Company Quick10K Filing
Quick10K
Nestor Partners
10-Q 2019-03-31 Quarter: 2019-03-31
10-K 2018-12-31 Annual: 2018-12-31
10-Q 2018-09-30 Quarter: 2018-09-30
10-Q 2018-06-30 Quarter: 2018-06-30
10-Q 2018-03-31 Quarter: 2018-03-31
10-K 2017-12-31 Annual: 2017-12-31
10-Q 2017-09-30 Quarter: 2017-09-30
10-Q 2017-06-30 Quarter: 2017-06-30
10-Q 2017-03-31 Quarter: 2017-03-31
10-K 2016-12-31 Annual: 2016-12-31
10-Q 2016-09-30 Quarter: 2016-09-30
10-Q 2016-06-30 Quarter: 2016-06-30
10-Q 2016-03-31 Quarter: 2016-03-31
10-K 2015-12-31 Annual: 2015-12-31
10-Q 2015-09-30 Quarter: 2015-09-30
10-Q 2015-06-30 Quarter: 2015-06-30
10-Q 2015-03-31 Quarter: 2015-03-31
10-K 2014-12-31 Annual: 2014-12-31
10-Q 2014-09-30 Quarter: 2014-09-30
10-Q 2014-06-30 Quarter: 2014-06-30
10-Q 2014-03-31 Quarter: 2014-03-31
10-K 2013-12-31 Annual: 2013-12-31
INGR Ingredion 5,640
OI Owens Illinois 2,680
GRC Gorman Rupp 860
YRCW YRC Worldwide 197
CRMD Cormedix 178
PMD Psychemedics 58
BNET Bion Environmental Technologies 0
HDP Hortonworks 0
AKOM Aerkomm 0
GCNL Griffin Capital Essential Asset REIT 0
C471 2019-03-31
Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations
Item 3. Quantitative and Qualitative Disclosures About Market Risk
Item 4. Controls and Procedures
Part II. Other Information
Item 1. Legal Proceedings
Item 1A. Risk Factors
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds
Item 3. Defaults Upon Senior Securities
Item 4. Mine Safety Disclosures
Item 5. Other Information
Item 6. Exhibits
EX-31.1 c471-20190331xex31_1.htm
EX-31.2 c471-20190331xex31_2.htm
EX-31.3 c471-20190331xex31_3.htm
EX-32.1 c471-20190331xex32_1.htm
EX-32.2 c471-20190331xex32_2.htm
EX-32.3 c471-20190331xex32_3.htm

Nestor Partners Earnings 2019-03-31

C471 10Q Quarterly Report

Balance SheetIncome StatementCash Flow

10-Q 1 c471-20190331x10q.htm 10-Q 20190331 10Q Q1_Taxonomy2017



 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

 



 

Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

 

For the Quarterly Period Ended:   March 31, 2019

Or

 



 

Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934



Commission File Number: 000-50725

 

NESTOR PARTNERS

 

 



 

(Exact name of registrant as specified in its charter)

 



 

 

NEW JERSEY

 

22-2149317

(State or other jurisdiction of

 

(I.R.S. Employer

incorporation or organization)

 

Identification No.)



c/o MILLBURN RIDGEFIELD CORPORATION

55 West 46th Street, 31st Floor

New York, NY 10036

 

 



 

(Address of principal executive offices) (Zip code)

 

Registrant's telephone number, including area code:  (212) 332-7300

 

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            No 

 

Indicate by check mark whether the registrant has submitted electronically, every Interactive Data File required to be submitted 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 such files).

 

Yes            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

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.



Yes            No 



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

 

Yes          No   

 

 


 











 

 

 

 

 

 

PART 1. FINANANCIAL INFORMATION

 

 

ITEM 1. FINANCIAL STATEMENTS

 

 



 

 

 

 

 

 



 

 

 

 

 

 



 

 

 

 

 

 

Nestor Partners

 

 

 

Financial statements

 

 

 

For the three months ended March 31, 2019 and 2018 (unaudited)

 

 



 

 

 

 

 

 

Statements of Financial Condition (a)

 

 

Condensed Schedules of Investments (a)

 

 

Statements of Operations (b)

 

 

Statements of Changes in Partners' Capital (b)

 

 

Statements of Financial Highlights (b)

 

 

Notes to the Financial Statements

 

 



 

 

 

 

 

 

(a) At March 31, 2019 (unaudited) and December 31, 2018

 

(b) For the three months ended March 31, 2019 and 2018 (unaudited)

 



 



 

 

 

 

 

 















 



 

 


 







 

 

 

 

 

Nestor Partners

Statements of Financial Condition



 

 

 

 

 



 

March 31, 2019 (unaudited)

 

 

December 31, 2018

ASSETS

 

 

 

 

 



 

 

 

 

 

EQUITY IN TRADING ACCOUNTS:

 

 

 

 

 

Investments in U.S. Treasury notes − at fair value

 

 

 

 

 

(amortized cost $20,816,127 and $20,474,790)

$

20,830,315 

 

$

20,462,519 

Net unrealized appreciation on open futures and forward

 

 

 

 

 

currency contracts

 

981,762 

 

 

3,809,427 

Due from brokers

 

6,304,355 

 

 

5,872,525 

Cash denominated in foreign currencies (cost $6,667,140

 

 

 

 

 

and $5,579,987)

 

6,604,995 

 

 

5,571,859 



 

 

 

 

 

Total equity in trading accounts

 

34,721,427 

 

 

35,716,330 



 

 

 

 

 

INVESTMENTS IN U.S. TREASURY NOTES − at fair value

 

 

 

 

 

(amortized cost $116,198,667 and $117,981,296)

 

116,267,915 

 

 

117,954,423 



 

 

 

 

 

CASH AND CASH EQUIVALENTS

 

12,242,139 

 

 

14,604,941 



 

 

 

 

 

ACCRUED INTEREST RECEIVABLE

 

338,670 

 

 

278,874 



 

 

 

 

 

TOTAL

$

163,570,151 

 

$

168,554,568 



 

 

 

 

 

LIABILITIES AND PARTNERS' CAPITAL

 

 

 

 

 



 

 

 

 

 

LIABILITIES:

 

 

 

 

 

Capital contributions received in advance

$

308,000 

 

$

125,000 

Net unrealized depreciation on open forward

 

 

 

 

 

currency contracts

 

496,892 

 

 

300,633 

Accrued brokerage fees

 

295,467 

 

 

301,842 

Due to brokers

 

61,824 

 

 

888,453 

Cash denominated in foreign currencies (cost $0

 

 

 

 

 

and $84,933)

 

 -

 

 

89,349 

Accrued expenses

 

111,426 

 

 

41,425 

Capital withdrawals payable to Limited Partners

 

238,255 

 

 

1,674,107 

Capital withdrawals payable to General Partner

 

 -

 

 

212,143 

Accrued profit share

 

217,717 

 

 

 -



 

 

 

 

 

Total liabilities

 

1,729,581 

 

 

3,632,952 



 

 

 

 

 

PARTNERS' CAPITAL

 

161,840,570 

 

 

164,921,616 



 

 

 

 

 

TOTAL

$

163,570,151 

 

$

168,554,568 



 

 

 

 

 



 

 

 

 

 

See notes to financial statements (unaudited)

 

 

 

 

 

















1

 


 









 

 

 

 

Nestor Partners

Condensed Schedule of Investments

March 31, 2019 (UNAUDITED)



 

 

 

 

Futures and Forward Currency Contracts

Net Unrealized
Appreciation/
(Depreciation) as a % of
Partners' Capital

 

 

Net Unrealized
Appreciation/
(Depreciation)



 

 

 

 

FUTURES CONTRACTS

 

 

 

 

Long futures contracts:

 

 

 

 

Energies

0.05 

%

$

77,304 

Grains

(0.05)

 

 

(77,060)

Interest rates:

 

 

 

 

30 Year U.S. Treasury Bond (5 contracts, settlement date June 2019)

0.00 

 

 

281 

Other

0.42 

 

 

672,743 



 

 

 

 

Total interest rates

0.42 

 

 

673,024 



 

 

 

 

Livestock

(0.02)

 

 

(31,730)

Metals

0.23 

 

 

371,229 

Softs

0.00 

 

 

7,660 

Stock indices

0.35 

 

 

558,432 



 

 

 

 

Total long futures contracts

0.98 

 

 

1,578,859 



 

 

 

 

Short futures contracts:

 

 

 

 

Energies

0.01 

 

 

18,209 

Grains

0.15 

 

 

234,909 

Interest rates:

 

 

 

 

5 Year U.S. Treasury Note (10 contracts, settlement date June 2019)

0.00 

 

 

4,719 

Other

(0.26)

 

 

(419,589)

Total interest rates

(0.26)

 

 

(414,870)



 

 

 

 

Metals

(0.24)

 

 

(380,541)

Softs

0.02 

 

 

26,929 

Stock indices

(0.05)

 

 

(81,733)



 

 

 

 

Total short futures contracts

(0.37)

 

 

(597,097)



 

 

 

 

TOTAL INVESTMENTS IN FUTURES CONTRACTS − Net

0.61 

 

 

981,762 

FORWARD CURRENCY CONTRACTS

 

 

 

 

Total long forward currency contracts

(0.85)

 

 

(1,372,884)

Total short forward currency contracts

0.54 

 

 

875,992 



 

 

 

 

TOTAL INVESTMENTS IN FORWARD CURRENCY

 

 

 

 

CONTRACTS − Net

(0.31)

 

 

(496,892)

 

 

 

 

 

TOTAL

0.30 

%

$

484,870 



 

 

 

 



 

 

 

(Continued)

2

 


 













 

 

 

 

 

 



 

Nestor Partners

Condensed Schedule of Investments

March 31, 2019 (UNAUDITED)



 

 

 

 

 

 



U.S. TREASURY NOTES

 

 

 

 



Face
Amount

Description

Fair Value as a % of Partners' Capital

 

 

Fair Value



 

 

 

 

 

 

$

35,970,000 

   U.S. Treasury notes, 0.875%, 05/15/2019

22.19 

%

$

35,903,962 



34,170,000 

   U.S. Treasury notes, 0.750%, 08/15/2019

20.98 

 

 

33,953,768 



34,570,000 

   U.S. Treasury notes, 1.000%, 11/15/2019

21.17 

 

 

34,266,162 



33,270,000 

   U.S. Treasury notes, 1.375%, 02/15/2020

20.37 

 

 

32,974,338 



 

 

 

 

 

 



 

TOTAL INVESTMENTS IN U.S. TREASURY

 

 

 

 



 

NOTES (amortized cost $137,014,794)

84.71 

%

$

137,098,230 



 

 

 

 

 

 



See notes to financial statements (unaudited)

 

 

 

(Concluded)

































3

 


 

  





 

 

 

 

Nestor Partners

Condensed Schedule of Investments

December 31, 2018



 

 

 

 

Futures and Forward Currency Contracts

Net Unrealized
Appreciation/
(Depreciation) as a % of
Partners' Capital

 

 

Net Unrealized
Appreciation/
(Depreciation)



 

 

 

 

FUTURES CONTRACTS

 

 

 

 

Long futures contracts:

 

 

 

 

Energies

(0.04)

%

$

(59,830)

Grains

(0.01)

 

 

(18,510)

Interest rates:

 

 

 

 

30 Year U.S. Treasury Bond (26 contracts, settlement date March 2019)

0.01 

 

 

11,469 

Other

0.69 

 

 

1,134,495 



 

 

 

 

Total interest rates

0.70 

 

 

1,145,964 



 

 

 

 

Metals

(0.31)

 

 

(510,086)

Stock indices

(0.05)

 

 

(90,666)



 

 

 

 

Total long futures contracts

0.29 

 

 

466,872 



 

 

 

 

Short futures contracts:

 

 

 

 

Energies

2.03 

 

 

3,350,803 

Grains

0.15 

 

 

251,578 

Interest rates

(0.66)

 

 

(1,090,436)

Livestock

0.00 

 

 

810 

Metals

0.24 

 

 

396,897 

Softs

0.05 

 

 

76,581 

Stock indices

(0.14)

 

 

(225,371)



 

 

 

 

Total short futures contracts

1.67 

 

 

2,760,862 



 

 

 

 

TOTAL INVESTMENTS IN FUTURES CONTRACTS − Net

1.96 

 

 

3,227,734 

FORWARD CURRENCY CONTRACTS

 

 

 

 

Total long forward currency contracts

0.50 

 

 

820,193 

Total short forward currency contracts

(0.33)

 

 

(539,133)



 

 

 

 

TOTAL INVESTMENTS IN FORWARD CURRENCY

 

 

 

 

CONTRACTS − Net

0.17 

 

 

281,060 

 

 

 

 

 

TOTAL

2.13 

%

$

3,508,794 



 

 

 

 



 

 

 

(Continued)



4

 


 



 

 

 

 

 

 



 

Nestor Partners

Condensed Schedule of Investments

December 31, 2018



 

 

 

 

 

 



U.S. TREASURY NOTES

 

 

 

 



Face
Amount

Description

Fair Value as a % of Partners' Capital

 

 

Fair Value



 

 

 

 

 

 

$

33,270,000 

   U.S. Treasury notes, 0.750%, 02/15/2019

20.14 

%

$

33,201,120 



35,970,000 

   U.S. Treasury notes, 0.875%, 05/15/2019

21.68 

 

 

35,762,751 



34,170,000 

   U.S. Treasury notes, 0.750%, 08/15/2019

20.49 

 

 

33,789,592 



36,170,000 

   U.S. Treasury notes, 1.000%, 11/15/2019

21.62 

 

 

35,663,479 



 

 

 

 

 

 



 

TOTAL INVESTMENTS IN U.S. TREASURY

 

 

 

 



 

NOTES (amortized cost $138,456,086)

83.93 

%

$

138,416,942 



 

 

 

 

 

 



See notes to financial statements (unaudited)

 

 

 

(Concluded)

































  

5

 


 



    







 

 

 

 

 

Nestor Partners

Statements of Operations (UNAUDITED)



 

 

 

 

 



 

 

 

 

 

 

 

For the three months ended



 

March 31, 2019

 

 

March 31, 2018

INVESTMENT INCOME:

 

 

 

 

 

Interest income

$

908,523 

 

$

496,238 



 

 

 

 

 

EXPENSES:

 

 

 

 

 

Brokerage fees

 

998,952 

 

 

963,380 

Administrative expenses

 

70,000 

 

 

70,000 

Custody fees and other expenses

 

7,435 

 

 

7,361 

Total expenses

 

1,076,387 

 

 

1,040,741 



 

 

 

 

 

NET INVESTMENT LOSS

 

(167,864)

 

 

(544,503)



 

 

 

 

 

NET REALIZED AND UNREALIZED GAINS (LOSSES):

 

 

 

 

 

Net realized gains (losses) on closed positions:

 

 

 

 

 

Futures and forward currency contracts

 

5,589,590 

 

 

(15,644,752)

Foreign exchange translation

 

(36,070)

 

 

307,735 

Net change in unrealized:

 

 

 

 

 

Futures and forward currency contracts

 

(3,023,924)

 

 

6,506,036 

Foreign exchange translation

 

(49,601)

 

 

(144,829)

Net gains (losses) from U.S. Treasury notes:

 

 

 

 

 

Realized

 

8,244 

 

 

(10,317)

Net change in unrealized

 

122,580 

 

 

(12,177)

Total net realized and unrealized gains (losses)

 

2,610,819 

 

 

(8,998,304)



 

 

 

 

 

NET INCOME (LOSS)

 

2,442,955 

 

 

(9,542,807)

LESS PROFIT SHARE TO GENERAL PARTNER

 

217,717 

 

 

2,397 

NET INCOME (LOSS) AFTER PROFIT SHARE TO (FROM)

 

 

 

 

 

GENERAL PARTNER

$

2,225,238 

 

$

(9,545,204)



 

 

 

 

 

See notes to financial statements (unaudited)

 

 

 

 

(Continued)



 

 

 

 

 



















6

 


 













 

 

 

 

 

 

 

 

 

 

 

 

 

 

Nestor Partners

Statements of Changes in Partners' Capital (UNAUDITED)



 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

For the three months ended March 31, 2019:

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

Limited Partners

 

 

Special Limited Partners

 

 

New Profit Memo Account

 

 

General Partner

 

 

Total



 

 

 

 

 

 

 

 

 

 

 

 

 

 

PARTNERS' CAPITAL-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

January 1, 2019

$

96,830,015 

 

$

65,627,045 

 

$

 -

 

$

2,464,556 

 

$

164,921,616 

Contributions

 

615,000 

 

 

 -

 

 

 -

 

 

 -

 

 

615,000 

Withdrawals

 

(1,783,040)

 

 

(4,138,244)

 

 

 -

 

 

 -

 

 

(5,921,284)

Net income

 

1,186,945 

 

 

1,204,261 

 

 

 -

 

 

51,749 

 

 

2,442,955 

General Partner's allocation:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

New Profit-Accrued

 

(217,717)

 

 

 -

 

 

 -

 

 

 -

 

 

(217,717)

PARTNERS' CAPITAL-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

March 31, 2019

$

96,631,203 

 

$

62,693,062 

 

$

 -

 

$

2,516,305 

 

$

161,840,570 



 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

For the three months ended March 31, 2018:

 

 

 

 

 

 

 

 

 



 

Limited Partners

 

 

Special Limited Partners

 

 

New Profit Memo Account

 

 

General Partner

 

 

Total



 

 

 

 

 

 

 

 

 

 

 

 

 

 

PARTNERS' CAPITAL-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

January 1, 2018

$

99,284,720 

 

$

65,663,388 

 

$

 -

 

$

2,367,160 

 

$

167,315,268 

Contributions

 

3,672,750 

 

 

 -

 

 

 -

 

 

 -

 

 

3,672,750 

Withdrawals

 

(4,428,931)

 

 

(130,969)

 

 

 -

 

 

 -

 

 

(4,559,900)

Net loss

 

(5,993,950)

 

 

(3,427,259)

 

 

 -

 

 

(121,598)

 

 

(9,542,807)

General Partner's allocation:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

New Profit-Accrued

 

(2,397)

 

 

 -

 

 

 -

 

 

 -

 

 

(2,397)

PARTNERS' CAPITAL-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

March 31, 2018

$

92,532,192 

 

$

62,105,160 

 

$

 -

 

$

2,245,562 

 

$

156,882,914 



 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

See notes to financial statements (unaudited)

 

 

 

 

 

 













 

7

 


 









 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Nestor Partners

Statements of Financial Highlights (UNAUDITED)



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

For the three months ended March 31, 2019 and 2018

 

Limited
Partners

 

 

Special Limited
Partners

 



 

 

 

 

2019

 

 

2018

 

 

2019

 

 

2018

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to average capital:

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income (loss) (a)

 

 

(1.64)

%

 

(2.56)

%

 

1.32

%

 

0.39

%



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses (a)

 

 

3.88

%

 

3.80

%

 

0.92

%

 

0.85

%

Profit share allocation (b)

 

 

0.23

%

 

0.00

%

 

0.00

%

 

0.00

%

Total expenses and profit share allocation

 

4.11

%

 

3.80

%

 

0.92

%

 

0.85

%



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total return before profit share allocation (b)

 

1.26

%

 

(5.92)

%

 

2.01

%

 

(5.22)

%

Less: profit share allocation (b)

 

 

0.23

%

 

0.00

%

 

0.00

%

 

0.00

%

Total return after profit share allocation

 

1.03

%

 

(5.92)

%

 

2.01

%

 

(5.22)

%



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(a) annualized

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(b) not annualized

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 









8

 


 





NOTES TO FINANCIAL STATEMENTS (UNAUDITED)

 

1. BASIS OF PRESENTATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

 

The accompanying financial statements, in the opinion of management, include all adjustments (consisting only of normal recurring adjustments) necessary for a fair presentation of Nestor Partners’ (the “Partnership”) financial condition at March 31, 2019 (unaudited) and December 31, 2018 (audited) and the results of its operations for the three months ended March 31, 2019 and 2018 (unaudited). These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. It is suggested that these financial statements be read in conjunction with the audited financial statements and notes included in the Partnership's annual report on Form 10-K filed with the Securities and Exchange Commission for the year ended December 31, 2018. The December 31, 2018 information has been derived from the audited financial statements as of December 31, 2018.

 

The preparation of financial statements in conformity with accounting principles generally accepted (“U.S. GAAP”) in the United States of America (the “U.S.”), as detailed in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“Codification”), requires management to make estimates and assumptions that affect the amounts and disclosures reported in the financial statements. Actual results could differ from these estimates.

 

The Partnership enters into contracts that contain a variety of indemnification provisions. The Partnership’s maximum exposure under these arrangements is unknown. The Partnership does not anticipate recognizing any loss related to these arrangements.

 

The Income Taxes topic of the Codification clarifies the accounting for uncertainty in tax positions. This requires that the Partnership recognize in its financial statements the impact of any uncertain tax positions. Based on a review of the Partnership’s open tax years,  2015 to 2018, Millburn Ridgefield Corporation (the “General Partner”) has determined that no reserves for uncertain tax positions were required.



Investment Company Status: The Partnership is for U.S. GAAP purposes an investment company in accordance with FASB Codification 946 Financial Services – Investment Companies.   

 

There have been no material changes with respect to the Partnership's critical accounting policies, off-balance sheet arrangements or disclosure of contractual obligations as reported in the Partnership's Annual Report on Form 10-K for fiscal year 2018.

  

2. FAIR VALUE

 

The Fair Value Measurements and Disclosures topic of the Codification defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. The three levels of the fair value hierarchy are described below:

 

Level 1: Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;

 

Level 2: Quoted prices in markets that are not active or financial instruments for which all significant inputs are observable, either directly or indirectly; and

 

Level 3: Prices or valuations that require inputs that are both significant to the fair value measurement and unobservable.

 

In determining fair value, the Partnership separates its investments into two categories: cash instruments and derivative contracts.

 

Cash Instruments – The Partnership’s cash instruments are generally classified within Level 1 of the fair value hierarchy because they are typically valued using quoted market prices. The types of instruments valued based on quoted market prices in active markets include U.S. government obligations and an investment in a quoted short-term U.S. government securities money market fund. The General Partner does not adjust the quoted price for such instruments even in situations where the Partnership holds a large position and a sale could reasonably impact the quoted price.

 

Derivative Contracts – Derivative contracts can be exchange-traded or over-the-counter (“OTC”). Exchange-traded futures contracts are valued based on quoted closing settlement prices and typically fall within Level 1 of the fair value hierarchy.

  

Spot currency contracts are valued based on current market prices (“Spot Price”). Forward currency contracts are valued based on pricing models that consider the Spot Price, plus the financing cost or benefit (“Forward Point”). Forward Points from the quotation service providers are generally in periods of one month, two months, three months, six months, nine months and twelve months forward while the contractual forward delivery dates for the forward currency contracts traded by the Partnership may be in between these periods. The General Partner’s policy to determine fair value for forward currency contracts involves first calculating the number of months from the date the forward currency contract is being valued to its maturity date (“Months to Maturity”), then identifying the forward currency contracts for the two forward months that are closest to the Months to Maturity (“Forward Month Contracts”). Linear interpolation is then performed between the dates of these two Forward Month Contracts to calculate the interpolated Forward Point. Model inputs can generally be verified and model selection does not involve significant management judgment. Such instruments are typically classified within Level 2 of the fair value hierarchy.

9

 


 



During the three months ended March 31, 2019 and 2018, there were no transfers of assets or liabilities between Level 1 and Level 2. The following tables represent the Partnership’s investments by hierarchical level as of March 31, 2019 and December 31, 2018 in valuing the Partnership’s investments at fair value. At March 31, 2019 and December 31, 2018, the Partnership held no assets or liabilities in Level 3.

  





 

 

 

 

 

 

 

 

Financial assets at fair value as of March 31, 2019



 

 

 

 

 

 

 

 



 

Level 1

 

 

Level 2

 

 

Total



 

 

 

 

 

 

 

 

U.S. Treasury Notes (1)

$

137,098,230 

 

$

 -

 

$

137,098,230 

Short-Term Money Market Fund*

 

11,992,139 

 

 

 -

 

 

11,992,139 

Exchange-Traded Futures Contracts

 

 

 

 

 

 

 

 

Energies

 

95,513 

 

 

 -

 

 

95,513 

Grains

 

157,849 

 

 

 -

 

 

157,849 

Interest rates

 

258,154 

 

 

 -

 

 

258,154 

Livestock

 

(31,730)

 

 

 -

 

 

(31,730)

Metals

 

(9,312)

 

 

 -

 

 

(9,312)

Softs

 

34,589 

 

 

 -

 

 

34,589 

Stock indices

 

476,699 

 

 

 -

 

 

476,699 



 

 

 

 

 

 

 

 

Total exchange-traded futures contracts

 

981,762 

 

 

 -

 

 

981,762 



 

 

 

 

 

 

 

 

Over-the-Counter Forward Currency Contracts

 

 -

 

 

(496,892)

 

 

(496,892)



 

 

 

 

 

 

 

 

Total futures and forward currency contracts (2)

 

981,762 

 

 

(496,892)

 

 

484,870 



 

 

 

 

 

 

 

 

Total financial assets and liabilities at fair value

$

150,072,131 

 

$

(496,892)

 

$

149,575,239 



 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Per line item in Statements of Financial Condition

 

 

 

 

 

 

 

 

(1)

 

 

 

 

 

 

 

 

Investments in U.S. Treasury notes held in equity trading accounts as collateral

 

 

 

$

20,830,315 

Investments in U.S. Treasury notes

 

 

 

 

 

 

 

116,267,915 

Total investments in U.S. Treasury notes

 

 

 

 

 

 

$

137,098,230 



 

 

 

 

 

 

 

 

(2)

 

 

 

 

 

 

 

 

Net unrealized appreciation on open futures and forward currency contracts

 

$

981,762 

Net unrealized depreciation on open futures and forward currency contracts

 

 

(496,892)

Total net unrealized appreciation on open futures and forward currency contracts

 

$

484,870 



 

 

 

 

 

 

 

 

*The short-term money market fund is included in Cash and Cash Equivalents on the Statements of Financial Condition.



 

 

 

 

 

 

 

 





10

 


 









 

 

 

 

 

 

 

 

Financial assets and liabilities at fair value as of December 31, 2018



 

 

 

 

 

 

 

 



 

Level 1

 

 

Level 2

 

 

Total



 

 

 

 

 

 

 

 

U.S. Treasury Notes (1)

$

138,416,942 

 

$

 -

 

$

138,416,942 

Short-Term Money Market Fund*

 

14,354,941 

 

 

 -

 

 

14,354,941 

Exchange-Traded Futures Contracts

 

 

 

 

 

 

 

 

Energies

 

3,290,973 

 

 

 -

 

 

3,290,973 

Grains

 

233,068 

 

 

 -

 

 

233,068 

Interest rates

 

55,528 

 

 

 -

 

 

55,528 

Livestock

 

810 

 

 

 -

 

 

810 

Metals

 

(113,189)

 

 

 -

 

 

(113,189)

Softs

 

76,581 

 

 

 -

 

 

76,581 

Stock indices

 

(316,037)

 

 

 -

 

 

(316,037)



 

 

 

 

 

 

 

 

Total exchange-traded futures contracts

 

3,227,734 

 

 

 -

 

 

3,227,734 



 

 

 

 

 

 

 

 

Over-the-Counter Forward Currency Contracts

 

 -

 

 

281,060 

 

 

281,060 



 

 

 

 

 

 

 

 

Total futures and forward currency contracts (2)

 

3,227,734 

 

 

281,060 

 

 

3,508,794 



 

 

 

 

 

 

 

 

Total financial assets and liabilities at fair value

$

155,999,617 

 

$