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Table of Contents
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 10-Q
(X) QUARTERLY REPORT PURSUANT TO SECTION 13 or
15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934
For the
Quarterly Period ended September 30, 2009
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 000-24111
WESTPORT JWH FUTURES FUND L.P.
(Exact name of registrant as specified in its charter)
New York | 13-3939393 | |
(State or other jurisdiction of incorporation or organization) |
(I.R.S. Employer Identification No.) |
c/o Ceres
Managed Futures LLC
55 East 59th Street 10th Floor
New York, New York 10022
55 East 59th Street 10th Floor
New York, New York 10022
(Address of principal executive offices) (Zip Code)
(212) 559-2011
(Registrants telephone number, including area code)
Indicate by check mark whether the registrant (1) has filed
all reports required to be filed by Section 13 or 15(d) of
the Securities Exchange Act of 1934 during the preceding
12 months (or for such shorter period that the registrant
was required to file such reports), and (2) has been
subject to such filing requirements for the past 90 days.
Yes X No
Indicate by check mark whether the registrant has submitted
electronically and posted on its corporate Web site, if any,
every Interactive Data File required to be submitted and posted
pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter)
during the preceding 12 months (or for such shorter period that the
registrant was required to submit and post such files).
Yes No
Indicate by check mark whether the registrant is a large
accelerated filer, an accelerated filer, a non-accelerated
filer, or a smaller reporting company. See the definitions of large accelerated filer, accelerated
filer and smaller reporting company in
Rule 12b-2 of the Exchange Act. (Check one):
Large accelerated filer | Accelerated filer | Non-accelerated filer X | Smaller reporting company |
Indicate by check mark whether the registrant is a shell company
(as defined in
Rule 12b-2
of the Exchange Act).
Yes No X
As of October 31, 2009, 38,150.5037 Limited Partnership
Redeemable Units were outstanding.
WESTPORT JWH FUTURES FUND L.P.
FORM 10-Q
INDEX
3.2(a)
|
Certificate of Amendment of the Certificate of Limited Partnership, dated October 1, 1999 | |
3.2(b)
|
Certificate of Change of the Certificate of Limited Partnership, effective January 31, 2000 | |
3.2(c)
|
Certificate of Amendment of the Certificate of Limited Partnership, dated May 21, 2003 | |
3.2(d)
|
Certificate of Amendment of the Certificate of Limited Partnership, dated September 21, 2005 | |
3.2(e)
|
Certificate of Amendment of the Certificate of Limited Partnership, dated September 19, 2008 | |
10.1(a)
|
Amendment to the Customer Agreement, dated March 1, 2000 | |
10.2(a)
|
Amendment to the Escrow Agreement and Instructions, dated April 8, 1997 | |
10.3
|
Amended and Restated Management Agreement, dated March 1, 2000 | |
10.3(a)
|
Amendment to the Amended and Restated Management Agreement, dated September 10, 2000 | |
10.4
|
Form of Subscription Agreement | |
10.5
|
Agency Agreement, dated November 11, 2009 | |
31.1
|
Certification | |
31.2
|
Certification | |
32.1
|
Certification | |
32.2
|
Certification |
2
Table of Contents
PART I
Item 1.
Financial Statements
Westport
JWH Futures Fund L.P.
Statements of Financial Condition
(Unaudited)
Statements of Financial Condition
(Unaudited)
September 30, | December 31, | |||||||
2009 | 2008 | |||||||
Assets: |
||||||||
Investment in JWH Master, at fair value |
$ | 49,705,063 | $ | 75,781,841 | ||||
Equity in trading account: |
||||||||
Cash |
8,095,562 | 11,872,187 | ||||||
Cash margin |
807,510 | 771,833 | ||||||
Net unrealized appreciation on open futures contracts |
257,152 | 145,299 | ||||||
Net unrealized appreciation on open forward contracts |
| 62,988 | ||||||
58,865,287 | 88,634,148 | |||||||
Interest receivable |
379 | 177 | ||||||
Total assets |
$ | 58,865,666 | $ | 88,634,325 | ||||
Liabilities and Partners Capital |
||||||||
Liabilities: |
||||||||
Net unrealized depreciation on open forward contracts |
$ | 313 | $ | | ||||
Accrued expenses: |
||||||||
Brokerage commissions |
269,800 | 406,241 | ||||||
Management fees |
97,517 | 146,857 | ||||||
Incentive fees |
| 1,908,225 | ||||||
Other |
85,395 | 113,634 | ||||||
Redemptions payable |
350,634 | 3,668,466 | ||||||
Total liabilities |
803,659 | 6,243,423 | ||||||
Partners Capital: |
||||||||
General Partner 509.1843 and 390.1941 Unit equivalents
outstanding at September 30, 2009 and December 31, 2008, respectively |
766,322 | 711,258 | ||||||
Limited
Partners, 38,070.3065 and 44,809.2848 Redeemable
Units of Limited Partnership Interest outstanding at September 30, 2009
and December 31, 2008, respectively |
57,295,685 | 81,679,644 | ||||||
Total partners capital |
58,062,007 | 82,390,902 | ||||||
Total liabilities and partners capital |
$ | 58,865,666 | $ | 88,634,325 | ||||
See accompanying notes to financial statements.
3
Table of Contents
Westport JWH Futures Fund L.P.
Schedule of Investments
September 30, 2009
(Unaudited)
Schedule of Investments
September 30, 2009
(Unaudited)
Number of | % of Partners | |||||||||||
Contracts | Fair Value | Capital | ||||||||||
Futures
Contracts Purchased |
||||||||||||
Currencies |
45 | $ | 94,856 | 0.16 | % | |||||||
Energy |
3 | 6,750 | 0.01 | |||||||||
Interest Rates U.S. |
31 | 10,553 | 0.02 | |||||||||
Interest Rates Non-U.S. |
40 | 51,249 | 0.09 | |||||||||
Indices |
31 | 21,056 | 0.03 | |||||||||
Metals |
6 | 16,000 | 0.03 | |||||||||
Softs |
42 | 34,273 | 0.06 | |||||||||
Total futures contracts purchased |
234,737 | 0.40 | ||||||||||
Futures Contracts Sold |
||||||||||||
Energy |
5 | (16,945 | ) | (0.03 | ) | |||||||
Grains |
25 | 35,920 | 0.06 | |||||||||
Livestock |
8 | 3,440 | 0.01 | |||||||||
Total futures contracts sold |
22,415 | 0.04 | ||||||||||
Unrealized Appreciation on
Open Forward Contracts |
||||||||||||
Metals |
5 | 17,906 | 0.03 | |||||||||
Total
unrealized appreciation on open forward contracts |
17,906 | 0.03 | ||||||||||
Unrealized Depreciation on Open
Forward Contracts |
||||||||||||
Metals |
11 | (18,219 | ) | (0.03 | ) | |||||||
Total
unrealized depreciation on open forward contracts |
(18,219 | ) | (0.03 | ) | ||||||||
Investment in JWH Master |
49,705,063 | 85.61 | ||||||||||
Total fair value |
$ | 49,961,902 | 86.05 | % | ||||||||
See accompanying notes to financial statements.
4
Table of Contents
Westport JWH Futures Fund L.P.
Schedule of Investments
December 31, 2008
(Unaudited)
Schedule of Investments
December 31, 2008
(Unaudited)
Number of |
% of Partners |
||||||||||
Contracts | Fair Value | Capital | |||||||||
Futures Contracts Purchased
|
|||||||||||
Currencies
|
19 | $ | 31,587 | 0.03 | % | ||||||
Interest Rates U.S.
|
27 | 123,247 | 0.15 | ||||||||
Interest Rates Non-U.S.
|
26 | 52,507 | 0.06 | ||||||||
Total futures contracts purchased
|
207,341 | 0.24 | |||||||||
Futures Contracts Sold
|
|||||||||||
Currencies
|
14 | (11,231 | ) | (0.01 | ) | ||||||
Energy
|
10 | (7,254 | ) | (0.01 | ) | ||||||
Grains
|
11 | (24,335 | ) | (0.03 | ) | ||||||
Indices
|
26 | (19,647 | ) | (0.02 | ) | ||||||
Livestock
|
6 | 6,800 | 0.01 | ||||||||
Metals
|
6 | (15,700 | ) | (0.02 | ) | ||||||
Softs
|
32 | 9,325 | 0.01 | ||||||||
Total futures contracts sold
|
(62,042 | ) | (0.07 | ) | |||||||
Unrealized Appreciation on Open Forward Contracts
|
|||||||||||
Metals
|
6 | 65,213 | 0.08 | ||||||||
Total unrealized appreciation on open forward contracts
|
65,213 | 0.08 | |||||||||
Unrealized Depreciation on Open Forward Contracts
|
|||||||||||
Metals
|
2 | (2,225 | ) | (0.00 | )* | ||||||
Total unrealized depreciation on open forward contracts
|
(2,225 | ) | (0.00 | )* | |||||||
Investment in JWH Master
|
75,781,841 | 91.98 | |||||||||
Total fair value
|
$ | 75,990,128 | 92.23 | % | |||||||
* | Due to rounding. | |
See accompanying notes to financial statements.
5
Table of Contents
Westport
JWH Futures Fund L.P.
Statements of Income and Expenses and Changes in Partners Capital
(Unaudited)
Statements of Income and Expenses and Changes in Partners Capital
(Unaudited)
Three Months Ended | Nine Months Ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2009 | 2008 | 2009 | 2008 | |||||||||||||
Income: |
||||||||||||||||
Net gains (losses) on trading of commodity
interests and investment in JWH Master: |
||||||||||||||||
Net realized gains (losses) on closed contracts |
$ | 60,488 | $ | (2,390,868 | ) | $ | (236,247 | ) | $ | 269,631 | ||||||
Net realized gains (losses) on investment in JWH Master |
(6,608,823 | ) | 5,942,510 | (9,185,382 | ) | 20,123,417 | ||||||||||
Change in
net unrealized gains (losses) on open contracts |
324,178 | (103,068 | ) | 48,552 | 456,812 | |||||||||||
Change in net unrealized gains (losses) on investment in
JWH Master |
2,740,574 | 1,773,506 | 18,510 | 2,868,568 | ||||||||||||
Gain (loss) from trading, net |
(3,483,583 | ) | 5,222,080 | (9,354,567 | ) | 23,718,428 | ||||||||||
Interest income |
2,005 | 28,625 | 6,635 | 104,640 | ||||||||||||
Interest income from JWH Master |
11,350 | 140,424 | 38,242 | 476,730 | ||||||||||||
Total income (loss) |
(3,470,228 | ) | 5,391,129 | (9,309,690 | ) | 24,299,798 | ||||||||||
Expenses: |
||||||||||||||||
Brokerage
commissions, including clearing fees |
842,426 | 811,827 | 2,925,538 | 2,532,043 | ||||||||||||
Management fees |
298,718 | 285,393 | 1,041,092 | 892,810 | ||||||||||||
Other |
76,097 | 66,162 | 240,747 | 222,828 | ||||||||||||
Total expenses |
1,217,241 | 1,163,382 | 4,207,377 | 3,647,681 | ||||||||||||
Net income (loss) |
(4,687,469 | ) | 4,227,747 | (13,517,067 | ) | 20,652,117 | ||||||||||
Additions
Limited Partners |
450,000 | 1,085,000 | 3,815,000 | 3,929,000 | ||||||||||||
Additions
General Partner |
| | 200,000 | | ||||||||||||
Redemptions Limited Partners |
(2,970,645 | ) | (1,814,231 | ) | (14,826,828 | ) | (7,776,487 | ) | ||||||||
Net increase
(decrease) in Partners capital |
(7,208,114 | ) | 3,498,516 | (24,328,895 | ) | 16,804,630 | ||||||||||
Partners Capital, beginning of period |
65,270,121 | 60,664,063 | 82,390,902 | 47,357,949 | ||||||||||||
Partners Capital, end of period |
$ | 58,062,007 | $ | 64,162,579 | $ | 58,062,007 | $ | 64,162,579 | ||||||||
Net asset value per Unit
(38,579.4908 and 46,851.7480 Units outstanding
at September 30, 2009 and 2008, respectively) |
$ | 1,505.00 | $ | 1,369.48 | $ | 1,505.00 | $ | 1,369.48 | ||||||||
Net income (loss) per Redeemable Unit of Limited Partnership
Interest and General Partner Unit equivalent |
$ | (116.39 | ) | $ | 89.82 | $ | (317.83 | ) | $ | 412.67 | ||||||
Weighted
average units outstanding |
39,569.4517 | 47,806.0220 | 42,195.2369 | 49,401.1303 | ||||||||||||
See accompanying notes to financial statements.
6
Table of Contents
Westport JWH Futures Fund L.P.
Notes to Financial Statements
September 30, 2009
(Unaudited)
Notes to Financial Statements
September 30, 2009
(Unaudited)
1. | General: |
Westport JWH Futures Fund L.P., (formerly Smith Barney Westport
Futures Fund L.P.), (the
Partnership) is a limited partnership which was
organized on March 21, 1997 under the partnership laws of
the State of New York to engage, directly and indirectly, in the
speculative trading of a diversified portfolio of commodity
interests including futures contracts, options, swaps and
forward contracts. The sectors traded include currencies, grains,
U.S. and non-U.S. interest rates, indices, softs, livestock and metals. The Partnership commenced trading on August 1,
1997. The commodity interests that are traded by
the Partnership and JWH Master (as defined in Note 5 Investment in Partnership)
are volatile and involve a high degree of market
risk. The Partnership privately and continuously offers up to
200,000 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.
Ceres Managed Futures LLC (formerly Citigroup Managed Futures LLC), a Delaware
limited liability company, acts as the general partner (the General Partner) and commodity
pool operator of the Partnership. The General Partner is wholly owned by Morgan Stanley Smith
Barney Holdings LLC (MSSB Holdings), a newly registered non-clearing futures commission
merchant and a member of the National Futures Association. Morgan Stanley, indirectly through
various subsidiaries, owns 51% of MSSB Holdings. Citigroup Global
Markets Inc. (CGM),
the commodity broker and a selling agent for the Partnership, owns 49% of MSSB Holdings.
Citigroup Inc. (Citigroup), indirectly through various subsidiaries, wholly owns CGM. Prior
to July 31, 2009, the date as of which MSSB Holdings became its owner, the General Partner
was wholly owned by Citigroup Financial Products Inc., a wholly owned subsidiary of Citigroup
Global Markets Holdings Inc., the sole owner of which is Citigroup.
As of September 30, 2009, all trading decisions for the Partnership
are made by John W. Henry & Company, Inc.
(the Advisor).
The General Partner and each Limited Partner share in the profits and losses of the Partnership in proportion to the amount
of Partnership interest owned by each except that no Limited Partner shall be liable for obligations of the Partnership in
excess of their initial capital contribution and profits, if any, net of distributions.
The accompanying financial statements are unaudited but, in the
opinion of management, include all adjustments, consisting only
of normal recurring adjustments, necessary for a fair statement
of the Partnerships financial condition at September 30,
2009 and December 31, 2008, and the results of its
operations and changes in partners capital
for the three and nine months ended September 30, 2009 and 2008.
These financial statements present the results of interim
periods and do not include all disclosures normally provided in
annual financial statements. You should read these financial
statements together with the financial statements and notes
included in the Partnerships Annual Report on
Form 10-K
filed with the Securities and Exchange Commission (the
SEC) for the year ended December 31, 2008.
The preparation of financial
statements in conformity with U.S. generally accepted
accounting principles (GAAP) requires management 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.
In making these estimates and assumptions, management has considered the effects, if any, of events
occurring after the date of the Partnerships Statements of
Financial Condition through November 16,
2009, which is the date the financial statements were issued.
As a result, actual results
could differ from these estimates.
On July 1, 2009, the Financial Accounting Standards Board (FASB) issued Statement of
Financial Accounting Standards (SFAS) No. 168, The FASB Accounting Standards Codification and the
Hierarchy of Generally Accepted Accounting Principles, also known as FASB Accounting Standards
Codification (ASC) 105-10, Generally Accepted Accounting Principles (ASC 105-10) (the
Codification). ASC 105-10 established the exclusive authoritative reference for U.S. GAAP for use
in financial statements except for SEC rules and interpretive releases, which are also
authoritative GAAP for SEC registrants. The Codification supersedes all existing non-SEC accounting
and reporting standards. Codification became the single source of authoritative accounting
principles generally accepted in the United States and applies to all financial statements issued
after September 15, 2009.
The Partnership
is not required to provide a Statement of Cash Flows as permitted by
ASC 230-10 Statement of Cash Flows (formerly, FAS No. 102, Statement of Cash Flows
Exemption of Certain Enterprises and Classification of Cash Flows
from Certain Securities Acquired for Resale).
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.
Certain prior period amounts have been reclassified to conform to
current period presentation.
7
Table of Contents
Westport
JWH Futures Fund L.P.
Notes to Financial Statements
September 30, 2009
(Unaudited)
Notes to Financial Statements
September 30, 2009
(Unaudited)
All of the commodity interests owned by the Partnership are held
for trading purposes. The average fair values of these interests
during the nine months ended September 30, 2009 and
the year ended December 31, 2008, based on a monthly calculation, were
$160,503 and $627,538, respectively. The fair values of these
commodity interests, including options thereon, if applicable,
at September 30, 2009 and December 31, 2008, were $256,839
and $208,287, respectively. Fair values for exchange traded
commodity futures and options are based on quoted market prices
for those futures and options. Fair values for all other
financial instruments for which market quotations are not
readily available are based on other measures of fair value
deemed appropriate by the General Partner.
Brokerage commissions are calculated as a percentage of the
Partnerships adjusted net asset value on the last day of
each month and are affected by trading performance, additions
and redemptions.
The Partnership adopted ASC 815-10 Derivatives and Hedging
(formerly, FAS 161
Disclosure about Derivative Instruments and Hedging Activities.) as of January 1, 2009 which
requires qualitative disclosures about objectives and strategies for using derivatives,
quantitative disclosures about fair value amounts of and gains and losses on derivative
instruments, and disclosures about credit-risk-related contingent features in derivative
agreements. ASC 815-10 only expands the disclosure requirements for derivative instruments
and related hedging activities and has no impact on the Statements of Financial Condition
or Statements of Income and Expenses and Changes in Partners Capital.
The contracts outstanding at the period ended September 30, 2009, are
indicative of volume traded during the period. See the Schedule of Investments.
The
following table indicates the Partnerships fair values of derivative instruments of futures and forward
contracts as separate assets and liabilities.
Assets | September 30, 2009 | Assets | September 30, 2009 | |||||||||
Futures Contracts |
Forward Contracts | |||||||||||
Currencies |
$ | 113,006 | Metals | $ | 17,906 | |||||||
Energy |
6,750 | |||||||||||
Grains |
38,620 | |||||||||||
Interest Rates U.S. |
14,828 | |||||||||||
Interest Rates Non-U.S. |
55,049 | |||||||||||
Indices |
32,113 | |||||||||||
Livestock |
3,440 | |||||||||||
Metals |
19,800 | |||||||||||
Softs |
60,710 | |||||||||||
Total unrealized appreciation on open futures contracts |
$ | 344,316 |
Total unrealized appreciation on open forward contracts |
$ | 17,906 | |||||||
Liabilities |
Liabilities | |||||||||||
Futures Contracts |
Forward Contracts | |||||||||||
Currencies |
$ | (18,150 | ) | Metals | $ | (18,219 | ) | |||||
Energy |
(16,945 | ) | ||||||||||
Grains |
(2,700 | ) | ||||||||||
Interest Rates U.S. |
(4,275 | ) | ||||||||||
Interest Rates Non-U.S. |
(3,800 | ) | ||||||||||
Indices |
(11,057 | ) | ||||||||||
Softs |
(26,437 | ) | ||||||||||
Metals |
(3,800 | ) | ||||||||||
Total unrealized depreciation on open futures contracts |
$ | (87,164 | ) |
Total unrealized
depreciation on open forward contracts |
$ | (18,219 | ) | |||||
Net
unrealized appreciation on open futures contracts |
$ | 257,152 | * |
Net unrealized
depreciation on open forward contracts |
$ | (313 | )** | |||||
* | This amount is included in Net unrealized appreciation on open futures contracts on the Statements of Financial Condition. | |
** | This amount is included in Net unrealized depreciation on open forward contracts on the Statements of Financial Condition. |
8
Table of Contents
Westport JWH Futures Fund L.P.
Notes to Financial Statements
September 30, 2009
(Unaudited)
Notes to Financial Statements
September 30, 2009
(Unaudited)
The following table indicates the Partnerships trading gains and losses, by market
sector, on derivative instruments for the three and nine months ended
September 30, 2009.
Three months ended | Nine months ended | |||||||
September 30, 2009 | September 30, 2009 | |||||||
Sector | Gain (loss) from trading | Gain (loss) from trading | ||||||
Currencies |
$ | 144,550 | $ | (195,364 | ) | |||
Energy |
(78,118 | ) | 18,793 | |||||
Grains |
(109,345 | ) | (109,585 | ) | ||||
Interest Rates U.S. |
4,761 | (126,900 | ) | |||||
Interest Rates Non-U.S. |
24,633 | (9,756 | ) | |||||
Indices |
181,574 | 220,970 | ||||||
Livestock |
12,840 | 14,470 | ||||||
Metals |
177,965 | 65,492 | ||||||
Softs |
25,806 | (65,815 | ) | |||||
Total |
$ | 384,666 | $ | (187,695 | ) | |||
2. | Financial Highlights: |
Changes in the Net Asset Value per Redeemable Unit of Limited
Partnership Interest for the three and nine months ended
September 30, 2009 and 2008 were as follows:
Three Months Ended | Nine Months Ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2009 | 2008 | 2009 | 2008 | |||||||||||||
Net realized and unrealized gains (losses) * |
$ | (107.25 | ) | $ | 93.64 | $ | (288.56 | ) | $ | 423.51 | ||||||
Interest income |
0.33 | 3.53 | 1.06 | 11.73 | ||||||||||||
Expenses ** |
(9.47 | ) | (7.35 | ) | (30.33 | ) | (22.57 | ) | ||||||||
Increase (decrease) for the period |
(116.39 | ) | 89.82 | (317.83 | ) | 412.67 | ||||||||||
Net Asset Value per Redeemable Unit of Limited
Partnerships Interest, beginning of period |
1,621.39 | 1,279.66 | 1,822.83 | 956.81 | ||||||||||||
Net Asset Value per Redeemable
Unit of Limited
Partnerships Interest, end of period |
$ | 1,505.00 | $ | 1,369.48 | $ | 1,505.00 | $ | 1,369.48 | ||||||||
* | Includes brokerage commissions | |
** | Excludes brokerage commissions |
Three Months Ended | Nine Months Ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2009 | 2008 | 2009 | 2008 | |||||||||||||
Ratios to Average Net Assets:*** |
||||||||||||||||
Net investment income (loss) before incentive fees**** |
(7.9 | )% | (6.9 | )% | (8.0 | )% | (7.1 | )% | ||||||||
Operating expense |
8.0 | % | 8.1 | % | 8.1 | % | 8.5 | % | ||||||||
Incentive fees |
| % | | % | | % | | % | ||||||||
Total expenses |
8.0 | % | 8.1 | % | 8.1 | % | 8.5 | % | ||||||||
Total return: |
||||||||||||||||
Total return before incentive fees |
(7.2 | )% | 7.0 | % | (17.4 | )% | 43.1 | % | ||||||||
Incentive fees |
| % | | % | | % | | % | ||||||||
Total return after incentive fees |
(7.2 | )% | 7.0 | % | (17.4 | )% | 43.1 | % | ||||||||
*** | Annualized (other than incentive fees) | |
**** | Interest income less total expenses |
The above ratios may vary for individual investors based on the
timing of capital transactions during the period. Additionally,
these ratios are calculated for the Limited Partner class using
the Limited Partners share of income, expenses and average
net assets.
9
Table of Contents
Westport
JWH Futures Fund L.P.
Notes to Financial Statements
September 30, 2009
(Unaudited)
Notes to Financial Statements
September 30, 2009
(Unaudited)
3. | 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 Partnerships trading activities are shown
in the Statements of Income and Expenses and Changes in Partners
Capital.
The customer agreement between the Partnership and CGM gives the
Partnership the legal right to net unrealized gains and losses
on open futures and forward contracts. The Partnership nets, for financial reporting
purposes, the unrealized gains and losses on open futures and forward contracts on the
Statements of Financial Condition as the criteria under
ASC 210-20, Balance Sheet (formerly, FIN No. 39, Offsetting
of Amounts Related to Certain Contracts)
have been met.
4. | Fair Value Measurements: |
Investments. All commodity interests
(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 below) 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. Unrealized gains or losses on open contracts are
included as a component of equity in trading account on the
Statements of Financial Condition. Realized gains or losses and any
change in net unrealized gain or loss from the preceding period
are reported in the Statements of Income and Expenses and
Changes in Partners Capital.
Fair Value Measurements. The Partnership and
JWH Master (as defined in note 5 Investment in Partnership) adopted
ASC 820-10 Fair Value Measurements
and Disclosures (formerly, FAS No. 157, Fair Value Measurements) as of January 1, 2008,
which defines fair value as the price that would be received to
sell an asset or paid to transfer a liability in an orderly
transaction between market participants at the measurement date.
ASC 820-10 establishes a framework for measuring fair value and
expands disclosures regarding fair value measurements in
accordance with GAAP. 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 Partnership
and JWH Master did not apply the deferral allowed by
ASC 820-10, for
nonfinancial assets and nonfinancial liabilities measured at
fair value on a nonrecurring basis.
10
Table of Contents
Westport JWH Futures Fund L.P.
Notes to Financial Statements
September 30, 2009
(Unaudited)
Notes to Financial Statements
September 30, 2009
(Unaudited)
The Partnership and JWH Master consider prices for exchange
traded commodity futures, forwards and options contracts to be
based on unadjusted quoted prices in active markets for identical assets
(Level 1). The values of non exchange traded forwards,
swaps and certain options contracts for which market quotations
are not readily available, are priced by broker-dealers who
derive fair values for those assets from observable inputs
(Level 2). Investments in JWH Master (other commodity
pools) where there are no other rights or obligations inherent
within the ownership interest held by the Partnership are priced
based on the end of the day net asset value (Level 2). The
value of the Partnerships investments in JWH Master
reflects its proportional interest in the partnerships. As of and for the periods
September 30, 2009 and December 31, 2008, the Partnership and JWH Master did not
hold any derivative instruments that are priced at fair value
using unobservable inputs through the application of
managements assumptions and internal valuation pricing
models (Level 3).
Quoted Prices in |
||||||||||||||||
Active Markets for |
Significant Other |
Significant |
||||||||||||||
Identical Assets |
Observable Inputs |
Unobservable Inputs |
||||||||||||||
9/30/2009 | (Level 1) | (Level 2) | (Level 3) | |||||||||||||
Assets |
||||||||||||||||
Futures
|
$ | 257,152 | $ | 257,152 | $ | | $ | | ||||||||
Investment in JWH Master
|
49,705,063 | | 49,705,063 | | ||||||||||||
Total assets
|
$ | 49,962,215 | $ | 257,152 | $ | 49,705,063 | $ | | ||||||||
Liabilities
|
||||||||||||||||
Forwards
|
$ | 313 | $ | 313 | $ | | $ | | ||||||||
Total liabilities
|
$ | 313 | $ | 313 | | | ||||||||||
Total fair value
|
$ | 49,961,902 | $ | 256,839 | $ | 49,705,063 | $ | | ||||||||
Quoted Prices in |
||||||||||||||||
Active Markets for |
Significant Other |
Significant |
||||||||||||||
Identical Assets |
Observable Inputs |
Unobservable Inputs |
||||||||||||||
12/31/2008 | (Level 1) | (Level 2) | (Level 3) | |||||||||||||
Assets |
||||||||||||||||
Forwards |
$ | 62,988 | $ | 62,988 | $ | | $ | | ||||||||
Futures |
145,299 | 145,299 | | | ||||||||||||
Investment in JWH Master |
75,781,841 | | 75,781,841 | | ||||||||||||
Total assets |
75,990,128 | 208,287 | 75,781,841 | | ||||||||||||
Total fair value |
$ | 75,990,128 | $ | 208,287 | $ | 75,781,841 | $ | | ||||||||
5. Investment in Partnership:
The Advisor trades a portion of the assets allocated to the Advisor directly, in accordance
with the systematic JWH Diversified Plus Program.
On January 2, 2008, 80% of the assets allocated to the
Advisor for trading were invested in JWH Master Fund LLC
(the JWH Master), a limited partnership organized under
the partnership laws of the State of New York. The
Partnership purchased 28,209.3894 Units of JWH Master with cash
of $39,540,753. JWH Master was formed in order to permit
accounts managed by the Advisor using the systematic Global Analytics
Program, to invest together in one trading vehicle. The General
Partner is also the general partner of the JWH Master.
Individual and pooled accounts currently managed by the Advisor,
including the Partnership, are permitted to be limited partners
of JWH Master. The General Partner and the Advisor
believe that trading through this structure promotes efficiency
and
economy in the trading process.
The General Partner is not aware of any material changes to the trading program discussed
above during the fiscal quarter ended September 30, 2009.
The JWH Masters trading of futures, forwards, swaps and options
contracts, if applicable, on commodities is done primarily on
United States of America commodity exchanges and foreign
commodity exchanges. JWH Master engage in
such trading through commodity brokerage accounts maintained by
CGM.
A Limited Partner/non-managing member may withdraw all or part of
their redeemable
capital contribution and undistributed profits, if any, from JWH
Master in multiplies of the Net Asset Value per Redeemable Unit
of Limited Partnership Interest as of the end of any day (the
Redemption Date), after a request for redemption has been made to the General
Partner/non-managing member at least 3 days in advance of
the Redemption date. The Units are classified as a liability when the
Limited Partner/non-managing member elects to redeem and inform JWH
Master.
Management and incentive fees are charged at the Partnership
level. All exchange, clearing, user,
give-up,
floor brokerage, and NFA fees (collectively the clearing fees) are borne
the Partnership and through its investment in by JWH Master. All other fees including CGMs direct
brokerage commission are charged at the Partnership level.
11
Table of Contents
Westport JWH Futures Fund L.P.
Notes to Financial Statements
September 30, 2009
(Unaudited)
Notes to Financial Statements
September 30, 2009
(Unaudited)
At September 30, 2009 the Partnership owned approximately 81.2% of JWH Master.
At December 31,2008, the Partnership owned approximately 87.8% of JWH Master.
The Partnership intends to continue to invest a portion of its assests in JWH
Master. The performance of the Partnership is directly affected by the
performance of JWH Master. Expenses to investors as a result of the investment
in JWH Master are approximately the same and redemption rights are not
affected. JWH Masters statements of Financial Condition. Schedule of
Investments and Statements of Income and Expenses and Changes in Members
Capital are included herein.
The Masters Statements of Financial Condition and Schedule
of Investments as of September 30, 2009 and December 31, 2008 and Statements of Income and Expenses and Changes in Members
Capital for the three and nine months ended September 30, 2009
and 2008 are presented below:
JWH Master Fund LLC
Statements of Financial Condition
(Unaudited)
Statements of Financial Condition
(Unaudited)
September 30, | December 31, | |||||||
2009 | 2008 | |||||||
Assets: |
||||||||
Equity in trading account: |
||||||||
Cash |
$ | 50,772,741 | $ | 76,979,380 | ||||
Cash margin |
6,766,288 | 5,941,717 | ||||||
Net unrealized appreciation on open futures contracts |
3,706,187 | 3,440,881 | ||||||
Total assets |
$ | 61,245,216 | $ | 86,361,978 | ||||
Liabilities and Members Capital: |
||||||||
Liabilities: |
||||||||
Accrued expenses: |
||||||||
Professional fees |
$ | 9,945 | $ | 23,720 | ||||
Total liabilities |
9,945 | 23,720 | ||||||
Members Capital: |
||||||||
Members capital, 23,642.6583 and 28,591.1325 Redeemable
Units of Member Interest outstanding at
September 30, 2009
and December 31, 2008, respectively |
61,235,271 | 86,338,258 | ||||||
Total liabilities and members capital |
$ | 61,245,216 | $ | 86,361,978 | ||||
12
Table of Contents
Westport
JWH Futures Fund L.P.
Notes to Financial Statements
September 30, 2009
(Unaudited)
Notes to Financial Statements
September 30, 2009
(Unaudited)
JWH
Master Fund LLC
Schedule of Investments
September 30, 2009
(Unaudited)
Schedule of Investments
September 30, 2009
(Unaudited)
Number of | % of Members | |||||||||||
Contracts | Fair Value | Capital | ||||||||||
Futures Contracts Purchased |
||||||||||||
Currencies |
412 | $ | 1,064,756 | 1.74 | % | |||||||
Indices |
76 | 13,212 | 0.02 | |||||||||
Interest Rates U.S. |
362 | 36,206 | 0.06 | |||||||||
Interest Rates Non-U.S. |
564 | 405,493 | 0.66 | |||||||||
Metals |
240 | 1,210,015 | 1.97 | |||||||||
Softs |
274 | 200,259 | 0.33 | |||||||||
Total futures contracts purchased |
2,929,941 | 4.78 | ||||||||||
Futures Contracts Sold |
||||||||||||
Currencies |
26 | 12,831 | 0.02 | |||||||||
Energy |
78 | (155,569 | ) | (0.25 | ) | |||||||
Grains |
410 | 922,214 | 1.51 | |||||||||
Softs |
13 | (3,230 | ) | (0.01 | ) | |||||||
Total futures contracts sold |
776,246 | 1.27 | ||||||||||
Total fair value |
$ | 3,706,187 | 6.05 | % | ||||||||
13
Table of Contents
Westport
JWH Futures Fund L.P.
Notes to Financial Statements
September 30, 2009
(Unaudited)
Notes to Financial Statements
September 30, 2009
(Unaudited)
JWH
Master Fund LLC
Schedule of Investments
December 31, 2008
(Unaudited)
Schedule of Investments
December 31, 2008
(Unaudited)
Number of | % of Members | |||||||||||
Contracts | Fair Value | Capital | ||||||||||
Futures
Contracts Purchased |
||||||||||||
Currencies |
267 | $ | 68,088 | 0.08 | % | |||||||
Grains |
31 | (2,825 | ) | (0.00 | )* | |||||||
Indices |
1 | 110 | 0.00 | * | ||||||||
Interest Rates Non-U.S. |
446 | 657,723 | 0.76 | |||||||||
Interest Rates U.S. |
380 | 2,079,770 | 2.41 | |||||||||
Metals |
31 | 136,520 | 0.16 | |||||||||
Total futures contracts purchased |
2,939,386 | 3.41 | ||||||||||
Futures
Contracts Sold |
||||||||||||
Currencies |
80 | 46,800 | 0.05 | |||||||||
Energy |
236 | 326,158 | 0.38 | |||||||||
Grains |
60 | (75,834 | ) | (0.09 | ) | |||||||
Indices |
26 | (6,832 | ) | (0.01 | ) | |||||||
Softs |
220 | 211,203 | 0.25 | |||||||||
Total futures contracts sold |
501,495 | 0.58 | ||||||||||
Total fair value |
$ | 3,440,881 | 3.99 | % | ||||||||
* | Due to rounding |
14
Table of Contents
Westport
JWH Futures Fund L.P.
Notes to Financial Statements
September 30, 2009
(Unaudited)
Notes to Financial Statements
September 30, 2009
(Unaudited)
JWH Master Fund LLC
Statements of Income and Expenses and Changes in Members Capital
(Unaudited)
Statements of Income and Expenses and Changes in Members Capital
(Unaudited)
Three Months Ended | Nine Months Ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2009 | 2008 | 2009 | 2008 | |||||||||||||
Income: |
||||||||||||||||
Net gains (losses) on trading of commodity interests: |
||||||||||||||||
Net realized gains (losses) on closed positions |
$ | (7,994,245 | ) | $ | 6,880,039 | $ | (10,798,223 | ) | $ | 23,054,277 | ||||||
Change in net unrealized gains (losses) on open positions |
3,349,457 | 2,052,221 | 265,306 | 3,275,102 | ||||||||||||
Gain (loss) from trading, net |
(4,644,788 | ) | 8,932,260 | (10,532,917 | ) | 26,329,379 | ||||||||||
Interest income |
14,381 | 167,736 | 45,985 | 565,371 | ||||||||||||
Total income (loss) |
(4,630,407 | ) | 9,099,996 | (10,486,932 | ) | 26,894,750 | ||||||||||
Expenses: |
||||||||||||||||
Clearing fees |
17,901 | 23,237 | 50,427 | 60,435 | ||||||||||||
Professional fees |
4,185 | 10,440 | 31,530 | 26,899 | ||||||||||||
Total expenses |
22,086 | 33,677 | 81,957 | 87,334 | ||||||||||||
Net income (loss) |
(4,652,493 | ) | 9,066,319 | (10,568,889 | ) | 26,807,416 | ||||||||||
Additions |
1,666,000 | 868,000 | 8,478,500 | 41,529,553 | ||||||||||||
Redemptions |
(4,073,470 | ) | (2,933,110 | ) | (22,966,613 | ) | (7,893,703 | ) | ||||||||
Distribution of interest income to feeder funds |
(14,381 | ) | (167,736 | ) | (45,985 | ) | (565,371 | ) | ||||||||
Net increase (decrease) in Members Capital |
(7,074,344 | ) | 6,833,473 | (25,102,987 | ) | 59,877,895 | ||||||||||
Members Capital, beginning of period |
68,309,615 | 58,436,584 | 86,338,258 | 5,392,162 | ||||||||||||
Members Capital, end of period |
$ | 61,235,271 | $ | 65,270,057 | $ | 61,235,271 | $ | 65,270,057 | ||||||||
Net Asset Value per Unit
(23,642.6583 and 29,831.0617 Units outstanding
at September 30, 2009 and 2008, respectively) |
$ | 2,590.03 | $ | 2,187.99 | $ | 2,590.03 | $ | 2,187.99 | ||||||||
Net income
(loss) per Unit of Member
Interest |
$ | (191.59 | ) | $ | 307.18 | $ | (427.87 | ) | $ | 852.26 | ||||||
Weighted
average units outstanding |
24,471.0597 | 30,611.1101 | 25,714.9094 | 31,866.6882 | ||||||||||||
15
Table of Contents
Westport JWH Futures Fund L.P.
Notes to Financial Statements
September 30, 2009
(Unaudited)
Notes to Financial Statements
September 30, 2009
(Unaudited)
JWH Master considers prices for exchange traded commodity futures, forwards and options
contracts to be based on unadjusted quoted prices in active markets for identical assets (Level 1). The values
of non exchange traded forwards, swaps and certain options contracts for which market quotations
are not readily available are priced by broker-dealers who derive fair values for those assets from
observable inputs (Level 2). As of and for the periods ended September 30, 2009 and December 31, 2008, JWH Master did not hold any derivative
instruments that are priced at fair value using unobservable inputs through the application of
managements assumptions and internal valuation pricing models (Level 3).
Quoted Prices in |
||||||||||||||||
Active Markets |
Significant Other |
Significant |
||||||||||||||
for Identical |
Observable Inputs |
Unobservable |
||||||||||||||
9/30/2009 | Assets (Level 1) | (Level 2) | Inputs (Level 3) | |||||||||||||
Assets
|
||||||||||||||||
Futures
|
$ | 3,706,187 | $ | 3,706,187 | $ | | $ | | ||||||||
Total assets
|
3,706,187 | 3,706,187 | | | ||||||||||||
Total fair value
|
$ | 3,706,187 | $ | 3,706,187 | $ | | $ | | ||||||||
Quoted Prices in | ||||||||||||||||
Active Markets | Significant Other | Significant | ||||||||||||||
for Identical | Observable Inputs | Unobservable | ||||||||||||||
12/31/2008 | Assets (Level 1) | (Level 2) | Inputs (Level 3) | |||||||||||||
Assets |
||||||||||||||||
Futures |
$ | 3,440,881 | $ | 3,440,881 | $ | | $ | | ||||||||
Total assets |
3,440,881 | 3,440,881 | | | ||||||||||||
Total fair value |
$ | 3,440,881 | $ | 3,440,881 | $ | | $ | | ||||||||
16
Table of Contents
Westport
JWH Futures Fund L.P.
Notes to Financial Statements
September 30, 2009
(Unaudited)
Notes to Financial Statements
September 30, 2009
(Unaudited)
Financial Highlights:
Changes in the Net Asset Value per Unit of Member Interest for the
three and nine months ended September 30, 2009 and 2008 were as
follows:
Three Months Ended | Nine Months Ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2009 | 2008 | 2009 | 2008 | |||||||||||||
Net realized and unrealized gains (losses) * |
$ | (192.01 | ) | $ | 301.97 | $ | (428.46 | ) | $ | 835.17 | ||||||
Interest income |
0.60 | 5.57 | 1.86 | 17.97 | ||||||||||||
Expenses ** |
(0.18 | ) | (0.36 | ) | (1.27 | ) | (0.88 | ) | ||||||||
Increase (decrease) for the period |
(191.59 | ) | 307.18 | (427.87 | ) | 852.26 | ||||||||||
Distribution of interest income to feeder funds |
(0.60 | ) | (5.57 | ) | (1.86 | ) | (17.97 | ) | ||||||||
Net asset Value per Unit of Member Interest, beginning of period |
2,782.22 | 1,886.38 | 3,019.76 | 1,353.70 | ||||||||||||
Net asset value per Unit of Member Interest, end of period |
$ | 2,590.03 | $ | 2,187.99 | $ | 2,590.03 | $ | 2,187.99 | ||||||||
* | Includes clearing fees | |
** | Excludes clearing fees |
Three Months Ended | Nine Months Ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2009 | 2008 | 2009 | 2008 | |||||||||||||
Ratios to Average Net Assets:*** |
||||||||||||||||
Net
investment income (loss)**** |
(0.0) | %***** | 0.9 | % | (0.1 | )% | 1.2 | % | ||||||||
Operating expense |
0.1 | % | 0.2 | % | 0.2 | % | 0.2 | % | ||||||||
Total return |
(6.9 | )% | 16.3 | % | (14.2 | )% | 63.0 | % | ||||||||
*** | Annualized. | |
**** | Interest income less total expenses | |
***** | Due to rounding |
The above ratios may vary for individual investors based on the timing of capital transactions
during the period.
Additionally, these ratios are calculated for the Limited Partner class using the Limited Partners
share of income, expenses and average net assets.
JWH Master Fund LLC adopted ASC 815-10 Derivatives and Hedging
(formerly, FAS 161
Disclosure about Derivative Instruments and Hedging Activities.) as of January 1, 2009 which
requires qualitative disclosures about objectives and strategies for using derivatives,
quantitative disclosures about fair value amounts of and gains and losses on derivative
instruments, and disclosures about credit-risk-related contingent features in derivative
agreements. ASC 815-10 only expands the disclosure requirements for derivative instruments
and related hedging activities and has no impact on the Statements of Financial Condition
or Statements of Income and Expenses and Changes in Members Capital.
The contracts outstanding at the period ended September 30, 2009, are
indicative of volume traded during the period. See the Schedule of Investments.
17
Table of Contents
Westport
JWH Futures Fund L.P.
Notes to Financial Statements
September 30, 2009
(Unaudited)
Notes to Financial Statements
September 30, 2009
(Unaudited)
The following table indicates JWH Masters fair values of derivative instruments of futures and
forward contracts as separate assets and liabilities.
September 30, 2009 | ||||
Assets |
||||
Futures Contracts |
||||
Currencies |
$ | 1,077,637 | ||
Energy |
18,800 | |||
Grains |
1,012,688 | |||
Indices |
57,438 | |||
Interest Rates U.S. |
82,344 | |||
Interest Rates Non-U.S. |
434,036 | |||
Metals |
1,210,015 | |||
Softs |
388,454 | |||
Total unrealized appreciation on open futures contracts |
$ | 4,281,412 | ||
Liabilities |
||||
Futures Contracts |
||||
Currencies |
$ | (50 | ) | |
Energy |
(174,369 | ) | ||
Grains |
(90,474 | ) | ||
Indices |
(44,226 | ) | ||
Interest Rates U.S. |
(46,138 | ) | ||
Interest Rates Non-U.S. |
(28,543 | ) | ||
Softs |
(191,425 | ) | ||
Total unrealized depreciation on open futures contracts |
$ | (575,225 | ) | |
Net unrealized appreciation on open futures contracts |
$ | 3,706,187 | * | |
* This
amount is included in Net unrealized appreciation on open
futures contracts on the Statement of Financial Condition.
18
Table of Contents
Westport
JWH Futures Fund L.P.
Notes to Financial Statements
September 30, 2009
(Unaudited)
Notes to Financial Statements
September 30, 2009
(Unaudited)
The following table indicates JWH Masters trading gains and losses, by market sector, on derivative
instruments for the three and nine months ended September 30, 2009.
Three months ended | Nine months ended | |||||||
September 30, 2009 | September 30, 2009 | |||||||
Gain (loss) from | Gain (loss) from | |||||||
Sector | trading | trading | ||||||
Currencies |
$ | (210,932 | ) | $ | (2,659,912 | ) | ||
Energy |
(3,333,062 | ) | (2,848,249 | ) | ||||
Grains |
(125,172 | ) | (621,673 | ) | ||||
Indices |
(21,471 | ) | 403,538 | |||||
Interest Rates U.S. |
(1,010,666 | ) | (2,578,687 | ) | ||||
Interest Rates Non-U.S. |
(483,054 | ) | (1,626,430 | ) | ||||
Softs |
26,219 | (101,554 | ) | |||||
Metals |
513,350 | (499,950 | ) | |||||
Total |
$ | (4,644,788 | ) | $ | (10,532,917 | ) | ||
6. | Financial Instrument Risks: |
In the normal course of their business, the Partnership and through its investment in JWH
Master, 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 and options, whose values are
based upon an underlying asset, index, or reference rate, and
generally represent future commitments to exchange currencies or
cash balances, to purchase or sell other financial instruments on
specific terms on 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 or over-the-counter (OTC).
Exchange-traded instruments are standardized and include futures
and certain option contracts. OTC contracts are negotiated
between contracting parties and include swaps and certain forwards
and option contracts. Each of these instruments is subject to various risks
similar to those related to the underlying financial instruments
including market and credit risk. In general, the risks
associated with OTC contracts are greater than those associated
with exchange-traded instruments because of the greater risk of
default by the counterparty to an OTC contract.
Market risk is the potential for changes in the value of the
financial instruments traded by the Partnership and JWH Master
due to market changes, including interest and foreign exchange
rate movements and fluctuations in commodity or security prices.
Market risk is directly impacted by the volatility and liquidity
in the markets in which the related underlying assets are
traded. The Partnership and JWH Master are exposed to a market risk equal to the
value of futures and forward contracts purchased and unlimited
liability on such contracts sold short.
Credit risk is the possibility that a loss may occur due to the failure of a
counterparty to perform according to the terms of a contract. The Partnership
and JWH Master risk of loss in the event of a counterparty default is typically
limited to the amounts recognized in the Statements of Financial Condition and
not represented by the contract or notional amounts of the instruments. The
Partnership and JWH Master risk of loss is reduced through the use of legally
enforceable master netting agreements with counterparties that permit the Partnership
and JWH Master to offset unrealized gains and losses and other assets and liabilities
with such counterparties upon the occurrence of certain events. The Partnership and JWH
Master have credit risk and concentration risk as the sole counterparty or broker with
respect to the Partnership and JWH Master assets is CGM or a CGM affiliate. Credit risk
with respect to exchange-traded instruments is reduced to the extent that through CGM,
the Partnership and JWH Master counterparty is an exchange or clearing organization.
The General Partner monitors and controls the Partnerships
and JWH Masters 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 and JWH Master are subject. These monitoring systems
allow the General Partner to statistically analyze actual
trading results with risk-adjusted performance indicators and
correlation statistics. In addition, on-line monitoring systems
provide account analysis of futures, forward and option
contracts by sector, margin requirements, gain and loss
transactions and collateral positions.
The majority of these instruments mature within one year of the
inception date. However, due to the nature of the
Partnerships and JWH Masters business, these
instruments may not be held to maturity.
19
Table of Contents
Item 2. | Managements Discussion and Analysis of Financial Condition and Results of Operations. |
Liquidity
and Capital Resources
The Partnership does not engage in sales of goods or services.
Its assets are (i) investment in JWH Master (ii) equity in trading account,
consisting of cash, net unrealized appreciation on open futures
contracts, net unrealized depreciation on open forward contracts, and
(iii) 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.
While substantial losses could lead to a material decrease in
liquidity, no such losses occurred in the third quarter of 2009.
The Partnerships 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, additions and
redemptions of Redeemable Units and distributions of profits, if
any.
For the nine months ended September 30, 2009, Partnership capital
decreased 29.5% from $82,390,902 to $58,062,007. This
decrease was attributable to net loss from operations of
$13,517,067, coupled with the redemptions of 8,919.9417
Redeemable Units of Limited Partnership Interest totaling
$14,826,828, which was partially offset by the addition of
2,180.9634 Redeemable Units of Limited Partnership Interest
totaling $3,815,000 and 118.9902 General Partner Unit
equivalents totaling $200,000. Future redemptions can impact the amount of
funds available for investment in commodity contract positions
in subsequent periods.
JWH Masters capital consists of the capital contributions of
the partners increased or decreased by realized and/or
unrealized gains or losses on commodity futures trading and by expenses, interest
income, redemption of Units and distribuition, if any.
For the nine months ended September 30, 2009, JWH Masters capital
decreased 29.1% from $86,338,258 to $61,235,271. This decrease was
attributable to the redemption of 7,984.6827 Redeemable Unts of
Limited Partnership Interest totaling $22,966,613 and distribution of
interest income to feeder funds totaling $45,985, coupled with a
net loss from operations of $10,568,889 which was partially offset
by the additional sales of 3,036.2085 Redeemable Units of Limited
Partnership Interests totaling $8,478,500. Future redemptions can
impact the amount of funds available for investment in commodity
contract positions in subsequent periods.
Critical
Accounting Policies
Use of Estimates. The preparation of financial
statements and accompanying notes in conformity with
GAAP requires management to make
estimates and assumptions that affect the reported amounts of
assets and liabilities, income and expenses, and related
disclosures of contingent assets and liabilities in the
financial statements and accompanying notes. As a result, actual results
could differ from these estimates.
Statement of Cash Flows. The Partnership
is not required to provide a Statement of Cash Flows as permitted by
ASC 230-10.
Investments. All commodity interests
(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 below) 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. Unrealized gains or losses on open contracts are
included as a component of equity in commodity futures trading
account on the Statements of Financial Condition. Realized gains
or losses and any change in net unrealized gains or losses from
the preceding period are reported in the Statements of Income
and Expenses and Changes in Partners Capital.
Fair Value Measurements. The Partnership and
JWH Master adopted
ASC 820-10 as of January 1, 2008,
which defines fair value as the price that would be received to
sell an asset or paid to transfer a liability in an orderly
transaction between market participants at the measurement date.
The Partnership
and JWH Master did not apply the deferral allowed by ASC 820-10, for
nonfinancial assets and nonfinancial liabilities measured at
fair value on a nonrecurring basis.
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Table of Contents
The Partnership and JWH Master consider prices for exchange
traded commodity futures, forwards and options contracts to be
based on unadjusted quoted prices in active markets for identical assets
(Level 1). The values of non exchange traded forwards,
swaps and certain options contracts for which market quotations
are not readily available are priced by broker-dealers who
derive fair values for those assets from observable inputs
(Level 2). Investments in JWH Master (other commodity
pools) where there are no other rights or obligations inherent
within the ownership interest held by the Partnership are priced
based on the end of the day net asset value (Level 2). The
value of the Partnerships investments in JWH Master
reflects its proportional interest in the partnerships. As of and
for the period ended
September 30, 2009, the Partnership and JWH Master did not hold any
derivative instruments that are priced at fair value using
unobservable inputs through the application of managements
assumptions and internal valuation pricing models (Level 3).
Futures Contracts. The Partnership and JWH Master 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 can not occur (such as S&P 500 Index), whereby such contract is settled in cash.
Payments (variation margin) may be made or received by the Partnership and JWH Master each
business day, depending on the daily fluctuations in the value of the underlying contracts, and are
recorded as unrealized gains or losses by the Partnership and JWH
Master. When the contract is closed, the
Partnership and JWH Master 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. Because
transactions in futures contracts require participants to make both initial margin deposits of cash
or other assets and variation margin deposits, through the futures broker, directly with the
exchange on which the contracts are traded, credit exposure is limited. Realized gains (losses) and
changes in unrealized gains (losses) on futures contracts are included in the Statements of Income
and Expenses and Changes in Partners Capital.
London Metals Exchange Forward
Contracts. Metal contracts traded on the London
Metals Exchange (LME) represent a firm commitment to
buy or sell a specified quantity of Aluminum, Copper, Lead,
Nickel, Tin or Zinc. LME contracts traded by the Partnership and
JWH Master are cash settled based on prompt dates published by
the LME. Payments (variation margin) may be made or
received by the Partnership and JWH Master each business day,
depending on the daily fluctuations in the value of the
underlying contracts, and are recorded as unrealized gains or
losses by the Partnership and JWH Master. A contract is
considered offset when all long positions have been matched with
short positions. When the contract is closed at the prompt date,
the Partnership and JWH Master records a realized gain or loss
equal to the difference between the value of the contract at the
time it was opened and the value at the time it was closed.
Because transactions in LME contracts require participants to
make both initial margin deposits of cash or other assets and
variation margin deposits, through the broker, directly with the
LME, credit exposure is limited. Realized gains (losses) and
changes in unrealized gains (losses) on metal contracts are
included in the Statements of Income and Expenses and Changes in Partners Capital.
Income Taxes. Income taxes have not been
provided as each partner is individually liable for the taxes,
if any, on their share of the Partnerships income and
expenses.
In 2007, the Partnership adopted ASC 740-10
Income Taxes (formerly FAS No. 48,
Accounting for Uncertainty in Income Taxes). ASC 740-10 provides guidance for how uncertain
tax positions should be recognized, measured, presented and
disclosed in the financial statements. ASC 740-10 requires the
evaluation of tax positions taken or expected to be taken in the
course of preparing the Partnerships financial statements to
determine whether the tax positions are
more-likely-than-not of being sustained by the
applicable tax authority. Tax positions with respect to tax at
the partnership level not deemed to meet the
more-likely-than-not threshold would be recorded as a tax
benefit or expense in the current year. The General Partner
has continued to evaluate the application of ASC 740-10 and has concluded that the adoption of ASC 740-10 had no impact on
the operations of the Partnership for the nine months
ended September 30, 2009 and that no provision for income tax is
required in the Partnerships financial statements.
The following is the major tax jurisdictions for the
Partnership and the earliest tax year subject to examination:
United States 2005.
Recent Accounting Pronouncements. In 2009, the Partnership adopted ASC 820-10-65 Fair Value
Measurements (formerly, FAS No. 157-4, Determining Fair Value When the Volume and Level of
Activity for the Asset or Liability Have Significantly Decreased and Identifying Transactions That
Are Not Orderly). ASC 820-10-65
reaffirms that
fair value is the price that would be received to sell
an asset or paid to transfer a liability in an orderly
transaction between market participants at the measurement
date under current market conditions. ASC 820-10-65 also reaffirms
the need to use judgment in determining if a formerly active
market has become inactive and in determining fair values when
the market has become inactive. The application of ASC 820-10-65 is
required for interim and annual reporting periods ending after
June 15, 2009. Management
has concluded that based on available information in the marketplace, there has not been a decrease in the volume
and level of activity in the Partnerships Level 2 assets and liabilities.
The adoption of ASC 820-10-65
had no effect on the Partnerships Financial Statements.
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Table of Contents
Subsequent Events. In 2009, the Partnership adopted
ASC-855-10 Subsequent Events (formerly, FAS No. 165,
Subsequent Events). The objective of ASC-855-10 is to establish general standards
of accounting for and disclosure of events that occur after the balance sheet date but before
financial statements are issued or available to be issued.
Results of Operations
During the Partnerships third quarter of 2009 the Net Asset Value per Redeemable Unit
decreased 7.2% from $1,621.39 to $1,505.00 as compared to an increase of 7.0% in the third
quarter of 2008. The Partnership experienced a net trading loss before brokerage commissions and related fees in the third quarter of
2009 of $3,483,583. Losses were primarily attributable to the Partnership and JWH Masters,
trading of currencies, energy, grains, U.S. and non-U.S. interest rates and were
partially offset by gains in livestock, metals softs and indices. The Partnership experienced a net trading
gain before brokerage commissions and related fees in the third
quarter of 2008 of $5,222,080.
Gains were primarily attributable to the Partnership and JWH
Masters trading of currencies, energy, grains, metals and indices and were partially offset by losses in U.S.
and non-U.S. interest rates, livestock and softs.
The third quarter of 2009 presented a challenging trading environment with mixed
technical signals across the markets. While the broad trends indicated that most economies and
markets were recovering, some trends were not well established to be profitable. The Partnership
was profitable in metals, livestock, soft commodities and stock indices while losses were seen in
currencies, energy, grains and interest rates.
In metals, silver and copper established firm bullish trends that began in early 2009. The
Partnership capitalized on these trends and registered strong gains. In livestock, modest gains were seen
primarily from cattle. In soft commodities, strong gains were seen in sugar as the prices jumped on
supply concerns due to drought conditions in India, once of the producers of sugar. These gains
were offset to a small extent by losses in coffee and cotton. Stock indices continued the bullish
trends established earlier in the year and remained profitable.
In currencies, gains in Euro and Swiss Francs were not sufficient to offset the losses in
Japanese Yen and British Pounds. Firm bullish trend seemed to emerge in EUR but JPY and GBP
remained volatile due to fundamental political and economic weaknesses. In the energy sector losses
were seen as the markets remained in contango. Natural Gas demonstrated a strong bearish trend but
the trend seemed to be reversing late in the quarter. Crude Oil and Gas Oil remained mostly
trend-less and volatile, thus adding to losses. In the grains, losses in soybeans could not be
offset by gains in wheat. In the interest rates, the Partnership registered losses mostly on the
longer-term maturity bonds, both U.S. and non-U.S. Shorter-term maturity interest rates were
modestly profitable in non-U.S. bonds but losses were seen in the U.S. bonds.
During
the Partnerships nine months ended September 30, 2009 the Net Asset Value per Redeemable Unit decreased
17.4% from $1,822.83 to $1,505.00 as compared to an increase of 43.1%
for the nine months ended September 30, 2008. The Partnership experienced a net trading loss before brokerage commissions and related fees for the nine months ended September 30, 2009 of $9,354,567. Losses were primarily attributable to the Partnership and JWH Masters,
trading of currencies, energy, grains, U.S. and non-U.S. interest rates, softs and metals and were
partially offset by gains in livestock and indices. The Partnership experienced a net
trading gain before brokerage commissions and related fees for the nine months ended September 30, 2008
of $23,718,428. Gains were primarily attributable to the Partnership and JWH Masters trading of
currencies, energy, grains, non-U.S. interest rates, livestock, metals and indices and were
partially offset by losses in U.S. interest rates and softs.
Commodity futures markets are highly volatile. The potential for
broad and rapid price fluctuations increases the risks involved
in commodity trading, but also increases the possibility of
profit. The profitability of the Partnership and JWH Master depends on the
existence of major price trends and the ability of the Advisor
to correctly identify those price trends. Price trends are
influenced by, among other things, changing supply and demand
relationships, weather, governmental, agricultural, commercial
and trade programs and policies, national and international
political and economic events and changes in interest rates. To
the extent that market trends exist and the Advisor is able to
identify them, the Partnership expects to increase capital
through operations.
22
Table of Contents
Interest income on 80% of the Partnerships daily average
equity maintained in cash was earned at a
30-day
U.S. Treasury bill rate determined weekly by CGM based on
the average non-competitive yield on
3-month
U.S. Treasury bills maturing in 30 days. CGM may
continue to maintain the Partnerships assets in cash
and/or place
all of the Partnerships assets in
90-day
Treasury bills and pay the Partnership 80% of the interest
earned on the Treasury bills purchased.
Twenty percent of the
interest earned on Treasury bills purchased may be retained by CGM and/or credited to the General Partner.
Interest income for the
three and nine months ended September 30, 2009 decreased by
$155,694 and $536,493, respectively, as compared to the
corresponding periods in 2008. The decrease is due to lower
U.S. Treasury bill rates, during the three and nine months
ended September 30, 2009, as compared to the corresponding
periods in 2008.
Brokerage commissions are calculated as a percentage of the
Partnerships adjusted net asset value on the last day of
each month and are affected by trading performance, additions
and redemptions. Accordingly, they must be analyzed in relation
to the fluctuations in the monthly net asset values. Brokerage
commissions and fees for the three and nine months ended
September 30, 2009 increased by $30,599 and $393,495, respectively,
as compared to the corresponding periods in 2008.
The increase in brokerage commissions and fees is due to higher
average adjusted net assets during the three months and nine
ended September 30, 2009, as compared to the corresponding
periods in 2008.
Management fees are calculated as a percentage of the
Partnerships adjusted net asset value as of the end of
each month and are affected by trading performance, additions
and redemptions. Management fees for the three and nine months
ended September 30, 2009 increased by $13,325 and $148,282, respectively,
as compared to the corresponding periods in 2008.
The increase in management fees is due to higher average adjusted
net assets during the three and nine months ended September 30,
2009, as compared to the corresponding periods in 2008.
Incentive fees are based on the new trading profits generated by
the Advisor at the end of the quarter as defined in the advisory
agreements between the Partnership, the General Partner and the
Advisor. There were no incentive fees earned for the three and nine
months ended September 30, 2009 and 2008. The Advisor will
not be paid incentive fees until the Advisor recovers the net
loss incurred and earns additional new trading profits for the
Partnership.
In allocating the assets of the Partnership to the trading advisor, the General Partner
considers past performance, trading style, volatility of markets traded and fee requirements. The
General Partner may modify or terminate the allocation of assets to the trading advisor and may
allocate assets to additional advisors at any time.
23
Table of Contents
Item 3. | Quantitative and Qualitative Disclosures about Market Risk |
The Partnership and JWH Master are speculative commodity pools.
The market sensitive instruments held by them are acquired for speculative trading purposes, and
all or substantially all of the Partnerships and JWH
Masters 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
Partnerships main line of business.
The risk to the Limited Partners that have purchased interests in the
Partnership is limited to the amount of their capital contributions to the Partnership and their share of the
Partnerships assets and undistributed profits. This limited liability is a consequence of the organization of the Partnership as
a limited partnership under applicable law.
Market movements result in frequent changes in the fair value of
the Partnerships and JWH Masters open contracts and,
consequently, in its earnings and cash balances. The
Partnerships and JWH Masters market risk is
influenced by a wide variety of factors, including the level and
volatility of interest rates, exchange rates, equity price
levels, the fair value of financial instruments and contracts,
the diversification effects among the Partnerships and JWH
Masters open contracts and the liquidity of the markets in
which they trade.
The Partnership and JWH Master rapidly acquire and liquidate
both long and short contracts 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 Partnerships and JWH Masters past performance is
not necessarily indicative of its future results.
Value at Risk is a measure of the maximum amount which the
Partnership and JWH Master could reasonably be expected to lose
in a given market sector. However, the inherent uncertainty of
the Partnerships and JWH Masters speculative trading
and the recurrence in the markets traded by the Partnership and
JWH Master of market movements far exceeding expectations could
result in actual trading or non-trading losses far beyond the
indicated Value at Risk or the Partnerships and JWH
Masters 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 Partnerships and JWH
Masters losses in any market sector will be limited to
Value at Risk or by the Partnerships and JWH Masters
attempts to manage its market risk.
Exchange maintenance margin requirements have been used by the
Partnership and JWH Master as the measure of their Value at Risk.
Maintenance 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. Maintenance margin has been used rather than the more
generally available initial margin, because initial margin
includes a credit risk component, which is not relevant to Value
at Risk.
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Table of Contents
The following tables indicate the trading Value at Risk
associated with the Partnerships direct investments and JWH Masters indirect investments
open contracts by market category as of September 30, 2009 and
the highest, lowest and average values during the three months
ended September 30, 2009. All open contracts trading risk
exposures of the Partnership and JWH Master have been included
in calculating the figures set forth below. As of September 30,
2009, the Partnerships total capital was $58,062,007.
There has been no material change in the trading Value at Risk
information previously disclosed in the Partnerships
Annual Report on
Form 10-K
for the year ended December 31, 2008.
As of September 30, 2009, the Partnerships Value at Risk for the portion of its assets that are
traded directly, was as follows:
September 30,
2009
(Unaudited)
(Unaudited)
Three months ended September 30, 2009 | ||||||||||||||||||||
% of Total | High | Low | Average | |||||||||||||||||
Market Sector | Value at Risk | Capitalization | Value at Risk | Value at Risk | Value at Risk* | |||||||||||||||
Currencies |
$ | 180,900 | 0.31 | % | $ | 198,507 | $ | 160,920 | $ | 184,980 | ||||||||||
Energy |
28,105 | 0.05 | % | 88,488 | 28,105 | 66,318 | ||||||||||||||
Grains |
56,565 | 0.10 | % | 56,565 | 18,452 | 35,650 | ||||||||||||||
Interest Rates U.S. |
53,595 | 0.09 | % | 56,025 | 16,321 | 35,936 | ||||||||||||||
Interest Rates Non -U.S. |
125,517 | 0.22 | % | 128,522 | 20,415 | 73,859 | ||||||||||||||
Livestock |
8,640 | 0.01 | % | 9,720 | 8,640 | 9,000 | ||||||||||||||
Metals |
110,077 | 0.19 | % | 130,500 | 99,156 | 108,835 | ||||||||||||||
Softs |
96,080 | 0.16 | % | 98,180 | 59,200 | 88,270 | ||||||||||||||
Indices |
178,032 | 0.31 | % | 180,995 | 90,149 | 146,534 | ||||||||||||||
Totals |
$ | 837,511 | 1.44 | % | ||||||||||||||||
* | Average of month-end Values at Risk. |
As of September 30, 2009, JWH Masters total capitalization was
$61,235,271.
The Partnership owned approximately 81.2% of JWH Master.
The JWH Masters Value at Risk for its assets (including the portion of
the Partnerships assets that are traded indirectly) was as follows:
September 30,
2009
(Unaudited)
(Unaudited)
Three months ended September 30, 2009 | ||||||||||||||||||||
% of Total | High | Low | Average | |||||||||||||||||
Market Sector | Value at Risk | Capital | Value at Risk | Value at Risk | Value at Risk* | |||||||||||||||
Currencies |
$ | 1,719,360 | 2.81 | % | $ | 1,812,915 | $ | 1,082,689 | $ | 1,541,550 | ||||||||||
Energy |
328,145 | 0.54 | % | 1,236,605 | 220,337 | 607,412 | ||||||||||||||
Grains |
994,950 | 1.62 | % | 1,165,050 | 626,434 | 926,768 | ||||||||||||||
Interest Rates U.S. |
609,120 | 1.00 | % | 814,050 | 68,000 | 388,058 | ||||||||||||||
Interest Rates Non -U.S. |
1,042,742 | 1.70 | % | 1,044,806 | 175,187 | 556,244 | ||||||||||||||
Metals |
1,151,928 | 1.88 | % | 1,174,334 | 162,000 | 779,607 | ||||||||||||||
Softs |
665,060 | 1.09 | % | 829,360 | 469,040 | 622,975 | ||||||||||||||
Indices |
290,005 | 0.47 | % | 396,540 | 24,500 | 306,111 | ||||||||||||||
Total |
$ | 6,801,310 | 11.11 | % | ||||||||||||||||
* | Average of month-end Values at Risk. |
25
Table of Contents
Item 4. | Controls and Procedures |
The Partnerships disclosure controls and procedures are
designed to ensure that information required to be disclosed
by the Partnership on the reports that it files or submits under the Securities Exchange Act
of 1934 (the Exchange Act) is recorded, processed, summarized and reported within the
time periods expected in the Commissions rules and forms. Disclosed controls and procedures
include controls and procedures designed to ensure that information required to be disclosed by the
Partnership in the reports it files is accumulated and communicated to management,
including the Chief Executive Officer (CEO) and Chief Financial
Officer (CFO) of the General Partner, to allow for timely
decisions regarding required disclosure and appropriate SEC
filings.
Management is responsible for ensuring that there is an adequate
and effective process for establishing, maintaining and
evaluating disclosure controls and procedures for the
Partnerships external disclosures.
The General Partners CEO and CFO have evaluated the
effectiveness of the Partnerships disclosure controls and
procedures (as defined in
Rules 13a-15(e)
and
15d-15(e)
under the Exchange Act) as of September 30, 2009 and, based on
that evaluation, the CEO and CFO have concluded that at that
date the Partnerships disclosure controls and procedures
were effective.
The Partnerships internal control over financial
reporting is a process under the supervision of the General
Partners CEO and CFO to provide reasonable assurance
regarding the reliability of financial reporting and the
preparation of financial statements in accordance with
GAAP. These
controls include policies and procedures that:
| pertain to the maintenance of records that in reasonable detail accurately and fairly reflect the transactions and dispositions of the assets of the Partnership; |
| provide reasonable assurance that (i) transactions are recorded as necessary to permit preparation of financial statements in accordance with GAAP, and (ii) the Partnerships receipts are handled and expenditures are made only pursuant to authorizations of the General Partner; and |
| provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of the Partnerships assets that could have a material effect on the financial statements. |
There were no changes in the Partnerships internal control
over financial reporting process during the fiscal quarter ended
September 30, 2009 that materially affected, or are reasonably
likely to materially affect, the Partnerships internal
control over financial reporting.
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Table of Contents
PART II.
OTHER INFORMATION
Item 1. | Legal Proceedings |
The following information supplements and amends the discussion set forth under Part I, Item 3
Legal Proceedings in the Partnerships Annual Report on Form 10-K for the fiscal year ended
December 31, 2008, as updated by Partnerships Quarterly Report on Form 10-Q for the quarters ended
March 31, 2009 and June 30, 2009. There are no material legal proceedings pending against the
Partnership and the General Partner.
Subprime Mortgage-Related Litigation
On August 31, 2009, Asher, et al. v. Citigroup Inc., et al. and Pellegrini v. Citigroup Inc.,
et al. were consolidated with In re Citigroup Inc. Bond Litigation.
On July 27, 2009, Utah Retirement Systems v. Strauss, et al. was filed in the United States
District Court for the Eastern District of New York asserting, among other claims, claims under the
Securities Act of 1933 and Utah state law arising out of an offering of American Home Mortgage
common stock underwritten by CGM.
On July 31, 2009, the United States District Court for the Eastern District of New York
entered an order preliminarily approving settlements reached with all defendants (including
Citigroup and CGM) in In Re American Home Mortgage Securities Litigation.
On August 5, 2009, the underwriter defendants, including CGM, moved to dismiss the
consolidated amended complaint in In Re American International Group, Inc. 2008 Securities
Litigation.
Auction Rate SecuritiesRelated Litigation and Other Matters
On July 23, 2009, the Judicial Panel on Multidistrict Litigation issued an order transferring
K-V Pharmaceutical Co. v. CGMI from the United States District Court for the Eastern District of
Missouri to the United States District Court for the Southern District of New York for coordination
with In Re Citigroup Auction Rate Securities Litigation. On August 24, 2009, CGM moved to dismiss
the complaint.
On September 11, 2009, the United States District Court for the Southern District of New York
dismissed without prejudice the complaint in In Re Citigroup Auction Rate Securities Litigation. On
October 15, 2009, lead plaintiff filed a second consolidated amended complaint asserting claims
under Sections 10 and 20 of the Securities Exchange Act of 1934.
On October 2, 2009, the Judicial Panel on Multidistrict Litigation transferred Ocwen Financial
Corp., et al. v. CGMI to the United States District Court for the Southern District of New York for
coordination with In Re Citigroup Auction Rate Securities Litigation.
Other Matters
On September 14, 2009, defendants filed a motion to dismiss the amended complaint in ECA
Acquisitions, Inc., et al. v. MAT Three LLC, et al..
Adelphia Communications Corporation
Trial of the Adelphia Recovery Trusts claims against Citigroup and numerous other defendants
is scheduled to begin in April 2010.
IPO Securities Litigation
In October 2009, the District Court entered an order granting final approval of the
settlement.
Other Matters
Investors in municipal bonds and other instruments affected by the collapse of the credit
markets have sued Citigroup on a variety of theories. On August 10, 2009, certain such investors, a
Norwegian securities firm and seven Norwegian municipalities, filed an actionTerra Securities Asa
Konkursbo, et al. v. Citigroup Inc., et al.in the United States District Court for the Southern
District of New York against Citigroup, CGM and Citigroup Alternative Investments LLC, asserting
claims under Sections 10 and 20 of the Securities Exchange Act of 1934 and state law arising out of
the municipalities investment in certain notes. On October 7, 2009, defendants filed a motion to
dismiss.
27
Table of Contents
Item 1A. | Risk Factors |
The following disclosure supplements the risk factors set forth under Part I, Item 1A. Risk
Factors in the Partnerships Annual Report on Form 10-K for the fiscal year ended December 31,
2008 and under Part II, Item 1A. Risk Factors in the Partnerships
Quarterly Report on Forms 10-Q for the quarters ended March 31, 2009 and June 30, 2009.
Speculative position and trading limits may reduce profitability. The
Commodity Futures Trading Commission (CFTC) and U.S. exchanges have
established speculative position limits on the maximum net long or net short position which any
person may hold or control in particular futures and options on futures. The trading instructions
of an advisor may have to be modified, and positions held by the Partnership and JWH Master may
have to be liquidated in order to avoid exceeding these limits. Such modification or liquidation
could adversely affect the operations and profitability of the Partnership and JWH Master by
increasing transaction costs to liquidate positions and foregoing potential profits.
Regulatory changes could restrict the Partnerships operations. Regulatory changes could adversely
affect the Partnership and JWH Master by restricting its markets or activities, limiting its
trading and/or increasing the taxes to which investors are subject. The General Partner is not
aware of any definitive regulatory developments that might adversely affect the Partnership and JWH
Master; however, since June 2008, several bills have been proposed in the U.S. Congress in response
to record energy and agricultural prices and the financial crisis. Some of the pending
legislation, if enacted, could impact the manner in which swap contracts are traded and/or settled
and limit trading by speculators (such as the Partnership and JWH Master) in futures and
OTC markets. One of the proposals would authorize the CFTC and the Commission to
regulate swap transactions. Other potentially adverse regulatory initiatives could develop
suddenly and without notice.
Item 2. | Unregistered Sales of Equity Securities and Use of Proceeds |
For the three months ended September 30, 2009, there were
additional sales of 297.8769 Redeemable Units totaling $450,000.
The Redeemable Units were issued in reliance upon applicable
exemptions from registration under Section 4(2) of the
Securities Act of 1933, as amended, and Section 506 of
Regulation D promulgated thereunder. These Redeemable units were
purchased by accredited investors as described in Regulation D,
as well as to a small number of persons who are non-accredited
investors.
Proceeds from the sale of additional Redeemable Units are used
in the trading of commodity interests including futures
contracts, swaps, options and forwards contracts.
The following chart sets forth the purchases of Redeemable Units
by the Partnership.
(d) Maximum Number |
||||||||||||||||||||
(or Approximate |
||||||||||||||||||||
(c) Total Number |
Dollar Value) of Shares |
|||||||||||||||||||
of Shares (or Units) |
(or Units) that |
|||||||||||||||||||
(a) Total Number |
(b) Average |
Purchased as Part |
May Yet Be |
|||||||||||||||||
of Shares |
Price Paid per |
of Publicly Announced |
Purchased Under the |
|||||||||||||||||
Period | (or Units) Purchased* | Share (or Unit)** | Plans or Programs | Plans or Programs | ||||||||||||||||
July 1, 2009 - July 31, 2009 |
758.5715 | $ | 1,534.70 | N/A | N/A | |||||||||||||||
August 1, 2009 - August 31, 2009 |
982.5011 | $ | 1,481.76 | N/A | N/A | |||||||||||||||
September 1, 2009 - September 30, 2009 |
232.9794 | $ | 1,505.00 | N/A | N/A | |||||||||||||||
Total | 1,974,0520 | $ | 1,504.85 | |||||||||||||||||
* | Generally, Limited Partners are permitted to redeem their Redeemable Units as of the last day of each month on 10 days notice to the General Partner. Under certain circumstances, the General Partner can compel redemption but to date the General Partner has not exercised this right. Purchases of Redeemable Units by the Partnership reflected in the chart above were made in the ordinary course of the Partnerships business in connection with effecting redemptions for Limited Partners. | |
** | Redemptions of Redeemable Units are effected as of the last day of each month at the Net Asset Value per Redeemable Unit as of that day. No fee will be charged for redemptions. |
Item 3. | Defaults Upon Senior Securities None |
Item 4. | Submission of Matters to a Vote of Security Holders None |
Item 5. | Other Information None |
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Table of Contents
Item 6. | Exhibits |
3.1 | Limited Partnership Agreement, dated March 21, 1997 (filed as Exhibit A to the Registration Statement on Form S-1 filed on April 10, 1997 and incorporated herein by reference). | ||
3.2 | Certificate of Limited Partnership of the Partnership as filed in the office of the Secretary of State of the State of New York, dated March 21, 1997 (filed as Exhibit 3.2 to the Registration Statement on Form S-1 filed on April 10, 1997 and incorporated herein by reference). |
(a) | Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of New York, dated October 1, 1999 (filed herein). | ||
(b) | Certificate of Change of the Certificate of Limited Partnership as filed in the office of the Secretary of State of New York, effective January 31, 2000 (filed herein). | ||
(c) | Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of New York, dated May 21, 2003 (filed herein). | ||
(d) | Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of New York, dated September 21, 2005 (filed herein). | ||
(e) | Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of New York, dated September 19, 2008 (filed herein). | ||
(f) | Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of New York, dated September 28, 2009 (filed as Exhibit 99.1 to the Form 8-K filed on September 30, 2009). |
10.1 | Form of Customer Agreement between the Partnership and Smith Barney Inc. (filed as Exhibit 10.1 to the Registration Statement on Form S-1 filed on April 10, 1997 and incorporated herein by reference). |
(a) | Amendment No. 1 to the Customer Agreement, dated March 1, 2000 (filed herein). |
10.2 | Form of Escrow Agreement and Instructions relating to escrow of subscription funds (filed as Exhibit 10.3 to the Registration Statement on Form S-1 filed on April 10, 1997 and incorporated herein by reference). |
(a) | Amendment to the Escrow Agreement and Instructions relating to escrow of subscription funds, dated April 8, 1997 (filed herein). |
10.3 | Amended and Restated Management Agreement among the Partnership, the General Partner and John W. Henry & Company Inc., dated March 1, 2000 (filed herein). |
(a) | Amendment No. 1 to the Amended and Restated Management Agreement, dated September 10, 2000 (filed herein). | ||
(b) | Letter extending the Amended and Restated Management Agreement among the Partnership, the General Partner and John W. Henry & Company, Inc. for 2008 (filed as Exhibit 10.14 to the Form 10-K filed on March 31, 2009 and incorporated herein by reference). |
10.4 | Form of Subscription Agreement (filed herein). | ||
10.5 | Agency Agreement among the Partnership, the General Partner, Morgan Stanley Smith Barney LLC and Citigroup Global Markets Inc., dated November 11, 2009 (filed herein). | ||
23.1 | Consent from KPMG LLP, dated March 26, 2009 (filed as Exhibit 23.1 to the Form 10-K filed on March 31, 2009 and incorporated herein by reference). |
Exhibit 31.1 Rule 13a-14(a)/15d-14(a) Certification (Certification of President and
Director)
Exhibit 31.2 Rule 13a-14(a)/15d-14(a) Certification (Certification of Chief Financial
Officer and Director)
Exhibit 32.1 Section 1350 Certification (Certification of President and Director)
Exhibit 32.2 Section 1350 Certification (Certification of Chief Financial Officer and
Director)
29
Table of Contents
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of
1934, the registrant has duly caused this report to be signed on
its behalf by the undersigned, thereunto duly authorized.
WESTPORT JWH FUTURES FUND L.P.
By: | Ceres Managed Futures LLC |
(General Partner)
By: |
/s/ Jerry
Pascucci
|
Jerry Pascucci
President and Director
Date: November 16, 2009 |
By: |
/s/ Jennifer
Magro
|
Jennifer Magro
Chief Financial Officer and Director
(Principal Accounting Officer)
(Principal Accounting Officer)
Date: November 16, 2009 |
30