Company Quick10K Filing
Ceres Orion
10-Q 2020-06-30 Filed 2020-08-11
10-Q 2020-03-31 Filed 2020-05-11
10-K 2019-12-31 Filed 2020-03-30
10-Q 2019-09-30 Filed 2019-11-07
10-Q 2019-06-30 Filed 2019-08-08
10-Q 2019-03-31 Filed 2019-05-09
10-K 2018-12-31 Filed 2019-03-26
10-Q 2018-09-30 Filed 2018-11-08
10-Q 2018-06-30 Filed 2018-08-09
10-Q 2018-03-31 Filed 2018-05-10
10-K 2017-12-31 Filed 2018-03-28
10-Q 2017-09-30 Filed 2017-11-13
10-Q 2017-06-30 Filed 2017-08-10
10-Q 2017-03-31 Filed 2017-05-11
10-K 2016-12-31 Filed 2017-03-28
10-Q 2016-09-30 Filed 2016-11-10
10-Q 2016-06-30 Filed 2016-08-11
10-Q 2016-03-31 Filed 2016-05-12
10-K 2015-12-31 Filed 2016-03-28
10-Q 2015-09-30 Filed 2015-11-12
10-Q 2015-06-30 Filed 2015-08-12
10-Q 2015-03-31 Filed 2015-05-13
10-K 2014-12-31 Filed 2015-03-30
10-Q 2014-09-30 Filed 2014-11-13
10-Q 2014-06-30 Filed 2014-08-13
10-Q 2014-03-31 Filed 2014-05-14
10-K 2013-12-31 Filed 2014-03-28
10-Q 2013-09-30 Filed 2013-11-14
10-Q 2013-06-30 Filed 2013-08-14
10-Q 2013-03-31 Filed 2013-05-20
10-K 2012-12-31 Filed 2013-03-27
10-Q 2012-09-30 Filed 2012-11-14
10-Q 2012-06-30 Filed 2012-08-14
10-Q 2012-03-31 Filed 2012-05-15
10-K 2011-12-31 Filed 2012-03-30
10-Q 2011-09-30 Filed 2011-11-14
10-Q 2011-06-30 Filed 2011-08-15
10-Q 2011-03-31 Filed 2011-05-16
10-K 2010-12-31 Filed 2011-03-31
10-Q 2010-09-30 Filed 2010-11-12
10-Q 2010-06-30 Filed 2010-08-16
10-Q 2010-03-31 Filed 2010-05-17
10-K 2009-12-31 Filed 2010-03-31
8-K 2020-07-01 Enter Agreement, Exhibits
8-K 2020-02-01
8-K 2019-12-13
8-K 2019-09-01
8-K 2019-08-23
8-K 2019-08-01
8-K 2019-04-01
8-K 2019-03-06
8-K 2019-01-31
8-K 2018-10-31
8-K 2018-09-15
8-K 2018-04-01
8-K 2018-02-28
8-K 2018-01-26
8-K 2018-01-19

OFFLP 10Q Quarterly Report

Part I. Financial Information
Item 1. Financial Statements.
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 2. Unregistered Sales of Equity Securities and Use of Proceeds.
Item 3. Defaults Upon Senior Securities. - None.
Item 4. Mine Safety Disclosures. - Not Applicable.
Item 5. Other Information.
Item 6. Exhibits.
EX-31.1 d890446dex311.htm
EX-31.2 d890446dex312.htm
EX-32.1 d890446dex321.htm
EX-32.2 d890446dex322.htm

Ceres Orion Earnings 2020-06-30

Balance SheetIncome StatementCash Flow

10-Q 1 d890446d10q.htm 10-Q 10-Q

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, 2020

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)

Securities registered pursuant to Section 12(b) of the Act: None.

 

Title of each class    Trading Symbol(s)    Name of each exchange on which registered
N/A    N/A    N/A

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 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 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, 2020, 145,048.3168 Limited Partnership Class A Redeemable Units were outstanding and 4,053.0082 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,   December 31,
     2020   2019
     (Unaudited)  

 

Assets:

    

Investment in the Funds(1), at fair value

     $ 220,639,021       $ 330,936,811  

Redemptions receivable from the Funds

     6,950,770       11,850,318  

Equity in trading account:

    

Unrestricted cash

     148,728,995       117,008,427  

Restricted cash

     37,028,151       44,439,575  

Options purchased, at fair value (premiums paid $270,660 and $0 at June 30, 2020 and December 31, 2019, respectively)

     198,150       -      
  

 

 

 

 

 

 

 

Total equity in trading account

     185,955,296       161,448,002  
  

 

 

 

 

 

 

 

Interest receivable

     15,792       155,105  
  

 

 

 

 

 

 

 

Total assets

     $ 413,560,879       $ 504,390,236  
  

 

 

 

 

 

 

 

Liabilities and Partners’ Capital:

    

Liabilities:

    

Net unrealized depreciation on open futures contracts

     $ 3,206,394       $ 1,758,548  

Options written, at fair value (premiums received $21,250 and $0 at June 30, 2020 and December 31, 2019, respectively)

     9,265       -      

Accrued expenses:

    

Ongoing selling agent fees

     666,890       2,814,316  

Management fees

     327,970       411,567  

General Partner fees

     255,807       312,127  

Incentive fees

     256,036       2,013,630  

Professional fees

     387,399       414,915  

Redemptions payable to Limited Partners

     12,683,835       13,393,882  
  

 

 

 

 

 

 

 

Total liabilities

     17,793,596       21,118,985  
  

 

 

 

 

 

 

 

Partners’ Capital:

    

General Partner, Class Z, 5,058.6813 Redeemable Units outstanding at June 30, 2020 and December 31, 2019

     5,329,895       5,594,958  

Limited Partners, Class A, 149,310.0748 and 173,135.1328 Redeemable Units outstanding at June 30, 2020 and December 31, 2019, respectively

     386,112,480       472,470,787  

Limited Partners, Class Z, 4,104.8302 and 4,706.5572 Redeemable Units outstanding at June 30, 2020 and December 31, 2019, respectively

     4,324,908       5,205,506  
  

 

 

 

 

 

 

 

Total partners’ capital (net asset value)

     395,767,283       483,271,251  
  

 

 

 

 

 

 

 

Total liabilities and partners’ capital

     $     413,560,879       $     504,390,236  
  

 

 

 

 

 

 

 

Net asset value per Redeemable Unit:

    

Class A

     $ 2,585.98       $ 2,728.91  
  

 

 

 

 

 

 

 

Class Z

     $ 1,053.61        $ 1,106.01   
  

 

 

 

 

 

 

 

(1) Defined in Note 1.

See accompanying notes to financial statements.

 

1


Ceres Orion L.P.

Condensed Schedule of Investments

June 30, 2020

(Unaudited)

 

                                                                                   
     Number of          % of Partners’  
     Contracts      Fair Value   Capital  

Futures Contracts Purchased

       

Currencies

     257        $ (200,845     (0.05) 

Energy

     16,216        9,589,703       2.42    

Grains

     8,264        130,360       0.03    

Indices

     937        361,779       0.09    

Interest Rates U.S.

     879        287,579       0.07    

Interest Rates Non-U.S.

     14,242        1,495,726       0.38    

Livestock

     3,150        (4,316,790     (1.09)   

Metals

     2,148        3,865,710       0.98    

Softs

     4,754        (3,690,798     (0.93)   
     

 

 

 

 

 

 

 

Total futures contracts purchased

        7,522,424       1.90    
     

 

 

 

 

 

 

 

Futures Contracts Sold

       

Currencies

     443        487,581       0.12    

Energy

     6,318        (7,714,651     (1.95)   

Grains

     8,827        (221,220     (0.06)   

Indices

     867        (1,801,194     (0.46)   

Interest Rates Non-U.S.

     668        (127,936     (0.03)   

Livestock

     3,030        497,625       0.13    

Metals

     1,364        (2,765,342     (0.69)   

Softs

     5,096        916,319       0.23    
     

 

 

 

 

 

 

 

Total futures contracts sold

        (10,728,818     (2.71)   
     

 

 

 

 

 

 

 

Net unrealized depreciation on open futures contracts

        $ (3,206,394     (0.81) 
     

 

 

 

 

 

 

 

Options Purchased

       

Calls

       

Energy

     643        $ 198,150       0.05  
     

 

 

 

 

 

 

 

Total options purchased (premiums paid   $270,660)

        $ 198,150       0.05  
     

 

 

 

 

 

 

 

Options Written

       

Calls

       

Energy

     85        $ (9,265     (0.00)  *% 
     

 

 

 

 

 

 

 

Total options written (premiums received   $21,250)

        $ (9,265     (0.00)  *% 
     

 

 

 

 

 

 

 

Investment in the Funds

       

CMF Winton Master L.P.

        $ 16,190,416       4.09  

CMF TT II, LLC

        99,823,148       25.22    

CMF FORT Contrarian Master Fund LLC

        88,633,925       22.40    

CMF NL Master Fund LLC

        15,991,532       4.04    
     

 

 

 

 

 

 

 

Total investment in the Funds

        $ 220,639,021       55.75  
     

 

 

 

 

 

 

 

 

*

Due to rounding.

See accompanying notes to financial statements.

 

2


Ceres Orion L.P.

Condensed Schedule of Investments

December 31, 2019

 

                                                                                   
     Number of          % of Partners’  
     Contracts      Fair Value   Capital  

Futures Contracts Purchased

       

Currencies

     3,451        $ 995,485       0.21  

Energy

     7,974        15,241,977       3.15    

Grains

     14,839        8,666,809       1.79    

Indices

     2,675        58,400       0.01    

Interest Rates U.S.

     16        (27,500     (0.01)   

Interest Rates Non-U.S.

     8,237        (3,009,347     (0.62)   

Livestock

     2,783        1,536,513       0.32    

Metals

     2,283        2,466,858       0.51    

Softs

     10,384        9,976,106       2.07    
     

 

 

 

 

 

 

 

Total futures contracts purchased

        35,905,301       7.43    
     

 

 

 

 

 

 

 

Futures Contracts Sold

       

Currencies

     435        (165,465     (0.03)   

Energy

     8,739        (7,074,868     (1.46)   

Grains

     13,303        (13,462,345     (2.79)   

Indices

     951        414,377       0.09    

Interest Rates U.S.

     845        37,969       0.01    

Interest Rates Non-U.S.

     1,758        497,250       0.10    

Livestock

     2,329        (879,773     (0.18)   

Metals

     2,065        (3,077,203     (0.64)   

Softs

     9,846        (13,953,791     (2.89)   
     

 

 

 

 

 

 

 

Total futures contracts sold

        (37,663,849     (7.79)   
     

 

 

 

 

 

 

 

Net unrealized depreciation on open futures contracts

        $ (1,758,548     (0.36) 
     

 

 

 

 

 

 

 

Investment in the Funds

       

CMF Winton Master L.P.

        $ 77,128,248       15.96  

CMF TT II, LLC

        119,608,248       24.75    

CMF FORT Contrarian Master Fund LLC

        116,899,563       24.19    

CMF NL Master Fund LLC

        17,300,752       3.58    
     

 

 

 

 

 

 

 

Total investment in the Funds

        $ 330,936,811       68.48  
     

 

 

 

 

 

 

 

See accompanying notes to financial statements.

 

3


Ceres Orion L.P.

Statements of Income and Expenses

(Unaudited)

 

                                                                                       
     Three Months Ended   Six Months Ended
     June 30,   June 30,
     2020   2019   2020   2019

Investment Income:

        

Interest income

     $ 41,291       $ 673,546       $ 434,264       $ 1,105,220  

Interest income allocated from the Funds

     41,163       2,046,969       838,630       4,556,969  
  

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total investment income

     82,454       2,720,515       1,272,894       5,662,189  
  

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses:

        

Expenses allocated from the Funds

     482,349       727,683       1,229,458       1,493,614  

Clearing fees related to direct investments

     841,126       1,454,628       2,471,583       2,527,432  

Ongoing selling agent fees

     1,250,404       2,477,260       2,460,376       6,554,580  

Management fees

     1,061,339       1,409,275       2,301,898       2,864,937  

General Partner fees

     806,484       1,046,236       1,707,726       2,143,892  

Incentive fees

     119,673       2,193,341       3,430,316       2,505,008  

Professional fees

     266,946       312,508       529,676       633,528  
  

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses

     4,828,321       9,620,931       14,131,033       18,722,991  
  

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment loss

     (4,745,867     (6,900,416     (12,858,139     (13,060,802
  

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trading Results:

        

Net gains (losses) on trading of commodity interests and investment in the Funds:

        

Net realized gains (losses) on closed contracts

     (6,053,535     (13,950,590     11,430,822       2,407,582  

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

     3,527,973       13,767,672       (23,462,435     17,273,393  

Net change in unrealized gains (losses) on open contracts

     (1,179,991     21,177,421       (870,080     8,825,828  

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

     (7,707,687     (7,282,711     2,740,178       13,723,745  
  

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total trading results

     (11,413,240     13,711,792       (10,161,515     42,230,548  
  

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net income (loss)

     $ (16,159,107     $ 6,811,376       $ (23,019,654     $ 29,169,746  
  

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net income (loss) per Redeemable Unit*:

        

Class A

     $ (102.17     $ 32.95       $ (142.93     $ 139.61  
  

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Class Z

     $ (38.60     $ 18.13       $ (52.40     $ 68.17  
  

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average Redeemable Units outstanding:

        

Class A

     157,910.3785       199,074.2741       164,289.5576       209,136.5320  
  

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Class Z

     9,641.3628       9,668.2715       9,703.3007       10,141.2268  
  

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

*

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

See accompanying notes to financial statements.

 

4


Ceres Orion L.P.

Statements of Changes in Partners’ Capital

For the Three and Six Months Ended June 30, 2020 and 2019

(Unaudited)

 

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

Partners’ Capital, December 31, 2018

     $ 595,031,425       228,146.2478       $ 11,027,050       10,663.8345       $ 606,058,475       238,810.0823  

Subscriptions - Limited Partners

     3,048,208       1,167.7820       20,000       19.5530       3,068,208       1,187.3350  

Redemptions - General Partner

     -           -           (1,590,064     (1,436.9980     (1,590,064     (1,436.9980

Redemptions - Limited Partners

     (106,112,471     (39,915.4380     (318,605     (299.5600     (106,431,076     (40,214.9980

Net income (loss)

     28,446,622       -           723,124       -           29,169,746       -      
  

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Partners’ Capital, June 30, 2019

     $ 520,413,784       189,398.5918       $ 9,861,505       8,946.8295       $ 530,275,289       198,345.4213  
  

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Partners’ Capital, March 31, 2019

     $ 555,054,777       204,457.2408       $ 11,376,827       10,494.2515       $ 566,431,604       214,951.4923  

Subscriptions - Limited Partners

     650,000       239.2160       -           -           650,000       239.2160  

Redemptions - General Partner

     -           -           (1,590,064     (1,436.9980     (1,590,064     (1,436.9980

Redemptions - Limited Partners

     (41,905,311     (15,297.8650     (122,316     (110.4240     (42,027,627     (15,408.2890

Net income (loss)

     6,614,318       -           197,058       -           6,811,376       -      
  

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Partners’ Capital, June 30, 2019

     $ 520,413,784       189,398.5918       $ 9,861,505       8,946.8295       $ 530,275,289       198,345.4213  
  

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

Partners’ Capital, December 31, 2019

     $ 472,470,787       173,135.1328       $ 10,800,464       9,765.2385       $ 483,271,251       182,900.3713  

Subscriptions - Limited Partners

     2,472,734       912.3750       25,000       22.8890       2,497,734       935.2640  

Redemptions - Limited Partners

     (66,317,648     (24,737.4330     (664,400     (624.6160     (66,982,048     (25,362.0490

Net income (loss)

     (22,513,393     -           (506,261     -           (23,019,654     -      
  

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Partners’ Capital, June 30, 2020

     $ 386,112,480       149,310.0748       $ 9,654,803       9,163.5115       $ 395,767,283       158,473.5863  
  

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Partners’ Capital, March 31, 2020

     $ 435,780,585       162,111.9798       $ 10,513,772       9,626.1035       $ 446,294,357       171,738.0833  

Subscriptions - Limited Partners

     1,308,437       487.1300       25,000       22.8890       1,333,437       510.0190  

Redemptions - Limited Partners

     (35,188,969     (13,289.0350     (512,435     (485.4810     (35,701,404     (13,774.5160

Net income (loss)

     (15,787,573     -           (371,534     -           (16,159,107     -      
  

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Partners’ Capital, June 30, 2020

     $ 386,112,480       149,310.0748       $ 9,654,803       9,163.5115       $ 395,767,283       158,473.5863  
  

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

See accompanying notes to financial statements.

 

5


Ceres Orion L.P.

Notes to Financial Statements

(Unaudited)

 

1.

Organization:

Ceres Orion 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, United States (“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 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, the general partner of Winton Master (as defined below) and is the trading manager (the “Trading Manager”) of Transtrend Master (as defined below), FORT Contrarian Master (as defined below) and NL 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, 2020, all trading decisions were made for the Partnership by Winton Capital Management Limited (“Winton”), Transtrend B.V. (“Transtrend”), FORT L.P. (“FORT”), John Street Capital Limited (“JSCL”), Northlander Commodity Advisors LLP (“Northlander”) and Pan Capital Management L.P. (“Pan”) (each an “Advisor” and, collectively, the “Advisors”), each of which is a registered commodity trading advisor. On January 31, 2019, the Partnership fully redeemed its investment in CMF Willowbridge Master Fund L.P. (“Willowbridge Master”). Also effective January 31, 2019, Willowbridge Associates Inc. (“Willowbridge”) ceased to act as a commodity trading advisor to the Partnership. References herein to the “Advisors” may include, as relevant, John Street (as defined below) and Willowbridge. 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 a managed account in the Partnership’s name, 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.

Effective on February 1, 2020, Pan directly trades the Partnership’s assets allocated to it through a managed account in the name of the Partnership pursuant to Pan’s Energy Trading Program.

From February 1, 2019 until December 12, 2019, John Street Capital LLP (“John Street”) directly traded the Partnership’s assets allocated to it through a managed account in the name of the Partnership pursuant to John Street’s Systematic Strategy Program. On December 13, 2019, the Partnership, the General Partner, John Street, and JSCL entered into a deed of novation (the “JSCL Novation Agreement”) transferring all rights and obligations of John Street to JSCL. JSCL directly trades the Partnership’s assets allocated to it through a managed account in the name of the Partnership pursuant to the Systematic Strategy Program.

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, 2020 and 2019, 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 contract counterparty for certain Funds.

 

 

6


Ceres Orion L.P.

Notes to Financial Statements

(Unaudited)

 

The Partnership, CMF Winton Master L.P. (“Winton Master”) and CMF TT II, LLC (“Transtrend Master”) have, and prior to its termination, Willowbridge Master had, entered into futures brokerage account agreements and foreign exchange brokerage account agreements with MS&Co. CMF FORT Contrarian Master Fund LLC (“FORT Contrarian Master”) and CMF NL Master Fund LLC (“NL Master”) have entered into futures brokerage account agreements with MS&Co. Winton Master, Transtrend Master, FORT Contrarian Master and NL Master are collectively referred to as the “Funds.” References herein to “Funds” may also include, as relevant, Willowbridge Master.

Effective July 12, 2017, Winton Master, Transtrend Master and until its termination, 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 was 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. During the period covered by this report, the ongoing selling agent fee was $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. The ongoing selling agent fee for Class A Redeemable Units did not exceed 2.00% of adjusted month-end net assets per year, calculated monthly. Class Z Redeemable Units are not subject to an ongoing selling agent fee. The ongoing selling agent fee amount was 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 Class A Redeemable Units, and such additional selling agents may share all or a substantial portion of such fees with their properly registered or exempted financial advisors who have sold Class A Redeemable Units.

As of November 1, 2018, the Partnership entered into an alternative investment placement agent agreement (the “Harbor Selling Agreement”), by and among the Partnership, the General Partner, Morgan Stanley Distribution Inc. (“MSDI”), and Harbor Investment Advisory, LLC, a Maryland limited liability company (“Harbor”), which supersedes and replaces the alternative investment selling agent agreement, dated January 19, 2018, between the Partnership, the General Partner and Harbor. Pursuant to the Harbor Selling Agreement, MSDI and Harbor have been appointed as a non-exclusive selling agent and sub-selling agent, respectively, 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 for Harbor 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 of the Partnership, who had acquired such Redeemable Units prior to such holders becoming clients of Harbor. The Harbor Selling Agreement continues in effect until September 30, 2020 unless terminated in certain circumstances as set forth in the Harbor Selling Agreement, including by any party on thirty days’ prior written notice, after which the General Partner or the Partnership may, in its sole discretion, renew the Harbor Selling Agreement for additional one-year periods. Pursuant to the Harbor Selling Agreement, during the period covered by this report, the Partnership paid 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 was reduced by applicable floor brokerage fees. The ongoing selling agent fee for Class A Redeemable Units did not exceed 2.00% of adjusted month-end net assets per year, calculated monthly.

The General Partner fee, 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.

The General Partner has 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.

 

7


Ceres Orion L.P.

Notes to Financial Statements

(Unaudited)

 

2.

Basis of Presentation and Summary of Significant Accounting Policies:

The accompanying financial statements and accompanying notes are unaudited but, in the opinion of the General Partner, include all adjustments, consisting only of normal recurring adjustments, necessary for a fair presentation of the Partnership’s financial condition at June 30, 2020 and the results of its operations and changes in partners’ capital for the three and six months ended June 30, 2020 and 2019. 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, 2019. The December 31, 2019 information has been derived from the audited financial statements as of and for the year ended December 31, 2019.

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, 2020 and 2019, 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 based on Winton Master’s net asset value per redeemable unit as calculated by Winton Master. The Partnership carries its investment in Transtrend Master, FORT Contrarian Master and NL Master based on the Partnership’s (1) net contributions to Transtrend Master, FORT Contrarian Master and NL 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, FORT Contrarian Master and NL Master. The Partnership carried its investment in Willowbridge Master based on Willowbridge Master’s net asset value per redeemable unit as calculated by Willowbridge 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 (as described in Note 5, “Fair Value Measurements”) at the measurement date. Investments in commodity interests denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Gains or losses are realized when contracts are liquidated and are determined using the first-in, first-out method. Unrealized gains or losses on open contracts are included as a component of equity in trading account in the 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, 2020 and December 31, 2019, the amount of cash held for margin requirements was $37,028,151 and $44,439,575, 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 $33,175,068 (cost of $32,418,977) and $10,541,351 (cost of $10,423,551) at June 30, 2020 and December 31, 2019, respectively.

 

8


Ceres Orion L.P.

Notes to Financial Statements

(Unaudited)

 

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 Partnership’s 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 2016 through 2019 tax years remain subject to examination by U.S. federal and most state tax authorities.

Investment Company Status. The Partnership has been deemed to be an investment company since inception. Accordingly, the Partnership follows the investment company accounting and reporting guidance of Accounting Standards Update 2013-08 “Financial Services—Investment Companies (Topic 946): Amendments to the Scope, Measurement and Disclosure Requirements” 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, 2019.

 

9


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, 2020 and 2019 were as follows:

 

     Three Months Ended
June 30, 2020
  Three Months Ended
June 30, 2019
  Six Months Ended
June 30, 2020
  Six Months Ended
June 30, 2019
     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)

     $ (72.65     $ (29.87     $ 67.19       $ 26.87       $ (66.13     $ (27.63     $ 201.47       $ 80.44  

Net investment loss

     (29.52     (8.73     (34.24     (8.74     (76.80     (24.77     (61.86     (12.27
  

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Increase (decrease) for the period

     (102.17     (38.60     32.95       18.13       (142.93     (52.40     139.61       68.17  

Net asset value per Redeemable Unit, beginning of period

     2,688.15       1,092.21       2,714.77       1,084.10       2,728.91       1,106.01       2,608.11       1,034.06  
  

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value per Redeemable Unit, end of period

     $ 2,585.98       $ 1,053.61       $ 2,747.72       $ 1,102.23       $ 2,585.98       $ 1,053.61       $ 2,747.72       $ 1,102.23  
  

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

                                                                                                                               
      Three Months Ended 
June  30, 2020
     Three Months Ended 
June  30, 2019
     Six Months Ended 
June  30, 2020
     Six Months Ended 
June  30, 2019
 
     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***

     (4.4)      (3.2)      (3.9)      (2.0)      (5.1)      (3.8)      (4.3)      (2.0) 
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Operating expenses

     4.5       3.3       5.5       3.6       4.8       3.7       5.9       3.5  

Incentive fees

     0.0   %****      0.0   %****      0.4       0.4       0.8       0.7       0.4       0.5  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     4.5       3.3       5.9       4.0       5.6       4.4       6.3       4.0  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total return:

                

Total return before incentive fees

     (3.8)      (3.5)      1.6       2.1       (4.5)      (4.0)      5.8       7.1  

Incentive fees

     (0.0)  %****      (0.0)  %****      (0.4)      (0.4)      (0.7)      (0.7)      (0.4)      (0.5) 
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total return after incentive fees

     (3.8)      (3.5)      1.2       1.7       (5.2)      (4.7)      5.4       6.6  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

*

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.

 

10


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 Partnership’s 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 foreign exchange brokerage account agreements and/or futures brokerage account agreements with MS&Co. or JPMorgan, as applicable, 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, 2020 and 2019 was 68,434 and 88,393, respectively. The monthly average number of futures contracts traded directly by the Partnership during the six months ended June 30, 2020 and 2019 was 74,777 and 76,278, respectively. The monthly average number of option contracts traded directly by the Partnership during the three months ended June 30, 2020 and 2019 was 643 and 0, respectively. The monthly average number of option contracts traded directly by the Partnership during the six months ended June 30, 2020 and 2019 was 512 and 0, respectively.

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. for direct trading are borne by the Partnership. In addition, clearing fees are borne by the Funds and are allocated to the limited partners/members, including the Partnership.

 

11


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 arrangements or similar agreements as of June 30, 2020 and December 31, 2019, respectively.

 

                                                                                                                                   
     Gross
Amounts
Recognized
  Gross Amounts
Offset in the

Statements of
Financial
Condition
  Amounts
Presented in  the

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

June 30, 2020

  Financial
Instruments
   Cash Collateral
Received/ Pledged*

Assets

              

Futures

     $ 31,448,691       $ (31,448,691     $ -           $ -            $ -            $ -      
  

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

  

 

 

 

  

 

 

 

Total assets

     $ 31,448,691       $ (31,448,691     $ -           $ -            $ -            $ -      
  

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

  

 

 

 

  

 

 

 

Liabilities

              

Futures

     $ (34,655,085     $ 31,448,691       $ (3,206,394     $ -            $ 3,206,394        $ -      
  

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

  

 

 

 

  

 

 

 

Total liabilities

     $ (34,655,085     $ 31,448,691       $ (3,206,394     $ -            $ 3,206,394        $ -      
  

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

  

 

 

 

  

 

 

 

Net fair value

                 $ -    
              

 

 

 

 

                                                                                                                                   
     Gross
Amounts
Recognized
  Gross Amounts
Offset in the

Statements of
Financial
Condition
  Amounts
Presented in  the

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

December 31, 2019

  Financial
Instruments
   Cash Collateral
Received/ Pledged*

Assets

              

Futures

     $ 55,074,542       $ (55,074,542     $ -           $ -            $ -            $ -      
  

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

  

 

 

 

  

 

 

 

Total assets

     $ 55,074,542       $ (55,074,542     $ -           $ -            $ -            $ -      
  

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

  

 

 

 

  

 

 

 

Liabilities

              

Futures

     $ (56,833,090     $ 55,074,542       $ (1,758,548     $ -            $ 1,758,548        $ -      
  

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

  

 

 

 

  

 

 

 

Total liabilities

     $ (56,833,090     $ 55,074,542       $ (1,758,548     $ -            $ 1,758,548        $ -      
  

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

  

 

 

 

  

 

 

 

Net fair value

                 $ -    
              

 

 

 

 

*

In the event of default by the Partnership, MS&Co., the Partnership’s commodity futures broker 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. In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization.

 

12


Ceres Orion L.P.

Notes to Financial Statements

(Unaudited)

 

The following tables indicate the gross fair values of derivative instruments of futures and option contracts, as applicable, held directly by the Partnership as separate assets and liabilities as of June 30, 2020 and December 31, 2019, respectively.

 

                     
     June 30, 2020  

Assets

  

Futures Contracts

  

Currencies

     $ 515,371    

Energy

     14,503,870    

Grains

     5,123,049    

Indices

     1,277,958    

Interest Rates U.S.

     287,634    

Interest Rates Non-U.S.

     1,579,248    

Livestock

     1,014,683    

Metals

     3,939,905    

Softs

     3,206,973    
  

 

 

 

Total unrealized appreciation on open futures contracts

     31,448,691    
  

 

 

 

Liabilities

  

Futures Contracts

  

Currencies

     (228,635)   

Energy

     (12,628,818)   

Grains

     (5,213,909)   

Indices

     (2,717,373)   

Interest Rates U.S.

     (55)   

Interest Rates Non-U.S.

     (211,458)   

Livestock

     (4,833,848)   

Metals

     (2,839,537)   

Softs

     (5,981,452)   
  

 

 

 

Total unrealized depreciation on open futures contracts

     (34,655,085)   
  

 

 

 

Net unrealized depreciation on open futures contracts

     $             (3,206,394) 
  

 

 

 

Assets

  

Options Purchased

  

Energy

     $ 198,150    
  

 

 

 

Total options purchased

     $ 198,150   ** 
  

 

 

 

Liabilities

  

Options Written

  

Energy

     $ (9,265)   
  

 

 

 

Total options written

     $ (9,265)  *** 
  

 

 

 

 

*

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

**

This amount is in “Options purchased, at fair value” in the Statements of Financial Condition.

***

This amount is in “Options written, at fair value” in the Statements of Financial Condition.

 

13


Ceres Orion L.P.

Notes to Financial Statements

(Unaudited)

 

                     
         December 31, 2019      

Assets

  

Futures Contracts

  

Currencies

     $ 1,024,103    

Energy

     24,040,293    

Grains

     10,257,434    

Indices

     1,185,547    

Interest Rates U.S.

     74,820    

Interest Rates Non-U.S.

     598,379    

Livestock

     1,800,915    

Metals

     2,685,053    

Softs

     13,407,998    
  

 

 

 

Total unrealized appreciation on open futures contracts

     55,074,542    
  

 

 

 

Liabilities

  

Futures Contracts

  

Currencies

     (194,083)   

Energy

     (15,873,184)   

Grains

     (15,052,970)   

Indices

     (712,770)   

Interest Rates U.S.

     (64,351)   

Interest Rates Non-U.S.

     (3,110,476)   

Livestock

     (1,144,175)   

Metals

     (3,295,398)   

Softs

     (17,385,683)   
  

 

 

 

Total unrealized depreciation on open futures contracts

     (56,833,090)   
  

 

 

 

Net unrealized depreciation on open futures contracts

     $             (1,758,548) 
  

 

 

 

 

*

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

 

14


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, 2020 and 2019, respectively.

 

                                                                                       
     Three Months Ended June 30,     Six Months Ended June 30,  

Sector

   2020     2019     2020     2019  

Currencies

     $ 468,824         $ (810,777)        $ (2,016,385)        $ (9,202)   

Energy

     (3,741,278)        (2,641,175)        10,677,513         877,810    

Grains

     (286,404)        (1,169)        (105,434)        (2,431,321)   

Indices

     (1,135,685)        (2,154,231)        (5,105,862)        (2,669,361)   

Interest Rates U.S.

     198,383         52,805         (1,184,516)        (369,289)   

Interest Rates Non-U.S.

     2,175,036         4,753,766         12,707,368         8,845,593    

Livestock

     (5,509,711)        3,363,126         (10,387,627)        3,549,719    

Metals

     1,836,840         3,213,206         8,277,658         1,740,146    

Softs

     (1,239,531)        1,451,280         (2,301,973)        1,699,315    
  

 

 

   

 

 

   

 

 

   

 

 

 

Total

     $           (7,233,526)  ****      $           7,226,831   ****      $           10,560,742   ****      $           11,233,410   **** 
  

 

 

   

 

 

   

 

 

   

 

 

 

 

****

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, 2020 and December 31, 2019 and for the periods ended June 30, 2020 and 2019, 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).

 

15


Ceres Orion L.P.

Notes to Financial Statements

(Unaudited)

 

                                                                                                                           

June 30, 2020            

   Total    Level 1    Level 2    Level 3

Assets

           

Futures

     $ 31,448,691        $ 31,448,691        $ -            $ -      

Options purchased

     198,150        198,150        -            -      
  

 

 

 

  

 

 

 

  

 

 

 

  

 

 

 

Total assets

     $ 31,646,841        $ 31,646,841        $ -            $ -      
  

 

 

 

  

 

 

 

  

 

 

 

  

 

 

 

Liabilities

           

Futures

     $ 34,655,085        $ 34,655,085        $ -            $ -      

Options written

     9,265        9,265        -            -      
  

 

 

 

  

 

 

 

  

 

 

 

  

 

 

 

Total liabilities

     $ 34,664,350        $ 34,664,350        $ -            $ -      
  

 

 

 

  

 

 

 

  

 

 

 

  

 

 

 

December 31, 2019    

   Total    Level 1    Level 2    Level 3

Assets

           

Futures

     $ 55,074,542        $ 55,074,542        $ -            $ -      
  

 

 

 

  

 

 

 

  

 

 

 

  

 

 

 

Total assets

     $ 55,074,542        $ 55,074,542        $ -            $ -      
  

 

 

 

  

 

 

 

  

 

 

 

  

 

 

 

Liabilities

           

Futures

     $ 56,833,090        $ 56,833,090        $ -            $ -      
  

 

 

 

  

 

 

 

  

 

 

 

  

 

 

 

Total liabilities

     $ 56,833,090        $ 56,833,090        $ -            $ -      
  

 

 

 

  

 

 

 

  

 

 

 

  

 

 

 

 

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 Diversified Macro Strategies (formerly, 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. The amount of leverage may be increased or decreased in the future.

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. The General Partner is also the Trading Manager of Transtrend Master. Individual and pooled accounts managed by Transtrend, including the Partnership, are permitted to be members of Transtrend Master. The Trading Manager and Transtrend believe that trading through this structure promotes efficiency and economy in the trading process.

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 amount of leverage may be increased or decreased in the future.

On April 1, 2019, the assets allocated to Northlander for trading were invested in NL Master, a limited liability company organized under the limited liability company laws of the State of Delaware. NL Master permits accounts managed by Northlander using the Northlander Commodity Program, a proprietary, discretionary trading system, to invest together in one trading vehicle. The General Partner is also the Trading Manager of NL Master. Individual and pooled accounts currently managed by Northlander, including the Partnership, are permitted to be members of NL Master. The Trading Manager and Northlander believe that trading through this structure promotes efficiency and economy in the trading process.

 

16


Ceres Orion L.P.

Notes to Financial Statements

(Unaudited)

 

On August 1, 2014, the assets allocated to Willowbridge for trading were invested in Willowbridge Master, a limited partnership organized under the partnership laws of the State of New York. The Partnership fully redeemed its investment in Willowbridge Master on January 31, 2019.

The General Partner is not aware of any material changes to any of the trading programs discussed above or in Note 1, “Organization” during the fiscal quarter ended June 30, 2020.

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, a limited partner/member may request a withdrawal as of the end of any day if such request is received by the General Partner/Trading Manager at least three days in advance of the proposed withdrawal day.

Management fees, ongoing selling agent fees, the General Partner fee 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/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 are also charged directly at the Partnership level.

As of June 30, 2020, the Partnership owned approximately 17.7% of Winton Master, 100.0% of Transtrend Master, 91.0% of FORT Contrarian Master and 81.6% of NL Master. At December 31, 2019, the Partnership owned approximately 37.5% of Winton Master, 100.0% of Transtrend Master, 89.1% of FORT Contrarian Master and 79.6% of NL 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 limited partners 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’/members’ capital of the Funds is shown in the following tables:

 

                                                                                            
     June 30, 2020
     Total Assets    Total Liabilities    Total Capital

Winton Master

     $ 100,807,284        $ 9,531,481        $ 91,275,803  

Transtrend Master

     103,664,196        3,841,048        99,823,148  

FORT Contrarian Master

     97,693,606        321,307        97,372,299  

NL Master

     21,277,839        1,686,605        19,591,234  
     December 31, 2019
     Total Assets    Total Liabilities    Total Capital

Winton Master

     $ 214,355,792        $ 8,953,183        $ 205,402,609  

Transtrend Master

     127,400,612        7,792,364        119,608,248  

FORT Contrarian Master

     135,604,970        4,607,083        130,997,887  

NL Master

     22,919,671        1,217,801        21,701,870  

 

17


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, 2020
     Net Investment
Income (Loss)
  Total Trading
Results
  Net Income
(Loss)

Winton Master

     $ (43,102     $ (13,483,223     $ (13,526,325

Transtrend Master

     (379,639     (1,081,479     (1,461,118

FORT Contrarian Master

     (29,653     2,359,829       2,330,176  

NL Master

     (29,211     (2,070,945     (2,100,156

 

                                                                                   
     For the six months ended June 30, 2020
     Net Investment
Income (Loss)
  Total Trading
Results
  Net Income
(Loss)

Winton Master

     $ 344,504       $ (37,437,011     $ (37,092,507

Transtrend Master

     (640,733     (4,348,293     (4,989,026

FORT Contrarian Master

     139,024       (3,294,080     (3,155,056

NL Master

     (16,783     (1,318,163     (1,334,946

 

                                                                                   
     For the three months ended June 30, 2019
     Net Investment
Income (Loss)
   Total Trading
Results
  Net Income
(Loss)

Winton Master

     $ 1,438,747        $ (2,818,288     $ (1,379,541

Transtrend Master

     36,224        662,438       698,662  

FORT Contrarian Master

     765,106        9,385,122       10,150,228  

NL Master

     47,535        (1,353,287     (1,305,752

 

                                                                                   
     For the six months ended June 30, 2019
     Net Investment
Income (Loss)
   Total Trading
Results
  Net Income
(Loss)

Winton Master

     $ 3,104,601        $ 419,045       $ 3,523,646  

Transtrend Master

     140,897        7,526,945       7,667,842  

Willowbridge Master (a)

     220,431        (759,939     (539,508

FORT Contrarian Master

     1,568,976        29,085,204       30,654,180  

NL Master (b)

     47,535        (1,353,287     (1,305,752

 

(a)

From January 1, 2019 through January 31, 2019, the date Willowbridge Master terminated operations.

(b)

From April 1, 2019, commencement of operations for NL Master, through June 30, 2019.

 

18


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, 2020     For the three months ended June 30, 2020        
   

% of

Partners’

            Expenses  

Net

Income

       
        Income   Clearing   Professional   Management   Incentive   Investment   Redemptions

Funds

  Capital     Fair Value   (Loss)   Fees   Fees   Fees   Fee   (Loss)  

Objective

 

Permitted

Winton Master

    4.09      $ 16,190,416       $ (3,581,600)       $ 14,618       $ 4,178       $ -       $ -       $ (3,600,396)     Commodity Portfolio   Monthly

Transtrend Master

    25.22      99,823,148       (1,075,276)       150,485       17,000       218,358       -       (1,461,119)     Commodity Portfolio   Monthly

FORT Contrarian Master

    22.40      88,633,925       2,203,719        34,189       15,629       -       -       2,153,901      Commodity Portfolio   Monthly

NL Master

    4.04      15,991,532       (1,685,394)       14,840       13,052       -       -       (1,713,286)     Commodity Portfolio   Monthly
   

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

   

Total

      $ 220,639,021       $ (4,138,551)       $ 214,132       $ 49,859       $ 218,358       $ -       $   (4,620,900)      
   

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

   

 

    June 30, 2020     For the six months ended June 30, 2020        
   

% of

Partners’

            Expenses  

Net

Income

       
        Income   Clearing   Professional   Management   Incentive   Investment   Redemptions

Funds

  Capital     Fair Value   (Loss)   Fees   Fees   Fees   Fee   (Loss)  

Objective

 

Permitted

Winton Master

    4.09      $ 16,190,416       $ (11,952,330)       $ 57,169       $ 11,865       $ -       $ -       $ (12,021,364)     Commodity Portfolio   Monthly

Transtrend Master

    25.22      99,823,148       (4,109,190)       410,306       34,000       435,533       -       (4,989,029)     Commodity Portfolio   Monthly

FORT Contrarian Master

    22.40      88,633,925       (2,799,273)       186,617       31,669       -       -       (3,017,559)     Commodity Portfolio   Monthly

NL Master

    4.04      15,991,532       (1,022,834)       36,404       25,895       -       -       (1,085,133)     Commodity Portfolio   Monthly
   

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

   

Total

      $ 220,639,021       $ (19,883,627)       $ 690,496       $ 103,429       $ 435,533       $ -       $ (21,113,085)      
   

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

   

 

    December 31, 2019     For the three months ended June 30, 2019        
   

% of

Partners’

            Expenses  

Net

Income

       
        Income   Clearing   Professional   Management   Incentive   Investment   Redemptions

Funds

  Capital     Fair Value   (Loss)   Fees   Fees   Fees   Fee   (Loss)  

Objective

 

Permitted

Winton Master

    15.96      $ 77,128,248       $ (477,493)       $ 50,364       $ 6,587       $ -       $ -       $ (534,444)     Commodity Portfolio   Monthly

Transtrend Master

    24.75      119,608,248       1,199,306        222,876       14,335       282,070       -       680,025      Commodity Portfolio   Monthly

FORT Contrarian Master

    24.19      116,899,563       8,732,217        92,845       14,297       -       -       8,625,075      Commodity Portfolio   Monthly

NL Master

    3.58      17,300,752       (922,100)       28,434       15,875       -       -       (966,409)     Commodity Portfolio   Monthly
   

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

   

Total

      $ 330,936,811       $ 8,531,930        $   394,519       $   51,094       $   282,070       $     -       $    7,804,247       
   

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

   

 

    December 31, 2019     For the six months ended June 30, 2019        
   

% of

Partners’

            Expenses  

Net

Income

       
        Income   Clearing   Professional   Management   Incentive   Investment   Redemptions

Funds

  Capital     Fair Value   (Loss)   Fees   Fees   Fees   Fee   (Loss)  

Objective

 

Permitted

Winton Master

    15.96      $ 77,128,248       $ 1,617,558       $ 89,975       $ 13,586       $ -       $ -       $ 1,513,997     Commodity Portfolio   Monthly

Transtrend Master

    24.75      119,608,248       8,607,995       432,978       14,335       585,122       -       7,575,560     Commodity Portfolio   Monthly

Willowbridge Master (a)

        -       (394,257     84,076       5,077       -       -       (483,410   Commodity Portfolio   Monthly

FORT Contrarian Master

    24.19      116,899,563       26,644,911       195,089       29,067       -       -       26,420,755     Commodity Portfolio   Monthly

NL Master (b)

    3.58      17,300,752       (922,100     28,434       15,875       -       -       (966,409   Commodity Portfolio   Monthly
   

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

   

Total

      $   330,936,811       $ 35,554,107       $ 830,552       $ 77,940       $ 585,122       $ -       $   34,060,493      
   

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

   

 

  (a)

From January 1, 2019 through January 31, 2019, the date the Partnership fully redeemed its investment in Willowbridge Master.

  (b)

From April 1, 2019, the date the Partnership invested into NL Master, through June 30, 2019.

 

19


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 2.5% to 5.7% 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, 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, respectively, and are included in the Partnership’s/Funds’ Statements of Income and Expenses.

London Metal Exchange Forward Contracts. Metal contracts traded on the London Metal Exchange (“LME”) represent a firm commitment to buy or sell a specified quantity of aluminum, copper, lead, nickel, tin, zinc or other metals. 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, 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.

 

20


Ceres Orion L.P.

Notes to Financial Statements

(Unaudited)

 

Options. The Partnership and the 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. or an MS&Co. affiliate are counterparties or brokers with respect to the Partnership’s and the Funds’ assets. For certain OTC contracts traded by certain Funds, JPMorgan is the counterparty with respect to those 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/Trading Manager 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/Trading Manager 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.

 

21


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 General Partner/Trading Manager considers 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, other than the subsequent events described below, there were no subsequent events requiring adjustment to or disclosure in the financial statements.

Effective July 1, 2020, the ongoing selling agent fee for Class A Redeemable Unit holders paid by the Partnership to Morgan Stanley Wealth Management is no longer calculated by multiplying the Partnership’s round turn futures transactions by $15.00 each, swaps by up to an equivalent amount and options transactions by $7.50 each per side. The ongoing selling agent fee for Class A Redeemable Unit holders is instead paid at a flat annual rate of 1.00% of the adjusted net assets of Class A Redeemable Units (computed monthly by multiplying the adjusted net assets of the Class A Redeemable Units by 1.00% and dividing the result thereof by 12).

Effective July 1, 2020, the ongoing selling agent fee for Class A Redeemable Unit holders paid by the Partnership to Harbor is no longer calculated by multiplying the Partnership’s round turn futures transactions by $15.00 each, swaps by up to an equivalent amount and options transactions by $7.50 each per side. The ongoing selling agent fee for Class A Redeemable Unit holders is instead paid at a flat annual rate of 1.00% of the adjusted net assets of Class A Redeemable Units (computed monthly by multiplying the adjusted net assets of the Class A Redeemable Units by 1.00% and dividing the result thereof by 12).

 

22


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, options purchased at fair value and investment in U.S. Treasury bills at fair value, if applicable and (iv) interest receivable. Because of the low margin deposits normally required in commodity futures trading, relatively small price movements may result in substantial losses to the Partnership, through its 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 2020.

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, 2020, the Partnership’s capital decreased 18.1% from $483,271,251 to $395,767,283. This decrease was attributable to redemptions of 24,737.4330 Class A limited partner Redeemable Units totaling $66,317,648, redemptions of 624.6160 Class Z limited partner Redeemable Units totaling $664,400 and a net loss of $23,019,654, which was partially offset by subscriptions of 912.3750 Class A limited partner Redeemable Units totaling $2,472,734 and subscriptions of 22.8890 Class Z limited partner Redeemable Units totaling $25,000. 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.

 

23


Results of Operations

During the Partnership’s second quarter of 2020, the net asset value per Redeemable Unit for Class A decreased 3.8% from $2,688.15 to $2,585.98, as compared to an increase of 1.2% in the second quarter of 2019. During the Partnership’s second quarter of 2020, the net asset value per Redeemable Unit for Class Z decreased 3.5% from $1,092.21 to $1,053.61, as compared to an increase of 1.7% in the second quarter of 2019. The Partnership experienced a net trading loss before fees and expenses in the second quarter of 2020 of $11,413,240. Losses were primarily attributable to the Partnership’s/Funds’ trading of commodity futures in currencies, energy, livestock and softs and were partially offset by gains in grains, indices, U.S. and non-U.S. interest rates and metals. The Partnership experienced a net trading gain before fees and expenses in the second quarter of 2019 of $13,711,792. Gains were primarily attributable to the Partnership’s/Funds’ trading of commodity futures in U.S. and non-U.S. interest rates, livestock, metals and indices and were partially offset by losses in currencies, energy, grains and softs.

The Partnership’s most significant losses were incurred within the energy sector during June from short positions in coal futures as prices rallied amid supply constraints and increased import demand from China. Additional losses in the energies were also experienced during June from positions in natural gas, gasoil, and freight index futures. Within the currency markets, losses were recorded during May and June from short positions in the euro versus the U.S. dollar as the effects of the COVID-19 quarantine pulled the dollar lower. Further losses were experienced within the agricultural sector during June primarily from long positions in lean hog futures as supply overhang weighed on prices. A portion of the Partnership’s losses for the quarter was offset by gains achieved within the global interest rate markets during April from long positions in U.S., European, and Asian fixed income futures as safe-haven demand strengthened amid the growing coronavirus pandemic. Additional gains were recorded within the global stock index sector during April, May, and June from long positions in U.S., European, and Asian equity index futures as global stocks rallied strongly off of March’s lows. In the metals markets, gains were achieved during May and June from long positions in gold and silver futures as precious metals prices advanced on increased investor demand.

During the Partnership’s six months ended June 30, 2020, the net asset value per Redeemable Unit for Class A decreased 5.2% from $2,728.91 to $2,585.98, as compared to an increase of 5.4% during the six months ended June 30, 2019. During the Partnership’s six months ended June 30, 2020, the net asset value per Redeemable Unit for Class Z decreased 4.7% from $1,106.01 to $1,053.61, as compared to an increase of 6.6% during the six months ended June 30, 2019. The Partnership experienced a net trading loss before fees and expenses for the six months ended June 30, 2020 of $10,161,515. Losses were primarily attributable to the Partnership’s/Funds’ trading of commodity futures in currencies, indices, livestock and softs and were partially offset by gains in energy, grains, U.S. and non-U.S. interest rates, and metals. The Partnership experienced a net trading gain before fees and expenses for the six months ended June 30, 2019 of $42,230,548. Gains were primarily attributable to the Partnership’s/Funds’ trading of commodity futures in U.S. and non-U.S. interest rates, livestock and indices and were partially offset by losses in currencies, energy, grains, metals and softs.

The Partnership’s most notable losses were incurred within the global stock index sector during February and March from long positions in U.S., European, and Asian equity index futures as stock prices reversed dramatically lower as COVID-19 threatened global economic stability. Losses in the currency sector were incurred from long positions in the Mexican peso during February and March as the value of the Mexican currency slumped against the U.S. dollar. Additional currency losses were recorded during March, May, and June from short positions in the euro versus the U.S. dollar as the dollar weakened as the coronavirus spread throughout the U.S. and quarantine measures shut down economic activity. In the agricultural sector, losses were incurred from positions in livestock futures during January and June and from positions in grains and soft commodities during March. The Partnership’s overall trading losses for the first six months of the year were partially offset by trading gains achieved during January and February from long positions in global fixed income futures as bond prices rallied on safe-haven demand as COVID-19 grew into a global pandemic. Further gains in global fixed income were recorded from long positions throughout the second quarter. Additional gains were recorded within the energy sector during each month of the first quarter from short positions in natural gas and European electricity futures as the economic slowdown limited demand for power and electricity production. Further gains in the energies were experienced during March from short positions in crude oil futures as prices plummeted as demand for oil cratered. In the metals sector, the most significant gains were achieved during January and February from long positions in palladium futures as tightening supplies and increased demand for precious metals boosted prices. Further gains in the metals were experienced from long positions in gold and silver during May.

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, public health epidemics, 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.

 

24


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, Winton Master’s, NL Master’s or, prior to its termination, Willowbridge 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, 2020 decreased by $2,638,061 and $4,389,295, respectively, as compared to the corresponding periods in 2019. The decrease in interest income was primarily due to lower 4-week U.S. Treasury bill discount rates along with lower average daily equity during the three and six months ended June 30, 2020 as compared to the corresponding periods in 2019. 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, 2020 decreased by $613,502 and $55,849, respectively, as compared to the corresponding periods in 2019. 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, 2020 as compared to the corresponding periods in 2019.

Ongoing selling agent fees are based on the number of trades executed by the Advisors and the adjusted month-end net assets calculated monthly. Accordingly, they must be compared in relation to the number of trades executed during the period as well as the fluctuations in the monthly net asset values. Ongoing selling agent fees for the three and six months ended June 30, 2020 decreased by $1,226,856 and $4,094,204, respectively, as compared to the corresponding periods in 2019. The decrease in ongoing selling agent fees was primarily due to lower average adjusted net assets during the three and six months ended June 30, 2020 as compared to the corresponding periods in 2019.

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, 2020 decreased by $411,648 and $712,628, respectively, as compared to the corresponding periods in 2019. The decrease in management fees was due to lower average adjusted net assets during the three and six months ended June 30, 2020 as compared to the corresponding periods in 2019.

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, 2020 decreased by $239,752 and $436,166, respectively, as compared to the corresponding periods in 2019. The decrease in the General Partner fees was due to lower average adjusted net assets during the three and six months ended June 30, 2020 as compared to the corresponding periods in 2019.

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/Trading Manager 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, 2020 resulted in incentive fees of $119,673 and $3,430,316, respectively. Trading performance for the three and six months ended June 30, 2019 resulted in incentive fees of $2,193,341 and $2,505,008, 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.

 

25


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, 2020 and March 31, 2020, the Partnership’s assets were allocated among the Advisors in the following approximate percentages:

 

                                                                                       
          June 30, 2020          March 31, 2020  

Advisor

   June 30, 2020    (percentage of Partners’ Capital)     March 31, 2020    (percentage of Partners’ Capital)  

Winton

     $ 16,418,143            $ 42,051,107       

Transtrend

     $ 99,822,849        25      $ 84,075,361        19 

FORT

     $ 88,633,925        22      $ 117,804,070        26 

Northlander

     $ 15,991,636            $ 17,776,648       

JSCL

     $       140,835,579        36      $       160,008,420        36 

Pan

     $ 34,065,151            $ 24,578,751       

For additional disclosures about operational and financial risk related to the COVID-19 outbreak, refer to Part II, Item 5. “Other Information.” in this Form 10-Q.

 

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.

 

26


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 exceptions of Pan and JSCL, 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. The first two trading Value at Risk tables reflect the market sensitive instruments held by the Partnership directly and through its investment in the Funds, as applicable. The remaining trading Value at Risk tables reflect the market sensitive instruments held by the Partnership directly (i.e. in the managed accounts in the Partnership’s name traded by Pan and JSCL) 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, 2019.

The following tables indicate the trading Value at Risk associated with the Partnership’s open positions by market category as of June 30, 2020 and December 31, 2019. As of June 30, 2020, the Partnership’s total capitalization was $395,767,283.

June 30, 2020

 

                                           

Market Sector

       Value at Risk        % of Total
     Capitalization    
 

Currencies

     $ 11,179,057        2.82  

Energy

     14,563,696        3.68    

Grains

     5,763,202        1.46    

Indices

     10,023,743        2.53    

Interest Rates U.S.

     3,778,179        0.95    

Interest Rates Non-U.S.

     10,585,887        2.67    

Livestock

     6,277,473        1.59    

Metals

     9,294,940        2.35    

Softs

     4,557,064        1.15    
  

 

 

 

  

 

 

 

Total

     $ 76,023,241        19.20  
  

 

 

 

  

 

 

 

As of December 31, 2019, the Partnership’s total capitalization was $483,271,251.

December 31, 2019

 

                                           

Market Sector

       Value at Risk        % of Total
     Capitalization    
 

Currencies

     $ 28,217,447        5.84  

Energy

     18,863,752        3.90    

Grains

     6,262,164        1.30    

Indices

     19,374,433        4.01    

Interest Rates U.S.

     2,253,655        0.47    

Interest Rates Non-U.S.

     9,441,736        1.95    

Livestock

     5,616,993        1.16    

Metals

     8,472,705        1.75    

Softs

     5,768,321        1.19    
  

 

 

 

  

 

 

 

Total

     $ 104,271,206        21.57  
  

 

 

 

  

 

 

 

 

27


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, 2020 and December 31, 2019, and the highest, lowest and average values during the three months ended June 30, 2020 and the twelve months ended December 31, 2019, as applicable. All open position trading risk exposures have been included in calculating the figures set forth below.

At June 30, 2020, the Partnership’s Value at Risk for the portion of its assets that are traded directly was as follows:

June 30, 2020

 

                                                                                                             
                Three Months Ended June 30, 2020

Market Sector

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

Currencies

     $ 1,416,676        0.36       $ 4,909,104        $ 966,535        $ 2,301,479  

Energy

         10,601,377        2.68             12,133,042            5,078,822            8,554,427  

Grains

     2,185,591        0.55         3,331,394        1,353,333        2,077,819  

Indices

     1,737,484        0.44         1,776,990        98,312        1,058,964  

Interest Rates U.S.

     1,492,158        0.38         1,859,219        464,722        1,095,839  

Interest Rates Non-U.S.

     5,198,221        1.31         5,925,312        1,445,115        3,677,307  

Livestock

     5,779,951        1.46         5,779,951        663,374        2,162,742  

Metals

     6,092,246        1.54         6,720,021        855,492        3,566,732  

Softs

     1,874,170        0.47         2,624,330        662,448        1,443,308  
  

 

 

 

  

 

 

         

Total

     $ 36,377,874        9.19          
  

 

 

 

  

 

 

         

 

*

Average of daily Values at Risk.

At December 31, 2019, the Partnership’s Value at Risk for the portion of its assets that are traded directly was as follows:

December 31, 2019

 

                                                                                                             
                Twelve Months Ended December 31, 2019

Market Sector

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

Currencies

     $ 4,680,743        0.97       $ 5,947,865        $     -            $ 2,171,804  

Energy

         12,815,021        2.65             13,404,797        -                5,181,347  

Grains

     4,597,504        0.95         5,590,035        -            3,418,974  

Indices

     5,337,893        1.10         5,849,125        -            2,414,024  

Interest Rates U.S.

     247,619        0.05         1,757,302        -            496,515  

Interest Rates Non-U.S.

     3,231,477        0.67         4,230,099        -            2,777,700  

Livestock

     4,643,018        0.96         5,427,760        -            2,761,491  

Metals

     3,080,627        0.64         4,198,623        -            2,531,668  

Softs

     4,741,702        0.98         7,901,433        -            4,022,608  
  

 

 

 

  

 

 

         

Total

     $ 43,375,604        8.97          
  

 

 

 

  

 

 

         

 

*

Annual average of daily Values at Risk.

 

28


At June 30, 2020, Winton Master’s total capitalization was $91,275,803 and the Partnership owned approximately 17.7% of Winton Master. As of June 30, 2020, 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, 2020

 

                                                                                                             
                Three Months Ended June 30, 2020

Market Sector

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

Currencies

     $ 1,794,308        1.97       $     5,936,004            $ 1,529,470        $     4,264,349  

Energy

     2,453,598        2.69         3,056,104        1,439,845        2,255,050  

Grains

     627,451        0.69         991,564        625,616        805,494  

Indices

     2,472,556        2.71         3,185,051        1,260,933        2,371,770  

Interest Rates U.S.

     997,156        1.09         1,089,787        564,594        832,657  

Interest Rates Non-U.S.

     1,741,125        1.91         3,120,784        1,147,883        1,552,772  

Livestock

     68,497        0.08         652,773        68,497        398,538  

Metals

     2,623,627        2.87         6,197,883        2,623,627        4,128,954  

Softs

     970,755        1.06         1,412,910        745,227        1,094,312  
  

 

 

 

  

 

 

         

Total

   $ 13,749,073        15.07          
  

 

 

 

  

 

 

         

 

*

Average of daily Values at Risk.

At December 31, 2019, Winton Master’s total capitalization was $205,402,609 and the Partnership owned approximately 37.5% of Winton Master. As of December 31, 2019, 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:

December 31, 2019

 

                                                                                                             
                Twelve Months Ended December 31, 2019

Market Sector

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

Currencies

     $ 9,324,535        4.54       $     17,755,291        $     6,924,526        $     11,639,472  

Energy

     3,872,631        1.89         8,028,684        844,457        2,885,712  

Grains

     1,026,719        0.50         2,784,536        806,781        1,922,603  

Indices

     5,491,437        2.67         5,495,849        1,577,678        3,665,077  

Interest Rates U.S.

     704,863        0.34         2,802,566        206,946        1,265,762  

Interest Rates Non-U.S.

     1,182,887        0.58         4,488,052        1,182,887        2,923,742  

Livestock

     133,485        0.06         772,200        133,485        370,259  

Metals

     7,122,912        3.47         7,898,365        2,150,346        5,662,617  

Softs

     1,148,240        0.56         3,145,874        1,148,240        2,323,227  
  

 

 

 

  

 

 

         

Total

     $     30,007,709        14.61          
  

 

 

 

  

 

 

         

 

*

Annual average of daily Values at Risk.

 

29


At June 30, 2020, Transtrend Master’s total capitalization was $99,823,148 and the Partnership owned 100.0% of Transtrend Master. As of June 30, 2020, 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, 2020

 

                                                                                                             
                Three Months Ended June 30, 2020

Market Sector

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

Currencies

     $ 8,523,856        8.54       $     12,875,348        $     2,538,886        $     6,017,809  

Energy

     2,310,532        2.31         2,445,467        1,924,293        2,191,708  

Grains

     3,466,552        3.47         3,466,552        1,563,567        2,411,682  

Indices

     5,513,629        5.52         5,968,614        961,646        2,993,493  

Interest Rates U.S.

     773,610        0.77         1,593,034        477,573        1,244,124  

Interest Rates Non-U.S.

     2,656,145        2.66         6,121,339        1,122,144        1,740,866  

Livestock

     485,398        0.49         485,398        159,940        303,699  

Metals

     2,692,747        2.70         3,152,303        1,552,274        2,177,560  

Softs

     2,511,070        2.52         2,576,276        729,630        1,518,137  
  

 

 

 

  

 

 

         

Total

     $     28,933,539        28.98          
  

 

 

 

  

 

 

         

 

*

Average of daily Values at Risk.

At December 31, 2019, Transtrend Master’s total capitalization was $119,608,248 and the Partnership owned 100.0% of Transtrend Master. As of December 31, 2019, 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, 2019

 

                                                                                                             
                Twelve Months Ended December 31, 2019

Market Sector

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

Currencies

     $ 18,897,226        15.80       $     21,619,324        $     9,959,685        $     15,164,924  

Energy

     3,684,400        3.08         4,334,582        334,412        2,178,127  

Grains

     1,279,640        1.07         3,098,543        472,056        2,097,606  

Indices

     7,727,693        6.46         9,096,028        922,308        5,676,852  

Interest Rates U.S.

     1,173,414        0.98         2,795,260        141,476        1,119,389  

Interest Rates Non-U.S.

     2,083,191        1.74         8,018,127        1,497,382        5,375,818  

Livestock

     923,918        0.77         1,218,635        93,913        640,024  

Metals

     2,664,620        2.23         5,493,816        1,602,890        3,104,503  

Softs

     596,029        0.50         4,099,840        411,629        2,433,000  
  

 

 

 

  

 

 

         

Total

     $     39,030,131        32.63          
  

 

 

 

  

 

 

         

 

*

Annual average of daily Values at Risk.

 

30


At June 30, 2020, FORT Contrarian Master’s total capitalization was $97,372,299 and the Partnership owned approximately 91.0% of FORT Contrarian Master. As of June 30, 2020, 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, 2020