certificates allegedly underwritten and sold to plaintiff by MS&Co. in these cases was approximately $67 million and $35 million, respectively. On July 2, 2015, the parties reached an agreement to settle the litigation.

On February 14, 2013, Bank Hapoalim B.M. filed a complaint against MS&Co. and certain affiliates in the Supreme Court of NY, styled Bank Hapoalim B.M. v. Morgan Stanley et al. The complaint alleged 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 asserted claims under the Virginia Fraud Against Taxpayers Act, as well as common law claims of actual and constructive fraud, and sought, 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.

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 alleged 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 raised claims under the Massachusetts Uniform Securities Act, the Massachusetts Consumer Protection Act and common law and sought, among other things, to rescind the plaintiff’s purchase of such certificates. 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. On July 13, 2018, the parties reached an agreement in principle to settle the litigation.

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 alleged 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 was approximately $634 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 26, 2018, the parties entered into an agreement to settle the litigation.

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

Item lA.

Risk Factors.

There have been no material changes to the risk factors set forth under Part I, Item 1A. “Risk Factors.” in the Partnership’s Annual Report on Form 10-K for the fiscal year ended December 31, 2017 and under Part II, Item 1A. “Risk Factors.” in the Partnership’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2018.

Item 2.

Unregistered Sales of Equity Securities and Use of Proceeds.

For the three months ended June 30, 2018, there were subscriptions of 3,921.7040 Class A Redeemable Units totaling $10,938,515 and subscriptions of 457.8390 Class Z Redeemable Units totaling $500,000. The Redeemable Units were issued in reliance upon applicable exemptions from registration under Section 4(a)(2) of the Securities Act and Section 506 of Regulation D promulgated thereunder. These Redeemable Units were purchased by accredited investors as defined in Regulation D. In determining the applicability of the exemption, the General Partner relied on the fact that the Redeemable Units were purchased by accredited investors in a private offering.

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

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


Period	Class A (a) Total Number of Redeemable Units Purchased*		Class A (b) Average Price Paid per Redeemable Unit**		Class Z (a) Total Number of Redeemable Units Purchased*		Class Z (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, 2018 - April 30, 2018		5,229.5890	$	2,803.50		N/A		N/A		N/A		N/A
May 1, 2018 - May 31, 2018		4,209.1680	$	2,795.17		N/A		N/A		N/A		N/A
June 1, 2018 - June 30, 2018		3,474.3090	$	2,821.78		23.3890	$	1,108.76		N/A		N/A
		12,913.0660	$	2,805.70		23.3890	$	1,108.76

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

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

Item 3.

Defaults Upon Senior Securities. — None.

Item 4.

Mine Safety Disclosures. — Not Applicable.

Item 5.

Other Information. — None.

Item 6.

Exhibits.



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

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

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

Exhibit 32.2	—	Section 1350 Certification (Certification of Chief Financial Officer and Director) (filed herewith).

101.INS XBRL Instance Document.

101.SCH XBRL Taxonomy Extension Schema Document.

101.CAL XBRL Taxonomy Extension Calculation Linkbase Document.

101.LAB XBRL Taxonomy Extension Label Linkbase Document.

101.PRE XBRL Taxonomy Extension Presentation Linkbase Document.

101.DEF XBRL Taxonomy Extension Definition Document.

SIGNATURES

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


CERES ORION L.P.

By:		Ceres Managed Futures LLC (General Partner)

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

Date: August 9, 2018

By:		/s/ Steven Ross
		Steven Ross
		Chief Financial Officer and Director
		(Principal Accounting Officer)

Date: August 9, 2018

The General Partner which signed the above is the only party authorized to act for the registrant. The registrant has no principal executive officer, principal financial officer, controller, or principal accounting officer and has no Board of Directors.

CERES ORION L.P. - FORM 10-Q - August 9, 2018

Attached files

CERES ORION L.P. Reports