UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
Form 10-K
(X) ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934
For the fiscal year ended December 31, 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 0-26132
DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P.
(Exact name of registrant as specified in its charter)
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New York
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13-3729162 |
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(State or other jurisdiction of
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(I.R.S. Employer |
incorporation or organization)
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Identification No.) |
c/o Ceres Managed Futures LLC
55 East 59th Street - 10th Floor
New York, New York 10022
(Address and Zip Code of principal executive offices)
(212) 559-2011
(Registrants telephone number, including area code)
Securities registered pursuant to Section 12(b) of the Act: None
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Securities registered pursuant to Section 12(g) of the Act:
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Redeemable Units of Limited Partnership Interest |
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(Title of Class) |
Indicated by check mark if the registrant is a well known seasonal issuer as defined in Rule 405 of
the Securities Act.
Yes No X
Indicate by check mark if the registrant is not required to file reports pursuant to section 13 or
section 15(d) of the Act.
Yes No X
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 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 if disclosure of delinquent filers pursuant to Item 405 of Regulation S-K is
not contained herein, and will not be contained, to the best of registrants knowledge, in
definitive proxy or information statements incorporated by reference in Part III of this Form 10-K
or any amendment to this form 10-K [X].
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):
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Large accelerated filer
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Accelerated filer
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Non-accelerated filer X
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Smaller reporting company |
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(Do not check if a smaller reporting company)
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Indicate by check mark if the registrant is a shell company (as defined in rule 12b-2 of the
Exchange Act).
Yes No X
Limited
Partnership Redeemable Units with an aggregate value of $29,429,163 were outstanding and
held by non-affiliates as of the last business day of the registrants most recently completed
second calendar month.
As of February 28, 2010, 17,261.8204 Limited Partnership Redeemable Units were outstanding.
DOCUMENTS INCORPORATED BY REFERENCE
[None]
PART I
Item 1. Business
(a) General Development of Business. Diversified Multi-Advisor Futures Fund L.P. (formerly,
Smith Barney Diversified Futures Fund L.P.) (the Partnership) is a limited partnership organized
under the partnership laws of the State of New York on August 13, 1993 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,
energy, grains, indices, U.S. and non-U.S. interest rates, livestock, lumber, metals and softs. The
commodity interests that are traded by the Funds, (as defined below) are volatile and
involve a high degree of market risk. The Partnership commenced trading operations on January 12,
1994. The Partnership was authorized to sell 300,000 redeemable units of Limited Partnership
Interest (Redeemable Units) during its initial offering period.
A Registration Statement on Form S-1 relating to the public offering became effective on
October 29, 1993 (File No. 033-68074). Between October 29, 1993 and January 11, 1994, 75,615
Redeemable Units were sold to the public at $1,000 per Redeemable Unit. Proceeds of the offering
were held in an escrow account and were transferred, along with the general partners contribution
of $781,000, to the Partnerships trading account on January 12, 1994 when the Partnership
commenced trading. An additional 150,000 Redeemable Units were registered on a Registration
Statement on Form S-1 effective February 17, 1994 (File No. 033-75056).
The Partnership no longer offers Redeemable Units for sale. Redemptions of Redeemable Units
for the years ended December 31, 2009, 2008 and 2007, are reported in the Statement of Changes in
Partners Capital on page F-12 under Item 8. Financial Statements and Supplementary Data.
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 (NFA). 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 December 31, 2009, all trading decisions are made for the Partnership by Winton Capital
Management Limited (Winton), Willowbridge Associates, Inc. (Willowbridge), Graham Capital
Management L.P. (Graham), Eckhardt Trading Company (Eckhardt) and SandRidge Capital L.P.
(SandRidge) (each an Advisor and collectively, the Advisors). Campbell & Company, Inc. was
terminated as of May 31, 2009. SandRidge was added as an advisor to the Partnership on June 1,
2009. A description of the trading activities and focus of the
Advisors are included on Page 9, under Item 7. Managements Discussion and Analysis of Financial Condition and Results of Operations. The Advisors are not affiliated with one another, are not affiliated with the General Partner
or CGM and are not responsible for the organization or operation of the Partnership.
The General Partner has agreed to make capital contributions, if necessary, so that its
general partnership interest will be equal to the greater of (i) an amount that will entitle the General Partner to an interest of at least 1% of
each material item of Partnership income, gain, loss, deduction or credit and (ii) the greater of (a) 1%
of the partners contributions to the Partnership or (b) $25,000. The Partnership will be
liquidated upon the first of the following to occur:
December 31, 2013; if the net asset value per
Redeemable Unit falls below $400 as of the close of any business day; or under certain
circumstances as defined in the limited partnership agreement of the Partnership (the Limited
Partnership Agreement).
2
On November 1, 2004, the assets allocated to Winton for trading were invested in CMF Winton
Master L.P. (Winton Master), a limited partnership organized under the partnership laws of New York State.
The Partnership purchased 15,054.1946 units of Winton Master with cash of $14,251,586,
and a contribution of open commodity futures and forward positions with a value of $802,609. Winton
Master was formed in order to permit commodity pools managed now or in the future by Winton using
its Diversified 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 should promote efficiency and economy in the trading process.
On January 1, 2005, the assets allocated to Campbell for trading were invested in CMF Campbell
Master Fund L.P. (Campbell Master), a limited partnership organized under the partnership laws of
the State of New York. The Partnership purchased 19,621.1422 units of Campbell Master with cash of
$19,428,630, and a contribution of open commodity futures and forward positions with a value of
$192,512. Campbell Master was formed in order to permit commodity pools managed now or in the
future by Campbell using its Financial, Metal and Energy (FME) Large Portfolio, a proprietary,
systematic trading system, to invest together in one trading vehicle. The Partnership fully
redeemed its investment in Campbell Master on May 31, 2009 for cash equal to $3,229,089.
On July 1, 2005, the assets allocated to Willowbridge for trading were invested in CMF
Willowbridge Argo Master Fund L.P. (Willowbridge Master), a limited partnership organized under
the partnership laws of the State of New York. The Partnership purchased 12,259.3490 units of
Willowbridge Master with cash of $11,118,119, and a contribution of open commodity futures and
forward positions with a fair value of $1,141,230. Willowbridge Master was formed in order to
permit commodity pools managed now or in the future by Willowbridge using its Argo Trading System,
a proprietary, systematic trading system, to invest together in one trading vehicle. The General
Partner is also the general partner of Willowbridge Master. Individual and pooled accounts
currently managed by Willowbridge, including the Partnership are permitted to be limited partners
of Willowbridge Master. The General Partner and Willowbridge believe that trading through this
structure should promote efficiency and economy in the trading process.
On April 1, 2006, the assets allocated to Graham for trading were invested in CMF Graham
Capital Master Fund L.P. (Graham Master), a limited partnership organized under the partnership
laws of the State of New York. The partnership purchased 14,741.1555 units of Graham Master with
cash of $14,741,156. Graham Master was formed in order to permit accounts managed now or in the
future by Graham using its K4D-12.5 Program, a proprietary, systematic trading system, to invest
together in one trading vehicle. The General Partner is also the general partner of Graham
Master. Individual and pooled accounts currently managed by Graham, including the Partnership, are
permitted to be limited partners of Graham Master. The General Partner and Graham believe that
trading through this structure promotes efficiency and economy in the trading process.
On April 1, 2008, the assets allocated to Eckhardt for trading were invested in CMF Eckhardt
Master Fund L.P. (Eckhardt Master), a limited partnership organized under the partnership laws of
the State of New York. The Partnership purchased 7,000.0000 units of Eckhardt Master with cash of
$7,000,000. Eckhardt Master was formed in order to permit commodity pools managed now or in the
future by Eckhardt using its Standard Program, a proprietary, systematic trading system, to invest
together in one trading vehicle. The General Partner is also the general partner of Eckhardt
Master. Individual and pooled accounts currently managed by Eckhardt, including the Partnership,
are permitted to be limited partners of Eckhardt Master. The General Partner and Eckhardt believe
that trading through this structure should promote efficiency and economy in the trading process.
On June 1, 2009, the assets allocated to SandRidge for trading were invested in CMF SandRidge
Master Fund L.P. (SandRidge Master), a limited partnership organized under the partnership laws
of the State of New York. The Partnership purchased 1,370.9885 units of SandRidge Master with cash
of $2,818,836. SandRidge Master was formed in order to permit accounts managed now and in the future by
SandRidge using its Energy Program, a proprietary, discretionary trading system, to invest together
in one trading vehicle. The General Partner is also the general partner of SandRidge Master.
Individual and pooled accounts currently managed by SandRidge, including the Partnership, are
permitted to be limited partners of SandRidge Master. The General Partner and SandRidge believe
that trading through this structure promotes efficiency and economy in the trading process.
Winton Masters, Willowbridge Masters, Graham Masters, Eckhardt Masters and SandRidge
Masters (the Funds) 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. The Funds engage in such trading through commodity brokerage accounts maintained with
CGM.
3
A Limited Partner may withdraw all or part of their capital contribution and undistributed
profits, if any, from the Funds in multiples 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 at least 3 days in advance of the Redemption Date.
The units are classified as a liability when the Limited Partner elects to redeem and informs the
Funds.
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 by the Funds. All other fees including CGMs direct brokerage commission are charged at the
Partnership level.
For the period January 1, 2009 through December 31, 2009, the approximate average market sector distribution for the Partnership was as follows:
As of December 31, 2009, the Partnership owned approximately 1.7%, 2.7%, 5.4%, 31.1% and 0.4% of
Winton Master, Willowbridge Master, Graham Master, Eckhardt Master and SandRidge Master,
respectively. As of December 31, 2008, the Partnership owned approximately 2.6%, 5.6%, 3.6%, 5.0% and
31.0% of Winton Master, Campbell Master, Willowbridge Master, Graham Master and Eckhardt Master,
respectively. It is Wintons, Willowbridges, Grahams, Eckhardts and SandRidges intention to
continue to invest the assets allocated to each by the Partnership in Winton Master, Willowbridge
Master, Graham Master, Eckhardt Master and SandRidge Master. The performance of the Partnership is
directly affected by the performance of the Funds. Expenses to investors as a result of investment
in the Funds are approximately the same and the redemption rights are not affected.
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 profit, if any, net of distributions.
Pursuant to the terms of the management agreements (the Management Agreements) with each
Advisor, the Partnership will pay each Advisor a monthly management fee equal to 1/6 of 1% (2% per
year) of month-end Net Assets allocated to each Advisor, except for Winton, which will receive a
monthly management fee equal to 1/12 of 1.5% (1.5% per year), of month-end Net Assets allocated
to the Advisor. Month-end Net Assets for the purpose of calculating management fees are Net Assets,
as defined in the Limited Partnership Agreement, prior to the reduction of the current months incentive fee accrual, the monthly management fees and any redemptions or distributions as of the end of such month. The Management Agreement may be terminated upon notice by either party.
In addition, the Partnership is obligated to pay each Advisor an incentive fee, payable
quarterly, equal to 20% of the New Trading Profits, as defined in the Management Agreements, earned
by each Advisor for the Partnership during each calendar quarter.
The Partnership has entered into a customer agreement with CGM (the Customer Agreement)
which provides that the Partnership pays CGM a monthly brokerage commission equal to 11/24 of 1%
(5.5% per year) of month-end Net Assets allocated to the Advisors in lieu of brokerage commissions
on a per trade basis. Month-end Net Assets for the purpose of calculating commissions are Net
Assets, as defined in the Limited Partnership Agreement, prior to the reduction of the current months brokerage commissions, incentive fee accrual, the monthly management fees and other expenses and any redemptions or distributions as of the end of such month. CGM will pay a portion of its brokerage commissions to financial advisors who
have sold Redeemable Units in the Partnership and who are registered as associated persons with the Commodity Futures
Trading Commission (the CFTC). Brokerage commissions will be paid for the life of the Partnership,
although the rate at which such commissions are paid may be changed. All clearing fees are borne by the
Funds. All of the Partnerships assets, not held in the Funds account at CGM, are deposited in the Partnerships account at CGM. The
Partnerships cash is deposited by CGM in segregated bank accounts to the extent required by
CFTC regulations. CGM has agreed to pay the Partnership interest on its allocable share of 80% of the average daily equity maintained in cash in each of the Funds brokerage accounts at a 30-day U.S.
Treasury bill rate determined weekly by CGM based on the average noncompetitive yield on 3-month
U.S. Treasury bills maturing in 30 days from the date on which such weekly rate is determined.
CGM will pay such interest to the Partnership out of its own funds whether or not it is able to earn the interest it has obligated itself to pay.
Alternatively, CGM may place all of a Funds assets in 90-day U.S. Treasury bills and pay the Partnership its allocable share of 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. The
Customer Agreement between the Partnership/Funds and CGM gives the Partnership and the Funds the legal right to net
unrealized gains and losses on open futures and exchange cleared swaps and forward contracts. The Customer Agreement may be terminated upon notice by either party.
(b) Financial Information about Industry Segments. The Partnerships business consists
of only one segment, speculative trading of commodity interests. The Partnership does not engage in
sales of goods or services. The Partnerships net income (loss) from operations for the years ended
December 31, 2009, 2008, 2007, 2006 and 2005 is set forth under Item 6. Selected Financial
Data. The Partnerships Capital as of December 31, 2009 was $33,239,132.
4
(c) Narrative Description of Business.
See Paragraphs (a) and (b) above.
(i) through (xii) Not applicable.
(xiii) - The Partnership has no employees.
(d) Financial Information about Geographic Areas. The Partnership does not engage in
the sales of goods or services, or own any long lived assets, and therefore this item is not
applicable.
(e) Available Information. The Partnership does not have an internet address. The
Partnership will provide paper copies of its annual report on Form 10-K, quarterly reports on Form
10-Q, current reports on Form 8-K and any amendments to these reports free of charge upon request.
(f) Reports to Security Holders. Not applicable.
(g) Enforceability of Civil Liabilities Against Foreign Persons. Not applicable.
(h) Smaller Reporting Companies. Not applicable.
Item 1A. Risk Factors
As a result of leverage, small changes in the price of the Partnerships positions may result
in major losses.
The trading of commodity interests is speculative, volatile and involves a high degree of
leverage. A small change in the market price of a commodity interest contract can produce major
losses for the Partnership. Market prices can be influenced by, among other things, changing supply and demand
relationships, governmental, agricultural, commercial and trade programs and policies, national and international
political and economic events, weather and climate conditions,
insects and plant disease, purchases and sales by foreign countries
and changing interest rates.
An investor may lose all of their investment.
Due to the speculative nature of trading commodity interests, an investor could lose all of
their investment in the Partnership.
The Partnership will pay substantial fees and expenses regardless of profitability.
Regardless of its trading performance, the Partnership will incur fees and expenses, including
brokerage and management fees. Substantial incentive fees may be paid to one or more of the
Advisors even if the Partnership experiences a net loss for the full year.
An investors ability to redeem or transfer Redeemable Units is limited.
An investors ability to redeem Redeemable Units is limited and no market exists for the Redeemable Units.
Conflicts of interest exist.
The Partnership is subject to numerous conflicts of interest including those that arise from
the facts that:
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The General Partner and commodity broker are affiliates; |
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Each of the Advisors, the commodity broker and their principals and affiliates may trade
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An investors financial advisor will receive ongoing compensation for providing services
to the investors account. |
Investing in units might not provide the desired diversification of an investors overall
portfolio.
The Partnership will not provide any benefit of diversification of an investors overall
portfolio unless it is profitable and produces returns that are independent from stock and bond
market returns.
5
Past performance is no assurance of future results.
The Advisors trading strategies may not perform as they have performed in the past. The
Advisors have from time to time incurred substantial losses in trading on behalf of clients.
An investors tax liability may exceed cash distributions.
Investors are taxed on their share of the Partnerships income, even though the Partnership
does not intend to make any distributions.
The General Partner may allocate the Partnerships assets to undisclosed advisor.
The General Partner at any time may select and allocate the Partnerships assets to
undisclosed advisors. Investors may not be advised of such changes in advance. Investors must rely
on the ability of the General Partner to select advisors and allocate assets among them.
Regulatory changes could restrict the Partnerships operations.
Regulatory changes could adversely affect the Partnership 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; 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) in futures and over-the-counter 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.
Speculative position and trading limits may reduce profitability.
The CFTC and U.S. exchanges have established speculative position limits on the
maximum net long or net short positions 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 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 by increasing transaction costs to
liquidate positions and foregoing potential profits.
Item 2. Properties.
The Partnership does not own or lease any properties. The General Partner operates out of
facilities provided by its affiliate, Citigroup.
Item 3. Legal Proceedings.
This section describes the major pending legal proceedings, other than ordinary routine
litigation incidental to the business, to which CGM is a party or to which
any of their property is subject. There are no material legal proceedings pending against the
Partnership or the General Partner.
CGM is a New York corporation with its principal place of business at 388 Greenwich St., New
York, New York 10013. CGM is registered as a broker-dealer and futures commission merchant (FCM),
and provides futures brokerage and clearing services for institutional and retail participants in
the futures markets. CGM and its affiliates also provide investment banking and other financial
services for clients worldwide.
There have been no material administrative, civil or criminal actions within the past five
years against CGM (formerly known as Salomon Smith Barney) or any of its
individual principals and no such actions are currently pending, except as follows.
Mutual Funds
Several
issues in the mutual fund industry have come under the scrutiny of federal and state regulators.
Citigroup has received subpoenas and other requests for information from various government regulators regarding market timing, financing, fees, sales
practices and other mutual fund issues in connection with various investigations.
Citigroup is cooperating with all such reviews. Additionally, Citigroup Global
Markets has entered into a settlement agreement with the SEC with respect to revenue sharing
and sales of classes of funds.
On
May 31, 2005, Citigroup announced that Smith Barney Fund Management LLC and Citigroup Global
Markets completed a settlement with the SEC resolving an investigation by the SEC into matters
relating to arrangements between certain Smith Barney mutual funds, an affiliated
transfer agent and an unaffiliated sub-transfer agent.
Under the terms of the settlement, Citigroup agreed to pay fines totaling $208.1 million.
The settlement, in which Citigroup neither admitted nor denied any wrongdoing or liability,
includes allegations of willful misconduct by Smith Barney Fund Management LLC and Citigroup
Global Markets in failing to disclose aspects of the transfer agent arrangements to certain
mutual fund investors.
In
May 2007, Citigroup Global Markets finalized its settlement agreement with the NYSE and the
New Jersey Bureau of Securities on the matter related to its market-timing practices prior to
September 2003.
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FINRA Settlement
On
October 12, 2009, FINRA announced its acceptance of an Award Waiver and Consent
(AWC) in which Citigroup Global Markets, without admitting or denying the findings,
consented to the entry of the AWC and a fine and censure of $600,000. The AWC includes
findings that Citigroup Global Markets failed to adequately
supervise the activities of its equities trading desk in connection with
swap and related hedge trades in U.S. and Italian equities that were designed to
provide certain perceived tax advantages. Citigroup Global Markets was charged with
failing to provide for effective written procedures with respect to the implementation
of the trades, failing to monitor Bloomberg messages and failing to properly report certain
of the trades to the NASDAQ.
Auction Rate Securities
On
May 31, 2006, the SEC instituted and simultaneously settled proceedings against Citigroup
Global Markets and 14 other broker-dealers regarding practices in the Auction
Rate Securities market. The SEC alleged that the broker-dealers violated
Section 17(a)(2) of the Securities Act of 1933. The broker-dealers, without
admitting or denying liability,
consented to the entry of an SEC cease-and-desist order providing for censures,
undertakings and penalties. Citigroup Global Markets paid a penalty of $1.5 million.
On
August 7, 2008, Citigroup reached a settlement with the New York Attorney General, the SEC,
and other state regulatory agencies, pursuant to which Citigroup agreed to offer to
purchase at par Auction Rate Securities from all Citigroup individual investors,
small institutions (as defined by the terms of the settlement),
and charities that purchased Auction Rate Securities from Citigroup prior to
February 11, 2008. In addition, Citigroup agreed to pay a $50 million fine to
the State of New York and a $50 million fine to the other state regulatory agencies.
Subprime-Mortgage Related Actions
Citigroup
and certain of its affiliates are subject to formal and informal investigations, as
well as subpoenas and/or requests for information, from various governmental
and self-regulatory agencies relating to subprime mortgagerelated activities. Citigroup and
its affiliates are cooperating fully and are engaged in discussions on these matters.
Credit Crisis Related Matters
Beginning
in the fourth quarter of 2007, certain of Citigroups, and Citigroup Global Markets
regulators and other state and federal government agencies commenced formal and informal
investigations and inquiries, and issued subpoenas and requested information, concerning
Citigroups subprime mortgage-related conduct and business activities.
Citigroup and certain of its affiliates, including Citigroup Global Markets,
are involved in discussions with certain of its regulators to resolve certain
of these matters.
Certain
of these regulatory matters assert claims for substantial or indeterminate damages.
Some of these matters already have been resolved, either through settlements or court
proceedings, including the complete
dismissal of certain complaints or the rejection of certain claims following hearings.
In
the course of its business, CGM, as a major futures commission merchant and broker-dealer,
is a party to various civil actions, claims and routine regulatory investigations and proceedings
that the general partner believes do not have a material effect on the business of CGM.
Item 4. [Removed and Reserved]
7
PART II
Item 5. Market for Registrants Common Equity, Related Stockholder Matters and Issuer Purchases
of Equity Securities.
(a) Market Information. The Partnership has issued no stock. There is no
public market for the Redeemable Units.
(b) Holders. The number of holders of Redeemable Units as of December 31, 2009 was
1,472.
(c) Dividends. The Partnership did not declare a distribution in 2009, 2008 and 2007. The
Partnership does not intend to declare distributions in the foreseeable future.
(d) Securities Authorized for Issuance Under Equity Compensation Plans. None.
(e) Performance Graph. Not applicable.
(f) Recent Sales of Unregistered Securities. There were no additional sales of Redeemable Units for the 12
months ended December 31, 2009 and 2008.
(g) Purchases of Equity Securities by the Issuer and Affiliated Purchasers.
The following chart sets forth the purchases of Redeemable Units by the Partnership.
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(d) Maximum Number
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(or Approximate
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(c) Total Number
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Dollar Value) of
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of Redeemable Units
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Redeemable Units that
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(a) Total Number
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(b) Average
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Purchased as Part
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May Yet Be
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of Redeemable
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Price Paid per
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of Publicly Announced
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Purchased Under the
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Units Purchased* |
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Redeemable Unit** |
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Plans or Programs |
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Plans or Programs |
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October 1, 2009
October 31, 2009
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269.6959 |
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1,812.75 | |
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November 1, 2009
November 30, 2009
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178.7692 |
|
|
|
$ |
1,924.48 | |
|
|
|
N/A |
|
|
|
|
N/A |
|
December 1, 2009
December 31, 2009
|
|
|
|
146.7305 |
|
|
|
$ |
1,813.17 | |
|
|
|
N/A |
|
|
|
|
N/A |
|
|
|
|
|
595.1956 |
|
|
|
$ |
1,846.41 | |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Generally, Limited Partners are permitted to redeem their Redeemable Units as of the end of
each month on 10 days notice to the General Partner. Under certain circumstances, the General
Partner can compel redemption, although to date the General Partner has not exercised this right.
Purchases of Redeemable Units by the Partnership reflected in the chart above were made in the
ordinary course of the 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. |
Item 6. Selected Financial Data.
Net realized and unrealized trading gains (losses), interest income, net income (loss), increase (decrease) in Net Asset Value per Unit and Net Asset Value per Unit for the years ended December 31, 2009,
2008, 2007, 2006 and 2005 and total assets at December 31, 2009, 2008, 2007, 2006 and 2005 were as
follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2009 |
|
|
2008 |
|
|
2007 |
|
|
2006 |
|
|
2005 |
|
Net realized and unrealized trading gains
(losses) and investment in Partnerships net of brokerage commissions
(including clearing
fees) of $2,255,697, $2,825,055, $2,859,551, $3,242,379 and
$3,628,002 respectively |
|
$ |
(3,780,755 |
) |
|
$ |
8,910,943 |
|
|
$ |
1,605,992 |
|
|
$ |
845,375 |
|
|
$ |
(5,254,038 |
) |
Interest income |
|
$ |
28,372 |
|
|
|
509,211 |
|
|
|
1,719,005 |
|
|
|
2,046,966 |
|
|
|
1,422,012 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(3,752,383 |
) |
|
$ |
9,420,154 |
|
|
$ |
3,324,997 |
|
|
$ |
2,892,341 |
|
|
$ |
(3,832,026 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss) |
|
$ |
(4,717,414 |
) |
|
$ |
7,453,939 |
|
|
$ |
2,060,383 |
|
|
$ |
1,669,918 |
|
|
$ |
(5,366,044 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Increase (decrease) in Net Asset Value per Unit |
|
$ |
(216.73 |
) |
|
$ |
288.01 |
|
|
$ |
79.41 |
|
|
$ |
51.13 |
|
|
$ |
(135.01 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Asset Value per Unit |
|
$ |
1,813.17 |
|
|
$ |
2,029.90 |
|
|
$ |
1,741.89 |
|
|
$ |
1,662.48 |
|
|
$ |
1,611.35 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total assets |
|
$ |
33,760,685 |
|
|
$ |
49,677,270 |
|
|
$ |
48,139,797 |
|
|
$ |
54,342,969 |
|
|
$ |
59,538,339 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8
Item 7. Managements Discussion and Analysis of Financial Condition and Results of Operations.
Overview
The Partnership, through its investment in the Funds, aims to achieve substantial capital
appreciation through speculative trading, directly and indirectly, in U.S. and international
markets for currencies, interest rates, stock indices, agricultural and energy products and
precious and base metals. The Partnership may employ futures, swaps, options on futures, and
forward contracts in those markets.
The General Partner manages all business of the Partnership. The General Partner has delegated
its responsibility for the investment of the Partnerships assets to the Advisors. The General
Partner employs a team of approximately 20 professionals whose primary emphasis is on attempting to
maintain quality control among the advisors to the partnerships operated or managed by the General
Partner. A full-time staff of due diligence professionals use state-of-the-art technology and
on-site evaluations to monitor new and existing futures money managers. The accounting and
operations staff provide processing of trading activity and reporting to limited partners and
regulatory authorities. In selecting the Advisors for the Partnership, the General Partner
considered past performance, trading style, volatility of markets traded and fee requirements.
Responsibilities of the General Partner include:
|
|
|
due diligence examinations of the Advisors; |
|
|
|
|
selection, appointment and termination of the Advisors; |
|
|
|
|
negotiation of the management agreements; and |
|
|
|
|
monitoring the activity of the Advisors. |
In addition, the General Partner prepares the books and records and provides the
administrative and compliance services that are required by law or regulation from time to time in
connection with operation of the Partnership. These services include the preparation of required
books and records and reports to limited partners, government agencies and regulators; computation
of net asset value; calculation of fees; effecting subscriptions, redemptions and limited partner
communications; and preparation of offering documents and sales literature.
The General Partner seeks the best prices and services available in its commodity futures
brokerage transactions.
The programs traded by each Advisor on behalf of the Partnership are: Winton Diversified
Program, Willowbridge Argo Trading System, Graham- K4D-12.5 Program, Eckhardt- Standard Program
and SandRidge- Energy Program. As of December 31, 2009, the Partnerships assets were allocated
among the Advisors in the following approximate percentages: Winton, 30%, Willowbridge, 18%,
Graham, 27%, Eckhardt, 16% and SandRidge, 9%. The General Partner may modify or terminate the allocation of assets
among trading advisors at any time and may allocate assets to additional advisors at any time.
No assurance is given that an Advisors trading programs will be profitable or that they will
not experience losses.
Winton Capital Management Limited
Winton trades its Diversified Program on behalf of the Partnership. The Diversified Program
trades approximately 100 futures and forward contracts on U.S. and non-U.S. exchanges and markets.
Winton employs a fully systematic computerized, technical, trend-following trading system developed by
its principals. This system tracks the daily price movements from these markets around the world,
and carries out certain computations to determine each day how long or short the portfolio should
be in an attempt to maximize profit within a certain range of risk. If rising prices in a
particular market are anticipated, a long position will be established in that market; if prices in
a particular market are expected to fall, a short position in that market will be established.
Technical analysis refers to analysis based on data intrinsic to a market, such as price and
volume. In contrast, fundamental analysis relies on factors external to a market, such as supply
and demand. The Diversified Program employs no fundamental factors.
A trend-following system is one that attempts to take advantage of the observable tendency of
the markets to trend, and to tend to make exaggerated movements in both upward and downward
directions as a result of such trends. These exaggerated movements are largely explained as a
result of the influence of crowd psychology or the herd instinct among market participants.
A trend-following system does not anticipate a trend. In fact, trend-following systems are
frequently unprofitable for long periods of time in particular markets or market groups, and
occasionally they are unprofitable for periods of more than a year. However, the principals believe
that such an approach will, in the long term, be profitable.
Trade selection is not subject to intervention by Wintons principals and therefore is not
subject to the influences of individual judgment. As a mechanical trading system, the Winton model
embodies all the expert knowledge required to analyze market data and direct trades, thus
eliminating the risk of basing a trading program on one indispensable person. Equally as important
is the fact that mechanical systems can be tested in simulation for long periods of time, and the
models empirical characteristics can be measured.
The systems output is rigorously adhered to in trading the portfolio, and intentionally no
importance is given to any external or fundamental factors. While it may be seen as unwise to
ignore information of obvious value, such as that pertaining to political or economic developments,
Winton believes that the disadvantage of this approach is far outweighed by the advantage of the
discipline that rigorous adherence to such a system instills. Winton believes that significant
profits may be realized by the Winton system by holding on to positions for much longer than
conventional wisdom would dictate. Winton believes that a trader who pays attention to day-to-day
events could be distracted from the chance of fully capitalizing on such trends.
The Winton system trades in all liquid U.S. and non-U.S. futures and forward contracts.
Forward markets include major currencies and precious and base metals, the latter two categories
being traded on the London Metal Exchange. Winton seeks new opportunities to add additional markets
to the portfolio, with the goal of increasing the portfolios diversification.
9
Winton believes that taking positions in a variety of unrelated markets will, over time,
decrease system volatility. By employing a sophisticated and systematic method for placing orders
in a wide array of markets, Winton believes that profits can be realized over time.
Willowbridge Associates, Inc.
Willowbridge trades the Partnerships assets allocated to it in accordance with its Argo
Trading System (Argo), which is described below.
For
Argo, risk is managed on a market-by-market level as well as on an
overall portfolio level. On the market level, risk is managed primarily by utilizing proprietary
volatility filters. When these filters detect a certain excessive level of volatility in the
markets traded, they will signal that the systems should no longer be trading in the markets in
which the filters have detected excessive volatility. In this way, the systems do not participate
in markets in which there are extremes in market action. On the portfolio level, risk is managed by
utilizing a proprietary portfolio cutback rule. When cumulative profits have reached a certain
level, this rule determines that positions should be halved across the entire portfolio. In this
way, risk is reduced while allowing the systems to continue to participate in the markets, albeit
at a reduced level. After the portfolio has been traded at half, the portfolio cutback rule will
then determine when to increase positions to again trade at the full level.
Argo commenced trading in 1988. Argo essentially incorporates concepts of pattern
recognition, support/resistance levels and counter-trend liquidations. Argo has a relatively slow time horizon and attempts to capture
longer-term price moves.
Pattern recognition, support/resistance levels and counter-trend liquidations are defined as
follows:
Pattern recognition is the ability to identify patterns that appear to have acted as
precursors of price advances or declines in the past.
A support level is a previous lowa price level under the current market price at which point
buying interest is expected to be sufficiently strong to overcome selling pressure.
A resistance level is a previous higha price level over the current market price at which
point selling pressure is expected to overcome buying pressure and a price advance is expected to
be turned back.
A counter-trend liquidation is the closing out of a position after a significant price move on
the assumption that the market is due for a correction.
Graham Capital Management, L.P.
Graham trades the Partnerships assets allocated to it in accordance with K4D-12.5 Program.
K4D-12.5 Program combines four individual Graham investment programs into one program. K4D-12.5
Program initially allocates assets equally among other Graham programs. As market conditions or
other circumstances change, Graham may alter the weightings of the individual programs and add (or
delete) other programs to K4D-12.5 Program, as it deems appropriate.
Graham trades actively in both U.S. and foreign markets, primarily in futures contracts,
forward contracts, spot contracts and associated derivative instruments such as options and swaps.
Graham engages in exchange for physical transactions, which involve the exchange of a futures
position for the underlying physical commodity without making an open competitive trade on an
exchange.
10
Graham at times will trade certain instruments, such as forward foreign currency contracts, as
a substitute for futures or options traded on futures exchanges.
Grahams trading systems rely primarily on technical rather than fundamental information as
the basis for their trading decisions. Grahams system is based on the expectation that over time
they can successfully anticipate market events using quantitative mathematical models to determine
their trading activities, as opposed to attempting properly to forecast price trends using
subjective analysis of supply and demand.
Eckhardt Trading Company
Eckhardt began managing accounts according to the Standard Program Higher Leveraged in
October 1991. For this program, Eckhardt primarily engages in trading financial and commodity
futures contracts on U.S. and non-U.S. exchanges. Currently the market groups or contracts traded
by Eckhardt in the Standard Program-Higher Leveraged include, but are not limited to, U.S. and
international interest rates, stock indices, currencies and cross-rates, metals, energy products,
grains and soft markets. Eckhardt may add or delete markets and/or exchanges at its discretion. In
addition, Eckhardt may trade options on futures, forward contracts on commodities and currencies,
cash currencies, and may engage in transactions in physical commodities, including EFPs (in
addition to EFPs in currencies).
Eckhardts trading approach is the product of over 28 years of intensive research on futures
price action, risk management and trading system development. Diverse systems are melded in
accordance with the modern mathematical theory of risk. The systems are technical in origin and
trend following in thrust. They are not based on the analysis of fundamental supply and demand
factors. Eckhardts trading approach is predominantly applied in an algorithmic or mechanical
manner. Occasionally, discretion and judgment may be used; such discretion is nonetheless informed
by investigations into historical price action and is often employed for risk management purposes.
Discretion also may be utilized in connection with the timing of the entry of orders in the markets
traded.
SandRidge Capital, L.P.
SandRidge
trades the Partnerships assets in accordance with its
Energy Program. SandRidge primarily attempts to achieve the Partnerships objective through the
speculative trading of energy-related commodity interests, including, but not limited to, natural
gas, crude oil, heating oil and gasoline. With the prior approval of the General Partner, SandRidge
may trade in other commodity interests that are now traded, or may be traded in the future, on
exchanges and markets located in the United States and abroad.
SandRidge is a discretionary trader that employs primarily fundamental analysis. Fundamental
analysis examines factors external to the trading market that affect the supply and demand for a
particular group or type of commodity in order to predict future prices. Effective risk management
is an important aspect of SandRidges trading program. An accounts size, volatility of the market
traded and the nature of other positions taken are all factors used in deciding whether to initiate
a position and in determining the amount of equity committed to that position. While SandRidge
relies heavily on fundamental research to develop its overall point of view, it also employs
technical analysis in its trading to help determine entry and exit points. Technical analysis
includes moving averages, index rolls and Stochastic/relative strength indicators. Technical
analysis is based on the theory that the study of the markets themselves provides a means of
anticipating price movements. SandRidge may employ various strategies for phasing an account in and
out of the markets. Entry points are based on a number of price breakout and retracement
indicators. Position exits are based on multiple strategies including trailing stops, target prices
and technical reversals. If SandRidge believes that the markets traded are unstable, SandRidge may
temporarily reduce positions or exit the markets entirely and therefore hold no open positions for
a period of time. SandRidge estimates that, generally, 10% to 15% of the Partnerships assets
allocated to SandRidge will be committed to margin at any one time. The actual amount committed as
such may be substantially more. Trading decisions will require the exercise of judgment by
SandRidge.
11
SandRidges success depends to a great extent upon the occurrence of market conditions
favorable to its trading strategy. Factors such as lack of major price trends or increased
governmental control of, or participation in, the markets, may reduce SandRidges ability to trade
profitably in the future.
For the period January 1, 2009 through December 31, 2009, the average allocation by commodity
market sector for each of the Funds was as follows:
|
|
|
|
|
CMF Willowbridge Argo Master Fund L.P. |
Currencies
|
|
|
23.4 |
% |
Energy
|
|
|
17.8 |
% |
Grains
|
|
|
8.3 |
% |
Interest Rates Non-U.S.
|
|
|
16.6 |
% |
Interest Rates U.S.
|
|
|
9.5 |
% |
Livestock
|
|
|
0.4 |
% |
Metals
|
|
|
18.1 |
% |
Softs
|
|
|
5.9 |
% |
|
|
|
|
|
CMF Winton Master L.P. |
Currencies
|
|
|
26.1 |
% |
Energy
|
|
|
4.3 |
% |
Grains
|
|
|
5.6 |
% |
Interest Rates Non-U.S.
|
|
|
20.5 |
% |
Interest Rates U.S.
|
|
|
11.1 |
% |
Livestock
|
|
|
0.8 |
% |
Metals
|
|
|
9.0 |
% |
Softs
|
|
|
3.0 |
% |
Stock Index
|
|
|
19.6 |
% |
|
|
|
|
|
CMF Graham Capital Master Fund L.P. |
Currencies
|
|
|
26.1 |
% |
Energy
|
|
|
6.8 |
% |
Grains
|
|
|
4.0 |
% |
Interest Rates Non-U.S.
|
|
|
16.9 |
% |
Interest Rates U.S.
|
|
|
6.3 |
% |
Livestock
|
|
|
0.4 |
% |
Metals
|
|
|
5.2 |
% |
Softs
|
|
|
4.5 |
% |
Stock Index
|
|
|
29.8 |
% |
|
|
|
|
|
CMF Eckhardt Master Fund L.P. |
Currencies
|
|
|
13.4 |
% |
Energy
|
|
|
9.5 |
% |
Grains
|
|
|
5.8 |
% |
Interest Rates Non-U.S.
|
|
|
23.6 |
% |
Interest Rates U.S.
|
|
|
14.1 |
% |
Metals
|
|
|
12.7 |
% |
Softs
|
|
|
7.3 |
% |
Stock Index
|
|
|
13.6 |
% |
|
|
|
|
|
CMF SandRidge Master Fund L.P. |
Energy
|
|
|
100.0 |
% |
12
(a) Liquidity
The Partnership does not engage in sales of goods or services. Its only assets are its
investments in the Funds and cash. The Funds only assets are their equity in trading accounts,
consisting of cash and cash equivalents, net unrealized appreciation on open futures positions, net
unrealized appreciation on forward contracts, commodity options, if applicable, and 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 during
the year ended December 31, 2009.
To minimize the risk relating to low margin deposits, the Partnership/Funds follows certain
trading policies, including:
|
(i) |
|
The Partnership invests its assets in other Funds that invest the assets only in
commodity interests that an Advisor believes are traded in sufficient volume to permit ease
of taking and liquidating positions. Sufficient volume, in this context, refers to a level
of liquidity that the Advisor believes will permit it to enter and exit trades without
noticeably moving the market. |
|
|
(ii) |
|
An Advisor will not initiate additional positions in any commodity interest if these
positions would result in aggregate positions requiring a margin of more than 66 2/3% of the
Partnerships net assets allocated to that Advisor. |
|
|
(iii) |
|
The Partnership/Funds may occasionally accept delivery of a commodity. Unless such
delivery is disposed of promptly by retendering the warehouse receipt representing the
delivery to the appropriate clearinghouse, the physical commodity position is fully hedged. |
|
|
(iv) |
|
The Partnership/Funds will not employ the trading technique commonly known as
pyramiding, in which the speculator uses unrealized profits on existing positions as
margin for the purchases or sale of additional positions in the same or related commodities. |
|
|
(v) |
|
The Partnership/Funds will not utilize borrowings, other than short-term borrowings, if the
Partnership/Funds take delivery of any cash commodities. |
|
|
(vi) |
|
The Advisors may, from time to time, employ trading strategies such as spreads or
straddles on behalf of the Partnership/Funds. The term spread or straddle describes a
commodity futures trading strategy involving the simultaneous buying and selling of futures
contracts on the same commodity but involving different delivery dates or markets and in
which the trader expects to earn a profit from a widening or narrowing of the difference
between the prices of the two contracts. |
|
|
(vii) |
|
The Partnership/Funds will not permit the churning of their
commodity trading accounts. The
term churning refers to the practice of entering and exiting trades with a frequency
unwarranted by legitimate efforts to profit from the trades, driven by the desire to
generate commission income. |
From January 1, 2009 through December 31, 2009, the Partnerships average margin to equity ratio
(i.e., the percentage of assets on deposit required for
margin) was approximately 7.4%. The
foregoing margin to equity ratio takes into account cash held in the Partnerships name, as well as
the allocable value of the positions and cash held on behalf of the Partnership in the name of the
Funds.
In
the normal course of business, the Partnership and the Funds, are
party to financial instruments with off-balance sheet risk, including derivative financial
instruments and derivative commodity instruments. These financial instruments include forwards,
futures, options and swaps, whose values are based upon an underlying asset, index or reference
rate, and generally represent future commitments to exchange currencies or cash balances, to
purchase or sell other financial instruments at specified 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 or over-the-counter (OTC). Exchange traded instruments are standardized and
include futures and certain forwards and 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 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.
Market risk is the potential for changes in the value of the financial instruments traded by
the 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 Funds are
exposed to a market risk equal to the value of futures and forward contracts purchased and
unlimited liability on such contracts sold short.
13
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 Funds 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 Funds
risk of loss is reduced through the use of legally enforceable master netting agreements with
counterparties that permit the Funds to offset unrealized gains and losses and other assets and
liabilities with such counterparties upon the occurrence of certain events. The Funds have credit
risk and concentration risk as the sole counterparty or broker with respect to the Funds assets is
CGM or a CGM affiliate. Credit risk with respect to exchange-traded instruments is reduced to the
extent that through CGM, the Funds counterparty is an exchange or clearing organization.
As both a buyer and seller of options, the Funds pay or receive a premium at the outset and
then bears the risk of unfavorable changes in the price of the contract underlying the option.
Written options expose the 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 Funds do not consider these contracts
to be guarantees as described in ASC 460, Guarantees (formerly, FAS No. 45, Guarantors
Accounting and Disclosure Requirements for Guarantees).
The General Partner monitors and attempts to control the 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 Funds may be
subject. These monitoring systems generally allow the General Partner to statistically analyze actual trading
results with risk adjusted performance indicators and correlation statistics. In addition, on-line
monitoring systems provide account analysis of futures, forwards and options positions by sector,
margin requirements, gain and loss transactions and collateral positions. (See also Item 8.
Financial Statements and Supplementary Data for further information on financial
instrument risk included in the Notes to Financial Statements.)
Other
than the risks inherent in commodity futures and other derivatives trading, the Partnership knows of no trends,
demands, commitments, events or uncertainties which will result in or which are reasonably likely
to result in the Partnerships liquidity increasing or decreasing in any material way. The Limited
Partnership Agreement provides that the General Partner may, in its discretion, cause the
Partnership to cease trading operations and liquidate all open positions under certain
circumstances, including a decrease in Net Asset Value per Redeemable Unit to less than $400 as of
the close of business on any business day.
(b) Capital Resources.
(i) The Partnership has made no material commitments for capital expenditures.
(ii) The Partnerships capital consists of the capital contributions of the partners as
increased or decreased by gains or losses on trading and by expenses, interest income, redemptions
of Redeemable Units and distributions of profits, if any. Gains or losses on trading cannot be
predicted. Market movements in commodities are dependent upon fundamental and technical factors which
the Advisors may or may not be able to identify, such as changing supply and demand relationships,
weather, government, agricultural, commercial and trade programs and policies, national and
international political and economic events and changes in interest rates. Partnership expenses
consist of, among other things, brokerage, advisory and administrative fees. The level of these
expenses is dependent upon trading performance and the level of Net Assets
maintained. In addition, the amount of interest income payable by CGM is dependent upon interest
rates over which the Partnership has no control.
No forecast can be made as to the level of redemptions in any given period. A Limited Partner
may require the Partnership to redeem their Redeemable Units at their Net Asset Value
per Redeemable Unit as of the last day of each month on ten days written notice to the General Partner. There
is no fee charged to Limited Partners in connection with redemptions.
Redemptions generally are funded out of the Partnerships cash holdings.
For the year ended December
31, 2009, 4,902.7992 Redeemable Units were redeemed totaling $9,296,739 and 554.9250 General
Partner Unit equivalent were redeemed totaling $1,037,738. For the year ended December 31, 2008,
3,944.5494 Redeemable Units were redeemed totaling $7,560,553. For the year ended December 31,
2007, 3,942.7222 Redeemable Units were redeemed totaling $6,617,850, and 965.2622 General Partner
Unit equivalent were redeemed totaling $1,441,407.
14
(c) Results of Operations.
For the year ended December 31, 2009, the Net Asset Value per Redeemable Unit decreased 10.7%
from $2,029.90 to $1,813.17. For the year ended December 31, 2008, the Net Asset Value per
Redeemable Unit increased 16.5% from $1,741.89 to $2,029.90. For the year ended December 31, 2007,
the Net Asset Value per Redeemable Unit increased 4.8% from $1,662.48 to $1,741.89.
The Partnership experienced a net trading loss, through investments in the Funds, before
brokerage commissions and related fees in the year ended December 31, 2009 of $1,525,058. Losses
were primarily attributable to the trading of commodity futures in currencies, energy, grains, U.S.
and non-U.S. interest rates, livestock and lumber and were partially offset by gains in metals, softs and indices.
2009 was
a volatile year for the financial markets. The U.S. stock market entered 2009 reeling from the
financial turmoil of 2008. The results of the sub-prime fallout, bank bailouts, auto industry
bankruptcies, and capitulating economic data overwhelmed not just stock prices, but fueled
extraordinarily high levels of risk aversion. The markets recovery was driven by stability
in the banking sector and a rapid recovery in global markets. By mid-year 2009, the market
had hit bottom in March, banks were seeking to return TARP bailout
money and other leading
indicators were recovering. The Partnership realized losses due to
volatile trends. The volatility was due to sensitivity to news shocks and contrary economic data.
Losses were
realized in trading fixed income instruments. With the economic backdrop of 2009, yields started to
exhibit asymmetric volatility due to extreme uncertainty prevailing in the longer time horizon.
Encouraged by the continuing efforts of the Obama administration to stabilize the U.S. economy,
the markets finally began to recover a degree of risk-taking confidence in March, resulting in
the reversal of many of the trends that had driven returns in late 2008. High levels of
volatility created difficult trading conditions in the energy markets. On one hand, the
weakness in the U.S. dollar is supportive of the higher prices in energy, however, the
decline in demand and excess inventories periodically pushed prices lower, resulting in
losses for the sector as prices whipsawed. Losses were also taken in trading of
currencies, primarily in December as the Japanese Yen reversed sharply on the Japanese
governments dissatisfaction over the high value of the Yen.
In agricultural commodities, losses were realized primarily in corn and wheat.
Prices of corn and wheat both unexpectedly rallied in October as cold, wet
weather threatened to delay the harvest and concerns over the acres likely to be
seeded for the new crop. Losses were incurred in sugar after prices hit a 28
year high, which led many countries to reduce their expected sugar imports.
The Partnership experienced a net trading gain, through investments in the Funds, before
brokerage commissions and related fees in the year ended December 31, 2008 of $11,735,998. Gains
were primarily attributable to the trading of commodity futures in currencies, energy, grains, U.S.
and non-U.S. interest rates, livestock, lumber, metals, softs and indices.
In 2008, the liquidity crisis that began in 2007 rapidly spread to all corners of the globe,
significantly pushing down global economic growth and presenting the U.S. economy with the hardest
challenges since the Great Depression. During the year, the worlds credit markets virtually seized
up, commodity prices plunged and most major equity indices declined dramatically, while some of the
largest U.S. financial institutions were under pressure. Faced with unprecedented rapid
deterioration in economic data and outlook, and fearing a snowball adverse effect of the credit
crunch, global central banks reacted with aggressive campaigns of interest rate cuts and
coordinated capital injections. As the markets re-priced the cost of risk, several strong trends
emerged. The Partnership strongly capitalized on the trends and was profitable in all the sectors.
Profits were primarily realized from trading in energy, fixed income and equity indices. The
Partnership realized most of the profits in the energy sector by capturing both the bullish and the
bearish trends. In the earlier part of the year, crude oil pushed towards a historic high of $147
per barrel and in the latter part, the trend suddenly reversed and a strong negative trend emerged
with crude oil dropping to about $32 per barrel. Natural gas also contributed to profits as prices
plunged from $14 to about $5 per MMBtu. The Partnership was also profitable in interest rates as the yield on
short term notes dropped significantly. Short term U.S. Treasury bills were in such high demand due
to flight-to-quality that the yields had dropped below zero during the year. While the 10Yr T-bill
yielded on an average between 3.5%-4% for most of the year, the yield dropped to 2% in December.
Non-U.S. interest rates also showed tremendous volatility as the rates dropped precipitously due to
the actions of the central banks. Global equity indices also contributed to the gains as indices
continued to test multi-year lows. As financial institutions continued to write off the assets and
as bankruptcies loomed, investors lost confidence in the equity markets. Futures markets offered
greater flexibility as the SEC temporarily banned short selling in the equity markets.
CGM will pay monthly interest to the Partnership on its applicable share 80% of the
average daily equity maintained in cash in the Funds brokerage account at a 30-day U.S. Treasury bill rate determined weekly by CGM and/or will place all of the Funds assets in
90-day Treasury bills. The Partnership will receive 80% of its applicable share of the
interest earned on the Treasury bills purchased through its investments in other
partnerships. Twenty percent of the interest earned on Treasury bills purchased may be
retained by CGM and/or credited to the General Partner. Interest income from investment in Partnerships for the three and twelve months ended December 31, 2009 decreased by
$13,925 and $480,839, respectively, as compared to the corresponding periods in 2008.
The decrease in interest income is primarily due to lower U.S. Treasury Bill rates for the
Partnership during the three and twelve months ended December 31, 2009, as compared to the corresponding periods in 2008.
Interest earned by the Partnership will increase the net asset value of the Partnership.
15
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
and redemptions. Brokerage commissions and fees for the
three and twelve months ended December 31, 2009 decreased by
$199,212 and $569,358, respectively, as compared to the corresponding periods in 2008. The decrease in
brokerage commissions and fees is due to lower average adjusted net assets during the three and twelve months ended December 31, 2009 as compared to the corresponding
periods in 2008.
Management fees are calculated as a percentage of the Partnerships net asset value as of the end of each month and are affected by trading performance and
redemptions. Management fees for the three and twelve months ended December 31,
2009, decreased by $70,789 and $183,225, respectively, as compared to the
corresponding periods in 2008. The decrease in management fees is due to lower average
adjusted net assets during the three and twelve months ended December 31, 2009 as compared to the corresponding periods in 2008.
Incentive
fees are based on the new trading profits generated by each Advisor at the end of
the quarter as defined in the management agreements between the Partnership, the General
Partner and each Advisor. There were no incentive fees earned for the
three months ended December 31, 2009. Trading performance for the twelve months ended
December 31, 2009 resulted in incentive fees of $29,522. Trading performance for the
three and twelve months ended December 31, 2008 resulted in incentive fees of $189,867
and $931,991, respectively.
The Partnership experienced a net trading gain, through investments in the Funds, before
brokerage commissions and related fees in the year ended December 31, 2007 of $4,465,543. Gains
were primarily attributable to the trading of commodity futures in currencies, energy, grains, U.S.
and non-U.S. interest rates, livestock and lumber and were partially offset by losses in metals, softs and
indices.
During 2007, the Partnership profited from macro-economic developments that stimulated
volatility and asset price trends of a favorable duration to the underlying Advisors trading
strategies. Negative developments in the U.S. mortgage markets and the increasing probability of
recession resonated throughout the capital and commodity markets. A surge in volatility in the
global equity markets in February was driven by a tumble in Chinese stock valuations that curbed
sentiment for global risk assets and sparked a material sell-off in global stock prices. The year
would go on to be highlighted by two additional measurable equity market corrections in the summer
and fall. By mid-summer, dislocations in U.S. asset-backed and mortgage-backed credit markets
emerged as the central focal point of global capital markets. The ensuing re-pricing of credit risk
resulted in a flight-to-quality driven rally in prices of sovereign debt, especially in the U.S.
Treasury markets as the Federal Open Market Committee acted rapidly to stem the negative
implications for growth. As a result of the series of rate cuts and negative economic data, the
U.S. dollar became less attractive and weakened materially against most major currencies during the
latter part of the year. Commodity markets continued to signal inflation, further clouding the
economic landscape, as global demand for most food and raw materials continued to be robust. Prices
moved rather erratically at times.
Profits were realized in fixed income trading as turbulence in asset backed credit markets
became a catalyst for significant directional moves in yields and strong bias towards price rallies
across Treasury curves. Gains were also generated by substantially rising oil prices, which reached
all-time contract highs due to robust global demand, ongoing geopolitical concerns and increased
speculative participation in the commodity. The Partnership also benefited from persistent trends
in the currency sector, notably in Japanese Yen, New Zealand Dollar and British Pounds.
Trading gains were offset slightly by losses related to trading in metals and soft
commodities. Periodic sporadic rallies in the U.S. dollar negatively impacted positions in certain
precious metals, which tend to demonstrate inverse price movements. Prices of industrial metals
also moved erratically during most of the year, mainly due to fluctuating estimates of Chinese and
emerging market economic growth resulting in unfavorable price action for the advisors. Losses were
also experienced in trading soft commodities such as coffee and cocoa. Excess exports from growers
in Africa and Indonesia in the month of August resulted in a surprising fall in process driven by
increased supply.
In the General Partners opinion, the Advisors continue to employ trading methods and produce
results consistent with the objectives of the Partnership/Funds and expectations for the Advisors
programs. The General Partner continues to monitor the Advisors performance on a daily, weekly,
monthly and annual basis to assure these objectives are met.
Commodity markets are highly volatile. Broad price fluctuations and
rapid inflation increase the risks involved in commodity trading, but also increase the possibility
of profit. The profitability of the Partnership depends on the existence of major price trends and
the ability of the Advisors to identify those price trends correctly. Price trends are influenced
by, among other things, changing supply and demand relationships, weather, governmental,
agricultural, commercial and trade programs and policies, national and international political and
economic events and changes in interest rates. To the extent that market trends exist and the
Advisors are able to identify them, the Partnership expects to increase capital through operations.
16
In allocating the assets of the Partnership among the trading advisors, 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 among the trading advisors and may
allocate assets to additional advisors at any time.
(d) Off-Balance
Sheet Arrangements. None.
(e) Contracts
and Obligations. None.
(f) Operational Risk.
The Partnership, through its investments in the Funds, is directly exposed to market risk and
credit risk, which arise in the normal course of its business activities. Slightly less direct, but
of critical importance, are risks pertaining to operational and back office
support. This is particularly the case in a rapidly changing and increasingly global
environment with increasing transaction volumes and an expansion in the number and complexity of
products in the marketplace.
Such risks include:
Operational/Settlement Risk the risk of financial and opportunity loss and legal liability
attributable to operational problems, such as inaccurate pricing of transactions, untimely trade
execution, clearance and/or settlement, or the inability to process large volumes of transactions.
The Partnership/Funds are subject to increased risks with respect to its trading activities in
emerging market securities, where clearance, settlement, and custodial risks are often greater than
in more established markets.
Technological Risk the risk of loss attributable to technological limitations or hardware
failure that constrain the Partnerships/Funds ability to gather, process, and communicate
information efficiently and securely, without interruption, to customers and in the markets where
the Partnership/Funds participate.
Legal/Documentation Risk the risk of loss attributable to deficiencies in the documentation
of transactions (such as trade confirmations) and customer relationships (such as master netting
agreements) or errors that result in noncompliance with applicable legal and regulatory
requirements.
Financial Control Risk the risk of loss attributable to limitations in financial systems and
controls. Strong financial systems and controls ensure that assets are safeguarded, that
transactions are executed in accordance with managements authorization, and that financial
information utilized by management and communicated to external parties, including the
Partnerships Redeemable Unit holders, creditors, and regulators, is free of material errors.
(g) 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. 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 the date the financial statements were issued. 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, 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)
Partnerships and the Funds Investments. All commodity interests (including derivative financial instruments and
derivative commodity instruments), through its investment in other partnerships, 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 Funds 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 Funds Statements of Income and
Expenses.
Partnerships and the Funds Fair Value Measurements. The Partnership and the Funds adopted ASC 820, 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. The Partnership and the Funds did not apply
the deferral allowed by ASC 820 for nonfinancial assets and nonfinancial liabilities measured at fair value on a
nonrecurring basis
The Funds consider prices for exchange traded commodity futures exchange cleared swaps and 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 partnerships (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
17
2). The value of the Partnerships investments in partnerships reflects its proportional
interest in the partnerships. As of and for the years ended December 31, 2009 and 2008, the Funds
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 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
can not 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 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. When the contract is closed, 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. 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.
Forward Foreign Currency Contracts. Foreign currency contracts are those contracts where the
Funds agree to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on
an agreed future date. Foreign currency contracts are valued daily, 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
rates at the reporting date, is included in the Statements of Financial Condition. Realized gains
(losses) and changes in unrealized gains (losses) on foreign currency contracts are recognized in
the period in which the contract is closed or the changes occur, respectively, and are included in
the Statements of Income and Expenses.
The Funds do not isolate that portion of the results of operations arising from the effect of
changes in foreign exchange rates on investments from fluctuations from changes in market prices of
investments held. Such fluctuations are included in net gain (loss) on investments in the
Statements of Income and Expenses
London Metals Exchange Forward Contracts. Metal contracts traded on the London Metals Exchange
(LME) represent a firm commitment to buy or sell a specified quantity of aluminum, copper, lead,
nickel, tin or zinc. LME contracts traded by the Funds are cash settled based on prompt dates
published by the LME, Payments (variation margin) 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. 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 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. 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.
Options. The Funds may purchase and write (sell) both exchange listed and over-the-counter
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 Funds write an option, the premium received is recorded
as a liability in the Statements of Financial Condition and marked to market daily. When the Funds
purchase an option, the premium paid is recorded as an asset in the Statements of Financial
Condition and marked to market daily. Realized gains (losses) and changes in unrealized gains
(losses) on options contracts are included in the Statements of Income and Expenses.
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, Income Taxes (formerly, FAS No. 48, Accounting
for Uncertainty in Income Taxes). ASC 740 provides guidance for how uncertain tax positions
should be recognized, measured, presented and disclosed in the financial statements. ASC 740
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 to be 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
18
concluded that no provision for
income tax is required in the Partnerships financial statements
The following is the major tax jurisdiction for the Partnership and the earliest tax year
subject to examination: United States 2006.
Subsequent
Events. In 2009, the Partnership adopted ASC 855, Subsequent Events (formerly,
FAS No. 165, Subsequent Events). The objective of ASC 855 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. Management has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
Recent Accounting Pronouncements. In January 2010, the FASB issued Accounting Standards Update
No. 2010-06 (ASU 2010-06), Improving Disclosures about Fair Value Measurements, which , among
other things, amends ASC 820 to require entities to separately present purchases, sales, issuances,
and settlements in their reconciliation of Level 3 fair value measurements (i.e. to present such
items on a gross basis rather than on a net basis), and which clarifies existing disclosure
requirements provided by ASC 820 regarding the level of disaggregation and the inputs and valuation
techniques used to measure fair value for measurements that fall within either Level 2 or Level 3
of the fair value hierarchy. ASU 2010-06 is effective for interim and annual periods beginning after
December 15, 2009, except for the disclosures about purchases, sales, issuances, and settlements in
the roll forward of activity in Level 3 fair value measurements (which are effective for fiscal
years beginning after December 15, 2010, and for interim periods within those fiscal years).
Management is currently assessing the impact that the adoption of ASU 2010-06 will have on the
Partnerships financial statements disclosures.
In
February 2010, the FASB issued Accounting Standards Update No. 2010-09 (ASU 2010-09), Subsequent
Events (Topic 855): Amendments to Certain Recognition and Disclosure Requirements, which among other
things amended ASC 855 to remove the requirement for an SEC filer to disclose the date through which
subsequent events have been evaluated. This change alleviates potential conflicts between ASC
855 and the SECs requirements. All of the amendments in this update are effective upon issuance
of this update. Management has included the provisions of these amendments in the financial statements.
Certain prior period amounts have been reclassified to conform to the current year
presentation.
Item 7A. Quantitative and Qualitative Disclosures About Market Risk.
Introduction
All of the Partnerships assets are subject to the risk of trading loss through its
investments in the Funds. The Funds are speculative commodity pools. The market sensitive
instruments held by them are acquired for speculative trading purposes, and all or substantially
all of the 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 Funds main line of
business.
The risk to the limited partners that have purchased interests in the Funds are limited to the amount
of their capital contributions to the Funds and their share of Funds assets and
undistributed profits. This limited liability is a consequence of the organization of the
Funds as limited partnerships under applicable law.
Market movements result in frequent changes in the fair market value of the Funds open
positions and, consequently, in its earnings and cash balances. The Funds market risk is influenced by
a wide variety of factors, including the level and volatility of interest rates, exchange rates,
equity price levels, the market value of financial instruments and contracts, the diversification
results among the Funds open positions and the liquidity of the markets in which they trade.
The 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 Funds past performance is not necessarily indicative of
their future results.
Value at Risk is a measure of the maximum amount which the Funds could reasonably be expected
to lose in a given market sector. However, the inherent uncertainty of the Funds speculative
trading and the recurrence in the markets traded by the 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 Funds experiences 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 Funds losses in any market sector will be limited to Value at Risk or by
the Funds attempts to manage their market risk.
Materiality as used in this section, Quantitative and Qualitative Disclosures About
Market Risk, is based on an assessment of reasonably possible market movements and
the potential losses caused by such movements, taking into account the leverage,
optionality and multiplier features of the Funds market sensitive
instruments.
19
Quantifying the Partnerships Trading Value at Risk
The following quantitative disclosures regarding 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 of 1933, as amended (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 (such as the terms of particular contracts and the number of market
risk sensitive instruments held during or at the end of the reporting period).
The Funds risk exposure in the various market sectors traded by the Funds is quantified below
in terms of Value at Risk. Due to the Funds mark-to-market accounting, any loss in the fair
value of the Funds open positions is directly reflected in the Partnerships earnings (realized
and unrealized).
Exchange maintenance margin requirements have been used by the Funds 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. The maintenance 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. 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.
In the case of market sensitive instruments which are not exchange traded (almost exclusively
currencies in the case of the Funds), the margin requirements for the equivalent futures positions
have been used as Value at Risk. In those rare cases in which a futures-equivalent margin is not
available, dealers margins have been used.
The fair value of the Funds futures and forward positions does not have any optionality
component. However, certain of the Advisors trade commodity options. Where this instrument is a
futures contract, the futures margin has been used, and where this instrument is a physical
commodity, the futures-equivalent maintenance margin has been used. This calculation is
conservative in that it assumes that the fair value of an option will decline by the same amount as
the fair value of the underlying instrument, whereas, in fact, the fair values of the options
traded by the Funds in almost all cases fluctuate to a lesser extent than those of the
underlying instruments.
In quantifying the Funds Value at Risk, 100% positive correlation in the
different positions held in each market risk category has been assumed. Consequently, the margin
requirements applicable to the open contracts have simply been added to determine each trading
categorys aggregate Value at Risk. The diversification effects resulting from the fact that the
Funds positions are rarely, if ever, 100% positively correlated have not been reflected.
20
The Partnerships Trading Value at Risk in Different Market Sectors
Value at Risk tables represent a probabilistic assessment of the risk of loss in market risk sensitive instruments. The Partnerships advisors currently trade the Partnerships assets indirectly in master fund managed accounts,
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 indirectly, through its investment in the Funds. The remaining trading
Value at Risk tables reflect the market sensitive
instruments, indirectly held by each Fund, separately.
The following tables indicate the trading Value at Risk associated with the Partnerships open positions by market category as of December 31, 2009 and 2008. As of December 31, 2009, the Partnerships total capitalization was $33,239,132.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
% of Total |
|
Market Sector |
|
Value at Risk |
|
|
Capitalization |
|
|
|
|
|
|
|
|
|
|
Currencies |
|
$ |
488,073 |
|
|
|
1.47 |
% |
Energy |
|
|
264,506 |
|
|
|
0.80 |
% |
Grains |
|
|
117,037 |
|
|
|
0.35 |
% |
Interest Rates U.S. |
|
|
317,080 |
|
|
|
0.95 |
% |
Interest Rates Non-U.S. |
|
|
335,946 |
|
|
|
1.01 |
% |
Livestock |
|
|
6,083 |
|
|
|
0.02 |
% |
Metals |
|
|
347,456 |
|
|
|
1.05 |
% |
Softs |
|
|
197,670 |
|
|
|
0.59 |
% |
Indices |
|
|
739,496 |
|
|
|
2.22 |
% |
|
|
|
|
|
|
|
Total |
|
$ |
2,813,347 |
|
|
|
8.46 |
% |
|
|
|
|
|
|
|
As of December 31, 2008, the Partnerships total capitalization was $48,291,023.
December 31,2008
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
% of Total |
|
Market Sector |
|
Value at Risk |
|
|
Capitalization |
|
|
|
|
|
|
|
|
|
|
Currencies |
|
$ |
378,919 |
|
|
|
0.78 |
% |
Energy |
|
|
88,545 |
|
|
|
0.18 |
% |
Grains |
|
|
97,399 |
|
|
|
0.20 |
% |
Interest Rates U.S. |
|
|
260,521 |
|
|
|
0.54 |
% |
Interest Rates Non-U.S. |
|
|
520,269 |
|
|
|
1.08 |
% |
Livestock |
|
|
2,927 |
|
|
|
0.01 |
% |
Lumber |
|
|
29 |
|
|
|
0.00 |
%** |
Metals |
|
|
189,282 |
|
|
|
0.39 |
% |
Softs |
|
|
71,142 |
|
|
|
0.15 |
% |
Indices |
|
|
75,582 |
|
|
|
0.16 |
% |
|
|
|
|
|
|
|
Total |
|
$ |
1,684,615 |
|
|
|
3.49 |
% |
|
|
|
|
|
|
|
** Due to rounding
The following tables indicate the trading Value at Risk associated with the Partnerships
investment in the Funds by market category as of December 31,
2009 and 2008, and the highest,
lowest and average value at any point during the years. All open position trading risk exposures
have been included in calculating the figures set forth below.
As of
December 31, 2009, Willowbridge Masters total
capitalization was $231,105,317. The
Partnership owned approximately 2.7% of Willowbridge Master. As of December 31, 2009, the
Partnerships Value at Risk for the portion of its assets that are traded indirectly through
its investment in Willowbridge Master was as follows:
December 31,
2009
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
% of Total |
|
High |
|
Low |
|
Average |
Market Sector |
|
Value at Risk |
|
Capitalization |
|
Value at Risk |
|
Value at Risk |
|
Value at Risk* |
|
Currencies |
|
$ |
5,974,364 |
|
|
|
2.58 |
% |
|
$ |
14,208,480 |
|
|
$ |
1,008,000 |
|
|
$ |
7,206,662 |
|
Energy |
|
|
2,116,000 |
|
|
|
0.92 |
% |
|
|
13,037,019 |
|
|
|
391,000 |
|
|
|
5,515,268 |
|
Grains |
|
|
1,058,000 |
|
|
|
0.46 |
% |
|
|
5,919,480 |
|
|
|
259,875 |
|
|
|
2,320,519 |
|
Interest Rates U.S. |
|
|
1,959,945 |
|
|
|
0.85 |
% |
|
|
9,939,105 |
|
|
|
280,500 |
|
|
|
2,836,425 |
|
Interest Rates Non-U.S. |
|
|
3,403,449 |
|
|
|
1.47 |
% |
|
|
14,168,324 |
|
|
|
455,649 |
|
|
|
4,852,602 |
|
Metals |
|
|
3,968,558 |
|
|
|
1.72 |
% |
|
|
8,372,754 |
|
|
|
1,909,575 |
|
|
|
3,799,612 |
|
Softs |
|
|
2,725,100 |
|
|
|
1.18 |
% |
|
|
3,202,100 |
|
|
|
237,900 |
|
|
|
1,531,645 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
21,205,416 |
|
|
|
9.18 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Annual average based on month-end Value at Risk |
21
As
of December 31, 2008, Willowbridge Masters total capitalization was $297,420,004. The
Partnership owned approximately 3.6% of Willowbridge Master.
As of December 31, 2008, the Partnerships Value at Risk for the portion of its assets that are traded indirectly through its investment in Willowbridge Master was as follows:
December 31,
2008
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
% of Total |
|
|
High |
|
|
Low |
|
|
Average |
|
Market Sector |
|
Value at Risk |
|
|
Capitalization |
|
|
Value at Risk |
|
|
Value at Risk |
|
|
Value at Risk* |
|
|
Currencies |
|
$ |
1,945,600 |
|
|
|
0.65 |
% |
|
$ |
11,556,229 |
|
|
$ |
245,220 |
|
|
$ |
3,464,607 |
|
Energy |
|
|
816,000 |
|
|
|
0.27 |
% |
|
|
15,933,000 |
|
|
|
448,000 |
|
|
|
4,885,321 |
|
Grains |
|
|
1,100,800 |
|
|
|
0.37 |
% |
|
|
5,470,800 |
|
|
|
201,000 |
|
|
|
2,038,390 |
|
Interest Rates U.S. |
|
|
2,380,800 |
|
|
|
0.80 |
% |
|
|
4,367,200 |
|
|
|
219,300 |
|
|
|
1,272,506 |
|
Interest Rates Non-U.S. |
|
|
3,571,688 |
|
|
|
1.20 |
% |
|
|
8,375,150 |
|
|
|
387,940 |
|
|
|
3,540,377 |
|
Metals |
|
|
3,110,400 |
|
|
|
1.05 |
% |
|
|
8,742,000 |
|
|
|
764,750 |
|
|
|
4,883,083 |
|
Softs |
|
|
819,200 |
|
|
|
0.28 |
% |
|
|
2,989,200 |
|
|
|
120,600 |
|
|
|
1,077,150 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
13,744,488 |
|
|
|
4.62 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Annual average based on month-end Value at Risk |
As of
December 31, 2009, Winton Masters total capitalization was
$574,408,313. The Partnership
owned approximately 1.7% of Winton Master. As of December 31, 2009, the Partnerships
Value at Risk for the portion of its assets that are traded indirectly through its investment
in Winton Master was as follows:
December 31,
2009
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
% of Total |
|
|
High |
|
|
Low |
|
|
Average |
|
Market Sector |
|
Value at Risk |
|
|
Capitalization |
|
|
Value at Risk |
|
|
Value at Risk |
|
|
Value at Risk* |
|
Currencies |
|
$ |
4,596,005 |
|
|
|
0.80 |
% |
|
$ |
10,700,900 |
|
|
$ |
3,479,307 |
|
|
$ |
6,740,750 |
|
Energy |
|
|
556,296 |
|
|
|
0.10 |
% |
|
|
2,627,998 |
|
|
|
228,335 |
|
|
|
1,092,646 |
|
Grains |
|
|
1,098,663 |
|
|
|
0.19 |
% |
|
|
1,976,399 |
|
|
|
864,083 |
|
|
|
1,388,868 |
|
Interest Rates U.S. |
|
|
1,030,011 |
|
|
|
0.18 |
% |
|
|
6,518,610 |
|
|
|
716,705 |
|
|
|
2,896,261 |
|
Interest Rates Non-U.S. |
|
|
4,507,567 |
|
|
|
0.78 |
% |
|
|
11,661,822 |
|
|
|
2,841,339 |
|
|
|
5,786,393 |
|
Livestock |
|
|
169,800 |
|
|
|
0.03 |
% |
|
|
425,655 |
|
|
|
59,475 |
|
|
|
207,937 |
|
Metals |
|
|
5,057,067 |
|
|
|
0.88 |
% |
|
|
5,057,067 |
|
|
|
849,000 |
|
|
|
2,780,563 |
|
Softs |
|
|
955,200 |
|
|
|
0.17 |
% |
|
|
1,269,508 |
|
|
|
385,375 |
|
|
|
791,384 |
|
Indices |
|
|
16,589,011 |
|
|
|
2.89 |
% |
|
|
16,589,011 |
|
|
|
1,261,608 |
|
|
|
6,511,470 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
34,559,620 |
|
|
|
6.02 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Annual average based on month-end Value at Risk |
|
|
|
|
As
of December 31, 2008, Winton Masters total capitalization was $547,751,543. The Partnership
owned approximately 2.6% of Winton Master. As of December 31, 2008, the Partnerships Value at Risk for the portion of its assets that are traded indirectly through its investment in Winton Master was as follows:
December 31, 2008
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
% of Total |
|
|
High |
|
|
Low |
|
|
Average |
|
Market Sector |
|
Value at Risk |
|
|
Capitalization |
|
|
Value at Risk |
|
|
Value at Risk |
|
|
Value at Risk* |
|
Currencies |
|
$ |
4,842,125 |
|
|
|
0.88 |
% |
|
$ |
6,844,904 |
|
|
$ |
2,234,600 |
|
|
$ |
4,333,162 |
|
Energy |
|
|
1,417,010 |
|
|
|
0.26 |
% |
|
|
6,750,850 |
|
|
|
581,600 |
|
|
|
3,815,788 |
|
Grains |
|
|
1,912,314 |
|
|
|
0.35 |
% |
|
|
4,647,430 |
|
|
|
41,072 |
|
|
|
2,278,577 |
|
Interest Rates U.S. |
|
|
3,213,000 |
|
|
|
0.59 |
% |
|
|
4,165,350 |
|
|
|
160,797 |
|
|
|
2,234,433 |
|
Interest Rates Non-U.S. |
|
|
6,633,201 |
|
|
|
1.21 |
% |
|
|
6,862,943 |
|
|
|
1,875,349 |
|
|
|
4,923,678 |
|
Livestock |
|
|
87,200 |
|
|
|
0.02 |
% |
|
|
350,900 |
|
|
|
32,205 |
|
|
|
165,842 |
|
Lumber |
|
|
1,100 |
|
|
|
0.00 |
%** |
|
|
5,400 |
|
|
|
1,100 |
|
|
|
2,500 |
|
Metals |
|
|
1,408,458 |
|
|
|
0.25 |
% |
|
|
4,997,086 |
|
|
|
797,395 |
|
|
|
2,496,016 |
|
Softs |
|
|
762,259 |
|
|
|
0.14 |
% |
|
|
2,273,575 |
|
|
|
354,777 |
|
|
|
896,692 |
|
Indices |
|
|
1,768,247 |
|
|
|
0.32 |
% |
|
|
12,018,105 |
|
|
|
1,433,950 |
|
|
|
5,538,325 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
22,044,914 |
|
|
|
4.02 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Annual average based on month-end Value at Risk |
|
** |
|
Due to Rounding |
22
As of
December 31, 2009, Graham Masters total capitalization was
$171,212,260. The Partnership
owned approximately 5.4% of Graham Master. As of December 31, 2009, the Partnerships
Value at Risk for the portion of its assets that are traded indirectly through its
investment in Graham Master was as follows:
December 31,
2009
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
% of Total |
|
High |
|
Low |
|
Average * |
Market
Sector |
|
Value
at Risk |
|
Capitalization |
|
Value
at Risk |
|
Value
at Risk |
|
Value
at Risk |
Currencies |
|
$ |
2,410,532 |
|
|
|
1.41 |
% |
|
$ |
8,136,447 |
|
|
$ |
833,881 |
|
|
$ |
4,612,528 |
|
Energy |
|
|
684,083 |
|
|
|
0.40 |
% |
|
|
3,017,929 |
|
|
|
273,236 |
|
|
|
1,214,764 |
|
Grains |
|
|
549,675 |
|
|
|
0.32 |
% |
|
|
1,846,996 |
|
|
|
96,550 |
|
|
|
731,407 |
|
Interest Rates U.S. |
|
|
142,150 |
|
|
|
0.08 |
% |
|
|
2,365,808 |
|
|
|
87,777 |
|
|
|
859,990 |
|
Interest Rates Non-U.S. |
|
|
1,869,099 |
|
|
|
1.09 |
% |
|
|
8,320,518 |
|
|
|
471,498 |
|
|
|
2,867,131 |
|
Livestock |
|
|
59,200 |
|
|
|
0.04 |
% |
|
|
160,380 |
|
|
|
1,080 |
|
|
|
58,409 |
|
Metals |
|
|
1,222,254 |
|
|
|
0.71 |
% |
|
|
1,806,942 |
|
|
|
297,478 |
|
|
|
1,002,985 |
|
Softs |
|
|
1,131,557 |
|
|
|
0.66 |
% |
|
|
1,479,945 |
|
|
|
190,202 |
|
|
|
768,323 |
|
Indices |
|
|
4,809,915 |
|
|
|
2.81 |
% |
|
|
12,019,804 |
|
|
|
623,680 |
|
|
|
5,396,991 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
12,878,465 |
|
|
|
7.52 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Annual average of month-end Value at Risk |
|
As
of December 31, 2008, Graham Masters total capitalization was $224,490,942. The Partnership
owned approximately 5.0% of Graham Master. As of December 31, 2008, the Partnerships Value at Risk for the portion of its assets that are traded indirectly through its investment in Graham Master was as follows:
December 31, 2008
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
% of Total |
|
|
High |
|
|
Low |
|
|
Average |
|
Market Sector |
|
Value at Risk |
|
|
Capitalization |
|
|
Value at Risk |
|
|
Value at Risk |
|
|
Value at Risk* |
|
Currencies |
|
$ |
1,855,003 |
|
|
|
0.83 |
% |
|
$ |
35,051,712 |
|
|
$ |
1,110,258 |
|
|
$ |
17,137,503 |
|
Energy |
|
|
446,536 |
|
|
|
0.20 |
% |
|
|
5,209,200 |
|
|
|
310,300 |
|
|
|
1,557,045 |
|
Grains |
|
|
161,000 |
|
|
|
0.07 |
% |
|
|
1,281,500 |
|
|
|
52,500 |
|
|
|
498,714 |
|
Interest Rates U.S. |
|
|
719,400 |
|
|
|
0.32 |
% |
|
|
2,381,150 |
|
|
|
24,412 |
|
|
|
619,143 |
|
Interest Rates Non-U.S. |
|
|
1,293,650 |
|
|
|
0.58 |
% |
|
|
4,718,751 |
|
|
|
461,503 |
|
|
|
1,792,563 |
|
Livestock |
|
|
13,200 |
|
|
|
0.01 |
% |
|
|
27,600 |
|
|
|
800 |
|
|
|
15,664 |
|
Metals |
|
|
680,383 |
|
|
|
0.30 |
% |
|
|
2,071,925 |
|
|
|
31,044 |
|
|
|
777,494 |
|
Softs |
|
|
201,831 |
|
|
|
0.09 |
% |
|
|
752,387 |
|
|
|
14,000 |
|
|
|
395,956 |
|
Indices |
|
|
592,157 |
|
|
|
0.26 |
% |
|
|
5,407,658 |
|
|
|
235,978 |
|
|
|
2,482,935 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
5,963,160 |
|
|
|
2.66 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Annual average of month-end Value at Risk |
As
of December 31, 2009, Eckhardt Masters total
capitalization was $17,320,459. The
Partnership owned approximately 31.1% of Eckhardt Master. As of December 31, 2009, the Partnerships
Value at Risk for the portion of its assets that are traded indirectly through its investment in Eckhardt
Master was as follows:
December 31,
2009
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
% of Total |
|
High |
|
Low |
|
Average * |
Market
Sector |
|
Value
at Risk |
|
Capitalization |
|
Value
at Risk |
|
Value
at Risk |
|
Value
at Risk
|
Currencies |
|
$ |
380,916 |
|
|
|
2.20 |
% |
|
$ |
1,191,210 |
|
|
$ |
7,200 |
|
|
$ |
301,705 |
|
Energy |
|
|
270,400 |
|
|
|
1.56 |
% |
|
|
644,500 |
|
|
|
22,050 |
|
|
|
211,624 |
|
Grains |
|
|
128,975 |
|
|
|
0.74 |
% |
|
|
362,365 |
|
|
|
10,800 |
|
|
|
101,491 |
|
Interest Rates U.S. |
|
|
768,410 |
|
|
|
4.44 |
% |
|
|
768,410 |
|
|
|
14,550 |
|
|
|
196,272 |
|
Interest Rates Non-U.S. |
|
|
213,803 |
|
|
|
1.23 |
% |
|
|
696,839 |
|
|
|
13,213 |
|
|
|
221,520 |
|
Metals |
|
|
284,030 |
|
|
|
1.64 |
% |
|
|
535,674 |
|
|
|
16,196 |
|
|
|
234,566 |
|
Softs |
|
|
150,320 |
|
|
|
0.87 |
% |
|
|
251,705 |
|
|
|
11,784 |
|
|
|
115,206 |
|
Indices |
|
|
635,844 |
|
|
|
3.67 |
% |
|
|
879,160 |
|
|
|
22,367 |
|
|
|
304,994 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
2,832,698 |
|
|
|
16.35 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Annual average of month-end Value at Risk |
|
23
As
of December 31, 2008, Eckhardts Master total
capitalization was $20,529,435. The Partnership owned approximately 5.5%
of Eckhardt Master. As of December 31, 2008, the Partnerships Value at Risk for the portion of its assets that are traded indirectly through its investment in Eckhardt Master was as follows:
December 31, 2008
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
% of Total |
|
|
High |
|
|
Low |
|
|
Average |
|
Market Sector |
|
Value at Risk |
|
|
Capitalization |
|
|
Value at Risk |
|
|
Value at Risk |
|
|
Value at Risk* |
|
Currencies |
|
$ |
291,072 |
|
|
|
1.42 |
% |
|
$ |
765,238 |
|
|
$ |
93,645 |
|
|
$ |
248,175 |
|
Interest Rates U.S. |
|
|
178,400 |
|
|
|
0.87 |
% |
|
|
693,100 |
|
|
|
3,300 |
|
|
|
171,494 |
|
Interest Rates Non-U.S. |
|
|
498,525 |
|
|
|
2.43 |
% |
|
|
818,628 |
|
|
|
26,466 |
|
|
|
228,987 |
|
Metals |
|
|
21,510 |
|
|
|
0.10 |
% |
|
|
142,500 |
|
|
|
7,500 |
|
|
|
34,890 |
|
Softs |
|
|
37,872 |
|
|
|
0.18 |
% |
|
|
146,081 |
|
|
|
6,446 |
|
|
|
46,542 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
1,027,379 |
|
|
|
5.00 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Annual average of month-end Value at Risk |
As
of
December 31, 2009, SandRidge Masters total capitalization was
$684,909,493. The Partnership
owned approximately 0.4% of SandRidge Master. As of December 31, 2009, the Partnerships Value at Risk for the portion of
its assets that are traded indirectly through its investment in SandRidge Master was as follows:
December 31, 2009
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
% of Total |
|
|
High |
|
|
Low |
|
|
Average |
|
Market Sector |
|
Value at Risk |
|
|
Capitalization |
|
|
Value at Risk |
|
|
Value at Risk |
|
|
Value at Risk* |
|
Energy |
|
$ |
19,220,494 |
|
|
|
2.81 |
% |
|
$ |
40,574,022 |
|
|
$ |
11,157,117 |
|
|
$ |
24,955,810 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
19,220,494 |
|
|
|
2.81 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Annual average month-end Value at Risk |
As
of December 31, 2008, Campbell Masters total capitalization was $127,474,962. The Partnership
owned approximately 5.6% of Campbell Master. As of December 31, 2008, the Partnerships Value at Risk for the portion of its assets that are traded indirectly through its investment in Campbell Master was as follows:
December 31,
2008
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
% of Total |
|
|
High |
|
|
Low |
|
|
Average |
|
Market Sector |
|
Value at Risk |
|
|
Capitalization |
|
|
Value at Risk |
|
|
Value at Risk |
|
|
Value at Risk * |
|
Currencies |
|
$ |
3,826,450 |
|
|
|
3.00 |
% |
|
$ |
6,459,319 |
|
|
$ |
1,236,850 |
|
|
$ |
3,885,456 |
|
Energy |
|
|
141,270 |
|
|
|
0.11 |
% |
|
|
1,689,425 |
|
|
|
5,000 |
|
|
|
547,096 |
|
Interest Rates U.S. |
|
|
295,938 |
|
|
|
0.23 |
% |
|
|
1,754,540 |
|
|
|
126,604 |
|
|
|
919,061 |
|
Interest Rates Non-U.S. |
|
|
1,650,897 |
|
|
|
1.30 |
% |
|
|
4,744,697 |
|
|
|
631,807 |
|
|
|
2,018,452 |
|
Metals |
|
|
238,724 |
|
|
|
0.18 |
% |
|
|
1,281,336 |
|
|
|
47,826 |
|
|
|
360,423 |
|
Indices |
|
|
1,414,857 |
|
|
|
1.11 |
% |
|
|
8,820,806 |
|
|
|
845,740 |
|
|
|
4,393,925 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
7,568,136 |
|
|
|
5.93 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Average of month-end Values at Risk |
|
Material Limitations on Value at Risk as an Assessment of Market Risk
The face value of the market sector instruments held by the Funds are typically many times the
applicable maintenance margin requirement (margin requirements generally range between 2% and 15%
of contract face value) as well as many times the capitalization of the Funds. The magnitude of the
Funds open positions creates a risk of ruin not typically found in most other investment
vehicles. Because of the size of its positions, certain market conditions unusual, but
historically recurring from time to time could cause the Funds and therefore the Partnership, to
incur severe losses over a short period of time. The foregoing Value
at Risk tables as well as the
past performance of the Funds give no indication of this risk of ruin.
Non-Trading Risk
The Funds have non-trading market risk on their foreign cash balances not needed for margin.
However, these balances (as well as any market risk they represent) are immaterial.
Materiality as used in this section, Qualitative and Quantitative Disclosures About Market
Risk, is based on an assessment of reasonably possible market movements and the potential losses
caused by such movements, taking into account the leverage, optionality and multiplier features of
the Funds market-sensitive instruments.
24
Qualitative Disclosures Regarding Primary Trading Risk Exposures
The following qualitative disclosures regarding the Funds market risk exposures
except for (i) those disclosures that are statements of historical fact and (ii) the descriptions
of how the Funds manage their primary market risk exposures constitute forward-looking
statements within the meaning of Section 27A of the Securities Act and Section 21E of the Exchange
Act. The Funds primary market risk exposures as well as the strategies used and to
be used by the General Partner and the Advisors for managing such exposures are subject to numerous
uncertainties, contingencies and risks, any one of which could cause the actual results of the
Funds risk controls to differ materially from the objectives of such strategies.
Government interventions, defaults and expropriations, illiquid markets, the emergence of dominant
fundamental factors, political upheavals, changes in historical price relationships, an influx of
new market participants, increased regulation and many other factors could result in material
losses as well as in material changes to the risk exposures and the management strategies of the
Funds. There can be no assurance that the Funds current market exposure
and/or risk management strategies will not change materially or that any such strategies will be
effective in either the short or long term. Investors must be prepared to lose all or substantially
all of their investment in the Partnership.
The following were the primary trading risk exposures of the Funds as of December
31, 2009, by market sector.
Interest Rates. Interest rate movements directly affect the price of the futures
positions held by the Funds and indirectly the value of its stock index and currency
positions. Interest rate movements in one country as well as relative interest rate movements
between countries materially impact the Funds profitability. The
Funds primary interest rate exposure is to interest rate fluctuations in the
United States and other G-8 countries. However, the Funds also takes futures positions
on the government debt of smaller nations e.g., Australia.
Currencies. The Funds currency exposure
is subject to exchange rate fluctuations, primarily fluctuations which disrupt the historical
pricing relationships between different currencies and currency pairs. These fluctuations are
influenced by interest rate changes as well as political and general economic conditions. The
General Partner does not anticipate that the risk profile of the Funds currency
sector will change significantly in the future. The currency trading Value at Risk figure includes
foreign margin amounts converted into U.S. dollars with an incremental adjustment to reflect the
exchange rate risk inherent to the U.S. dollar-based Funds in expressing Value at Risk in a
functional currency other than U.S. dollars.
Stock Indices. The Funds primary equity exposure
is subject to equity price risk in the G-8 countries. The stock index futures traded by
the Funds are limited to futures on broadly based indices. The Funds are
primarily exposed to the risk of adverse price trends or static markets in the major U.S., European
and Japanese indices. (Static markets would not cause major market changes but would make it
difficult for the Funds to avoid being whipsawed into numerous small losses.)
Metals. The Funds primary metal market exposure
is subject to fluctuations in the price of gold, silver, copper and aluminum.
Softs. The Funds primary commodities exposure
is subject to agricultural price movements which are often directly affected by severe or
unexpected weather conditions.
Energy. The Funds primary energy market exposure
is subject to gas and oil price movements, often resulting from political developments
in the Middle East. Oil prices can be volatile and substantial profits and losses have been and are
expected to continue to be experienced in this market.
Grains. The Funds commodities exposure
is subject to agricultural price movements which are often directly affected by severe unexpected
weather conditions.
Qualitative Disclosures Regarding Non-Trading Risk Exposure
The following were the only non-trading risk exposures of the Funds as of December
31, 2009.
Foreign Currency Balances. The Funds primary foreign currency balances
are in Japanese yen, Euro, British pounds and Swiss francs. The
Advisor regularly converts foreign currency balances to U.S. dollars in an attempt to control the
Funds non-trading risk.
Qualitative Disclosures Regarding Means of Managing Risk Exposure.
The General Partner monitors and controls the 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 Funds are subject.
The General Partner monitors the Funds performance and the concentration of its
open positions and consults with the Advisors concerning the Funds overall risk
profile. If the General Partner felt it necessary to do so, the General Partner could require the
Advisors to close out individual positions as well as enter into certain positions on behalf of the
Funds. However, any such intervention would be a highly unusual event. The General
Partner primarily relies on the Advisors own risk control policies while maintaining a general
supervisory overview of the Funds market risk exposures.
Each Advisor applies its own risk management policies to its trading. The Advisors often
follow diversification guidelines, margin limits and stop loss points to exit a position. The
Advisors research of risk management often suggests ongoing modifications to their trading
programs.
As part of the General Partners risk management, the General Partner periodically meets with
the Advisors to discuss their risk management and to look for any material changes to the Advisors
portfolio balance and trading techniques. The Advisors are required to notify the General Partner
of any material changes to their programs.
25
Item 8. Financial Statements and Supplementary Data.
DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P.
INDEX TO FINANCIAL STATEMENTS
|
|
|
|
|
Page |
|
|
Number |
Oath or Affirmation |
|
F-3 |
Managements Report on Internal Control over Financial Reporting |
|
F-4 |
Reports of Independent Registered Public Accounting Firms |
|
F-5 F-7 |
Financial Statements: |
|
|
Statements
of Financial Condition at December 31, 2009 and 2008 |
|
F-8 |
Schedules of
Investments at December 31, 2009 and 2008 |
|
F-9 F-10 |
Statements
of Income and Expenses for the years ended December 31, 2009, 2008
and 2007 |
|
F-11 |
Statements
of Changes in Partners Capital for the years ended December 31, 2009, 2008
and 2007 |
|
F-12 |
Notes to Financial Statements |
|
F-13 F-23 |
Selected Unaudited Quarterly Financial Data |
|
F-24 |
Financial Statements of CMF Willowbridge Argo Master Fund L.P. |
|
|
Oath or Affirmation |
|
F-25 |
Reports of Independent Registered Public Accounting Firms |
|
F-26 F-28 |
Statements of Financial Condition at December 31, 2009 and 2008 |
|
F-29 |
Condensed Schedules of Investments at December 31, 2009 and 2008 |
|
F-30 F-31 |
Statements of Income and Expenses for the year ended December 31, 2009, 2008 and 2007 |
|
F-32 |
Statements of Changes in Partners Capital for the year ended December 31, 2009, 2008
and 2007 |
|
F-33 |
Notes to Financial Statements |
|
F-34 F-41 |
Selected Unaudited Quarterly Financial Data |
|
F-42 |
Financial Statements of CMF Winton Master L.P. |
|
|
Oath or Affirmation |
|
F-43 |
Reports of Independent Registered Public Accounting Firms |
|
F-44 F-46 |
Statements of Financial Condition at December 31, 2009 and 2008 |
|
F-47 |
Condensed Schedules of Investments at December 31, 2009 and 2008 |
|
F-48 F-49 |
Statements of Income and Expenses for the year ended December 31, 2009, 2008 and 2007 |
|
F-50 |
Statements of Changes in Partners Capital for the year ended December 31, 2009, 2008
and 2007 |
|
F-51 |
Notes to Financial Statements |
|
F-52 F-61 |
Selected Unaudited Quarterly Financial Data |
|
F-62 |
F-1
DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P.
INDEX TO FINANCIAL STATEMENTSCONTINUED
|
|
|
|
|
Page |
|
|
Number |
Financial Statements of CMF Graham Capital Master Fund L.P. |
|
|
Oath of Affirmation |
|
F-63 |
Reports of Independent Registered Public Accounting Firms |
|
F-64 F-66 |
Statements of Financial Condition at December 31, 2009 and 2008 |
|
F-67 |
Condensed Schedules of Investments at December 31, 2009 and 2008 |
|
F-68 F-69 |
Statements
of Income and Expenses for the year ended December 31, 2009,
2008, 2007 |
|
F-70 |
Statements of Changes in Partners Capital for the year ended December 31, 2009,
2008, 2007 |
|
F-71 |
Notes to Financial Statements |
|
F-72 F-80 |
Selected Unaudited Quarterly Financial Data |
|
F-81 |
Financial Statements of CMF Eckhardt Master Fund L.P. |
|
|
Oath or Affirmation |
|
F-82 |
Report of Independent Registered Public Accounting Firm |
|
F-83 F-84 |
Statement of
Financial Condition at December 31, 2009 and 2008 |
|
F-85 |
Condensed Schedules of Investments at December 31, 2009 and 2008 |
|
F-86 F-87 |
Statements
of Income and Expenses for the year ended December 31, 2009 and
April 1, 2008 (commencement of trading operations) to
December 31, 2008 |
|
F-88 |
Statements of Changes in Partners Capital for the year ended December 31, 2009
and April 1, 2008 (commencement of trading operations) to
December 31, 2008 |
|
F-89 |
Notes to Financial Statements |
|
F-90 F-98 |
Selected Unaudited Quarterly Financial Data |
|
F-99 |
Financial
Statements of the CMF SandRidge Master Fund L.P. |
|
|
Oath or Affirmation |
|
F-100 |
Reports of Independent Registered Public Accounting Firms |
|
F-101 F-103 |
Statements
of Financial Condition at December 31, 2009 and 2008 |
|
F-104 |
Condensed Schedules of
Investments at December 31, 2009 and 2008 |
|
F-105 F-106 |
Statements
of Income and Expenses for the year ended December 31, 2009, 2008
and 2007 |
|
F-107 |
Statements
of Changes in Partners Capital for the year ended December 31, 2009, 2008
and 2007 |
|
F-108 |
Notes to Financial Statements |
|
F-109 F-116 |
Selected Unaudited Quarterly Financial Data |
|
F-117 |
F-2
TABLE OF CONTENTS
|
|
|
|
|
|
|
|
|
PART I |
| Item 1. Business |
| Item 1A. Risk Factors |
| Item 2. Properties |
| Item 3. Legal Proceedings |
| Item 4. Submission of Matters to a Vote of Security Holders |
PART II |
| Item 5. Market for Registrants Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities |
| Item 6. Selected Financial Data |
| Item 7. Managements Discussion and Analysis of Financial Condition and Results of Operations |
| Item 7A. Quantitative and Qualitative Disclosures About Market Risk |
| Item 8. Financial Statements and Supplementary Data |
Managements Report on Internal Control over Financial Reporting |
Statements of Financial Condition |
Schedule of Investments |
Schedule of Investments |
Statements of Income and Expenses |
Statements of Changes in Partners Capital |
Notes to Financial Statements |
To the Limited Partners of CMF Willowbridge Argo Master Fund L.P. |
CMF Willowbridge Argo Master Fund L.P. Statements of Financial Condition December 31, 2009 and 2008 |
Condensed Schedule of Investments December 31, 2009 |
Condensed Schedule of Investments December 31, 2008 |
Statements of Income and Expenses for the years ended December 31, 2009, 2008 and 2007 |
Statements of Changes in Partners Capital for the years ended December 31, 2009, 2008 and 2007 |
CMF Willowbridge Argo Master Fund L.P. Notes to Financial Statements December 31, 2009 |
Statements of Financial Condition |
Condensed Schedule of Investments |
Condensed Schedule of Investments |
Statements of Income and Expenses |
Statements of Changes in Partners Capital |
Notes to Financial Statements December 31, 2009 |
CMF Graham Capital Master Fund L.P. |
Statements of Financial Condition |
Condensed Schedule of Investments |
Condensed Schedule of Investments |
Statements of Income and Expenses |
Statements of Changes in Partners Capital |
Notes to Financial Statements |
Statements of Financial Condition |
Condensed Schedule of Investments |
Condensed Schedule of Investments |
Statements of Income and Expenses for the year ended December 31, 2009 and for the period April 1, 2008 |
Statements of Changes in Partners Capital |
Notes to Financial Statements December 31, 2009 |
To the Limited Partners of CMF SandRidge Master Fund L.P. |
Statements of Financial Condition |
Condensed Schedule of Investments |
Condensed Schedule of Investments |
Statements of Income and Expenses for the years ended |
Statements of Changes in Partners Capital |
Notes to Financial Statements |
| Item 9. Changes in and Disagreements with Accountants on Accounting and Financial Disclosure |
| Item 9A(T). Controls and Procedures |
| Item 9B. Other Information |
PART III |
| Item 10. Directors, Executive Officers and Corporate Governance |
| Item 11. Executive Compensation |
| Item 12. Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters |
| Item 13. Certain Relationship and Related Transactions, and Director Independence |
| Item 14. Principal Accountant Fees and Services |
PART IV |
| Item 15. Exhibits, Financial Statement Schedules |
SIGNATURES |
EX-10.3.B |
EX-10.4.B |
EX-10.5.B |
EX-10.6.B |
EX-10.7.B |
EX-31.1 |
EX-31.2 |
EX-32.1 |
EX-32.2 |
To the Limited
Partners of
Diversified Multi-Advisor Futures Fund L.P.
To the best of the knowledge and belief of the undersigned, the
information contained herein is accurate and complete.
Chief Financial Officer and Director
Ceres Managed Futures LLC
General Partner,
Diversified Multi-Advisor Futures Fund L.P.
Ceres Managed Futures LLC
55 East 59th Street
10th Floor
New York, N.Y. 10022
212-559-2011
F-3
Managements
Report on Internal Control over
Financial Reporting
The management of Diversified Multi-Advisor Futures Fund L.P.,
(formerly, Smith Barney Diversified Futures Fund L.P.) (the
Partnership), Ceres Managed Futures LLC (formerly, Citigroup
Managed Futures LLC) is responsible for establishing and
maintaining adequate internal control over financial reporting
as defined in Rules 13a - 15(f) and 15d - 15(f) under the
Securities Exchange Act of 1934 and for our assessment of
internal control over financial reporting. The
Partnerships internal control over financial reporting is
a process designed to provide reasonable assurance regarding the
reliability of financial reporting and the preparation of
financial statements for external purposes in accordance with
accounting principles generally accepted in the United States of
America. The Partnerships internal control over financial
reporting includes those policies and procedures that:
|
|
(i)
|
pertain to the maintenance of records that, in reasonable
detail, accurately and fairly reflect the transactions and
dispositions of the assets of the Partnership;
|
|
(ii)
|
provide reasonable assurance that transactions are recorded as
necessary to permit preparation of financial statements in
accordance with accounting principles generally accepted in the
United States of America, and that receipts and expenditures of
the Partnership are being made only in accordance with
authorizations of management and directors of the
Partnership; and
|
|
|
(iii) |
provide reasonable assurance regarding prevention or timely
detection and correction of unauthorized acquisition, use or
disposition of the Partnerships assets that could have a
material effect on the financial statements.
|
Because of its inherent limitations, internal control over
financial reporting may not prevent or detect misstatements.
Also, projections of any evaluation of effectiveness to future
periods are subject to the risk that controls may become
inadequate because of changes in conditions, or that the degree
of compliance with the policies or procedures may deteriorate.
The management of Diversified Multi-Advisor Futures
Fund L.P. has assessed the effectiveness of the
Partnerships internal control over financial reporting as
of December 31, 2009. In making this assessment, management
used the criteria set forth in the Internal
Control-Integrated Framework issued by the Committee of
Sponsoring Organizations of the Treadway Commission (COSO).
Based on our assessment, management concluded that the
Partnership maintained effective internal control over financial
reporting as of December 31, 2009 based on the criteria
referred to above.
The Partnerships independent registered public accounting
firm, Deloitte & Touche LLP, has audited the effectiveness
of the Partnerships internal control over financial
reporting as of December 31, 2009, as stated in their
report dated March 19, 2010 which appears herein.
Jennifer Magro
Chief Financial Officer and Director
Ceres Managed Futures LLC
General Partner,
Diversified Multi-Advisor Futures Fund L.P.
F-4
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Partners of
Diversified Multi-Advisor Futures Fund L.P.:
We have audited the accompanying statement of financial condition of Diversified Multi-Advisor
Futures Fund L.P. (the Partnership), including the schedule of investments, as of
December 31, 2009, and the related statements of income and expenses, and
changes in partners capital for the year then ended. We also have
audited the Partnerships internal control over financial reporting
as of December 31, 2009, based on criteria established in Internal Control - Integrated
Framework issued by the Committee of Sponsoring Organizations of the Treadway Commission.
The Partnerships management is responsible for these financial statements,
for maintaining effective internal control over financial reporting, and for its assessment
of the effectiveness of internal control over financial reporting, included in the accompanying
Managements Report on Internal Control over Financial Reporting. Our responsibility is to
express an opinion on these financial statements and an opinion on the Partnerships internal
control over financial reporting based on our audit. The financial statements of the Partnership for the
years ended December 31, 2008 and 2007 were audited by other auditors whose reports, dated March 26, 2009
and March 24, 2008, respectively, expressed unqualified opinions on those statements.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement and whether effective internal control over financial reporting was maintained in all material respects. Our audit of the financial statements included examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our audit of internal control over financial reporting included obtaining an understanding of internal control over financial reporting, assessing the risk that a material weakness exists, and testing and evaluating the design and operating effectiveness of internal control based on the assessed risk. Our audit also included performing such other procedures as we considered necessary in the circumstances. We believe that our audit provides a reasonable basis for our opinion.
A partnerships internal control over financial reporting is a process designed by, or under the supervision of, the partnerships principal executive and principal financial officers, or persons performing similar functions, and effected by the partnerships general partner, management, and other personnel to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles.
A partnerships internal control over financial reporting includes those policies and procedures that
(1) pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the partnership; (2) provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting principles, and that receipts and expenditures of the partnership are being made only in accordance with authorizations of management and general partner of the partnership; and (3) 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.
Because of the inherent limitations of internal control over financial reporting, including the possibility of collusion or improper management override of controls, material misstatements due to error or fraud may not be prevented or detected on a timely basis. Also, projections of any evaluation of the effectiveness of the internal control over financial reporting to future periods are subject to the risk that the controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate.
In our opinion, the financial statements referred to above present fairly, in
all material respects, the financial position of Diversified Multi-Advisor Futures
Fund L.P. as of December 31, 2009, and the results of its operations and its
changes in partners capital for the year then ended, in conformity with
accounting principles generally accepted in the United States of America. Also, in our opinion, the
Partnership maintained, in all material respects, effective internal control over financial reporting
as of December 31, 2009, based on the criteria established in Internal Control Integrated Framework issued
by the Committee of Sponsoring Organizations of the Treadway Commission.
/s/
Deloitte & Touche LLP
New York, New York
March 19, 2010
F-5
Report of Independent Registered Public Accounting Firm
To the Partners of
Diversified Multi-Advisor Futures Fund L.P.:
In our opinion, the accompanying statement of financial condition, the related statement of income
and expenses, and statement of changes in partners capital present fairly, in all material
respects, the financial position of Diversified Multi-Advisor Futures Fund L.P. (formerly known as
Smith Barney Diversified Futures Fund L.P.) at December 31, 2008 and the results of its operations
for the year then ended in conformity with accounting principles generally accepted in the United
States of America. Also in our opinion, the Partnership maintained, in all material respects,
effective internal control over financial reporting as of December 31, 2008, based on criteria
established in Internal Control Integrated Framework issued by the Committee of Sponsoring
Organizations of the Treadway Commission (COSO). The Partnerships management is responsible for
these financial statements, for maintaining effective internal control over financial reporting and
for its assessment of the effectiveness of internal control over financial reporting, included in
the accompanying Managements Report on Internal Control over Financial Reporting. Our
responsibility is to express opinions on these financial statements and on the Partnerships
internal control over financial reporting based on our integrated audit. We conducted our audit in
accordance with the standards of the Public Company Accounting Oversight Board (United States).
Those standards require that we plan and perform the audit to obtain reasonable assurance about
whether the financial statements are free of material misstatement and whether effective internal
control over financial reporting was maintained in all material respects. Our audit of the
financial statements included examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles used and significant
estimates made by management, and evaluating the overall financial statement presentation. Our
audit of internal control over financial reporting included obtaining an understanding of internal
control over financial reporting, assessing the risk that a material weakness exists, and testing
and evaluating the design and operating effectiveness of internal control based on the assessed
risk. Our audit also included performing such other procedures as we considered necessary in the
circumstances. We believe that our audit provides a reasonable basis for our opinion.
A companys internal control over financial reporting is a process designed to provide reasonable
assurance regarding the reliability of financial reporting and the preparation of financial
statements for external purposes in accordance with generally accepted accounting principles. A
companys internal control over financial reporting includes those policies and procedures that (i)
pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the
transactions and dispositions of the assets of the company; (ii) provide reasonable assurance that
transactions are recorded as necessary to permit preparation of financial statements in accordance
with generally accepted accounting principles, and that receipts and expenditures of the company
are being made only in accordance with authorizations of management and directors of the company;
and (iii) provide reasonable assurance regarding prevention or timely detection of unauthorized
acquisition, use, or disposition of the companys assets that could have a material effect on the
financial statements.
Because of its inherent limitations, internal control over financial reporting may not prevent or
detect misstatements. Also, projections of any evaluation of effectiveness to future periods are
subject to the risk that controls may become inadequate because of changes in conditions, or that
the degree of compliance with the policies or procedures may deteriorate.
/s/ PricewaterhouseCoopers LLP
New York, New York
March 26, 2009
F-6
Report of Independent Registered Public Accounting Firm
The Partners
Diversified Multi-Advisor Futures Fund L.P.:
We have audited the accompanying statements of income and expenses and changes in partners capital
of Diversified Multi-Advisor Futures Fund L.P. (formerly, Smith Barney Diversified Futures Fund
L.P.) for the year ended December 31, 2007. These financial statements are the responsibility of
the Partnerships management. Our responsibility is to express an opinion on these financial
statements based on our audit.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight
Board (United States). Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material misstatement. An
audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the
financial statements, assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation. We believe that
our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present fairly, in all material
respects, the results of operations and changes in partners capital of Diversified Multi-Advisor
Futures Fund L.P. for the year ended December 31, 2007, in conformity with U.S. generally accepted
accounting principles.
/s/ KPMG LLP
New York, New York
March 24, 2008
F-7
Diversified
Multi-Advisor Futures Fund L.P.
Statements
of Financial Condition
December 31, 2009 and 2008
|
|
|
|
|
|
|
|
|
|
|
2009
|
|
|
2008
|
|
|
Assets:
|
|
|
|
|
|
|
|
|
Investment in Partnerships, at fair value (Note 5)
|
|
$
|
33,653,350
|
|
|
$
|
49,607,769
|
|
Cash (Note 3c)
|
|
|
107,335
|
|
|
|
69,501
|
|
|
|
|
|
|
|
|
|
|
Total assets
|
|
$
|
33,760,685
|
|
|
$
|
49,677,270
|
|
|
|
|
|
|
|
|
|
|
Liabilities and Partners Capital:
|
|
|
|
|
|
|
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
Accrued expenses:
|
|
|
|
|
|
|
|
|
Brokerage commissions (Note 3c)
|
|
$
|
154,737
|
|
|
$
|
227,687
|
|
Management fees (Note 3b)
|
|
|
51,788
|
|
|
|
76,444
|
|
Incentive fees (Note 3b)
|
|
|
|
|
|
|
189,867
|
|
Professional fees
|
|
|
42,250
|
|
|
|
26,610
|
|
Other
|
|
|
6,731
|
|
|
|
15,272
|
|
Redemptions payable (Note 6)
|
|
|
266,047
|
|
|
|
850,367
|
|
|
|
|
|
|
|
|
|
|
Total liabilities
|
|
|
521,553
|
|
|
|
1,386,247
|
|
|
|
|
|
|
|
|
|
|
Partners Capital (Notes 1 and 6):
|
|
|
|
|
|
|
|
|
General Partner, 280.4039 and 835.3289 Unit equivalents
outstanding at December 31, 2009 and 2008, respectively
|
|
|
508,420
|
|
|
|
1,695,634
|
|
Limited Partners, 18,051.6921 and 22,954.4913 Redeemable Units
of Limited Partnership Interest outstanding at
December 31, 2009 and 2008, respectively
|
|
|
32,730,712
|
|
|
|
46,595,389
|
|
|
|
|
|
|
|
|
|
|
Total partners capital
|
|
|
33,239,132
|
|
|
|
48,291,023
|
|
|
|
|
|
|
|
|
|
|
Total liabilities and partners capital
|
|
$
|
33,760,685
|
|
|
$
|
49,677,270
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-8
Diversified
Multi-Advisor Futures Fund L.P.
Schedule of Investments
December 31, 2009
|
|
|
|
|
|
|
|
|
|
|
|
|
|
% of Partners
|
|
|
|
Fair Value
|
|
|
Capital
|
|
|
Investment In Partnerships
|
|
|
|
|
|
|
|
|
CMF Winton Master L.P.
|
|
$
|
9,975,920
|
|
|
|
30.01
|
%
|
CMF Willowbridge Argo Master Fund L.P.
|
|
|
6,218,731
|
|
|
|
18.71
|
|
CMF Graham Capital Master Fund L.P.
|
|
|
9,193,804
|
|
|
|
27.66
|
|
CMF Eckhardt Master L.P.
|
|
|
5,395,613
|
|
|
|
16.23
|
|
CMF SandRidge Master Fund L.P.
|
|
|
2,869,282
|
|
|
|
8.63
|
|
|
|
|
|
|
|
|
|
|
Total investment in Partnerships, at fair value
|
|
$
|
33,653,350
|
|
|
|
101.24
|
%
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-9
Diversified
Multi-Advisor Futures Fund L.P.
Schedule of Investments
December 31, 2008
|
|
|
|
|
|
|
|
|
|
|
|
|
|
% of Partners
|
|
|
|
Fair Value
|
|
|
Capital
|
|
|
Investment In Partnerships
|
|
|
|
|
|
|
|
|
CMF Winton Master L.P.
|
|
$
|
14,224,843
|
|
|
|
29.46
|
%
|
CMF Campbell Master Fund L.P.
|
|
|
7,115,212
|
|
|
|
14.73
|
|
CMF Willowbridge Argo Master Fund L.P.
|
|
|
10,673,321
|
|
|
|
22.10
|
|
CMF Graham Capital Master Fund L.P.
|
|
|
11,227,169
|
|
|
|
23.25
|
|
CMF Eckhardt Master L.P.
|
|
|
6,367,224
|
|
|
|
13.19
|
|
|
|
|
|
|
|
|
|
|
Total investment in Partnerships, at fair value
|
|
$
|
49,607,769
|
|
|
|
102.73
|
%
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-10
Diversified
Multi-Advisor Futures Fund L.P.
Statements
of Income and Expenses
for the years ended December 31, 2009, 2008 and
2007
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2009
|
|
|
2008
|
|
|
2007
|
|
|
Income:
|
|
|
|
|
|
|
|
|
|
|
|
|
Net gains (losses) on trading of commodity interests and
investment in Partnerships:
|
|
|
|
|
|
|
|
|
|
|
|
|
Net realized gains (losses) on investment in Partnerships
|
|
$
|
(1,267,372
|
)
|
|
$
|
11,791,691
|
|
|
$
|
6,013,510
|
|
Change in net unrealized gains (losses) on investment in
Partnerships
|
|
|
(257,686
|
)
|
|
|
(55,693
|
)
|
|
|
(1,547,967
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gain (loss) from trading, net
|
|
|
(1,525,058
|
)
|
|
|
11,735,998
|
|
|
|
4,465,543
|
|
Interest income from investment in Partnerships
|
|
|
28,372
|
|
|
|
509,211
|
|
|
|
1,719,005
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total income (loss)
|
|
|
(1,496,686
|
)
|
|
|
12,245,209
|
|
|
|
6,184,548
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses:
|
|
|
|
|
|
|
|
|
|
|
|
|
Brokerage commissions including clearing fees (Note 3c)
|
|
|
2,255,697
|
|
|
|
2,825,055
|
|
|
|
2,859,551
|
|
Management fees (Note 3b)
|
|
|
732,811
|
|
|
|
916,036
|
|
|
|
911,960
|
|
Incentive fees (Note 3b)
|
|
|
29,522
|
|
|
|
931,991
|
|
|
|
237,947
|
|
Professional fees
|
|
|
154,586
|
|
|
|
76,380
|
|
|
|
56,112
|
|
Other
|
|
|
48,112
|
|
|
|
41,808
|
|
|
|
58,595
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses
|
|
|
3,220,728
|
|
|
|
4,791,270
|
|
|
|
4,124,165
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss)
|
|
$
|
(4,717,414
|
)
|
|
$
|
7,453,939
|
|
|
$
|
2,060,383
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss) per Redeemable Unit of Limited Partnership
Interest and General Partner Unit equivalent (Notes 1 and 7)
|
|
$
|
(216.73
|
)
|
|
$
|
288.01
|
|
|
$
|
79.41
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Weighted average units outstanding
|
|
|
20,732.8820
|
|
|
|
25,826.7688
|
|
|
|
29,710.8145
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-11
Diversified
Multi-Advisor Futures Fund L.P.
Statements of Changes in Partners Capital
for the years ended December 31, 2009, 2008 and
2007
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Limited
|
|
|
General
|
|
|
|
|
|
|
Partners
|
|
|
Partner
|
|
|
Total
|
|
|
Partners Capital at December 31, 2006
|
|
$
|
51,273,942
|
|
|
$
|
2,122,569
|
|
|
$
|
53,396,511
|
|
Net income (loss)
|
|
|
2,198,970
|
|
|
|
(138,587
|
)*
|
|
|
2,060,383
|
|
Redemption of 3,942.7222 Redeemable Units of Limited Partnership
Interest and 965.2622 General Partner Unit equivalent
|
|
|
(6,617,850
|
)
|
|
|
(1,441,407
|
)
|
|
|
(8,059,257
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Partners Capital at December 31, 2007
|
|
|
46,855,062
|
|
|
|
542,575
|
|
|
|
47,397,637
|
|
Net income (loss)
|
|
|
7,300,880
|
|
|
|
153,059
|
|
|
|
7,453,939
|
|
Sale of 523.8427 General Partner Unit equivalent
|
|
|
|
|
|
|
1,000,000
|
|
|
|
1,000,000
|
|
Redemption of 3,944.5494 Redeemable Units of Limited Partnership
Interest
|
|
|
(7,560,553
|
)
|
|
|
|
|
|
|
(7,560,553
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Partners Capital at December 31, 2008
|
|
|
46,595,389
|
|
|
|
1,695,634
|
|
|
|
48,291,023
|
|
Net income (loss)
|
|
|
(4,567,938
|
)
|
|
|
(149,476
|
)
|
|
|
(4,717,414
|
)
|
Redemption of 4,902.7992 Redeemable Units of Limited
Partnership Interest and 554.9250 General Partner Unit
equivalent
|
|
|
(9,296,739
|
)
|
|
|
(1,037,738
|
)
|
|
|
(10,334,477
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Partners Capital at December 31, 2009
|
|
$
|
32,730,712
|
|
|
$
|
508,420
|
|
|
$
|
33,239,132
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Asset Value per Unit:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2007:
|
|
$
|
1,741.89
|
|
|
|
|
|
|
|
|
|
|
|
2008:
|
|
$
|
2,029.90
|
|
|
|
|
|
|
|
|
|
|
|
2009:
|
|
$
|
1,813.17
|
|
|
|
|
|
|
|
|
|
* |
|
The net loss associated with the General Partners
allocation at December 31, 2007 is due to the timing of the
redemption of the General Partner Unit equivalents. |
See accompanying notes to financial statements.
F-12
Diversified
Multi-Advisor Futures Fund L.P.
Notes to
Financial Statements
December 31, 2009
|
|
1.
|
Partnership
Organization:
|
Diversified Multi-Advisor Futures Fund L.P. (formerly,
Smith Barney Diversified Futures Fund L.P.) (the
Partnership) is a limited partnership organized
under the partnership laws of the State of New York on
August 13, 1993 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,
energy, grains, indices, U.S. and
non-U.S. interest
rates, livestock, lumber, metals and softs. The commodity
interests that are traded by the Funds (as defined in Note 5
Investment in Partnerships) are volatile and involve
a high degree of market risk. The Partnership commenced trading
operations on January 12, 1994. The Partnership was
authorized to sell 300,000 redeemable units of Limited
Partnership Interest (Redeemable Units) during its
initial offering period. The Partnership no longer offers
Redeemable Units for sale.
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 (NFA). 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.
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 its initial capital contribution and
profits, if any, net of distributions.
The Partnership will be liquidated upon the first of the
following to occur: December 31, 2013; the Net Asset Value
per Redeemable Unit decreases to less than $400 per Redeemable
Unit as of the close of any business day; or under certain other
circumstances as defined in the Limited Partnership Agreement of
the Partnership (the Limited Partnership Agreement).
On July 1, 2009, the Financial Accounting Standards Board
(FASB) issued Statement of Financial Accounting
Standards (FAS) No. 168, The FASB Accounting
Standards Codification and the Hierarchy of Generally Accepted
Accounting Principles, also known as FASB Accounting Standards
Codification (ASC) 105, Generally Accepted
Accounting Principles (ASC 105) (the
Codification). ASC 105 established the exclusive
authoritative reference for U.S. Generally Accepted Accounting
Principles (GAAP) for use in financial statements
except for Securities and Exchange Commission (SEC)
rules and interpretive releases, which are also authoritative
GAAP for SEC registrants. The Codification supersedes all
existing non-SEC accounting and reporting standards. The
Codification is the single source of authoritative accounting
principles generally accepted in the United States and applies
to all financial statements issued after September 15, 2009.
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a.
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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.
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 the date the financial statements were issued. As a
result, actual results could differ from these estimates.
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F-13
Diversified
Multi-Advisor Futures Fund L.P.
Notes to Financial Statements
December 31, 2009
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b.
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Statement of Cash Flows. The Partnership is
not required to provide a Statement of Cash Flows as permitted
by ASC 230, 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).
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c.
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Partnerships and the Funds
Investments. All commodity interests (including
derivative financial instruments and derivative commodity
instruments), through its investment in other partnerships, 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 Funds 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
Funds Statements of Income and Expenses.
|
Partnerships and the Funds Fair Value
Measurements. The Partnership and the Funds (as
defined in note 5 Investment in Partnerships)
adopted ASC 820, Fair Value Measurements and Disclosures
(formerly, FAS Statement of Financial Accounting Standards
No. 157, Fair Value Measurements)
(SFAS 157) 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 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 the Funds did not apply the deferral allowed by ASC 820 for
nonfinancial assets and nonfinancial liabilities measured at
fair value on a nonrecurring basis.
In 2009, the Partnership and the Funds adopted amendments to ASC
820, Fair Value Measurements and Disclosures (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) which
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. These amendments to ASC 820
also reaffirm 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. These
amendments to ASC 820 are 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 the amendments to ASC 820 had
no effect on the Partnerships Financial Statements.
The Funds 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 partnerships (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 partnerships reflects its
proportional interest in the partnerships. As
F-14
Diversified
Multi-Advisor Futures Fund L.P.
Notes to Financial Statements
December 31, 2009
of and for the years ended December 31, 2009 and 2008, the
Funds 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).
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Quoted Prices in
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Active Markets
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Significant Other
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Significant
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For Identical
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Observable Inputs
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Unobservable
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12/31/2009
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Assets (Level 1)
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(Level 2)
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Inputs (Level 3)
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Assets
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Investment in Partnerships
|
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$
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33,653,350
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$
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$
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33,653,350
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$
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Total fair value
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$
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33,653,350
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$
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$
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33,653,350
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$
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Quoted Prices in
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Active Markets
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Significant Other
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Significant
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For Identical
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Observable Inputs
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Unobservable
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12/31/2008
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Assets (Level 1)
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(Level 2)
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Inputs (Level 3)
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Assets
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Investment in Partnerships
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$
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49,607,769
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$
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$
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49,607,769
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$
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Total fair value
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$
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49,607,769
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$
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$
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49,607,769
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$
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Futures Contracts. The Funds trade futures
contracts. Exchange cleared swaps included in futures and
exchange cleared swaps are swaps that are traded as futures. 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 the S&P 500 Index), whereby
such contract is settled in cash. Payments (variation
margin) 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. When the contract is closed, 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. 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.
Forward Foreign Currency Contracts. Foreign
currency contracts are those contracts where the Funds agree to
receive or deliver a fixed quantity of foreign currency for an
agreed-upon
price on an agreed future date. Foreign currency contracts are
valued daily, 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
rates at the reporting date, is included in the Statements of
Financial Condition. Realized gains (losses) and changes in
unrealized gains (losses) on foreign currency contracts are
recognized in the period in which the contract is closed or the
changes occur, respectively, and are included in the Statements
of Income and Expenses.
The Funds do not isolate that portion of the results of
operations arising from the effect of changes in foreign
exchange rates on investments from fluctuations from changes in
market prices of investments held. Such fluctuations are
included in net gain (loss) on investments in the Statements of
Income and Expenses.
F-15
Diversified
Multi-Advisor Futures Fund L.P.
Notes to Financial Statements
December 31, 2009
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 Funds are cash
settled based on prompt dates published by the LME. Payments
(variation margin) 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. 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 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. 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.
Options. The Funds may purchase and write
(sell) both exchange listed and
over-the-counter
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 Funds write an option, the premium
received is recorded as a liability in the Statements of
Financial Condition and marked to market daily. When the Funds
purchase an option, the premium paid is recorded as an asset in
the Statements of Financial Condition and marked to market
daily. Realized gains (losses) and changes in unrealized gains
(losses) on options contracts are included in the Statements of
Income and Expenses.
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d.
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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, Income Taxes
(formerly, FAS No. 48, Accounting for
Uncertainty in Income Taxes). ASC 740 provides guidance
for how uncertain tax positions should be recognized, measured,
presented and disclosed in the financial statements. ASC 740
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 to be 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 concluded that no provision for income tax is required
in the Partnerships financial statements
The following is the major tax jurisdiction for the Partnership
and the earliest tax year subject to examination: United
States 2006.
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e.
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Subsequent Events. In 2009, the Partnership
adopted ASC 855, Subsequent Events (formerly,
FAS No. 165, Subsequent Events). The
objective of ASC 855 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. Management has determined that there
were no subsequent events requiring adjustment or disclosure in
the financial statements.
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f.
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Recent Accounting Pronouncements. In January
2010, the FASB issued Accounting Standards Update
No. 2010-06
(ASU
2010-06),
Improving Disclosures about Fair Value Measurements, which
, among other things, amends ASC 820 to require entities to
separately present purchases, sales, issuances, and settlements
in their reconciliation of Level 3 fair value measurements
(i.e. to present such items on a gross basis rather than on a
net basis), and which clarifies existing disclosure requirements
provided by ASC 820 regarding the level of disaggregation and
the inputs and valuation techniques used to measure fair value
for measurements that fall within either
|
F-16
Diversified
Multi-Advisor Futures Fund L.P.
Notes to Financial Statements
December 31, 2009
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Level 2 or Level 3 of the fair value hierarchy. ASU
2010-06 is
effective for interim and annual periods beginning after
December 15, 2009, except for the disclosures about
purchases, sales, issuances, and settlements in the roll forward
of activity in Level 3 fair value measurements (which are
effective for fiscal years beginning after December 15,
2010, and for interim periods within those fiscal years).
Management is currently assessing the impact that the adoption
of ASU
2010-06 will
have on the Partnerships financial statements disclosures.
|
In February 2010, the FASB issued Accounting Standards Update
No. 2010-09
(ASU
2010-09),
Subsequent Events (Topic 855): Amendments to Certain
Recognition and Disclosure Requirements, which among other
things amended ASC 855 to remove the requirement for an SEC
filer to disclose the date through which subsequent events have
been evaluated. This change alleviates potential conflicts
between ASC 855 and the SECs requirements. All of the
amendments in this update are effective upon issuance of this
update. Management has included the provisions of these
amendments in the financial statements.
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g.
|
Certain prior period amounts have been reclassified to conform
to the current year presentation.
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h.
|
Net Income (Loss) per Redeemable Unit. Net
income (loss) per Redeemable Unit is calculated in accordance
with investment company guidance. See footnote 7 for Financial
Highlights.
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|
a.
|
Limited Partnership Agreement:
|
The Limited Partnership Agreement provides that the General
Partner shall manage the business of the Partnership and may
make all trading decisions for the Partnership. The General
Partner has agreed to make capital contributions, if necessary,
so that its general partnership interest will be equal to the
greater of (i) an amount that will entitle the General
Partner to an interest of at least 1% of each material item of
Partnership income, gain, loss, deduction or credit and
(ii) the greater of (a) 1% of the partners
contributions to the Partnership or (b) $25,000.
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b.
|
Management Agreements:
|
The General Partner, on behalf of the Partnership, has entered
into management agreements (the Management
Agreements) with Winton Capital Management Limited
(Winton), Willowbridge Associates, Inc.
(Willowbridge), Graham Capital Management L.P.
(Graham), Eckhardt Trading Company
(Eckhardt) and SandRidge Capital L.P.
(SandRidge) (each an Advisor and
collectively, the Advisors), each of which is a
registered commodity trading advisor. Campbell &
Company, Inc. was terminated as of May 31, 2009. SandRidge
was added as an Advisor to the Partnership on June 1, 2009.
The Advisors are not affiliated with one another, are not
affiliated with the General Partner or CGM and are not
responsible for the organization or operation of the
Partnership. The Partnership will pay each Advisor a monthly
management fee equal to 1/6 of 1% (2% per year) of month-end Net
Assets allocated to each Advisor, except for Winton, which will
receive a monthly management fee equal to 1/12 of 1.5% (1.5% per
year) of month-end Net Assets allocated to the Advisor.
Month-end Net Assets, for the purpose of calculating management
fees are Net Assets, as defined in the Limited Partnership
Agreement, prior to the reduction of the current months
incentive fee accruals, the monthly management fees and any
redemptions or distributions as of the end of such month. The
Management Agreement may be terminated upon notice by either
party.
In addition, the Partnership is obligated to pay each Advisor an
incentive fee, payable quarterly, equal to 20% of the New
Trading Profits, as defined in the Management Agreements, earned
by each Advisor for the Partnership during each calendar quarter.
F-17
Diversified
Multi-Advisor Futures Fund L.P.
Notes to Financial Statements
December 31, 2009
In allocating the assets of the Partnership among the trading
advisors, 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 among the trading advisors and may allocate
the assets to additional advisors at any time.
The Partnership has entered into a customer agreement (the
Customer Agreement) with CGM which provides that the
Partnership will pay CGM a monthly brokerage commission equal to
11/24 of 1% (5.5% per year) of month-end Net Assets in lieu of
brokerage commissions on a per trade basis. Month-end Net
Assets, for the purpose of calculating commissions are Net
Assets, as defined in the Limited Partnership Agreement, prior
to the reduction of the current months brokerage
commissions, incentive fee accruals, the monthly management fees
and other expenses and any redemptions or distributions as of
the end of such month. CGM will pay a portion of its brokerage
commissions to financial advisors who have sold Redeemable Units
in the Partnership. Brokerage commissions will be paid for the
life of the Partnership, although the rate at which such
commissions are paid may be changed. All NFA fees as well as
exchange, clearing, user,
give-up and
floor brokerage fees (collectively, the clearing
fees) are borne by the Funds and allocated to the
Partnership based on its proportionate share of each Fund. All
of the Partnerships assets, not held in the Funds
accounts at CGM, are deposited in the Partnerships account
at CGM. The Partnerships cash is deposited by CGM in
segregated bank accounts to the extent required by Commodity
Futures Trading Commission regulations. CGM has agreed to pay
the Partnership interest on its allocable share of 80% of the
average daily equity maintained in cash in each of the
Funds brokerage accounts at a
30-day
U.S. Treasury bill rate determined weekly by CGM based on
the average noncompetitive yield on
3-month
U.S. Treasury bills maturing in 30 days from the date
on which such weekly rate is determined. Alternatively, CGM may
place up to all of a Funds assets in
90-day
U.S. Treasury bills and pay the Partnership its allocable
share of 80% of the interest earned on 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. The Customer Agreement may be terminated upon notice by
either party.
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 activity are resulting
from its investments in other partnerships as shown in the
Statements of Income and Expenses.
The Customer Agreement between the Partnership/Funds and CGM
gives the Partnership and the Funds the legal right to net
unrealized gains and losses on open futures and exchange cleared
swaps and forward contracts. The Partnership and the Funds net,
for financial reporting purposes, the unrealized gains and
losses on open futures and exchange cleared swaps and forward
contracts on the Funds Statements of Financial Condition
as the criteria under ASC 210, Balance Sheet (formerly, FASB
Interpretation No. 39, Offsetting of Amounts Related
to Certain Contracts) have been met.
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, Derivatives and Hedging
(formerly, FAS No. 161 Disclosures 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 only expands the disclosure requirements for
F-18
Diversified
Multi-Advisor Futures Fund L.P.
Notes to Financial Statements
December 31, 2009
derivative instruments and related hedging activities and has no
impact on the Statements of Financial Condition, Statements of
Income and Expenses and Statements of Changes in Partners
Capital.
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|
5.
|
Investment in
Partnerships:
|
On November 1, 2004, the assets allocated to Winton for
trading were invested in CMF Winton Master L.P. (Winton
Master), a limited partnership organized under the
partnership laws of New York State. The Partnership purchased
15,054.1946 units of Winton Master with cash of $14,251,586, and
a contribution of open commodity futures and forward positions
with a value of $802,609. Winton Master was formed in order to
permit commodity pools managed now or in the future by Winton
using its Diversified 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 should promote efficiency and economy in
the trading process.
On January 1, 2005, the assets allocated to Campbell for
trading were invested in CMF Campbell Master Fund L.P.
(Campbell Master), a limited partnership organized
under the partnership laws of the State of New York. The
Partnership purchased 19,621.1422 units of Campbell Master with
cash of $19,428,630, and a contribution of open commodity
futures and forward positions with a value of $192,512. Campbell
Master was formed in order to permit commodity pools managed now
or in the future by Campbell using its Financial, Metal and
Energy Large Portfolio (FME), a proprietary,
systematic trading system, to invest together in one trading
vehicle. The Partnership fully redeemed its investment in
Campbell Master on May 31, 2009 for cash equal to
$3,229,089.
On July 1, 2005, the assets allocated to Willowbridge for
trading were invested in CMF Willowbridge Argo Master
Fund L.P. (Willowbridge Master), a limited
partnership organized under the partnership laws of the State of
New York. The Partnership purchased 12,259.3490 units of
Willowbridge Master with cash of $11,118,119, and a contribution
of open commodity futures and forward positions with a fair
value of $1,141,230. Willowbridge Master was formed in order to
permit commodity pools managed now or in the future by
Willowbridge using its Argo Trading System, a proprietary,
systematic trading system, to invest together in one trading
vehicle. The General Partner is also the general partner of
Willowbridge Master. Individual and pooled accounts currently
managed by Willowbridge, including the Partnership are permitted
to be limited partners of Willowbridge Master. The General
Partner and Willowbridge believe that trading through this
structure should promote efficiency and economy in the trading
process.
On April 1, 2006, the assets allocated to Graham for
trading were invested in CMF Graham Capital Master
Fund L.P. (Graham Master), a limited
partnership organized under the partnership laws of the State of
New York. The partnership purchased 14,741.1555 units of Graham
Master with cash of $14,741,156. Graham Master was formed in
order to permit accounts managed now or in the future by Graham
using its K4D-12.5 Program, a proprietary, systematic trading
system, to invest together in one trading vehicle. The General
Partner is also the general partner of Graham Master. Individual
and pooled accounts currently managed by Graham, including the
Partnership, are permitted to be limited partners of Graham
Master. The General Partner and Graham believe that trading
through this structure promotes efficiency and economy in the
trading process.
On April 1, 2008, the assets allocated to Eckhardt for
trading were invested in CMF Eckhardt Master Fund L.P.
(Eckhardt Master), a limited partnership organized
under the partnership laws of the State of New York. The
Partnership purchased 7,000.0000 units of Eckhardt Master with
cash of $7,000,000. Eckhardt Master was formed in order to
permit commodity pools managed now or in the future by Eckhardt
using its Standard Program, a proprietary, systematic trading
system, to invest together in one trading vehicle. The General
Partner is also the general partner of Eckhardt Master.
Individual and pooled accounts currently managed by Eckhardt,
including the Partnership, are permitted to be limited partners
of
F-19
Diversified
Multi-Advisor Futures Fund L.P.
Notes to Financial Statements
December 31, 2009
Eckhardt Master. The General Partner and Eckhardt believe that
trading through this structure should promote efficiency and
economy in the trading process.
On June 1, 2009, the assets allocated to SandRidge for
trading were invested in CMF SandRidge Master Fund L.P.
(SandRidge Master), a limited partnership organized
under the partnership laws of the State of New York. The
Partnership purchased 1,370.9885 units of SandRidge Master with
cash of $2,818,836. SandRidge Master was formed in order to
permit accounts managed now or in the future by SandRidge using
its Energy Program, a proprietary, discretionary trading system,
to invest together in one trading vehicle. The General Partner
is also the general partner of SandRidge Master. Individual and
pooled accounts currently managed by SandRidge, including the
Partnership, are permitted to be limited partners of SandRidge
Master. The General Partner and SandRidge believe that trading
through this structure promotes efficiency and economy in the
trading process.
Winton Masters, Willowbridge Masters, Graham
Masters, Eckhardt Masters and SandRidge
Masters (the Funds) 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. The Funds
engage in such trading through commodity brokerage accounts
maintained with CGM.
A Limited Partner may withdraw all or part of their capital
contribution and undistributed profits, if any, from the Funds
in multiples 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 at least 3 days in
advance of the Redemption Date. The units are classified as
a liability when the Limited Partner elects to redeem and
informs the Funds.
Management and incentive fees are charged at the Partnership
level. All clearing fees are borne by the Funds. All other fees
including CGMs direct brokerage commission are charged at
the Partnership level.
As of December 31, 2009 the Partnership owned approximately
1.7%, 2.7%, 5.4% 31.1% and 0.4% of Winton Master, Willowbridge
Master, Graham Master, Eckhardt Master and SandRidge Master,
respectively. As of December 31, 2008 the Partnership owned
approximately 2.6%, 5.6%, 3.6% 5.0% and 31.0% of Winton Master,
Campbell Master, Willowbridge Master, Graham Master and Eckhardt
Master, respectively. It is Wintons, Willowbridges,
Grahams, Eckhardts and SandRidges intention to
continue to invest the assets allocated to each by the
Partnership in Winton Master, Willowbridge Master, Graham
Master, Eckhardt Master and SandRidge Master. The performance of
the Partnership is directly affected by the performance of the
Funds. Expenses to investors as a result of investment in the
Funds are approximately the same and the redemption rights are
not affected.
Summarized information reflecting the Total Assets, Liabilities
and Capital for the Funds are shown in the following tables.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2009
|
|
|
|
Total Assets
|
|
|
Total Liabilities
|
|
|
Total Capital
|
|
|
Winton Master
|
|
$
|
574,479,690
|
|
|
$
|
71,377
|
|
|
$
|
574,408,313
|
|
Willowbridge Master
|
|
|
231,147,799
|
|
|
|
42,482
|
|
|
|
231,105,317
|
|
Graham Master
|
|
|
171,238,199
|
|
|
|
25,939
|
|
|
|
171,212,260
|
|
Eckhardt Master
|
|
|
17,383,619
|
|
|
|
63,160
|
|
|
|
17,320,459
|
|
SandRidge Master
|
|
|
715,621,327
|
|
|
|
30,711,834
|
|
|
|
684,909,493
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
1,709,870,634
|
|
|
$
|
30,914,792
|
|
|
$
|
1,678,955,842
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
F-20
Diversified
Multi-Advisor Futures Fund L.P.
Notes to Financial Statements
December 31, 2009
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2008
|
|
|
|
Total Assets
|
|
|
Total Liabilities
|
|
|
Total Capital
|
|
|
Winton Master
|
|
$
|
547,770,185
|
|
|
$
|
18,642
|
|
|
$
|
547,751,543
|
|
Campbell Master
|
|
|
127,587,225
|
|
|
|
112,263
|
|
|
|
127,474,962
|
|
Willowbridge Master
|
|
|
297,439,763
|
|
|
|
19,759
|
|
|
|
297,420,004
|
|
Graham Master
|
|
|
224,787,639
|
|
|
|
296,697
|
|
|
|
224,490,942
|
|
Eckhardt Master
|
|
|
20,544,954
|
|
|
|
15,519
|
|
|
|
20,529,435
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
1,218,129,766
|
|
|
$
|
462,880
|
|
|
$
|
1,217,666,886
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Summarized information reflecting the reflecting the net gain
(loss) from trading, total income (loss) and net income (loss)
for the Funds are shown in the following tables.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the Year Ended December 31, 2009
|
|
|
|
Gain (Loss) from
|
|
|
Total Income
|
|
|
Net Income
|
|
|
|
Trading, Net
|
|
|
(Loss)
|
|
|
(Loss)
|
|
|
Winton Master
|
|
$
|
(25,033,464
|
)
|
|
$
|
(24,623,815
|
)
|
|
$
|
(25,021,263
|
)
|
Willowbridge Master
|
|
|
(42,016,964
|
)
|
|
|
(41,821,187
|
)
|
|
|
(42,198,191
|
)
|
Graham Master
|
|
|
12,468,065
|
|
|
|
12,593,321
|
|
|
|
11,932,221
|
|
Eckhardt Master
|
|
|
(617,648
|
)
|
|
|
(604,361
|
)
|
|
|
(743,158
|
)
|
SandRidge Master
|
|
|
99,192,706
|
|
|
|
99,581,610
|
|
|
|
98,747,670
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
43,992,695
|
|
|
$
|
45,125,568
|
|
|
$
|
42,717,279
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the Year Ended December 31, 2008
|
|
|
|
Gain (Loss) from
|
|
|
Total Income
|
|
|
Net Income
|
|
|
|
Trading, Net
|
|
|
(Loss)
|
|
|
(Loss)
|
|
|
Winton Master
|
|
$
|
123,848,030
|
|
|
$
|
129,757,734
|
|
|
$
|
129,243,782
|
|
Campbell Master
|
|
|
6,817,650
|
|
|
|
8,716,578
|
|
|
|
8,555,470
|
|
Willowbridge Master
|
|
|
114,625,338
|
|
|
|
117,584,985
|
|
|
|
117,208,252
|
|
Graham Master
|
|
|
63,129,714
|
|
|
|
65,332,335
|
|
|
|
64,361,901
|
|
Eckhardt Master
|
|
|
848,562
|
|
|
|
999,083
|
|
|
|
904,735
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
309,269,294
|
|
|
$
|
322,390,715
|
|
|
$
|
320,274,140
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Summarized information reflecting the Partnerships
investment in, and the operations of, the Funds are shown in the
following tables.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
% of
|
|
|
|
|
|
|
|
|
|
Net
|
|
|
|
|
|
|
Partnerships
|
|
Fair
|
|
Income
|
|
Expenses
|
|
Income
|
|
Investment
|
|
Redemptions
|
Investment
|
|
Net Assets
|
|
Value
|
|
(Loss)
|
|
Commissions
|
|
Other
|
|
(Loss)
|
|
Objective
|
|
Permitted
|
|
For the year ended December 31, 2009
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Winton Master
|
|
|
30.01
|
%
|
|
$
|
9,975,920
|
|
|
$
|
(587,493
|
)
|
|
$
|
7,362
|
|
|
$
|
1,129
|
|
|
$
|
(595,984
|
)
|
|
Commodity Portfolio
|
|
Monthly
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial, Metal
|
|
Monthly
|
Campbell Master
|
|
|
|
|
|
|
|
|
|
|
(276,892
|
)
|
|
|
1,271
|
|
|
|
1,050
|
|
|
|
(279,213
|
)
|
|
& Energy Large Portfolio
|
|
|
Willowbridge Master
|
|
|
18.71
|
%
|
|
|
6,218,731
|
|
|
|
(1,338,164
|
)
|
|
|
9,670
|
|
|
|
1,836
|
|
|
|
(1,349,670
|
)
|
|
Commodity Portfolio
|
|
Monthly
|
Graham Master
|
|
|
27.66
|
%
|
|
|
9,193,804
|
|
|
|
691,938
|
|
|
|
35,865
|
|
|
|
2,658
|
|
|
|
653,415
|
|
|
Commodity Portfolio
|
|
Monthly
|
Eckhardt Master
|
|
|
16.23
|
%
|
|
|
5,395,613
|
|
|
|
(189,439
|
)
|
|
|
15,489
|
|
|
|
28,022
|
|
|
|
(232,950
|
)
|
|
Commodity Portfolio
|
|
Monthly
|
SandRidge Master
|
|
|
8.63
|
%
|
|
|
2,869,282
|
|
|
|
203,364
|
|
|
|
1,554
|
|
|
|
485
|
|
|
|
201,325
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
|
|
|
|
$
|
33,653,350
|
|
|
$
|
(1,496,686
|
)
|
|
$
|
71,211
|
|
|
$
|
35,180
|
|
|
$
|
(1,603,077
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
F-21
Diversified
Multi-Advisor Futures Fund L.P.
Notes to Financial Statements
December 31, 2009
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
% of
|
|
|
|
|
|
|
|
|
|
Net
|
|
|
|
|
|
|
Partnerships
|
|
Fair
|
|
Income
|
|
Expenses
|
|
Income
|
|
Investment
|
|
Redemptions
|
Investment
|
|
Net Assets
|
|
Value
|
|
(Loss)
|
|
Commissions
|
|
Other
|
|
(Loss)
|
|
Objective
|
|
Permitted
|
|
For the year ended December 31, 2008
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Winton Master
|
|
|
29.46
|
%
|
|
$
|
14,224,843
|
|
|
$
|
3,903,834
|
|
|
$
|
14,144
|
|
|
$
|
1,023
|
|
|
$
|
3,888,667
|
|
|
Commodity Portfolio
|
|
Monthly
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial, Metal
|
|
Monthly
|
Campbell Master
|
|
|
14.73
|
%
|
|
|
7,115,212
|
|
|
|
376,063
|
|
|
|
5,806
|
|
|
|
2,421
|
|
|
|
367,836
|
|
|
& Energy Large Portfolio
|
|
|
Willowbridge Master
|
|
|
22.10
|
%
|
|
|
10,673,321
|
|
|
|
4,444,290
|
|
|
|
13,238
|
|
|
|
1,365
|
|
|
|
4,429,687
|
|
|
Commodity Portfolio
|
|
Monthly
|
Graham Master
|
|
|
23.25
|
%
|
|
|
11,227,169
|
|
|
|
3,224,877
|
|
|
|
45,813
|
|
|
|
1,469
|
|
|
|
3,177,595
|
|
|
Commodity Portfolio
|
|
Monthly
|
Eckhardt Master
|
|
|
13.19
|
%
|
|
|
6,367,224
|
|
|
|
296,145
|
|
|
|
7,005
|
|
|
|
21,206
|
|
|
|
267,934
|
|
|
Commodity Portfolio
|
|
Monthly
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
|
|
|
|
$
|
49,607,769
|
|
|
$
|
12,245,209
|
|
|
$
|
86,006
|
|
|
$
|
27,484
|
|
|
$
|
12,131,719
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6.
|
Distributions and
Redemptions:
|
Distributions of profits, if any, will be made at the sole
discretion of the General Partner and at such times as the
General Partner may decide. A Limited Partner may require the
Partnership to redeem their Redeemable Units at their Net Asset
Value per Redeemable Unit as of the last day of each month on
ten days notice to the General Partner. There is no
fee charged to Limited Partners in connection with redemptions.
Changes in the Net Asset Value per Redeemable Unit of Limited
Partnership Interest for the years ended December 31, 2009,
2008 and 2007 were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2009
|
|
|
2008
|
|
|
2007
|
|
|
Net realized and unrealized gains (losses)*
|
|
$
|
(171.43
|
)
|
|
$
|
344.25
|
|
|
$
|
64.64
|
|
Interest income
|
|
|
1.35
|
|
|
|
19.36
|
|
|
|
57.60
|
|
Expenses**
|
|
|
(46.65
|
)
|
|
|
(75.60
|
)
|
|
|
(42.83
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Increase (decrease) for the year
|
|
|
(216.73
|
)
|
|
|
288.01
|
|
|
|
79.41
|
|
Net Asset Value per Redeemable Unit, beginning of year
|
|
|
2,029.90
|
|
|
|
1,741.89
|
|
|
|
1,662.48
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Asset Value per Redeemable Unit, end of year
|
|
$
|
1,813.17
|
|
|
$
|
2,029.90
|
|
|
$
|
1,741.89
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Includes brokerage commissions. |
|
** |
|
Excludes brokerage commissions. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2009
|
|
|
2008
|
|
|
2007
|
|
|
Ratios to average net assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss) before incentive fees***
|
|
|
(8.1
|
)%
|
|
|
(6.8
|
)%
|
|
|
(4.5
|
)%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Operating expenses
|
|
|
8.2
|
%
|
|
|
7.9
|
%
|
|
|
8.0
|
%
|
Incentive fees
|
|
|
0.1
|
%
|
|
|
1.9
|
%
|
|
|
0.5
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses
|
|
|
8.3
|
%
|
|
|
9.8
|
%
|
|
|
8.5
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return:
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return before incentive fees
|
|
|
(10.6
|
)%
|
|
|
18.8
|
%
|
|
|
5.3
|
%
|
Incentive fees
|
|
|
(0.1
|
)%
|
|
|
(2.3
|
)%
|
|
|
(0.5
|
)%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return after incentive fees
|
|
|
(10.7
|
)%
|
|
|
16.5
|
%
|
|
|
4.8
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
*** |
|
Interest income less total expenses. |
F-22
Diversified
Multi-Advisor Futures Fund L.P.
Notes to Financial Statements
December 31, 2009
The above ratios may vary for individual Limited Partners based
on the timing of capital transactions during the year.
Additionally, these ratios are calculated for the Limited
Partner class using the Limited Partners share of income,
expenses and average net assets.
|
|
8.
|
Financial
Instrument Risks:
|
In the normal course of its 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, 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 or
over-the-counter
(OTC). Exchange traded instruments are standardized
and include futures and certain forwards and option contracts.
OTC contracts are negotiated between contracting parties and
include 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 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 Funds 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 Funds 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 Funds risk of loss is reduced through the
use of legally enforceable master netting agreements with
counterparties that permit the Funds to offset unrealized gains
and losses and other assets and liabilities with such
counterparties upon the occurrence of certain events. The Funds
have credit risk and concentration risk as the sole counterparty
or broker with respect to the Funds assets is CGM or a CGM
affiliate. Credit risk with respect to exchange-traded
instruments is reduced to the extent that through CGM, the
Funds counterparty is an exchange or clearing organization.
As both a buyer and seller of options, the 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 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 Funds do not consider these contracts to be
guarantees as described in ASC 460, Guarantees (formerly,
FAS No. 45, Guarantors Accounting and
Disclosure Requirements for Guarantees).
The General Partner monitors and attempts to control the
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 Funds may be
subject. These monitoring systems generally allow the General
Partner to statistically analyze actual trading results with
risk adjusted performance indicators and correlation statistics.
In addition, on-line monitoring systems provide account analysis
of futures, forwards and options positions 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 Funds
business, these instruments may not be held to maturity.
F-23
Selected
unaudited quarterly financial data for the Partnership for the years
ended December 31, 2009 and 2008 are summarized below.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the period from |
|
For the period from |
|
For the period from |
|
For the period from |
|
|
October 1, 2009 to |
|
July 1, 2009 to |
|
April 1, 2009 to |
|
January 1, 2009 to |
|
|
December 31, 2009 |
|
September 30, 2009 |
|
June 30, 2009 |
|
March 31, 2009 |
Net realized and unrealized trading gains
(losses) net of brokerage commissions and
clearing fees including interest income |
|
$ |
(1,083,616 |
) |
|
$ |
261,141 |
|
|
$ |
(865,012 |
) |
|
$ |
(2,064,896 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Income (loss) |
|
$ |
(1,299,220 |
) |
|
$ |
35,873 |
|
|
$ |
(1,140,223 |
) |
|
$ |
(2,313,844 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Increase (decrease) in Net Asset Value per Unit |
|
$ |
(69.68 |
) |
|
$ |
3.66 |
|
|
$ |
(50.72 |
) |
|
$ |
(99.99 |
) |
|
|
|
For the period from |
|
For the period from |
|
For the period from |
|
For the period from |
|
|
October 1, 2008 to |
|
July 1, 2008 to |
|
April 1, 2008 to |
|
January 1, 2008 to |
|
|
December 31, 2008 |
|
September 30, 2008 |
|
June 30, 2008 |
|
March 31, 2008 |
Net realized and unrealized trading gains
(losses) net of brokerage commissions and
clearing fees including interest income |
|
$ |
3,784,999 |
|
|
$ |
(2,497,801 |
) |
|
$ |
4,653,487 |
|
|
$ |
3,479,469 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Income (loss) |
|
$ |
3,348,009 |
|
|
$ |
(2,780,027 |
) |
|
$ |
4,014,067 |
|
|
$ |
2,871,890 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Increase (decrease) in Net Asset Value per Unit |
|
$ |
134.23 |
|
|
$ |
(106.63 |
) |
|
$ |
153.69 |
|
|
$ |
106.72 |
|
F-24
To the Limited
Partners of
CMF Willowbridge Argo Master Fund L.P.
To the best of the knowledge and belief of the undersigned, the
information contained herein is accurate and complete.
Chief Financial Officer and Director
Ceres Managed Futures LLC
General Partner,
CMF Willowbridge Argo Master Fund L.P.
Ceres Managed Futures LLC
55 East 59th Street
10th Floor
New York, N.Y. 10022
212-559-2011
F-25
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Partners of
CMF Willowbridge Argo Master Fund L.P.:
We have
audited the accompanying statement of financial condition of CMF
Willowbridge Argo Master Fund L.P. (the Partnership),
including the condensed schedule of investments, as of December 31, 2009, and the related statements of
income and expenses, and changes in partners capital for the year then ended. These financial statements are the responsibility
of the Partnerships management. Our responsibility is to express an opinion on these financial statements based on our audit. The
financial statements of the Partnership for the years ended December 31, 2008 and 2007 were audited by other auditors whose reports,
dated March 26, 2009 and March 24, 2008, expressed unqualified opinions on those statements.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. The Partnership is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances,
but not for the purpose of expressing an opinion on the effectiveness of the Partnerships internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management,
as well as evaluating the overall financial statement presentation. We believe that our audit provides a reasonable basis for our opinion.
In our opinion, such financial statements present fairly, in all material respects, the financial position of CMF Willowbridge Argo Master Fund L.P. as of December 31, 2009, and the results of its operations and its changes in partners capital for the year then ended, in conformity with accounting principles generally accepted in the United States of America.
/s/ Deloitte & Touche LLP
New York, New York
March 19, 2010
F-26
Report of Independent Auditors
To the
Partners of
CMF Willowbridge Argo Master Fund L.P.:
In our
opinion, the accompanying statement of financial condition, including
the condensed schedule of
investments, and the related statement of income and expenses, and statement of changes in partners
capital present fairly, in all material respects, the financial position of CMF Willowbridge Argo
Master Fund L.P. at December 31, 2008, and the results of its operations for the year then
ended in conformity with accounting principles generally accepted in the United States of America.
These financial statements are the responsibility of the Companys management. Our responsibility
is to express an opinion on these financial statements based on our audit. We conducted our audit
of these statements in accordance with auditing standards generally accepted in the United States
of America. Those standards require that we plan and perform the audit to obtain reasonable
assurance about whether the financial statements are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and disclosures in the
financial statements, assessing the accounting principles used and significant estimates made by
management, and evaluating the overall financial statement presentation. We believe that our audit
provides a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
New York, New York
March 26, 2009
F-27
Report of Independent Registered Public Accounting Firm
The Partners
CMF Willowbridge Argo Master Fund L.P.:
We have audited the accompanying statements of income and expenses and changes in partners capital
of CMF Willowbridge Argo Master Fund L.P. for the year ended December 31, 2007. These financial
statements are the responsibility of the Partnerships management. Our responsibility is to
express an opinion on these financial statements based on our audit.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight
Board (United States). Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material misstatement. An
audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the
financial statements, assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation. We believe that
our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present fairly, in all material
respects, the results of operations and changes in partners capital of CMF Willowbridge Argo
Master Fund L.P. for the year ended December 31, 2007, in conformity with U.S. generally accepted
accounting principles.
/s/ KPMG LLP
New York, New York
March 24, 2008
F-28
CMF Willowbridge
Argo Master Fund L.P.
Statements of Financial Condition
December 31, 2009 and 2008
|
|
|
|
|
|
|
|
|
|
|
2009
|
|
|
2008
|
|
|
Assets:
|
|
|
|
|
|
|
|
|
Equity in trading account:
|
|
|
|
|
|
|
|
|
Cash (Note 3c)
|
|
$
|
198,540,524
|
|
|
$
|
275,579,764
|
|
Cash margin (Note 3c)
|
|
|
27,540,310
|
|
|
|
17,345,935
|
|
Net unrealized appreciation on open futures contracts
|
|
|
5,066,965
|
|
|
|
4,514,064
|
|
|
|
|
|
|
|
|
|
|
Total assets
|
|
$
|
231,147,799
|
|
|
$
|
297,439,763
|
|
|
|
|
|
|
|
|
|
|
Liabilities and Partners Capital:
|
|
|
|
|
|
|
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
Accrued expenses:
|
|
|
|
|
|
|
|
|
Professional fees
|
|
$
|
42,482
|
|
|
$
|
19,759
|
|
|
|
|
|
|
|
|
|
|
Total liabilities
|
|
|
42,482
|
|
|
|
19,759
|
|
|
|
|
|
|
|
|
|
|
Partners Capital:
|
|
|
|
|
|
|
|
|
General Partner, 0.0000 Unit equivalents at December 31,
2009 and 2008
|
|
|
|
|
|
|
|
|
Limited Partners Capital, 127,352.9656 and 137,871.4938
Redeemable Units of Limited Partnership Interest outstanding at
December 31, in 2009 and 2008, respectively
|
|
|
231,105,317
|
|
|
|
297,420,004
|
|
|
|
|
|
|
|
|
|
|
Total liabilities and partners capital
|
|
$
|
231,147,799
|
|
|
$
|
297,439,763
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-29
CMF Willowbridge
Argo Master Fund L.P.
Condensed Schedule of Investments
December 31, 2009
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
No of
|
|
|
|
|
|
% of Partners
|
|
|
|
Contracts
|
|
|
Fair Value
|
|
|
Capital
|
|
|
Futures Contracts Purchased
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
|
1,058
|
|
|
$
|
(796,145
|
)
|
|
|
(0.35
|
)%
|
Energy
|
|
|
529
|
|
|
|
339,318
|
|
|
|
0.14
|
|
Grains
|
|
|
1,058
|
|
|
|
710,221
|
|
|
|
0.31
|
|
Interest Rates U.S.
|
|
|
529
|
|
|
|
385,800
|
|
|
|
0.17
|
|
Interest Rates
Non-U.S.
|
|
|
1,190
|
|
|
|
362,833
|
|
|
|
0.16
|
|
Metals
|
|
|
1,058
|
|
|
|
2,163
|
|
|
|
0.00
|
*
|
Softs
|
|
|
794
|
|
|
|
1,702,259
|
|
|
|
0.74
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures contracts purchased
|
|
|
|
|
|
|
2,706,449
|
|
|
|
1.17
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts Sold
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
|
2,116
|
|
|
|
946,561
|
|
|
|
0.41
|
|
Interest Rates U.S.
|
|
|
1,058
|
|
|
|
1,250,420
|
|
|
|
0.54
|
|
Interest Rates
Non-U.S.
|
|
|
529
|
|
|
|
89,416
|
|
|
|
0.04
|
|
Softs
|
|
|
529
|
|
|
|
74,119
|
|
|
|
0.03
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures contracts sold
|
|
|
|
|
|
|
2,360,516
|
|
|
|
1.02
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
|
|
|
|
$
|
5,066,965
|
|
|
|
2.19
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-30
CMF Willowbridge
Argo Master Fund L.P.
Condensed Schedule of Investments
December 31, 2008
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
No of
|
|
|
|
|
|
% of Partners
|
|
|
|
Contracts
|
|
|
Fair Value
|
|
|
Capital
|
|
|
Futures Contracts Purchased
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
|
512
|
|
|
$
|
521,823
|
|
|
|
0.17
|
%
|
Grains
|
|
|
640
|
|
|
|
496,363
|
|
|
|
0.17
|
|
Interest Rates U.S.
|
|
|
1,280
|
|
|
|
1,365,961
|
|
|
|
0.46
|
|
Interest Rates
Non-U.S.
|
|
|
1,088
|
|
|
|
1,847,392
|
|
|
|
0.62
|
|
Metals
|
|
|
256
|
|
|
|
711,975
|
|
|
|
0.24
|
|
Softs
|
|
|
384
|
|
|
|
(99,463
|
)
|
|
|
(0.03
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures contracts purchased
|
|
|
|
|
|
|
4,844,051
|
|
|
|
1.63
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts Sold
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy
|
|
|
128
|
|
|
|
694,880
|
|
|
|
0.23
|
|
Grains
|
|
|
384
|
|
|
|
(294,592
|
)
|
|
|
(0.10
|
)
|
Metals
|
|
|
256
|
|
|
|
(730,275
|
)
|
|
|
(0.24
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures contracts sold
|
|
|
|
|
|
|
(329,987
|
)
|
|
|
(0.11
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
|
|
|
|
$
|
4,514,064
|
|
|
|
1.52
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-31
CMF Willowbridge
Argo Master Fund L.P.
Statements of Income and Expenses
for the years ended December 31, 2009, 2008 and
2007
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2009
|
|
|
2008
|
|
|
2007
|
|
|
Income:
|
|
|
|
|
|
|
|
|
|
|
|
|
Net gains (losses) on trading of commodity interests:
|
|
|
|
|
|
|
|
|
|
|
|
|
Net realized gains (losses) on closed contracts
|
|
$
|
(42,569,865
|
)
|
|
$
|
120,270,941
|
|
|
$
|
45,753,249
|
|
Change in net unrealized gains (losses) on open contracts
|
|
|
552,901
|
|
|
|
(5,645,603
|
)
|
|
|
(875,016
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gain (loss) from trading, net
|
|
|
(42,016,964
|
)
|
|
|
114,625,338
|
|
|
|
44,878,233
|
|
Interest income
|
|
|
195,777
|
|
|
|
2,959,647
|
|
|
|
6,365,854
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total income (loss)
|
|
|
(41,821,187
|
)
|
|
|
117,584,985
|
|
|
|
51,244,087
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses:
|
|
|
|
|
|
|
|
|
|
|
|
|
Clearing fees
|
|
|
316,442
|
|
|
|
340,947
|
|
|
|
437,674
|
|
Professional fees
|
|
|
60,562
|
|
|
|
35,786
|
|
|
|
29,863
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses
|
|
|
377,004
|
|
|
|
376,733
|
|
|
|
467,537
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss)
|
|
$
|
(42,198,191
|
)
|
|
$
|
117,208,252
|
|
|
$
|
50,776,550
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss) per Redeemable Unit of Limited Partnership
Interest (Notes 1 and 6)
|
|
$
|
(340.95
|
)
|
|
$
|
771.84
|
|
|
$
|
352.58
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Weighted average units outstanding
|
|
|
126,508.0368
|
|
|
|
156,458.0988
|
|
|
|
153,606.6990
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-32
CMF Willowbridge
Argo Master Fund L.P.
Statements of Changes in Partners Capital
for the years ended December 31, 2009, 2008 and
2007
|
|
|
|
|
|
|
Partners
|
|
|
|
Capital
|
|
|
Partners Capital at December 31, 2006
|
|
$
|
183,568,130
|
|
Net income (loss)
|
|
|
50,776,550
|
|
Sale of 27,402.5153 Redeemable Units of Limited Partnership
Interest
|
|
|
30,563,510
|
|
Redemption of 43,441.2969 Redeemable Units of Limited
Partnership Interest
|
|
|
(45,487,314
|
)
|
Distribution of interest income to feeder funds
|
|
|
(6,365,854
|
)
|
|
|
|
|
|
Partners Capital at December 31, 2007
|
|
|
213,055,022
|
|
Net income (loss)
|
|
|
117,208,252
|
|
Sale of 60,036.9500 Redeemable Units of Limited Partnership
Interest
|
|
|
106,466,700
|
|
Redemption of 73,835.2095 Redeemable Units of Limited
Partnership Interest
|
|
|
(136,350,323
|
)
|
Distribution of interest income to feeder funds
|
|
|
(2,959,647
|
)
|
|
|
|
|
|
Partners Capital at December 31, 2008
|
|
|
297,420,004
|
|
Net income (loss)
|
|
|
(42,198,191
|
)
|
Sale of 28,958.2689 Redeemable Units of Limited Partnership
Interest
|
|
|
55,363,938
|
|
Redemption of 39,476.7971 Redeemable Units of Limited
Partnership Interest
|
|
|
(79,284,657
|
)
|
Distribution of interest income to feeder funds
|
|
|
(195,777
|
)
|
|
|
|
|
|
Partners Capital at December 31, 2009
|
|
$
|
231,105,317
|
|
|
|
|
|
|
Net Asset Value per Redeemable Unit of Limited Partnership
Interest:
|
|
|
|
|
|
|
|
|
|
2007:
|
|
$
|
1,404.73
|
|
|
|
|
|
|
|
|
|
|
|
2008:
|
|
$
|
2,157.23
|
|
|
|
|
|
|
|
|
|
|
|
2009:
|
|
$
|
1,814.68
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-33
CMF Willowbridge
Argo Master Fund L.P.
Notes to Financial Statements
December 31, 2009
|
|
1.
|
Partnership
Organization:
|
CMF Willowbridge Argo Master Fund L.P. (the
Master) is a limited partnership which was organized
under the partnership laws of the State of New York to engage in
the speculative trading of a diversified portfolio of commodity
interests including futures contracts, options, swaps and
forward contracts. The sectors traded include currencies,
energy, grains, U.S. and non-U.S. interest rates, metals and
softs. The commodity interests that are traded by the Master are
volatile and involve a high degree of market risk. The Master is
authorized to sell an unlimited number of redeemable units of
Limited Partnership Interest (Redeemable Units).
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 Master. 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 (NFA). 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 Master, 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.
On July 1, 2005, (commencement of trading operations),
Diversified Multi-Advisor Futures Fund L.P. (formerly,
Smith Barney Diversified Futures Fund L.P.)
(Diversified), Diversified Multi-Advisor Futures
Fund L.P. II (formerly, Smith Barney Diversified Futures
Fund L.P. II) (Diversified II), Orion Futures
Fund L.P. (formerly, Citigroup Orion Futures
Fund L.P.) (Orion), Institutional Futures
Portfolio L.P. (formerly, CMF Institutional Futures Portfolio
L.P.) (Institutional Portfolio) and Tactical
Diversified Futures Fund L.P. (formerly, Citigroup
Diversified Futures Fund L.P.) (Tactical
Diversified) allocated a portion of their capital to the
Master. Diversified purchased 12,259.3490 Redeemable Units with
cash of $11,118,119 and a contribution of open commodity futures
and forwards positions with a fair value of $1,141,230,
Diversified II purchased 10,980.9796 Redeemable Units with
cash of $9,895,326 and a contribution of open commodity futures
and forwards positions of $1,085,654, Orion purchased
33,529.1186 Redeemable Units with cash of $29,866,194 and a
contribution of open commodity futures and forwards positions
with a fair value of $3,662,925, Institutional Portfolio
invested $7,000,000 of its initial capital and purchased
7,000.0000 Redeemable Units with cash of 16,242,748 and Tactical
Diversified purchased 95,795.8082 Redeemable Units with cash of
$85,442,868 and a contribution of open commodity futures and
forwards positions with a fair value of $10,352,940. On April 1,
2009, Orion Futures Fund (Cayman) (formerly, Citigroup Orion
Futures Fund (Cayman) Ltd.) (Orion Cayman) purchased
299.0681 Redeemable Units with cash of $560,000. The Master was
formed to permit commodity pools managed now and in the future
by Willowbridge Associates Inc. (the Advisor) using
the Argo Trading System, the Advisors proprietary
systematic trading program, to invest together in one trading
vehicle.
The Master operates under a structure where its investors
consist of Diversified, Diversified II, Orion, Tactical
Diversified, Institutional Portfolio and Orion Cayman (each a
Feeder, collectively the Funds) with
approximately 2.7%, 2.3%, 58.8%, 30.8%, 4.4% 1.0% investments in
the Master at December 31, 2009, respectively and with
approximately 3.6%, 3.4%, 46.1%, 42.5% and 4.4% investments in
the Master at December 31, 2008, respectively.
The Master will be liquidated upon the first to occur of the
following: December 31, 2025; or under certain other
circumstances as defined in the Limited Partnership Agreement of
the Master (the Limited Partnership Agreement).
On July 1, 2009, the Financial Accounting Standards Board
(FASB) issued Statement of Financial Accounting
Standards (FAS) No. 168, The FASB Accounting
Standards Codification and the Hierarchy of Generally Accepted
Accounting Principles, also known as FASB Accounting Standards
Codification
F-34
CMF Willowbridge
Argo Master Fund L.P.
Notes to Financial Statements
December 31, 2009
(ASC) 105, Generally Accepted Accounting
Principles (ASC 105) (the
Codification). ASC 105 established the exclusive
authoritative reference for U.S. Generally Accepted
Accounting Principles (GAAP) for use in financial
statements except for Securities and Exchange Commission
(SEC) rules and interpretive releases, which are
also authoritative GAAP for SEC registrants. The Codification
supersedes all existing non-SEC accounting and reporting
standards. The Codification is the single source of
authoritative accounting principles generally accepted in the
United States and applies to all financial statements issued
after September 15, 2009.
|
|
|
|
a.
|
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.
In making these estimates and assumptions, management has
considered the effects, if any, of events occurring after the
date of the Masters Statements of Financial Condition
through the date the financial statements were issued. As a
result, actual results could differ from these estimates.
|
|
|
b.
|
Statement of Cash Flows. The Master is not
required to provide a Statement of Cash Flows as permitted by
ASC 230, 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).
|
|
|
c.
|
Masters Investments. All commodity
interests of the Master (including derivative financial
instruments and derivative commodity instruments) are held for
trading purposes. The commodity interests are recorded on trade
date and open contracts are recorded at fair value (as described
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 gains or losses from the preceding
period are reported in the Statements of Income and Expenses.
|
Masters Fair Value Measurements. The
Master adopted ASC 820, 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
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 Master did not apply the
deferral allowed by ASC 820 for nonfinancial assets and
nonfinancial liabilities measured at fair value on a
nonrecurring basis.
In 2009, the Master adopted amendments to ASC 820, Fair Value
Measurements and Disclosures (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) which
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. These amendments to
ASC 820 also reaffirm the need to
F-35
CMF Willowbridge
Argo Master Fund L.P.
Notes to Financial Statements
December 31, 2009
use judgment in determining if a formerly active market has
become inactive and in determining fair values when the market
has become inactive. These amendments to ASC 820 are 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
Masters Level 2 assets and liabilities. The adoption
of the amendments to ASC 820 had no effect on the
Masters Financial Statements.
The 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 years ended December 31,
2009 and December 31, 2008, the Master did not hold any
derivative instruments for which market quotations are not
readily available and which are priced by broker-dealers who
derive fair values for those assets from observable inputs
(Level 2) or 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
|
|
|
|
12/31/2009
|
|
|
Assets (Level 1)
|
|
|
(Level 2)
|
|
|
Inputs (Level 3)
|
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures
|
|
$
|
5,066,965
|
|
|
$
|
5,066,965
|
|
|
$
|
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total assets
|
|
|
5,066,965
|
|
|
|
5,066,965
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
$
|
5,066,965
|
|
|
$
|
5,066,965
|
|
|
$
|
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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
|
|
$
|
4,514,064
|
|
|
$
|
4,514,064
|
|
|
$
|
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total assets
|
|
|
4,514,064
|
|
|
|
4,514,064
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
$
|
4,514,064
|
|
|
$
|
4,514,064
|
|
|
$
|
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
d.
|
Futures Contracts. The Master trades futures
contracts. A futures contract is a firm commitment to buy or
sell a specified quantity of investments, currency or a
standardized amount of a deliverable grade commodity, at a
specified price on a specified future date, unless the contract
is closed before the delivery date or if the delivery quantity
is something where physical delivery can not occur (such as the
S&P 500 Index), whereby such contract is settled in cash.
Payments (variation margin) may be made or received
by the Master each business day, depending on the daily
fluctuations in the value of the underlying contracts, and are
recorded as unrealized gains or losses by the Master. When the
contract is closed, the Master records a realized gain or loss
equal to the difference between the value of the contract at the
time it was opened and the value at the time it was closed.
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.
|
F-36
CMF Willowbridge
Argo Master Fund L.P.
Notes to Financial Statements
December 31, 2009
|
|
|
|
e.
|
Income and Expenses Recognition. All of the
income and expenses and realized and unrealized gains and losses
on trading of commodity interests are determined on each
valuation day and allocated pro rata among the Funds at the time
of such determination.
|
|
|
f.
|
Income Taxes. Income taxes have not been
provided as each partner is individually liable for the taxes,
if any, on their share of the Masters income and expenses.
|
In 2007, the Master adopted ASC 740, Income Taxes (formerly,
FAS No. 48, Accounting for Uncertainty in Income
Taxes). ASC 740 provides guidance for how uncertain tax
positions should be recognized, measured, presented and
disclosed in the financial statements. ASC 740 requires the
evaluation of tax positions taken or expected to be taken in the
course of preparing the Masters financial statements to
determine whether the tax positions are
more-likely-than-not to be sustained by the
applicable tax authority. Tax positions with respect to tax at
the Master 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 concluded that no provision for income tax is required
in the Masters financial statements.
The following is the major tax jurisdiction for the Master and
the earliest tax year subject to examination: United
States 2006.
|
|
|
|
g.
|
Subsequent Events. In 2009, the Master adopted
ASC 855, Subsequent Events (formerly, FAS No. 165,
Subsequent Events). The objective of ASC 855 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.
Management has determined that there were no subsequent events
requiring adjustment or disclosure in the financial statements.
|
|
|
h.
|
Recent Accounting Pronouncements. In January
2010, the FASB issued Accounting Standards Update
No. 2010-06
(ASU
2010-06),
Improving Disclosures about Fair Value Measurements,
which, among other things, amends ASC 820 to require entities to
separately present purchases, sales, issuances, and settlements
in their reconciliation of Level 3 fair value measurements
(i.e. to present such items on a gross basis rather than on a
net basis), and which clarifies existing disclosure requirements
provided by ASC 820 regarding the level of disaggregation and
the inputs and valuation techniques used to measure fair value
for measurements that fall within either Level 2 or
Level 3 of the fair value hierarchy. ASU
2010-06 is
effective for interim and annual periods beginning after
December 15, 2009, except for the disclosures about
purchases, sales, issuances, and settlements in the roll forward
of activity in Level 3 fair value measurements (which are
effective for fiscal years beginning after December 15,
2010, and for interim periods within those fiscal years).
Management is currently assessing the impact that the adoption
of
ASU 2010-06
will have on the Masters financial statements disclosures.
|
In February 2010, the FASB issued Accounting Standards Update
No. 2010-09
(ASU
2010-09),
Subsequent Events (Topic 855): Amendments to Certain
Recognition and Disclosure Requirements, which among other
things amended ASC 855 to remove the requirement for an SEC
filer to disclose the date through which subsequent events have
been evaluated. This change alleviates potential conflicts
between ASC 855 and the SECs requirements. All of the
amendments in this update are effective upon issuance of this
update. Management has included the provisions of these
amendments in the financial statements.
|
|
|
|
i.
|
Certain prior period amounts have been reclassified to conform
to current period presentation.
|
|
|
j.
|
Net Income (Loss) per Redeemable Unit. Net
income (loss) per Redeemable Unit is calculated in accordance
with investment company guidance. See footnote 6 for Financial
Highlights.
|
F-37
CMF Willowbridge
Argo Master Fund L.P.
Notes to Financial Statements
December 31, 2009
|
|
|
|
a.
|
Limited Partnership Agreement:
|
The General Partner administers the business and affairs of the
Master including selecting one or more advisors to make trading
decisions for the Master.
The General Partner, on behalf of the Master, has entered into a
management agreement (the Management Agreement) with
the Advisor, a registered commodity trading advisor. The Advisor
is not affiliated with the General Partner or CGM and is not
responsible for the organization or operation of the Master. The
Management Agreement provides that the Advisor has sole
discretion in determining the investment of the assets of the
Master. All management fees in connection with the Management
Agreement are borne by the Funds. The Management Agreement may
be terminated upon notice by either party.
The Master has entered into a customer agreement (the
Customer Agreement) with CGM whereby CGM provides
services which include, among other things, the execution of
transactions for the Masters account in accordance with
orders placed by the Advisor. All exchange, clearing, user,
give-up,
floor brokerage and NFA fees (collectively the clearing
fees) are borne by the Master. All other fees including
CGMs direct brokerage commission shall be borne by the
Funds. All of the Masters assets are deposited in the
Masters account at CGM. The Masters cash is
deposited by CGM in segregated bank accounts to the extent
required by Commodity Futures Trading Commission regulations. At
December 31, 2009 and 2008, the amount of cash held by the
Master for margin requirements were $27,540,310 and $17,345,935,
respectively. The Customer Agreement may be terminated upon
notice by either party.
The Master was formed for the purpose of trading contracts in a
variety of commodity interests, including derivative financial
instruments and derivative commodity interests. The results of
the Masters trading activities are shown in the Statements
of Income and Expenses.
The Customer Agreement between the Master and CGM gives the
Master the legal right to net unrealized gains and losses on
open futures contracts. The Master nets, for financial reporting
purposes, the unrealized gains and losses on open futures
contracts on the Statements of Financial Condition as the
criteria under ASC 210, Balance Sheet (formerly, FASB
Interpretation No. 39, Offsetting of Amounts
Related to Certain Contracts) have been met.
All of the commodity interests owned by the Master are held for
trading purposes. The average number of futures contracts traded
for the year ended December 31, 2009 based on a quarterly
calculation, was 10,295.
The Master adopted ASC 815, Derivatives and Hedging (formerly,
FAS No. 161 Disclosures 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 only
expands the disclosure requirements for derivative instruments
and related hedging activities and has no impact on the
Statements of Financial Condition, Statements of Income and
Expenses and Statements of Changes in Partners Capital.
F-38
CMF Willowbridge
Argo Master Fund L.P.
Notes to Financial Statements
December 31, 2009
The following table indicates the fair values of derivative
instruments of futures contracts as separate assets and
liabilities.
|
|
|
|
|
Assets
|
|
December 31, 2009
|
|
|
Futures Contracts
|
|
|
|
|
Currencies
|
|
$
|
3,436,175
|
|
Energy
|
|
|
339,318
|
|
Grains
|
|
|
768,108
|
|
Interest Rates U.S.
|
|
|
1,640,270
|
|
Interest Rates
Non-U.S.
|
|
|
603,534
|
|
Softs
|
|
|
1,776,378
|
|
Metals
|
|
|
2,786,063
|
|
|
|
|
|
|
Total unrealized appreciation on open futures contracts
|
|
$
|
11,349,846
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
Futures Contracts
|
|
|
|
|
Currencies
|
|
$
|
(3,285,759
|
)
|
Grains
|
|
|
(57,887
|
)
|
Interest Rates U.S.
|
|
|
(4,050
|
)
|
Interest Rates
Non-U.S.
|
|
|
(151,285
|
)
|
Metals
|
|
|
(2,783,900
|
)
|
|
|
|
|
|
Total unrealized depreciation on open futures contracts
|
|
$
|
(6,282,881
|
)
|
|
|
|
|
|
Net unrealized depreciation on open futures contracts
|
|
$
|
5,066,965
|
*
|
|
|
|
|
|
|
|
|
|
|
*This amount is in Net unrealized appreciation on open
futures contracts on the Statements of Financial Condition.
|
The following table indicates the trading gains and losses, by
market sector, on derivative instruments for the year ended
December 31, 2009.
|
|
|
|
|
|
|
December 31, 2009
|
|
Sector
|
|
Gain (Loss) from Trading
|
|
|
Currencies
|
|
$
|
(1,870,971
|
)
|
Energy
|
|
|
(28,874,531
|
)
|
Grains
|
|
|
(8,605,911
|
)
|
INT Rate US
|
|
|
(10,397,322
|
)
|
INT Rate Non-US
|
|
|
(7,737,846
|
)
|
Livestock
|
|
|
(1,213,180
|
)
|
Metals
|
|
|
19,790,113
|
|
Softs
|
|
|
(3,107,316
|
)
|
|
|
|
|
|
Total
|
|
$
|
(42,016,964
|
)**
|
|
|
|
|
|
|
|
|
|
|
**This amount is in Gain (loss) from trading, net on
the Statements of Income and Expenses.
|
|
|
5.
|
Subscriptions,
Distributions and Redemptions:
|
Subscriptions are accepted monthly from investors and they
become Limited Partners on the first day of the month after
their subscription is processed. A Limited Partner may withdraw
all or part of their capital contribution and undistributed
profits, if any, from the Master in multiples of the Net Asset
Value per
F-39
CMF Willowbridge
Argo Master Fund L.P.
Notes to Financial Statements
December 31, 2009
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 at least
3 days in advance of the Redemption Date. The
Redeemable Units are classified as a liability when the Limited
Partner elects to redeem and informs the Master.
Changes in the Net Asset Value per Redeemable Unit of Limited
Partnership Interest for the years ended December 31, 2009,
2008 and 2007 were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2009
|
|
|
2008
|
|
|
2007
|
|
|
Net realized and change in unrealized gains (losses)*
|
|
$
|
(342.04
|
)
|
|
$
|
752.74
|
|
|
$
|
310.35
|
|
Interest income
|
|
|
1.60
|
|
|
|
19.34
|
|
|
|
42.42
|
|
Expenses**
|
|
|
(0.51
|
)
|
|
|
(0.24
|
)
|
|
|
(0.19
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Increase (decrease) for the year
|
|
|
(340.95
|
)
|
|
|
771.84
|
|
|
|
352.58
|
|
Distribution of interest income to feeder funds
|
|
|
(1.60
|
)
|
|
|
(19.34
|
)
|
|
|
(42.42
|
)
|
Net Asset Value per Redeemable Unit of Limited Partnership
Interest, beginning of year
|
|
|
2,157.23
|
|
|
|
1,404.73
|
|
|
|
1,094.57
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Asset Value per Redeemable Unit of Limited Partnership
Interest, end of year
|
|
$
|
1,814.68
|
|
|
$
|
2,157.23
|
|
|
$
|
1,404.73
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Includes clearing fees. |
|
** |
|
Excludes clearing fees. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2009
|
|
2008
|
|
2007
|
|
Ratios to average net assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)***
|
|
|
(0.1
|
)%
|
|
|
1.0
|
%
|
|
|
3.5
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Operating expenses
|
|
|
0.2
|
%
|
|
|
0.1
|
%
|
|
|
0.3
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return
|
|
|
(15.8
|
)%
|
|
|
54.9
|
%
|
|
|
32.2
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
*** |
|
Interest income less total expenses. |
The above ratios may vary for individual investors based on the
timing of capital transactions during the year. Additionally,
these ratios are calculated for the Limited Partner class using
the Limited Partners share of income, expenses and average
net assets.
|
|
7.
|
Financial
Instrument Risks:
|
In the normal course of its business, the Master is party to
financial instruments with off-balance sheet risk, including
derivative financial instruments and derivative commodity
instruments. These financial instruments may include forwards,
futures 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, 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 or
over-the-counter
(OTC). Exchange traded instruments are standardized
and include futures and certain forwards and option contracts.
OTC contracts are negotiated between contracting parties and
include 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.
F-40
CMF Willowbridge
Argo Master Fund L.P.
Notes to Financial Statements
December 31, 2009
Market risk is the potential for changes in the value of the
financial instruments traded by the Master due to market
changes, including interest and foreign exchange rate movements
and fluctuations in commodity or security prices. Market risk is
directly impacted by the volatility and liquidity in the markets
in which the related underlying assets are traded. The Master is
exposed to 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 Masters risk of loss in the event of
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 Masters risk of loss is reduced through
the use of legally enforceable master netting agreements with
counterparties that permit the Master to offset unrealized gains
and losses and other assets and liabilities with such
counterparties upon the occurrence of certain events. The Master
has credit risk and concentration risk as the sole counterparty
or broker with respect to the Masters assets is CGM or a
CGM affiliate. Credit risk with respect to exchange-traded
instruments is reduced to the extent that through CGM, the
Masters counterparty is an exchange or clearing
organization.
The General Partner monitors and attempts to control the
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 Master may be
subject. These monitoring systems generally allow the General
Partner to analyze statistically actual trading results with
risk- adjusted performance indicators and correlation
statistics. In addition, on-line monitoring systems provide
account analysis of futures, forwards and options positions 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 Masters
business, these instruments may not be held to maturity.
F-41
Selected unaudited quarterly financial data for Willowbridge Master for the years ended December 31, 2009 and 2008 are summarized below:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the period from |
|
For the period from |
|
For the period from |
|
For the period from |
|
|
October 1, 2009 to |
|
July 1, 2009 to |
|
April 1, 2009 to |
|
January 1, 2009 to |
|
|
December 31, 2009 |
|
September 30, 2009 |
|
June 30, 2009 |
|
March 31, 2009 |
Net realized and unrealized
trading gains (losses) net
of brokerage commissions
and clearing fees including
interest income |
|
$ |
(18,281,605 |
) |
|
$ |
(20,120,888 |
) |
|
$ |
32,038,173 |
|
|
$ |
(35,773,309 |
) |
Net income (loss) |
|
$ |
(18,302,561 |
) |
|
$ |
(20,139,642 |
) |
|
$ |
32,025,897 |
|
|
$ |
(35,781,885 |
) |
Increase (decrease) in Net
Asset Value per Redeemable
Unit |
|
$ |
(150.43 |
) |
|
$ |
(172.65 |
) |
|
$ |
266.37 |
|
|
$ |
(284.24 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the period from |
|
For the period from |
|
For the period from |
|
For the period from |
|
|
October 1, 2008 to |
|
July 1, 2008 to |
|
April 1, 2008 to |
|
January 1, 2008 to |
|
|
December 31, 2008 |
|
September 30, 2008 |
|
June 30, 2008 |
|
March 31, 2008 |
Net realized and unrealized
trading gains (losses) net
of brokerage commissions
and clearing fees including
interest income |
|
$ |
27,126,788 |
|
|
$ |
9,695,635 |
|
|
$ |
61,112,070 |
|
|
$ |
19,309,545 |
|
Net income (loss) |
|
$ |
27,118,311 |
|
|
$ |
9,686,363 |
|
|
$ |
61,102,423 |
|
|
$ |
19,301,155 |
|
Increase (decrease) in Net
Asset Value per Redeemable
Unit |
|
$ |
190.01 |
|
|
$ |
68.64 |
|
|
$ |
389.12 |
|
|
$ |
124.07 |
|
F-42
To the Limited
Partners of
CMF Winton Master L.P.
To the best of the knowledge and belief of the undersigned, the
information contained herein is accurate and complete.
|
|
|
|
By:
|
Jennifer Magro
Chief Financial Officer and Director
|
Ceres Managed Futures LLC
General Partner,
CMF Winton Master L.P.
Ceres Managed Futures LLC
55 East 59th Street
10th Floor
New York, N.Y. 10022
212-559-2011
F-43
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Partners of
CMF Winton Master L.P.:
We have audited the accompanying statement of financial condition of CMF Winton Master L.P.
(the Partnership), including the condensed schedule of investments, as of December 31, 2009, and
the related statements of income and expenses, and changes in partners capital for the year then
ended. These financial statements are the responsibility of the Partnerships management. Our
responsibility is to express an opinion on these financial statements based on our audit. The
financial statements of the Partnership for the years ended December 31, 2008 and 2007 were audited
by other auditors whose reports, dated March 26, 2009 and March 24, 2008, expressed unqualified
opinions on those statements.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight
Board (United States). Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material misstatement. The
Partnership is not required to have, nor were we engaged to perform, an audit of its internal
control over financial reporting. Our audit included consideration of internal control over
financial reporting as a basis for designing audit procedures that are appropriate in the
circumstances, but not for the purpose of expressing an opinion on the effectiveness of the
Partnerships internal control over financial reporting. Accordingly, we express no such opinion.
An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures
in the financial statements, assessing the accounting principles used and significant estimates
made by management, as well as evaluating the overall financial statement presentation. We believe
that our audit provides a reasonable basis for our opinion.
In our opinion, such financial statements present fairly, in all material respects, the financial
position of CMF Winton Master L.P. as of December 31, 2009, and the results of its operations and
its changes in partners capital for the year then ended, in conformity with accounting principles
generally accepted in the United States of America.
/s/ Deloitte & Touche LLP
New York, New York
March 19, 2010
F-44
Report of Independent Auditors
To the Partners of
CMF Winton Master L.P.:
In our
opinion, the accompanying statement of financial condition, including
the condensed schedule of
investments, and the related statement of income and expenses, and statement of changes in partners
capital present fairly, in all material respects, the financial position of CMF Winton Master L.P.
at December 31, 2008, and the results of its operations for the year then ended in
conformity with accounting principles generally accepted in the United States of America. These
financial statements are the responsibility of the Companys management. Our responsibility is to
express an opinion on these financial statements based on our audit. We conducted our audit of
these statements in accordance with auditing standards generally accepted in the United States of
America. Those standards require that we plan and perform the audit to obtain reasonable assurance
about whether the financial statements are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates made by management,
and evaluating the overall financial statement presentation. We believe that our audit provides a
reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
New York, New York
March 26, 2009
F-45
Report of Independent Registered Public Accounting Firm
The Partners
CMF Winton Master Fund L.P.:
We have audited the accompanying statements of income and expenses and changes in partners capital
of CMF Winton Master Fund L.P. for the year ended December 31, 2007. These financial statements
are the responsibility of the Partnerships management. Our responsibility is to express an
opinion on these financial statements based on our audit.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight
Board (United States). Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material misstatement. An
audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the
financial statements, assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation. We believe that
our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present fairly, in all material
respects, the results of operations and changes in partners capital of CMF Winton Master Fund L.P.
for the year ended December 31, 2007, in conformity with U.S. generally accepted accounting
principles.
/s/ KPMG LLP
New York, New York
March 24, 2008
F-46
CMF Winton Master
L.P.
Statements
of Financial Condition
December 31, 2009 and 2008
|
|
|
|
|
|
|
|
|
|
|
2009
|
|
|
2008
|
|
|
Assets:
|
|
|
|
|
|
|
|
|
Equity in trading account:
|
|
|
|
|
|
|
|
|
Cash (Note 3c)
|
|
$
|
533,704,028
|
|
|
$
|
512,248,576
|
|
Cash margin (Note 3c)
|
|
|
38,915,256
|
|
|
|
26,405,684
|
|
Net unrealized appreciation on open futures contracts
|
|
|
144,283
|
|
|
|
6,936,356
|
|
Net unrealized appreciation on open forward contracts
|
|
|
1,698,400
|
|
|
|
2,179,569
|
|
Options owned, at fair value (cost $34,613 at December 31,
2009)
|
|
|
17,723
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total assets
|
|
$
|
574,479,690
|
|
|
$
|
547,770,185
|
|
|
|
|
|
|
|
|
|
|
Liabilities and Partners Capital:
|
|
|
|
|
|
|
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
Options written, at fair value (premium $77,101 at December 31,
2009)
|
|
$
|
40,733
|
|
|
$
|
|
|
Accrued expenses:
|
|
|
|
|
|
|
|
|
Professional fees
|
|
|
30,644
|
|
|
|
18,642
|
|
|
|
|
|
|
|
|
|
|
Total liabilities
|
|
|
71,377
|
|
|
|
18,642
|
|
|
|
|
|
|
|
|
|
|
Partners Capital:
|
|
|
|
|
|
|
|
|
General Partner, 0.0000 Unit equivalents at December 31,
2009 and 2008
|
|
|
|
|
|
|
|
|
Limited Partners Capital, 298,540.2381 and 270,994.4921
Redeemable Units of Limited Partnership Interest outstanding at
December 31, 2009 and 2008, respectively
|
|
|
574,408,313
|
|
|
|
547,751,543
|
|
|
|
|
|
|
|
|
|
|
Total liabilities and partners capital
|
|
$
|
574,479,690
|
|
|
$
|
547,770,185
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-47
CMF Winton Master
L.P.
Condensed
Schedule of Investments
December 31, 2009
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Number of
|
|
|
|
|
|
% of Partners
|
|
|
|
Contracts
|
|
|
Fair Value
|
|
|
Capital
|
|
|
Futures Contracts Purchased
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
|
2,173
|
|
|
$
|
(1,932,735
|
)
|
|
|
(0.34
|
)%
|
Energy
|
|
|
81
|
|
|
|
105,489
|
|
|
|
0.02
|
|
Grains
|
|
|
396
|
|
|
|
285,441
|
|
|
|
0.05
|
|
Indices
|
|
|
3,920
|
|
|
|
2,883,282
|
|
|
|
0.50
|
|
Interest Rates U.S.
|
|
|
1,552
|
|
|
|
(374,223
|
)
|
|
|
(0.06
|
)
|
Interest Rates
Non-U.S.
|
|
|
4,180
|
|
|
|
(115,797
|
)
|
|
|
(0.02
|
)
|
Livestock
|
|
|
76
|
|
|
|
38,000
|
|
|
|
0.01
|
|
Metals
|
|
|
664
|
|
|
|
(417,248
|
)
|
|
|
(0.07
|
)
|
Softs
|
|
|
356
|
|
|
|
476,861
|
|
|
|
0.08
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures contracts purchased
|
|
|
|
|
|
|
949,070
|
|
|
|
0.17
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts Sold
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
|
227
|
|
|
|
(127,300
|
)
|
|
|
(0.02
|
)
|
Energy
|
|
|
192
|
|
|
|
(494,271
|
)
|
|
|
(0.09
|
)
|
Grains
|
|
|
501
|
|
|
|
(17,304
|
)
|
|
|
(0.00
|
)*
|
Indices
|
|
|
12
|
|
|
|
(10,333
|
)
|
|
|
(0.00
|
)*
|
Interest Rates U.S.
|
|
|
180
|
|
|
|
44,187
|
|
|
|
0.01
|
|
Interest Rates
Non-U.S.
|
|
|
166
|
|
|
|
(31,275
|
)
|
|
|
(0.01
|
)
|
Livestock
|
|
|
111
|
|
|
|
(56,000
|
)
|
|
|
(0.01
|
)
|
Softs
|
|
|
129
|
|
|
|
(112,491
|
)
|
|
|
(0.02
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures contracts sold
|
|
|
|
|
|
|
(804,787
|
)
|
|
|
(0.14
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized Appreciation on Open Forward Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
Metals
|
|
|
310
|
|
|
|
2,433,189
|
|
|
|
0.43
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total unrealized appreciation on open forward contracts
|
|
|
|
|
|
|
2,433,189
|
|
|
|
0.43
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized Depreciation on Open Forward Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
Metals
|
|
|
163
|
|
|
|
(734,789
|
)
|
|
|
(0.13
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total unrealized depreciation on open forward contracts
|
|
|
|
|
|
|
(734,789
|
)
|
|
|
(0.13
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options Owned
|
|
|
|
|
|
|
|
|
|
|
|
|
Puts
|
|
|
|
|
|
|
|
|
|
|
|
|
Indices
|
|
|
65
|
|
|
|
17,723
|
|
|
|
0.00
|
*
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total options owned
|
|
|
|
|
|
|
17,723
|
|
|
|
0.00
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options Written
|
|
|
|
|
|
|
|
|
|
|
|
|
Puts
|
|
|
|
|
|
|
|
|
|
|
|
|
Indices
|
|
|
65
|
|
|
|
(40,733
|
)
|
|
|
(0.01
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total options written
|
|
|
|
|
|
|
(40,733
|
)
|
|
|
(0.01
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
|
|
|
|
$
|
1,819,673
|
|
|
|
0.32
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* Due to rounding
See accompanying notes to financial statements.
F-48
CMF Winton Master
L.P.
Condensed
Schedule of Investments
December 31, 2008
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Number of
|
|
|
|
|
|
% of Partners
|
|
|
|
Contracts
|
|
|
Fair Value
|
|
|
Capital
|
|
|
Futures Contracts Purchased
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
|
496
|
|
|
$
|
928,233
|
|
|
|
0.17
|
%
|
Indices
|
|
|
5
|
|
|
|
1,935
|
|
|
|
0.00
|
*
|
Interest Rates U.S.
|
|
|
2,417
|
|
|
|
4,977,464
|
|
|
|
0.91
|
|
Interest Rates
Non-U.S.
|
|
|
4,453
|
|
|
|
6,479,517
|
|
|
|
1.18
|
|
Livestock
|
|
|
30
|
|
|
|
30,960
|
|
|
|
0.01
|
|
Softs
|
|
|
97
|
|
|
|
218,297
|
|
|
|
0.04
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures contracts purchased
|
|
|
|
|
|
|
12,636,406
|
|
|
|
2.31
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts Sold
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
|
896
|
|
|
|
(3,144,184
|
)
|
|
|
(0.57
|
)
|
Energy
|
|
|
208
|
|
|
|
727,901
|
|
|
|
0.13
|
|
Grains
|
|
|
891
|
|
|
|
(2,623,430
|
)
|
|
|
(0.48
|
)
|
Indices
|
|
|
252
|
|
|
|
(239,475
|
)
|
|
|
(0.05
|
)
|
Interest Rates U.S.
|
|
|
58
|
|
|
|
(13,766
|
)
|
|
|
(0.00
|
)*
|
Livestock
|
|
|
71
|
|
|
|
86,500
|
|
|
|
0.02
|
|
Lumber
|
|
|
1
|
|
|
|
3,806
|
|
|
|
0.00
|
*
|
Metals
|
|
|
90
|
|
|
|
(478,272
|
)
|
|
|
(0.09
|
)
|
Softs
|
|
|
426
|
|
|
|
(19,130
|
)
|
|
|
(0.00
|
)*
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures contracts sold
|
|
|
|
|
|
|
(5,700,050
|
)
|
|
|
(1.04
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized Appreciation on Open Forward Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
Metals
|
|
|
276
|
|
|
|
2,996,261
|
|
|
|
0.55
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total unrealized appreciation on open forward contracts
|
|
|
|
|
|
|
2,996,261
|
|
|
|
0.55
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized Depreciation on Open Forward Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
Metals
|
|
|
138
|
|
|
|
(816,692
|
)
|
|
|
(0.15
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total unrealized depreciation on open forward contracts
|
|
|
|
|
|
|
(816,692
|
)
|
|
|
(0.15
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
|
|
|
|
$
|
9,115,925
|
|
|
|
1.67
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* Due to rounding.
See accompanying notes to financial statements.
F-49
CMF Winton Master
L.P.
Statements
of Income and Expenses
for the years ended
December 31, 2009, 2008 and 2007
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2009
|
|
|
2008
|
|
|
2007
|
|
|
Income:
|
|
|
|
|
|
|
|
|
|
|
|
|
Net gains (losses) on trading of commodity interests:
|
|
|
|
|
|
|
|
|
|
|
|
|
Net realized gains (losses) on closed contracts
|
|
$
|
(17,779,700
|
)
|
|
$
|
121,322,866
|
|
|
$
|
67,378,983
|
|
Change in net unrealized gains (losses) on open contracts
|
|
|
(7,253,764
|
)
|
|
|
2,525,164
|
|
|
|
(3,420,940
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gain (loss) from trading, net
|
|
|
(25,033,464
|
)
|
|
|
123,848,030
|
|
|
|
63,958,043
|
|
Interest income
|
|
|
409,649
|
|
|
|
5,909,704
|
|
|
|
14,456,282
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total income (loss)
|
|
|
(24,623,815
|
)
|
|
|
129,757,734
|
|
|
|
78,414,325
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses:
|
|
|
|
|
|
|
|
|
|
|
|
|
Clearing fees
|
|
|
341,844
|
|
|
|
478,086
|
|
|
|
861,888
|
|
Professional fees
|
|
|
55,604
|
|
|
|
35,866
|
|
|
|
33,468
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses
|
|
|
397,448
|
|
|
|
513,952
|
|
|
|
895,356
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss)
|
|
$
|
(25,021,263
|
)
|
|
$
|
129,243,782
|
|
|
$
|
77,518,969
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss) per Redeemable Unit of Limited Partnership
Interest (Notes 1 and 6)
|
|
$
|
(95.69
|
)
|
|
$
|
453.53
|
|
|
$
|
276.81
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Weighted average units outstanding
|
|
|
282,761.8879
|
|
|
|
291,655.3789
|
|
|
|
262,984.3411
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-50
CMF Winton Master
L.P.
Statements of Changes in Partners Capital
for the years ended
December 31, 2009, 2008 and 2007
|
|
|
|
|
|
|
Partners
|
|
|
|
Capital
|
|
|
Partners Capital at December 31, 2006
|
|
$
|
272,883,158
|
|
Net income (loss)
|
|
|
77,518,969
|
|
Sale of 123,458.3915 Redeemable Units of Limited Partnership
Interest
|
|
|
172,636,530
|
|
Redemption of 35,253.7082 Redeemable Units of Limited
Partnership Interest
|
|
|
(51,537,242
|
)
|
Distribution of interest income to feeder funds
|
|
|
(14,456,282
|
)
|
|
|
|
|
|
Partners Capital at December 31, 2007
|
|
|
457,045,133
|
|
Net income (loss)
|
|
|
129,243,782
|
|
Sale of 85,029.5477 Redeemable Units of Limited Partnership
Interest
|
|
|
154,723,207
|
|
Redemption of 101,798.8498 Redeemable Units of Limited
Partnership Interest
|
|
|
(187,350,875
|
)
|
Distribution of interest income to feeder funds
|
|
|
(5,909,704
|
)
|
|
|
|
|
|
Partners Capital at December 31, 2008
|
|
|
547,751,543
|
|
Net income (loss)
|
|
|
(25,021,263
|
)
|
Sale of 144,987.2822 Redeemable Units of Limited Partnership
Interest
|
|
|
282,055,852
|
|
Redemption of 117,441.5362 Redeemable Units of Limited
Partnership Interest
|
|
|
(229,968,170
|
)
|
Distribution of interest income to feeder funds
|
|
|
(409,649
|
)
|
|
|
|
|
|
Partners Capital at December 31, 2009
|
|
$
|
574,408,313
|
|
|
|
|
|
|
Net Asset Value per Redeemable Unit of Limited Partnership
Interest:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2007:
|
|
$
|
1,588.26
|
|
|
|
|
|
|
|
|
|
|
|
2008:
|
|
$
|
2,021.26
|
|
|
|
|
|
|
|
|
|
|
|
2009:
|
|
$
|
1,924.06
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-51
CMF Winton Master
L.P.
Notes to Financial Statements
December 31, 2009
|
|
1.
|
Partnership
Organization:
|
CMF Winton Master L.P. (the Master) is a limited
partnership which was organized under the partnership laws of
the State of New York to engage in the speculative trading of a
diversified portfolio of commodity interests including futures
contracts, options, swaps and forward contracts. The sectors
traded include currencies, energy, grains, indices, U.S. and
non-U.S. interest rates, livestock, lumber, metals and softs.
The commodity interests that are traded by the Master are
volatile and involve a high degree of market risk. The Master is
authorized to sell an unlimited number of redeemable units of
Limited Partnership Interest (Redeemable Units).
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 Master. 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 (NFA). 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 Master, 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.
On November 1, 2004 (commencement of trading operations),
CMF Winton Feeder I L.P. (Winton Feeder) allocated
substantially all of its capital, and Diversified Multi-Advisor
Futures Fund L.P. (formerly, Smith Barney Diversified
Futures Fund L.P.) (Diversified) and Orion
Futures Fund L.P. (formerly, Citigroup Orion Futures
Fund L.P.) (Orion) allocated a portion of their
capital to the Master. Winton Feeder purchased 2,000.0000
Redeemable Units with cash equal to $2,000,000. Orion purchased
35,389.8399 Redeemable Units with cash equal to $33,594,083 and
a contribution of open commodity futures and forward positions
with a fair value of $1,795,757. Diversified purchased
15,054.1946 Redeemable Units with cash equal to $14,251,586 and
a contribution of open commodity futures and forward positions
with a fair value of $802,609. On December 1, 2004,
Tactical Diversified Futures Fund L.P. (formerly, Citigroup
Diversified Futures Fund L.P.) (Tactical
Diversified) allocated a portion of its capital to the
Master and purchased 52,981.2908 Redeemable Units with cash
equal to $57,471,493. On July 1, 2005, Institutional
Futures Portfolio L.P. (formerly, CMF Institutional Futures
Portfolio L.P. (Institutional Portfolio) allocated a
portion of its capital to the Master and purchased 5,741.8230
Redeemable Units with cash equal to $7,000,000. On May 1,
2006, Alera Portfolios SPC. (Alera SPC) allocated a
portion of its capital to the Master and purchased 3,711.7321
Redeemable Units with cash equal to $4,909,537. On June 1,
2006 Legion Strategies LLC (Winton Legion) allocated
a portion of its capital to the Master and purchased 2,355.4605
Redeemable Units with cash equal to $3,000,000. On
February 1, 2007 Abingdon Futures Fund L.P. (formerly,
Citigroup Abingdon Futures Fund L.P.)
(Abingdon) allocated a portion of its capital to the
Master and purchased 9,017.0917 Redeemable Units with cash equal
to $12,945,000. On March 1, 2007, Global Futures
Fund Ltd. (formerly, Citigroup Global Futures
Fund Ltd.) (Global Futures) allocated a portion
of its capital to the Master and purchased 1,875.7046 Redeemable
Units with cash equal to $2,500,000. On April 1, 2009,
Orion Futures Fund (Cayman) Ltd. (formerly, Citigroup Orion
Futures Fund (Cayman) Ltd.) (Orion Cayman) allocated
a portion of its capital to the Master and purchased 319.5126
Redeemable Units with cash equal to $640,000. On March 31,
2007, Alera SPC redeemed its entire investment in the Master.
This amounted to 1,446.6172 Redeemable Units with a fair
value of $1,850,255, which includes interest income of $7,907.
On December 31, 2007, Winton Legion redeemed its entire
investment in the Master. This amounted to
2,182.2006 Redeemable Units with a fair value of
$3,474,547, which includes interest income of $8,634. The Master
was formed to permit commodity pools managed now or in the
future by Winton Capital Management Limited (the
Advisor)
F-52
CMF Winton Master
L.P.
Notes to Financial Statements
December 31, 2009
using the Diversified Program, the Advisors proprietary
systematic trading program, to invest together in one vehicle.
The Masters investors consist of Diversified, Orion,
Winton Feeder, Tactical Diversified, Institutional Portfolio,
Abingdon, Global Futures and Orion Cayman (each a
Feeder, collectively the Funds) with
approximately 1.7%, 51.1%, 0.8%, 17.2%, 3.2%, 21.4%, 4.0%, and
0.6% investments in the Master at December 31, 2009,
respectively. Diversified, Orion, Winton Feeder, Tactical
Diversified, Institutional Portfolio, Abingdon, and Global
Futures had approximately 2.6%, 37.9%, 4.1%, 27.4%, 2.7%, 21.7%,
and 3.6% investments in the Master at December 31, 2008,
respectively.
The Master will be liquidated upon the first to occur of the
following: December 31, 2024: or under certain other
circumstances as defined in the Limited Partnership Agreement of
the Master (the Limited Partnership Agreement).
On July 1, 2009, the Financial Accounting Standards Board
(FASB) issued Statement of Financial Accounting
Standards (FAS) No. 168, The FASB Accounting
Standards Codification and the Hierarchy of Generally Accepted
Accounting Principles, also known as FASB Accounting Standards
Codification (ASC) 105, Generally Accepted
Accounting Principles (ASC 105) (the
Codification). ASC 105 established the
exclusive authoritative reference for U.S. Generally
Accepted Accounting Principles (GAAP) for use in
financial statements except for Securities and Exchange
Commission (SEC) rules and interpretive releases,
which are also authoritative GAAP for SEC registrants. The
Codification supersedes all existing non-SEC accounting and
reporting standards. The Codification is the single source of
authoritative accounting principles generally accepted in the
United States and applies to all financial statements issued
after September 15, 2009.
|
|
|
|
a.
|
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.
In making these estimates and assumptions, management has
considered the effects, if any, of events occurring after the
date of the Masters Statements of Financial Condition
through the date the financial statements were issued. As a
result, actual results could differ from these estimates.
|
|
|
b.
|
Statement of Cash Flows. The Master is not
required to provide a Statement of Cash Flows as permitted by
ASC 230, 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).
|
|
|
c.
|
Masters Investments. All commodity
interests of the Master (including derivative financial
instruments and derivative commodity instruments) are held for
trading purposes. The commodity interests are recorded on trade
date and open contracts are recorded at fair value (as described
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 gains or losses from the preceding
period are reported in the Statements of Income and Expenses.
|
Masters Fair Value Measurements. The
Master adopted ASC 820, 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
F-53
CMF Winton Master
L.P.
Notes to Financial Statements
December 31, 2009
an orderly transaction between market participants at the
measurement date. ASC 820 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 Master did not apply the deferral allowed by
ASC 820 for nonfinancial assets and nonfinancial liabilities
measured at fair value on a nonrecurring basis.
In 2009, the Master adopted amendments to ASC 820, Fair Value
Measurements and Disclosures (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) which
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. These amendments to ASC 820
also reaffirm 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. These
amendments to ASC 820 are 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 Masters Level 2 assets and
liabilities. The adoption of the amendments to ASC 820 had no
effect on the Masters Financial Statements.
The 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 years ended December 31,
2009 and December 31, 2008, the Master did not hold any
derivative instruments for which market quotations are not
readily available and which are priced by broker-dealers who
derive fair values for those assets from observable inputs
(Level 2) or that are priced at fair value using
unobservable inputs through the application of managements
assumptions and internal valuation pricing models (Level 3).
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Quoted Prices
|
|
|
Significant
|
|
|
|
|
|
|
|
|
|
in Active
|
|
|
Other
|
|
|
Significant
|
|
|
|
|
|
|
Markets for
|
|
|
Observable
|
|
|
Unobservable
|
|
|
|
|
|
|
Identical Assets
|
|
|
Inputs
|
|
|
Inputs
|
|
|
|
12/31/2009
|
|
|
(Level 1)
|
|
|
(Level 2)
|
|
|
(Level 3)
|
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures
|
|
$
|
144,283
|
|
|
$
|
144,283
|
|
|
$
|
|
|
|
$
|
|
|
Forwards
|
|
|
1,698,400
|
|
|
|
1,698,400
|
|
|
|
|
|
|
|
|
|
Options owned
|
|
|
17,723
|
|
|
|
17,723
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Assets
|
|
|
1,860,406
|
|
|
|
1,860,406
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options written
|
|
|
40,733
|
|
|
|
40,733
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Liabilities
|
|
|
40,733
|
|
|
|
40,733
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
$
|
1,819,673
|
|
|
$
|
1,819,673
|
|
|
$
|
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
F-54
CMF Winton Master
L.P.
Notes to Financial Statements
December 31, 2009
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Quoted Prices
|
|
|
Significant
|
|
|
|
|
|
|
|
|
|
in Active
|
|
|
Other
|
|
|
Significant
|
|
|
|
|
|
|
Markets for
|
|
|
Observable
|
|
|
Unobservable
|
|
|
|
|
|
|
Identical Assets
|
|
|
Inputs
|
|
|
Inputs
|
|
|
|
12/31/2008
|
|
|
(Level 1)
|
|
|
(Level 2)
|
|
|
(Level 3)
|
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures
|
|
$
|
6,936,356
|
|
|
$
|
6,936,356
|
|
|
$
|
|
|
|
$
|
|
|
Forwards
|
|
|
2,179,569
|
|
|
|
2,179,569
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Assets
|
|
|
9,115,925
|
|
|
|
9,115,925
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
$
|
9,115,925
|
|
|
$
|
9,115,925
|
|
|
$
|
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
d.
|
Futures Contracts. The Master trades futures
contracts. A futures contract is a firm commitment to buy or
sell a specified quantity of investments, currency or a
standardized amount of a deliverable grade commodity, at a
specified price on a specified future date, unless the contract
is closed before the delivery date or if the delivery quantity
is something where physical delivery can not occur (such as the
S&P 500 Index), whereby such contract is settled in cash.
Payments (variation margin) may be made or received
by the Master each business day, depending on the daily
fluctuations in the value of the underlying contracts, and are
recorded as unrealized gains or losses by the Master. When the
contract is closed, the Master records a realized gain or loss
equal to the difference between the value of the contract at the
time it was opened and the value at the time it was closed.
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.
|
|
|
e.
|
Options. The Master may purchase and write
(sell) both exchange listed and
over-the-counter
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 Master writes an option, the premium
received is recorded as a liability in the Statements of
Financial Condition and marked to market daily. When the Master
purchases an option, the premium paid is recorded as an asset in
the Statements of Financial Condition and marked to market
daily. Realized gains (losses) and changes in unrealized gains
(losses) on options contracts are included in the Statements of
Income and Expenses.
|
|
|
|
|
f.
|
London Metals Exchange Forward
Contracts. Metal contracts traded on the London
Metals Exchange (LME) represent a firm commitment to
buy or sell a specified quantity of aluminum, copper, lead,
nickel, tin or zinc. LME contracts traded by the Master are cash
settled based on prompt dates published by the LME. Payments
(variation margin) may be made or received by the
Master each business day, depending on the daily fluctuations in
the value of the underlying contracts, and are recorded as
unrealized gains or losses by the Master. 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 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.
|
F-55
CMF Winton Master
L.P.
Notes to Financial Statements
December 31, 2009
|
|
|
|
g.
|
Income and Expenses Recognition. All of the
income and expenses and realized and unrealized gains and losses
on trading of commodity interests are determined on each
valuation day and allocated pro rata among the Funds at the time
of such determination.
|
|
|
h.
|
Income Taxes. Income taxes have not been
provided as each partner is individually liable for the taxes,
if any, on their share of the Masters income and expenses.
|
In 2007, the Master adopted ASC 740, Income Taxes (formerly,
FAS No. 48, Accounting for Uncertainty in Income
Taxes). ASC 740 provides guidance for how uncertain tax
positions should be recognized, measured, presented and
disclosed in the financial statements. ASC 740 requires the
evaluation of tax positions taken or expected to be taken in the
course of preparing the Masters financial statements to
determine whether the tax positions are
more-likely-than-not to be sustained by the
applicable tax authority. Tax positions with respect to tax at
the Master 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 concluded that no provision for income tax is required
in the Masters financial statements.
The following is the major tax jurisdiction for the Master and
the earliest tax year subject to examination: United
States 2006.
|
|
|
|
i.
|
Subsequent Events. In 2009, the Master adopted
ASC 855, Subsequent Events (formerly, FAS No. 165,
Subsequent Events). The objective of ASC 855 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.
Management has determined that there were no subsequent events
requiring adjustment or disclosure in the financial statements.
|
|
|
j.
|
Recent Accounting Pronouncements. In January
2010, the FASB issued Accounting Standards Update
No. 2010-06
(ASU
2010-06),
Improving Disclosures about Fair Value Measurements, which
, among other things, amends ASC 820 to require entities to
separately present purchases, sales, issuances, and settlements
in their reconciliation of Level 3 fair value measurements
(i.e. to present such items on a gross basis rather than on a
net basis), and which clarifies existing disclosure requirements
provided by ASC 820 regarding the level of disaggregation and
the inputs and valuation techniques used to measure fair value
for measurements that fall within either Level 2 or
Level 3 of the fair value hierarchy. ASU
2010-06 is
effective for interim and annual periods beginning after
December 15, 2009, except for the disclosures about
purchases, sales, issuances, and settlements in the roll forward
of activity in Level 3 fair value measurements (which are
effective for fiscal years beginning after December 15,
2010, and for interim periods within those fiscal years).
Management is currently assessing the impact that the adoption
of ASU
2010-06 will
have on the Masters financial statements disclosures.
|
In February 2010, the FASB issued Accounting Standards Update
No. 2010-09
(ASU
2010-09),
Subsequent Events (Topic 855): Amendments to Certain
Recognition and Disclosure Requirements, which among other
things amended ASC 855 to remove the requirement for an SEC
filer to disclose the date through which subsequent events have
been evaluated. This change alleviates potential conflicts
between ASC 855 and the SECs requirements. All of the
amendments in this update are effective upon issuance of this
update. Management has included the provisions of these
amendments in the financial statements.
|
|
|
|
k.
|
Certain prior period amounts have been reclassified to conform
to current period presentation.
|
|
|
|
|
l.
|
Net Income (Loss) per Redeemable Unit. Net
income (loss) per Redeemable Unit is calculated in accordance
with investment company guidance. See footnote 6 for Financial
Highlights.
|
F-56
CMF Winton Master
L.P.
Notes to Financial Statements
December 31, 2009
|
|
|
|
a.
|
Limited Partnership Agreement:
|
The General Partner administers the business and affairs of the
Master including selecting one or more advisors to make trading
decisions for the Master.
The General Partner, on behalf of the Master, has entered into a
management agreement (the Management Agreement) with
the Advisor, a registered commodity trading advisor. The Advisor
is not affiliated with the General Partner or CGM and is not
responsible for the organization or operation of the Master. The
Management Agreement provides that the Advisor has sole
discretion in determining the investment of the assets of the
Master. All management fees in connection with the Management
Agreement are borne by the Funds. The Management Agreement may
be terminated upon notice by either party.
The Master has entered into a customer agreement (the
Customer Agreement) with CGM whereby CGM provides
services which include, among other things, the execution of
transactions for the Masters account in accordance with
orders placed by the Advisor. All exchange, clearing, user,
give-up,
floor brokerage and NFA fees (collectively the clearing
fees) are borne by the Master. All other fees including
CGMs direct brokerage commission shall be borne by the
Funds. All of the Masters assets are deposited in the
Masters account at CGM. The Masters cash is
deposited by CGM in segregated bank accounts to the extent
required by Commodity Futures Trading Commission regulations. At
December 31, 2009 and 2008, the amount of cash held by the
Master for margin requirements was $38,915,256 and $26,405,684,
respectively. The Customer Agreement may be terminated upon
notice by either party.
The Master was formed for the purpose of trading contracts in a
variety of commodity interests, including derivative financial
instruments and derivative commodity interests. The results of
the Masters trading activities are shown in the Statements
of Income and Expenses.
The Customer Agreement between the Master and CGM gives the
Master the legal right to net unrealized gains and losses on
open futures and forward contracts. The Master nets, for
financial reporting purposes, the unrealized gains and losses on
open futures and forward contracts on the Statements of
Financial Condition as the criteria under ASC 210, Balance
Sheet (formerly, FASB Interpretation No. 39,
Offsetting of Amounts Related to Certain Contracts)
have been met.
All of the commodity interests owned by the Master are held for
trading purposes. The average number of futures, metal forward
and options contracts traded for the year ended
December 31, 2009 based on a quarterly calculation, was
15,248.
The Master adopted ASC 815, Derivatives and Hedging (formerly,
FAS No. 161, Disclosures 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 only
expands the disclosure requirements for derivative instruments
and related hedging activities and has no impact on the
Statements of Financial Condition, Statements of Income and
Expenses and Statements of Changes in Partners Capital.
The following table indicates the fair values of derivative
instruments of futures, forward and options contracts as
separate assets and liabilities.
F-57
CMF Winton Master
L.P.
Notes to Financial Statements
December 31, 2009
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31,
|
|
|
|
|
December 31,
|
|
|
|
2009
|
|
|
|
|
2009
|
|
|
Assets
|
|
|
|
|
|
Assets
|
|
|
|
|
Futures Contracts
|
|
|
|
|
|
Forward Contracts
|
|
|
|
|
Currencies
|
|
$
|
410,679
|
|
|
Metals
|
|
$
|
2,433,189
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy
|
|
|
128,203
|
|
|
Total unrealized appreciation on open
|
|
|
|
|
Grains
|
|
|
629,534
|
|
|
forward contracts
|
|
$
|
2,433,189
|
|
|
|
|
|
|
|
|
|
|
|
|
Indices
|
|
|
3,222,389
|
|
|
Liabilities
|
|
|
|
|
Interest Rates U.S.
|
|
|
639,524
|
|
|
Forward Contracts
|
|
|
|
|
Interest Rates
Non-U.S.
|
|
|
1,473,596
|
|
|
Metals
|
|
$
|
(734,789
|
)
|
|
|
|
|
|
|
|
|
|
|
|
Livestock
|
|
|
53,810
|
|
|
Total unrealized depreciation on open
|
|
|
|
|
Metals
|
|
|
771,738
|
|
|
forward contracts
|
|
$
|
(734,789
|
)
|
|
|
|
|
|
|
|
|
|
|
|
Softs
|
|
|
598,000
|
|
|
Net unrealized appreciation on open
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
forward contracts
|
|
$
|
1,698,400
|
**
|
|
|
|
|
|
|
|
|
|
|
|
Total unrealized appreciation on open futures contracts
|
|
$
|
7,927,473
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
|
Assets
|
|
|
|
|
Futures Contracts
|
|
|
|
|
|
Options Owned
|
|
|
|
|
Currencies
|
|
$
|
(2,470,714
|
)
|
|
Indices
|
|
$
|
17,723
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy
|
|
|
(516,987
|
)
|
|
Total options owned
|
|
$
|
17,723
|
***
|
|
|
|
|
|
|
|
|
|
|
|
Grains
|
|
|
(361,398
|
)
|
|
|
|
|
|
|
Indices
|
|
|
(349,439
|
)
|
|
|
|
|
|
|
Interest Rates U.S.
|
|
|
(969,559
|
)
|
|
Liabilities
|
|
|
|
|
Interest Rates
Non-U.S.
|
|
|
(1,620,668
|
)
|
|
Options Written
|
|
|
|
|
Livestock
|
|
|
(71,810
|
)
|
|
Indices
|
|
$
|
(40,733
|
)
|
|
|
|
|
|
|
|
|
|
|
|
Metals
|
|
|
(1,188,985
|
)
|
|
Total options written
|
|
$
|
(40,733
|
)****
|
|
|
|
|
|
|
|
|
|
|
|
Softs
|
|
|
(233,630
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total unrealized depreciation on open futures contracts
|
|
$
|
(7,783,190
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net unrealized appreciation on open futures contracts
|
|
$
|
144,283
|
*
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
This amount is in Net unrealized appreciation on open
futures contracts on the Statements of Financial Condition. |
|
** |
|
This amount is in Net unrealized appreciation on open
forward contracts on the Statements of Financial Condition. |
|
*** |
|
This amount is in Options owned, at fair value on
the Statements of Financial Condition. |
|
**** |
|
This amount is in Options written, at fair value on
the Statements of Financial Condition. |
F-58
CMF Winton Master
L.P.
Notes to Financial Statements
December 31, 2009
The following table indicates the trading gains and losses, by
market sector, on derivative instruments for the year ended
December 31, 2009.
|
|
|
|
|
|
|
December 31, 2009
|
|
Sector
|
|
Gain (Loss) from Trading
|
|
|
Currencies
|
|
$
|
(3,376,768
|
)
|
Energy
|
|
|
(8,697,471
|
)
|
Grains
|
|
|
1,313,879
|
|
Indices
|
|
|
(11,148,536
|
)
|
Interest Rates U.S.
|
|
|
(3,881,924
|
)
|
Interest Rates
Non-U.S.
|
|
|
(1,931,326
|
)
|
Livestock
|
|
|
1,189,446
|
|
Softs
|
|
|
(1,068,956
|
)
|
Lumber
|
|
|
(4,378
|
)
|
Metals
|
|
|
2,572,570
|
|
|
|
|
|
|
Total
|
|
$
|
(25,033,464
|
)*****
|
|
|
|
|
|
|
|
|
***** |
|
This amount is in Gain (loss) from trading, net on
the Statements of Income and Expenses.
|
|
|
5.
|
Subscriptions,
Distributions and Redemptions:
|
Subscriptions are accepted monthly from investors and they
become Limited Partners on the first day of the month after
their subscription is processed. A Limited Partner may withdraw
all or part of their capital contribution and undistributed
profits, if any, from the Master in multiples 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 at
least 3 days in advance of the Redemption Date. The
Redeemable Units are classified as a liability when the Limited
Partner elects to redeem and informs the Master.
Changes in the Net Asset Value per Redeemable Unit of Limited
Partnership Interest for the years ended December 31, 2009,
2008 and 2007 were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2009
|
|
|
2008
|
|
|
2007
|
|
|
Net realized and unrealized gains (losses)*
|
|
$
|
(97.03
|
)
|
|
$
|
433.13
|
|
|
$
|
220.96
|
|
Interest income
|
|
|
1.51
|
|
|
|
20.53
|
|
|
|
55.98
|
|
Expenses**
|
|
|
(0.17
|
)
|
|
|
(0.13
|
)
|
|
|
(0.13
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Increase (decrease) for the year
|
|
|
(95.69
|
)
|
|
|
453.53
|
|
|
|
276.81
|
|
Distribution of interest income to feeder funds
|
|
|
(1.51
|
)
|
|
|
(20.53
|
)
|
|
|
(55.98
|
)
|
Net Asset Value per Redeemable Unit of Limited Partnership
Interest, beginning of year
|
|
|
2,021.26
|
|
|
|
1,588.26
|
|
|
|
1,367.43
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Asset Value per Redeemable Unit of Limited Partnership
Interest, end of year
|
|
$
|
1,924.06
|
|
|
$
|
2,021.26
|
|
|
$
|
1,588.26
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Includes clearing fees. |
|
** |
|
Excludes clearing fees. |
F-59
CMF Winton Master
L.P.
Notes to Financial Statements
December 31, 2009
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2009
|
|
|
2008
|
|
|
2007
|
|
Ratios to average net assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)***
|
|
|
0.0
|
%****
|
|
|
1.0
|
%
|
|
|
3.7
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Operating expenses
|
|
|
0.1
|
%
|
|
|
0.1
|
%
|
|
|
0.2
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return
|
|
|
(4.7
|
)%
|
|
|
28.6
|
%
|
|
|
20.2
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
*** |
|
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 year. Additionally,
these ratios are calculated for the Limited Partner class using
the Limited Partners share of income, expenses and average
net assets.
|
|
7.
|
Financial
Instrument Risks:
|
In the normal course of its business, the Master is party to
financial instruments with off-balance sheet risk, including
derivative financial instruments and derivative commodity
instruments. These financial instruments may include forwards,
futures, options and swaps whose values are based upon an
underlying asset, index, or reference rate, and generally
represent future commitments to exchange currencies or cash
balances, 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 or
over-the-counter
(OTC). Exchange traded instruments are standardized
and include futures and certain forwards and option contracts.
OTC contracts are negotiated between contracting parties and
include 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 Master due to market
changes, including interest and foreign exchange rate movements
and fluctuations in commodity or security prices. Market risk is
directly impacted by the volatility and liquidity in the markets
in which the related underlying assets are traded. The Master is
exposed to 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 Masters risk of loss in the event of
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 Masters risk of loss is reduced through
the use of legally enforceable master netting agreements with
counterparties that permit the Master to offset unrealized gains
and losses and other assets and liabilities with such
counterparties upon the occurrence of certain events. The Master
has credit risk and concentration risk as the sole counterparty
or broker with respect to the Masters assets is CGM or a
CGM affiliate. Credit risk with respect to exchange-traded
instruments is reduced to the extent that through CGM, the
Masters counterparty is an exchange or clearing
organization.
As both a buyer and seller of options, the Master pays or
receives a premium at the outset and then bears the risk of
unfavorable changes in the price of the contract underlying the
option. Written options expose the Master 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 Master does not consider these contracts to
be guarantees as described in
F-60
CMF Winton Master
L.P.
Notes to Financial Statements
December 31, 2009
ASC 460, Guarantees (formerly,
FAS No. 45,Guarantors Accounting and
Disclosure Requirements for Guarantees).
The General Partner monitors and attempts to control the
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 Master may be
subject. These monitoring systems generally allow the General
Partner to statistically analyze actual trading results with
risk adjusted performance indicators and correlation statistics.
In addition, on-line monitoring systems provide account analysis
of futures, forwards and options positions 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 Masters
business, these instruments may not be held to maturity.
F-61
Selected unaudited quarterly financial data for Winton Master for the years ended December 31, 2009 and 2008 are summarized below:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the period from |
|
For the period from |
|
For the period from |
|
For the period from |
|
|
October 1, 2009 to |
|
July 1, 2009 to |
|
April 1, 2009 to |
|
January 1, 2009 to |
|
|
December 31, 2009 |
|
September 30, 2009 |
|
June 30, 2009 |
|
March 31, 2009 |
Net realized and
unrealized trading gains
(losses) net of brokerage
commissions and clearing
fees including interest
income |
|
$ |
4,223,995 |
|
|
$ |
7,348,002 |
|
|
$ |
(31,808,843 |
) |
|
$ |
(4,728,813 |
) |
Net income (loss) |
|
$ |
4,195,801 |
|
|
$ |
7,339,274 |
|
|
$ |
(31,818,295 |
) |
|
$ |
(4,738,043 |
) |
Increase (decrease) in
Net Asset Value per
Redeemable Unit |
|
$ |
16.77 |
|
|
$ |
26.25 |
|
|
$ |
(120.99 |
) |
|
$ |
(17.72 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the period from |
|
For the period from |
|
For the period from |
|
For the period from |
|
|
October 1, 2008 to |
|
July 1, 2008 to |
|
April 1, 2008 to |
|
January 1, 2008 to |
|
|
December 31, 2008 |
|
September 30, 2008 |
|
June 30, 2008 |
|
March 31, 2008 |
Net realized and
unrealized trading gains
(losses) net of brokerage
commissions and clearing
fees including interest
income |
|
$ |
64,847,978 |
|
|
$ |
(37,683,528 |
) |
|
$ |
38,151,732 |
|
|
$ |
63,963,466 |
|
Net income (loss) |
|
$ |
64,838,710 |
|
|
$ |
(37,692,795 |
) |
|
$ |
38,142,296 |
|
|
$ |
63,955,571 |
|
Increase (decrease) in
Net Asset Value per
Redeemable Unit |
|
$ |
241.14 |
|
|
$ |
(136.12 |
) |
|
$ |
129.68 |
|
|
$ |
218.83 |
|
F-62
To the Limited
Partners of
CMF
Graham Capital Master Fund L.P.
To the best of the knowledge and belief of the undersigned, the
information contained herein is accurate and complete.
|
|
|
|
By:
|
Jennifer Magro
Chief Financial Officer and Director
Ceres Managed Futures LLC
General Partner,
CMF Graham Capital Master Fund L.P.
|
Ceres Managed Futures LLC
55 East 59th Street
10th Floor
New York, N.Y. 10022
212-559-2011
F-63
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Partners of
CMF Graham Capital Master Fund L.P.:
We have audited the accompanying statement of financial condition of CMF Graham Capital Master Fund
L.P. (the Partnership), including the condensed schedule of investments, as of December 31, 2009, and the
related statements of income and expenses, and changes in partners capital for the year then
ended. These financial statements are the responsibility of the Partnerships management. Our
responsibility is to express an opinion on these financial statements based on our audit. The
financial statements of the Partnership for the years ended December 31, 2008 and 2007 were audited
by other auditors whose reports, dated March 26, 2009 and March 24, 2008, expressed unqualified
opinions on those statements.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight
Board (United States). Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material misstatement. The
Partnership is not required to have, nor were we engaged to perform, an audit of its internal
control over financial reporting. Our audit included consideration of internal control over
financial reporting as a basis for designing audit procedures that are appropriate in the
circumstances, but not for the purpose of expressing an opinion on the effectiveness of the
Partnerships internal control over financial reporting. Accordingly, we express no such opinion.
An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures
in the financial statements, assessing the accounting principles used and significant estimates
made by management, as well as evaluating the overall financial statement presentation. We believe
that our audit provides a reasonable basis for our opinion.
In our opinion, such financial statements present fairly, in all material respects, the financial
position of CMF Graham Capital Master Fund L.P. as of December 31, 2009, and the results of its
operations and its changes in partners capital for the year then ended, in conformity with
accounting principles generally accepted in the United States of America.
/s/ Deloitte & Touche LLP
New York, New York
March 19, 2010
F-64
Report of Independent Auditors
To the Partners of
CMF Graham Capital Master Fund L.P.:
In our
opinion, the accompanying statement of financial condition, including
the condensed schedule of
investments, and the related statement of income and expenses, and statement of changes in partners
capital present fairly, in all material respects, the financial position of CMF Graham Capital
Master Fund L.P. at December 31, 2008, and the results of its operations for the year then
ended in conformity with accounting principles generally accepted in the United States of America.
These financial statements are the responsibility of the Companys management. Our responsibility
is to express an opinion on these financial statements based on our audit. We conducted our audit
of these statements in accordance with auditing standards generally accepted in the United States
of America. Those standards require that we plan and perform the audit to obtain reasonable
assurance about whether the financial statements are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and disclosures in the
financial statements, assessing the accounting principles used and significant estimates made by
management, and evaluating the overall financial statement presentation. We believe that our audit
provides a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
New York, New York
March 26, 2009
F-65
Report of Independent Registered Public Accounting Firm
The Partners
CMF Graham Capital Master Fund L.P.:
We have audited the accompanying statements of income and expenses and changes in partners capital
of CMF Graham Capital Master Fund L.P. for the year ended December 31, 2007. These financial
statements are the responsibility of the Partnerships management. Our responsibility is to
express an opinion on these financial statements based on our audit.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight
Board (United States). Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material misstatement. An
audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the
financial statements, assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation. We believe that
our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present fairly, in all material
respects, the results of operations and changes in partners capital of CMF Graham Capital Master
Fund L.P. for the year ended December 31, 2007, in conformity with U.S. generally accepted
accounting principles.
/s/ KPMG LLP
New York, New York
March 24, 2008
F-66
CMF Graham
Capital Master Fund L.P.
Statements
of Financial Condition
December 31, 2009 and 2008
|
|
|
|
|
|
|
|
|
|
|
2009
|
|
|
2008
|
|
|
Assets:
|
|
|
|
|
|
|
|
|
Equity in commodity futures trading account:
|
|
|
|
|
|
|
|
|
Cash (Note 3c)
|
|
$
|
153,765,196
|
|
|
$
|
214,551,266
|
|
Cash margin (Note 3c)
|
|
|
15,503,558
|
|
|
|
9,073,580
|
|
Net unrealized appreciation on open futures contracts
|
|
|
406,652
|
|
|
|
1,162,793
|
|
Net unrealized appreciation on open forward contracts
|
|
|
1,562,793
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total assets
|
|
$
|
171,238,199
|
|
|
$
|
224,787,639
|
|
|
|
|
|
|
|
|
|
|
Liabilities and Partners Capital:
|
|
|
|
|
|
|
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
Net unrealized depreciation on open forward contracts
|
|
$
|
|
|
|
$
|
279,957
|
|
Accrued expenses:
|
|
|
|
|
|
|
|
|
Professional fees
|
|
|
25,939
|
|
|
|
16,740
|
|
|
|
|
|
|
|
|
|
|
Total liabilities
|
|
|
25,939
|
|
|
|
296,697
|
|
|
|
|
|
|
|
|
|
|
Partners Capital:
|
|
|
|
|
|
|
|
|
General Partner, 0.0000 Unit equivalents at December 31,
2009 and 2008
|
|
|
|
|
|
|
|
|
Limited Partners Capital, 104,371.4673 and 146,784.8652
Redeemable Units of Limited Partnership Interest outstanding at
December 31, 2009 and 2008, respectively
|
|
|
171,212,260
|
|
|
|
224,490,942
|
|
|
|
|
|
|
|
|
|
|
Total liabilities and partners capital
|
|
$
|
171,238,199
|
|
|
$
|
224,787,639
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-67
CMF Graham
Capital Master Fund L.P.
Condensed
Schedule of Investments
December 31, 2009
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Notional ($)/
|
|
|
|
|
|
|
|
|
|
Number of
|
|
|
|
|
|
% of Partners
|
|
|
|
Contracts
|
|
|
Fair Value
|
|
|
Capital
|
|
|
Futures Contracts Purchased
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
|
2
|
|
|
$
|
360
|
|
|
|
0.00
|
%*
|
Energy
|
|
|
449
|
|
|
|
242,192
|
|
|
|
0.14
|
|
Grains
|
|
|
286
|
|
|
|
34,342
|
|
|
|
0.02
|
|
Indices
|
|
|
1,065
|
|
|
|
633,603
|
|
|
|
0.37
|
|
Interest Rates U.S.
|
|
|
233
|
|
|
|
(94,262
|
)
|
|
|
(0.06
|
)
|
Interest Rates
Non-U.S.
|
|
|
1,523
|
|
|
|
(996,822
|
)
|
|
|
(0.58
|
)
|
Livestock
|
|
|
74
|
|
|
|
20,482
|
|
|
|
0.01
|
|
Metals
|
|
|
78
|
|
|
|
(100,473
|
)
|
|
|
(0.06
|
)
|
Softs
|
|
|
589
|
|
|
|
556,321
|
|
|
|
0.33
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures contracts purchased
|
|
|
|
|
|
|
295,743
|
|
|
|
0.17
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts Sold
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
|
69
|
|
|
|
11,480
|
|
|
|
0.01
|
|
Energy
|
|
|
308
|
|
|
|
(40,301
|
)
|
|
|
(0.02
|
)
|
Grains
|
|
|
275
|
|
|
|
57,491
|
|
|
|
0.03
|
|
Indices
|
|
|
7
|
|
|
|
6,437
|
|
|
|
0.00
|
*
|
Interest Rates U.S.
|
|
|
50
|
|
|
|
(406
|
)
|
|
|
(0.00
|
)*
|
Interest Rates
Non-U.S.
|
|
|
451
|
|
|
|
57,808
|
|
|
|
0.03
|
|
Metals
|
|
|
10
|
|
|
|
18,400
|
|
|
|
0.01
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures contracts sold
|
|
|
|
|
|
|
110,909
|
|
|
|
0.06
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized Appreciation on Open Forward Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
$
|
550,199,867
|
|
|
|
7,739,782
|
|
|
|
4.52
|
|
Metals
|
|
|
429
|
|
|
|
2,324,147
|
|
|
|
1.36
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total unrealized appreciation on open forward contracts
|
|
|
|
|
|
|
10,063,929
|
|
|
|
5.88
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized Depreciation on Open Forward Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
$
|
551,949,465
|
|
|
|
(7,486,471
|
)
|
|
|
(4.37
|
)
|
Metals
|
|
|
285
|
|
|
|
(1,014,665
|
)
|
|
|
(0.59
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total unrealized depreciation on open forward contracts
|
|
|
|
|
|
|
(8,501,136
|
)
|
|
|
(4.96
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
|
|
|
|
$
|
1,969,445
|
|
|
|
1.15
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* Due to rounding.
See accompanying notes to financial statements.
F-68
CMF Graham
Capital Master Fund L.P.
Condensed
Schedule of Investments
December 31, 2008
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Notional ($)/
|
|
|
|
|
|
|
|
|
|
Number of
|
|
|
|
|
|
% of Partners
|
|
|
|
Contracts
|
|
|
Fair Value
|
|
|
Capital
|
|
|
Futures Contracts Purchased
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
|
14
|
|
|
$
|
1,840
|
|
|
|
0.00
|
%*
|
Energy
|
|
|
96
|
|
|
|
325,615
|
|
|
|
0.15
|
|
Grains
|
|
|
52
|
|
|
|
13,370
|
|
|
|
0.01
|
|
Indices
|
|
|
5
|
|
|
|
(19,645
|
)
|
|
|
(0.01
|
)
|
Interest Rates
Non-U.S.
|
|
|
1,235
|
|
|
|
947,609
|
|
|
|
0.42
|
|
Interest Rates U.S.
|
|
|
564
|
|
|
|
507,653
|
|
|
|
0.23
|
|
Metals
|
|
|
52
|
|
|
|
33,132
|
|
|
|
0.01
|
|
Softs
|
|
|
13
|
|
|
|
3,251
|
|
|
|
0.00
|
*
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures contracts purchased
|
|
|
|
|
|
|
1,812,825
|
|
|
|
0.81
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts Sold
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
|
14
|
|
|
|
8,038
|
|
|
|
0.00
|
*
|
Energy
|
|
|
159
|
|
|
|
(266,237
|
)
|
|
|
(0.12
|
)
|
Grains
|
|
|
53
|
|
|
|
(207,227
|
)
|
|
|
(0.09
|
)
|
Indices
|
|
|
87
|
|
|
|
(86,831
|
)
|
|
|
(0.04
|
)
|
Interest Rates
Non-U.S.
|
|
|
17
|
|
|
|
(9,163
|
)
|
|
|
(0.00
|
)*
|
Livestock
|
|
|
11
|
|
|
|
25,220
|
|
|
|
0.01
|
|
Metals
|
|
|
16
|
|
|
|
(35,970
|
)
|
|
|
(0.02
|
)
|
Softs
|
|
|
99
|
|
|
|
(77,862
|
)
|
|
|
(0.03
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures contracts sold
|
|
|
|
|
|
|
(650,032
|
)
|
|
|
(0.29
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized Appreciation on Open Forward Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
$
|
87,112,212
|
|
|
|
2,398,640
|
|
|
|
1.07
|
|
Metals
|
|
|
59
|
|
|
|
297,268
|
|
|
|
0.13
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total unrealized appreciation on open forward contracts
|
|
|
|
|
|
|
2,695,908
|
|
|
|
1.20
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized Depreciation on Open Forward Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
$
|
86,429,816
|
|
|
|
(2,764,819
|
)
|
|
|
(1.23
|
)
|
Metals
|
|
|
96
|
|
|
|
(211,046
|
)
|
|
|
(0.10
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total unrealized depreciation on open forward contracts
|
|
|
|
|
|
|
(2,975,865
|
)
|
|
|
(1.33
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
|
|
|
|
$
|
882,836
|
|
|
|
0.39
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* Due to rounding.
See accompanying notes to financial statements.
F-69
CMF Graham
Capital Master Fund L.P.
Statements
of Income and Expenses
for the years ended
December 31, 2009, 2008 and 2007
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2009
|
|
|
2008
|
|
|
2007
|
|
|
Income:
|
|
|
|
|
|
|
|
|
|
|
|
|
Net gains (loss) on trading of commodity interests:
|
|
|
|
|
|
|
|
|
|
|
|
|
Net realized gains (losses) on closed contracts
|
|
$
|
11,381,456
|
|
|
$
|
61,878,532
|
|
|
$
|
37,612,230
|
|
Change in net unrealized gains (losses) on open contracts
|
|
|
1,086,609
|
|
|
|
1,251,182
|
|
|
|
(7,303,599
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gain (loss) from trading, net
|
|
|
12,468,065
|
|
|
|
63,129,714
|
|
|
|
30,308,631
|
|
Interest income
|
|
|
125,256
|
|
|
|
2,202,621
|
|
|
|
7,463,020
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total income (loss)
|
|
|
12,593,321
|
|
|
|
65,332,335
|
|
|
|
37,771,651
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses:
|
|
|
|
|
|
|
|
|
|
|
|
|
Clearing fees
|
|
|
614,452
|
|
|
|
940,378
|
|
|
|
857,460
|
|
Professional fees
|
|
|
46,648
|
|
|
|
30,056
|
|
|
|
29,466
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses
|
|
|
661,100
|
|
|
|
970,434
|
|
|
|
886,926
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss)
|
|
|
11,932,221
|
|
|
$
|
64,361,901
|
|
|
$
|
36,884,725
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss) per Redeemable Unit of Limited Partnership
Interest (Notes 1 and 6)
|
|
$
|
112.10
|
|
|
$
|
396.07
|
|
|
$
|
187.22
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Weighted average units outstanding
|
|
|
118,814.5765
|
|
|
|
167,979.9211
|
|
|
|
208,730.7408
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-70
CMF Graham
Capital Master Fund L.P.
Statements of Changes in Partners Capital
for the years ended
December 31, 2009, 2008 and 2007
|
|
|
|
|
|
|
Partners
|
|
|
|
Capital
|
|
|
Partners Capital at December 31, 2006
|
|
$
|
226,673,516
|
|
Net income (loss)
|
|
|
36,884,725
|
|
Sale of 20,875.4865 Redeemable Units of Limited Partnership
Interest
|
|
|
21,067,811
|
|
Redemption of 62,214.7369 Redeemable Units of Limited
Partnership Interest
|
|
|
(63,568,645
|
)
|
Distribution of interest income to feeder funds
|
|
|
(7,463,020
|
)
|
|
|
|
|
|
Partners Capital at December 31, 2007
|
|
|
213,594,387
|
|
Net income (loss)
|
|
|
64,361,901
|
|
Sale of 3,998.1810 Redeemable Units of Limited Partnership
Interest
|
|
|
5,096,496
|
|
Redemption of 43,548.1379 Redeemable Units of Limited
Partnership Interest
|
|
|
(56,359,221
|
)
|
Distribution of interest income to feeder funds
|
|
|
(2,202,621
|
)
|
|
|
|
|
|
Partners Capital at December 31, 2008
|
|
|
224,490,942
|
|
Net income (loss)
|
|
|
11,932,221
|
|
Sale of 7,455.9216 Redeemable Units of Limited Partnership
Interest
|
|
|
11,912,177
|
|
Redemption of 49,869.3195 Redeemable Units of Limited
Partnership Interest
|
|
|
(76,997,824
|
)
|
Distribution of interest income to feeder funds
|
|
|
(125,256
|
)
|
|
|
|
|
|
Partners Capital at December 31, 2009
|
|
$
|
171,212,260
|
|
|
|
|
|
|
Net Asset Value per Redeemable Unit of Limited Partnership
Interest:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2007:
|
|
$
|
1,146.29
|
|
|
|
|
|
|
|
|
|
|
|
2008:
|
|
$
|
1,529.39
|
|
|
|
|
|
|
|
|
|
|
|
2009:
|
|
$
|
1,640.41
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-71
CMF Graham
Capital Master Fund L.P.
Notes to
Financial Statements
December 31, 2009
|
|
1.
|
Partnership
Organization:
|
CMF Graham Capital Master Fund L.P. (the
Master) is a limited partnership which was organized
under the partnership laws of the State of New York to engage in
the speculative trading of a diversified portfolio of commodity
interests including futures contracts, options, swaps and
forward contracts. The sectors traded include currencies,
energy, grains, indices, livestock, metals, softs, U.S. and
non-U.S. interest rates. The commodity interests that are traded
by the Master are volatile and involve a high degree of market
risk. The Master is authorized to sell an unlimited number of
redeemable units of Limited Partnership Interest
(Redeemable Units).
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 Master. 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 (NFA). 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 Master, 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.
On April 1, 2006 (commencement of trading operations),
Diversified 2000 Futures Fund L.P. (formerly Citigroup
Diversified 2000 Futures Fund L.P.) (Diversified
2000), Smith Barney Global Markets Futures Fund
(Global Markets), Diversified Multi-Advisor Futures
Fund L.P. (formerly Smith Barney Diversified Futures
Fund L.P.) (Diversified I) and Diversified
Multi-Advisor Futures Fund L.P. II (formerly Smith Barney
Diversified Futures Fund L.P. II) (Diversified
II) each allocated a portion of its capital to the Master.
Diversified 2000 purchased 41,952.2380 Redeemable Units with
cash equal to $41,952,238. Global Markets purchased 2,355.5550
Redeemable Units with cash equal to $2,355,555. Diversified I
purchased 14,741.1555 Redeemable Units with cash equal to
$14,741,156. Diversified II purchased 11,192.9908
Redeemable Units with cash equal to $11,192,991. On May 1,
2006, Alera Portfolios SPC. (Alera SPC) allocated a
portion of its capital to the Master and purchased 4,592.0784
Redeemable Units with cash equal to $4,801,938. On June 1,
2006, Fairfield Futures Fund L.P. II (formerly Citigroup
Fairfield Futures Fund L.P. II) (Fairfield II)
allocated substantially all of its capital and Tactical
Diversified Futures Fund L.P. (formerly Citigroup
Diversified Futures Fund L.P.) (Tactical
Diversified) allocated a portion of its capital to the
Master. Fairfield II purchased 74,569.3761 Redeemable Units
with cash equal to $75,688,021. Tactical Diversified purchased
101,486.0491 Redeemable Units with cash equal to $103,008,482.
As of March 31, 2007, Alera SPC fully redeemed its
investment of 1,805.5482 Redeemable Units with a fair value of
$1,661,443, which includes interest income of $7,289. As of
December 31, 2007, Global Markets fully redeemed its
investment of 1,566.2278 Redeemable Units with a fair value of
$1,799,772, which includes interest income of $4,415. The Master
was formed to permit commodity pools managed now or in the
future by Graham Capital Management, L.P. (the
Advisor), using the K4D 12.5 program,
the Advisors proprietary, systematic trading program, to
invest together in one trading vehicle.
The Master operates under a structure where its investors
consist of Diversified 2000, Diversified I, Diversified II,
Fairfield II and Tactical Diversified (each a
Feeder, collectively the Funds) with
approximately 13.2%, 5.4%, 4.6%, 25.7% and 51.1% investments in
the Master at December 31, 2009, respectively. Diversified
2000, Diversified I, Diversified II, Fairfield II and
Tactical Diversified had approximately 12.6%, 5.0%, 4.7%, 27.1%
and 50.6% investments in the Master at December 31, 2008,
respectively.
F-72
CMF Graham
Capital Master Fund L.P.
Notes to Financial Statements
December 31, 2009
The Master will be liquidated upon the first to occur of the
following: December 31, 2025; or under certain other
circumstances as defined in the Limited Partnership Agreement of
the Master (the Limited Partnership Agreement).
On July 1, 2009, the Financial Accounting Standards Board
(FASB) issued Statement of Financial Accounting
Standards (FAS) No. 168, The FASB Accounting
Standards Codification and the Hierarchy of Generally Accepted
Accounting Principles, also known as FASB Accounting Standards
Codification (ASC) 105, Generally Accepted
Accounting Principles (ASC 105) (the
Codification). ASC 105 established the exclusive
authoritative reference for U.S. generally accepted
accounting principles (GAAP) for use in financial
statements except for Securities and Exchange Commission
(SEC) rules and interpretive releases, which are
also authoritative GAAP for SEC registrants. The Codification
supersedes all existing non-SEC accounting and reporting
standards. The Codification is the single source of
authoritative accounting principles generally accepted in the
United States and applies to all financial statements issued
after September 15, 2009.
|
|
|
|
a.
|
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.
In making these estimates and assumptions, management has
considered the effects, if any, of events occurring after the
date of the Masters Statements of Financial Condition
through the date the financial statements were issued. As a
result, actual results could differ from these estimates.
|
|
|
b.
|
Statement of Cash Flows. The Master is not
required to provide a Statement of Cash Flows as permitted by
ASC 230, 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).
|
|
|
c.
|
Masters Investments. All commodity
interests of the Master (including derivative financial
instruments and derivative commodity instruments) are held for
trading purposes. The commodity interests are recorded on trade
date and open contracts are recorded at fair value (as described
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 gains or losses from the preceding
period are reported in the Statements of Income and Expenses.
|
Masters Fair Value Measurements. The
Master adopted ASC 820, 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 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 Master did
not apply the deferral allowed by ASC 820 for nonfinancial
assets and nonfinancial liabilities measured at fair value on a
nonrecurring basis.
F-73
CMF Graham
Capital Master Fund L.P.
Notes to Financial Statements
December 31, 2009
In 2009, the Master adopted amendments to ASC 820, Fair Value
Measurements and Disclosures (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) which
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. These amendments to ASC 820
also reaffirm 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. These
amendments to ASC 820 are 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 Masters Level 2 assets and
liabilities. The adoption of the amendments to ASC 820 had no
effect on the Masters Financial Statements.
The 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 years ended December 31,
2009 and 2008, the 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
|
|
|
|
12/31/2009
|
|
|
(Level 1)
|
|
|
(Level 2)
|
|
|
(Level 3)
|
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures
|
|
$
|
406,652
|
|
|
$
|
406,652
|
|
|
$
|
|
|
|
$
|
|
|
Forwards
|
|
|
1,562,793
|
|
|
|
1,309,482
|
|
|
|
253,311
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total assets
|
|
|
1,969,445
|
|
|
|
1,716,134
|
|
|
|
253,311
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
$
|
1,969,445
|
|
|
$
|
1,716,134
|
|
|
$
|
253,311
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures
|
|
$
|
1,162,793
|
|
|
$
|
1,162,793
|
|
|
$
|
|
|
|
$
|
|
|
Forwards
|
|
|
86,222
|
|
|
|
86,222
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total assets
|
|
|
1,249,015
|
|
|
|
1,249,015
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forwards
|
|
$
|
366,179
|
|
|
$
|
|
|
|
$
|
366,179
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total liabilities
|
|
|
366,179
|
|
|
|
|
|
|
|
366,179
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
$
|
882,836
|
|
|
$
|
1,249,015
|
|
|
$
|
(366,179
|
)
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
d.
|
Futures Contracts. The Master trades futures
contracts. A futures contract is a firm commitment to buy or
sell a specified quantity of investments, currency or a
standardized amount of a deliverable grade commodity, at a
specified price on a specified future date, unless the contract
is closed before the delivery date or 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 Master each business day, depending on the
|
F-74
CMF Graham
Capital Master Fund L.P.
Notes to Financial Statements
December 31, 2009
|
|
|
|
|
daily fluctuations in the value of the underlying contracts, and
are recorded as unrealized gains or losses by the Master. When
the contract is closed, the Master records a realized gain or
loss equal to the difference between the value of the contract
at the time it was opened and the value at the time it was
closed. 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.
|
|
|
|
|
e.
|
Forward Foreign Currency Contracts. Foreign
currency contracts are those contracts where the Master agrees
to receive or deliver a fixed quantity of foreign currency for
an
agreed-upon
price on an agreed future date. Foreign currency contracts are
valued daily, and the Masters net equity therein,
representing unrealized gain or loss on the contracts as
measured by the difference between the forward foreign exchange
rates at the dates of entry into the contracts and the forward
rates at the reporting date, is included in the Statements of
Financial Condition. Realized gains (losses) and changes in
unrealized gains (losses) on foreign currency contracts are
recognized in the period in which the contract is closed or the
changes occur, respectively, and are included in the Statements
of Income and Expenses.
|
The Master does not isolate that portion of the results of
operations arising from the effect of changes in foreign
exchange rates on investments from fluctuations from changes in
market prices of investments held. Such fluctuations are
included in net gain (loss) on investments in the Statements of
Income and Expenses.
|
|
|
|
f.
|
London Metals Exchange Forward
Contracts. Metal contracts traded on the London
Metals Exchange (LME) represent a firm commitment to
buy or sell a specified quantity of aluminum, copper, lead,
nickel, tin or zinc. LME contracts traded by the Master are cash
settled based on prompt dates published by the LME. Payments
(variation margin) may be made or received by the
Master each business day, depending on the daily fluctuations in
the value of the underlying contracts, and are recorded as
unrealized gains or losses by the Master. 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 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.
|
|
|
g.
|
Income and Expenses Recognition. All of the
income and expenses and realized and unrealized gains and losses
on trading of commodity interests are determined on each
valuation day and allocated pro rata among the Funds at the time
of such determination.
|
|
|
h.
|
Income Taxes. Income taxes have not been
provided as each partner is individually liable for the taxes,
if any, on their share of the Masters income and expenses.
|
In 2007, the Master adopted ASC 740, Income Taxes (formerly,
FAS No. 48, Accounting for Uncertainty in Income
Taxes). ASC 740 provides guidance for how uncertain tax
positions should be recognized, measured, presented and
disclosed in the financial statements. ASC 740 requires the
evaluation of tax positions taken or expected to be taken in the
course of preparing the Masters financial statements to
determine whether the tax positions are
more-likely-than-not to be sustained by the
applicable tax authority. Tax positions with respect to tax at
the Master 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 concluded that no provision for income tax is required
in the Masters financial statements.
F-75
CMF Graham
Capital Master Fund L.P.
Notes to Financial Statements
December 31, 2009
The following is the major tax jurisdiction for the Master and
the earliest tax year subject to examination: United
States 2006.
|
|
|
|
i.
|
Subsequent Events. In 2009, the Master adopted ASC
855, Subsequent Events (formerly, FAS No. 165,
Subsequent Events). The objective of ASC 855 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.
Management has determined that there were no subsequent events
requiring adjustment or disclosure in the financial statements.
|
|
|
j.
|
Recent Accounting Pronouncements. In January
2010, the FASB issued Accounting Standards Update
No. 2010-06
(ASU
2010-06),
Improving Disclosures about Fair Value Measurements,
which, among other things, amends ASC 820 to require entities to
separately present purchases, sales, issuances, and settlements
in their reconciliation of Level 3 fair value measurements
(i.e. to present such items on a gross basis rather than on a
net basis), and which clarifies existing disclosure requirements
provided by ASC 820 regarding the level of disaggregation and
the inputs and valuation techniques used to measure fair value
for measurements that fall within either Level 2 or
Level 3 of the fair value hierarchy. ASU
2010-06 is
effective for interim and annual periods beginning after
December 15, 2009, except for the disclosures about
purchases, sales, issuances, and settlements in the roll forward
of activity in Level 3 fair value measurements (which are
effective for fiscal years beginning after December 15,
2010, and for interim periods within those fiscal years).
Management is currently assessing the impact that the adoption
of ASU
2010-06 will
have on the Masters financial statements disclosures.
|
In February 2010, the FASB issued Accounting Standards Update
No. 2010-09
(ASU
2010-09),
Subsequent Events (Topic 855): Amendments to Certain
Recognition and Disclosure Requirements, which among other
things amended ASC 855 to remove the requirement for an SEC
filer to disclose the date through which subsequent events have
been evaluated. This change alleviates potential conflicts
between ASC 855 and the SECs requirements. All of the
amendments in this update are effective upon issuance of this
update. Management has included the provisions of these
amendments in the financial statements.
|
|
|
|
k.
|
Certain prior period amounts have been reclassified to conform
to current year presentation.
|
|
|
l.
|
Net Income (Loss) per Redeemable Unit. Net
income (loss) per Redeemable Unit is calculated in accordance
with investment company guidance. See footnote 6 for Financial
Highlights.
|
|
|
|
|
a.
|
Limited Partnership Agreement:
|
The General Partner administers the business and affairs of the
Master including selecting one or more advisors to make trading
decisions for the Master.
The General Partner, on behalf of the Master, has entered into a
management agreement (the Management Agreement) with
the Advisor, a registered commodity trading advisor. The Advisor
is not affiliated with the General Partner or CGM and is not
responsible for the organization or operation of the Master. The
Management Agreement provides that the Advisor has sole
discretion in determining the investment of the assets of the
Master. All management fees in connection with the Management
Agreement are borne by the Funds. The Management Agreement may
be terminated upon notice by either party.
F-76
CMF Graham
Capital Master Fund L.P.
Notes to Financial Statements
December 31, 2009
The Master has entered into a customer agreement (the
Customer Agreement) with CGM whereby CGM provides
services which include, among other things, the execution of
transactions for the Masters account in accordance with
orders placed by the Advisor. All exchange, clearing, user,
give-up,
floor brokerage and NFA fees (collectively the clearing
fees) are borne by the Master. All other fees including
CGMs direct brokerage commission shall be borne by the
Funds. All of the Masters assets are deposited in the
Masters account at CGM. The Masters cash is
deposited by CGM in segregated bank accounts to the extent
required by Commodity Futures Trading Commission regulations. At
December 31, 2009 and 2008, the amounts of cash held by the
Master for margin requirements was $15,503,558 and $9,073,580,
respectively. The Customer Agreement may be terminated upon
notice by either party.
The Master was formed for the purpose of trading contracts in a
variety of commodity interests, including derivative financial
instruments and derivative commodity interests. The results of
the Masters trading activities are shown in the Statements
of Income and Expenses.
The Customer Agreement between the Master and CGM gives the
Master the legal right to net unrealized gains and losses on
open futures and forward contracts. The Master nets, for
financial reporting purposes, the unrealized gains and losses on
open futures and forward contracts on the Statements of
Financial Condition as the criteria under ASC 210, Balance Sheet
(formerly, FASB Interpretation No. 39,
Offsetting of Amounts Related to Certain Contracts)
have been met.
All of the commodity interests owned by the Master are held for
trading purposes. The average number of futures and metal
forward contracts traded for the year ended December 31,
2009 based on a quarterly calculation, was 6,966. The average
notional values of currency forward contracts for the year ended
December 31, 2009 based on a quarterly calculation, was
$944,178,446.
The Master adopted ASC 815, Derivatives and Hedging (formerly,
FAS No. 161, Disclosures 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 only
expands the disclosure requirements for derivative instruments
and related hedging activities and has no impact on the
Statements of Financial Condition, Statements of Income and
Expenses and Statements of Changes in Partners Capital.
The following table indicates the fair values of derivative
instruments of futures and forward contracts as separate assets
and liabilities.
F-77
CMF Graham
Capital Master Fund L.P.
Notes to Financial Statements
December 31, 2009
|
|
|
|
|
|
|
December 31, 2009
|
|
|
Assets
|
|
|
|
|
Futures Contracts
|
|
|
|
|
Currencies
|
|
$
|
29,498
|
|
Energy
|
|
|
357,695
|
|
Grains
|
|
|
223,296
|
|
Indices
|
|
|
871,966
|
|
Interest Rates U.S.
|
|
|
10,273
|
|
Interest Rates
Non-U.S.
|
|
|
169,828
|
|
Livestock
|
|
|
20,482
|
|
Metals
|
|
|
93,687
|
|
Softs
|
|
|
810,673
|
|
|
|
|
|
|
Total unrealized appreciation on open futures contracts
|
|
$
|
2,587,398
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
Futures Contracts
|
|
|
|
|
Currencies
|
|
$
|
(17,658
|
)
|
Energy
|
|
|
(155,804
|
)
|
Grains
|
|
|
(131,463
|
)
|
Indices
|
|
|
(231,926
|
)
|
Interest Rates U.S.
|
|
|
(104,941
|
)
|
Interest Rates
Non-U.S.
|
|
|
(1,108,842
|
)
|
Metals
|
|
|
(175,760
|
)
|
Softs
|
|
|
(254,352
|
)
|
|
|
|
|
|
Total unrealized depreciation on open futures contracts
|
|
$
|
(2,180,746
|
)
|
|
|
|
|
|
Net unrealized appreciation on open futures contracts
|
|
$
|
406,652
|
*
|
|
|
|
|
|
|
|
|
|
|
Assets
|
|
|
|
|
Forward Contracts
|
|
|
|
|
Currencies
|
|
$
|
7,739,782
|
|
Metals
|
|
|
2,324,147
|
|
|
|
|
|
|
Total unrealized appreciation on open forward contracts
|
|
$
|
10,063,929
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
Forward Contracts
|
|
|
|
|
Currencies
|
|
$
|
(7,486,471
|
)
|
Metals
|
|
|
(1,014,665
|
)
|
|
|
|
|
|
Total unrealized depreciation on open forward contracts
|
|
$
|
(8,501,136
|
)
|
|
|
|
|
|
Net unrealized appreciation on open forward contracts
|
|
$
|
1,562,793
|
**
|
|
|
|
|
|
|
|
|
* |
|
This amount is in Net unrealized appreciation on open
futures contracts on the Statements of Financial Condition. |
|
** |
|
This amount is in Net unrealized appreciation on open
forward contracts on the Statements of Financial Condition. |
F-78
CMF Graham
Capital Master Fund L.P.
Notes to Financial Statements
December 31, 2009
The following table indicates the trading gains and losses, by
market sector, on derivative instruments for the period ended
December 31, 2009.
|
|
|
|
|
|
|
|
|
|
|
December 31, 2009
|
|
|
|
|
Sector
|
|
Gain (loss) from Trading
|
|
|
|
|
|
Currencies
|
|
$
|
3,111,674
|
|
|
|
|
|
Energy
|
|
|
(3,297,102
|
)
|
|
|
|
|
Grains
|
|
|
(1,460,464
|
)
|
|
|
|
|
Indices
|
|
|
15,480,005
|
|
|
|
|
|
Interest Rates U.S.
|
|
|
(3,698,764
|
)
|
|
|
|
|
Interest Rates
Non-U.S.
|
|
|
(2,767,757
|
)
|
|
|
|
|
Livestock
|
|
|
21,968
|
|
|
|
|
|
Softs
|
|
|
1,832,133
|
|
|
|
|
|
Metals
|
|
|
3,246,372
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
12,468,065
|
***
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
*** |
|
This amount is in Gain (loss) from trading, net on
the Statements of Income and Expenses. |
|
|
5.
|
Subscriptions,
Distributions and Redemptions:
|
Subscriptions are accepted monthly from investors and they
become Limited Partners on the first day of the month after
their subscription is processed. A Limited Partner may withdraw
all or part of their capital contribution and undistributed
profits, if any, from the Master in multiples 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 at
least 3 days in advance of the Redemption Date. The
Redeemable Units are classified as a liability when the Limited
Partner elects to redeem and informs the Master.
Changes in the Net Asset Value per Redeemable Unit of
Partnership Interest for the years ended December 31, 2009,
2008 and 2007 were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2009
|
|
|
2008
|
|
|
2007
|
|
|
Net realized and unrealized gains (losses)*
|
|
$
|
111.45
|
|
|
$
|
383.27
|
|
|
$
|
150.83
|
|
Interest income
|
|
|
1.08
|
|
|
|
12.97
|
|
|
|
36.54
|
|
Expenses**
|
|
|
(0.43
|
)
|
|
|
(0.17
|
)
|
|
|
(0.15
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Increase (decrease) for the period
|
|
|
112.10
|
|
|
|
396.07
|
|
|
|
187.22
|
|
Distribution of interest income to feeder funds
|
|
|
(1.08
|
)
|
|
|
(12.97
|
)
|
|
|
(36.54
|
)
|
Net Asset Value per Redeemable Unit, beginning of year
|
|
|
1,529.39
|
|
|
|
1,146.29
|
|
|
|
995.61
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Asset Value per Redeemable Unit, end of year
|
|
$
|
1,640.41
|
|
|
$
|
1,529.39
|
|
|
$
|
1,146.29
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)***
|
|
|
(0.3
|
)%
|
|
|
0.6
|
%
|
|
|
3.0
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Operating expenses
|
|
|
0.4
|
%
|
|
|
0.4
|
%
|
|
|
0.4
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return
|
|
|
7.3
|
%
|
|
|
34.6
|
%
|
|
|
18.8
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Includes clearing fees. |
|
** |
|
Excludes clearing fees. |
|
*** |
|
Interest income less total expenses. |
F-79
CMF Graham
Capital Master Fund L.P.
Notes to Financial Statements
December 31, 2009
The above ratios may vary for individual investors based on the
timing of capital transactions during the year. Additionally,
these ratios are calculated for the Limited Partner class using
the Limited Partners share of income, expenses and average
net assets.
|
|
7.
|
Financial
Instrument Risks:
|
In the normal course of its business, the Master is party to
financial instruments with off-balance sheet risk, including
derivative financial instruments and derivative commodity
instruments. These financial instruments may include forwards,
futures, options, and swaps, whose values are based upon an
underlying asset, index, or reference rate, and generally
represent future commitments to exchange currencies or cash
balances, 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 or
over-the-counter
(OTC). Exchange traded instruments are standardized
and include futures and certain forwards and option contracts.
OTC contracts are negotiated between contracting parties and
include 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 Master due to market
changes, including interest and foreign exchange rate movements
and fluctuations in commodity or security prices. Market risk is
directly impacted by the volatility and liquidity in the markets
in which the related underlying assets are traded. The Master is
exposed to 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 Masters risk of loss in the event of
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 Masters risk of loss is reduced through
the use of legally enforceable master netting agreements with
counterparties that permit the Master to offset unrealized gains
and losses and other assets and liabilities with such
counterparties upon the occurrence of certain events. The Master
has credit risk and concentration risk as the sole counterparty
or broker with respect to the Masters assets is CGM or a
CGM affiliate. Credit risk with respect to exchange-traded
instruments is reduced to the extent that through CGM, the
Masters counterparty is an exchange or clearing
organization.
The General Partner monitors and attempts to control the
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 Master may be
subject. These monitoring systems generally allow the General
Partner to statistically analyze actual trading results with
risk adjusted performance indicators and correlation statistics.
In addition, on-line monitoring systems provide account analysis
of futures, forwards and options positions 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 Masters
business, these instruments may not be held to maturity.
F-80
Selected unaudited quarterly financial data for Graham Master for the years ended December 31, 2009 and 2008 are summarized below:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the period from |
|
For the period from |
|
For the period from |
|
For the period from |
|
|
October 1, 2009 to |
|
July 1, 2009 to |
|
April 1, 2009 to |
|
January 1, 2009 to |
|
|
December 31, 2009 |
|
September 30, 2009 |
|
June 30, 2009 |
|
March 31, 2009 |
Net realized and
unrealized trading gains
(losses) net of brokerage
commissions and clearing
fees including interest
income |
|
$ |
1,522,383 |
|
|
$ |
14,250,196 |
|
|
$ |
(2,335,820 |
) |
|
$ |
(1,457,890 |
) |
Net income (loss) |
|
$ |
1,502,514 |
|
|
$ |
14,240,193 |
|
|
$ |
(2,344,541 |
) |
|
$ |
(1,465,945 |
) |
Increase (decrease) in
Net Asset Value per
Redeemable Unit |
|
$ |
13.91 |
|
|
$ |
135.03 |
|
|
$ |
(21.43 |
) |
|
$ |
(15.41 |
) |
|
|
|
For the period |
|
For the period |
|
For the period |
|
For the period |
|
|
from October 1, |
|
from July 1, 2008 |
|
from April 1, |
|
from January 1, |
|
|
2008 to December 31, |
|
September 30, |
|
2008 to June 30, |
|
2008 to March 31, |
|
|
2008 |
|
2008 |
|
2008 |
|
2008 |
Net realized and
unrealized trading gains
(losses) net of brokerage
commissions and clearing
fees including interest
income |
|
$ |
34,035,718 |
|
|
$ |
(8,466,890 |
) |
|
$ |
18,680,824 |
|
|
$ |
20,142,305 |
|
Net income (loss) |
|
$ |
34,029,127 |
|
|
$ |
(8,473,481 |
) |
|
$ |
18,672,387 |
|
|
$ |
20,133,868 |
|
Increase (decrease) in
Net Asset Value per
Redeemable Unit |
|
$ |
224.58 |
|
|
$ |
(52.04 |
) |
|
$ |
112.99 |
|
|
$ |
110.54 |
|
F-81
To the Limited
Partners of
CMF Eckhardt Master Fund L.P.
To the best of the knowledge and belief of the undersigned, the
information contained herein is accurate and complete.
Chief Financial Officer and Director
Ceres Managed Futures LLC
General Partner,
CMF Eckhardt Master Fund L.P.
Ceres Managed Futures LLC
55 East 59th Street
10th Floor
New York, N.Y. 10022
212-559-2011
F-82
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Partners of
CMF Eckhardt Master Fund L.P.:
We have audited the accompanying statement of financial condition of CMF Eckhardt Master Fund L.P.
(the Partnership), including the condensed schedule of investments, as of December 31, 2009, and
the related statements of income and expenses, and changes in partners capital for the year then
ended. These financial statements are the responsibility of the Partnerships management. Our
responsibility is to express an opinion on these financial statements based on our audit. The
financial statements of the Partnership for the period April 1, 2008 (commencement of trading
operations) to December 31, 2008 were audited by other auditors whose report, dated March 26, 2009,
expressed an unqualified opinion on those statements.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight
Board (United States). Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material misstatement. The
Partnership is not required to have, nor were we engaged to perform, an audit of its internal
control over financial reporting. Our audit included consideration of internal control over
financial reporting as a basis for designing audit procedures that are appropriate in the
circumstances, but not for the purpose of expressing an opinion on the effectiveness of the
Partnerships internal control over financial reporting. Accordingly, we express no such opinion.
An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures
in the financial statements, assessing the accounting principles used and significant estimates
made by management, as well as evaluating the overall financial statement presentation. We believe
that our audit provides a reasonable basis for our opinion.
In our opinion, such financial statements present fairly, in all material respects, the financial
position of CMF Eckhardt Master Fund L.P. as of December 31, 2009, and the results of its
operations and its changes in partners capital for the year then ended, in conformity with
accounting principles generally accepted in the United States of America.
/s/ Deloitte & Touche LLP
New York, New York
March 19, 2010
F-83
Report of Independent Auditors
To the Partners of
CMF Eckhardt Master Fund L.P.:
In our
opinion, the accompanying statement of financial condition, including
the condensed schedule of
investments, and the related statement of income and expenses, and statement of changes in partners
capital present fairly, in all material respects, the financial position of CMF Eckhardt Master
Fund L.P. at December 31, 2008, and the results of its operations for the period April 1,
2008 to December 31, 2008 in conformity with accounting principles generally accepted in the United
States of America. These financial statements are the responsibility of the Companys management.
Our responsibility is to express an opinion on these financial statements based on our audit. We
conducted our audit of these statements in accordance with auditing standards generally accepted in
the United States of America. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material misstatement. An
audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the
financial statements, assessing the accounting principles used and significant estimates made by
management, and evaluating the overall financial statement presentation. We believe that our audit
provides a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
New York, New York
March 26, 2009
F-84
CMF Eckhardt
Master Fund L.P.
Statements of Financial Condition
December 31, 2009 and 2008
|
|
|
|
|
|
|
|
|
|
|
2009
|
|
|
2008
|
|
|
Assets:
|
|
|
|
|
|
|
|
|
Equity in trading account:
|
|
|
|
|
|
|
|
|
Cash (Note 3c)
|
|
$
|
13,288,028
|
|
|
$
|
19,322,653
|
|
Cash margin (Note 3c)
|
|
|
3,204,078
|
|
|
|
1,194,988
|
|
Net unrealized appreciation on open futures contracts
|
|
|
600,831
|
|
|
|
27,313
|
|
Net unrealized appreciation on open forward contracts
|
|
|
290,682
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total assets
|
|
$
|
17,383,619
|
|
|
$
|
20,544,954
|
|
|
|
|
|
|
|
|
|
|
Liabilities and Partners Capital:
|
|
|
|
|
|
|
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
Accrued expenses:
|
|
|
|
|
|
|
|
|
Professional fees
|
|
$
|
63,160
|
|
|
$
|
15,519
|
|
|
|
|
|
|
|
|
|
|
Total liabilities
|
|
|
63,160
|
|
|
|
15,519
|
|
|
|
|
|
|
|
|
|
|
Partners Capital:
|
|
|
|
|
|
|
|
|
General Partner, 0.0000 Unit equivalents at December 31,
2009 and 2008
|
|
|
|
|
|
|
|
|
Limited Partners Capital, 17,448.6548 and
19,854.0401 Redeemable Units of Limited Partnership
Interest outstanding at December 31, 2009 and 2008
|
|
|
17,320,459
|
|
|
|
20,529,435
|
|
|
|
|
|
|
|
|
|
|
Total liabilities and partners capital
|
|
$
|
17,383,619
|
|
|
$
|
20,544,954
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-85
CMF Eckhardt
Master Fund L.P.
Condensed Schedule of Investments
December 31, 2009
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Number of
|
|
|
|
|
|
% of Partners
|
|
|
|
Contracts
|
|
|
Fair Value
|
|
|
Capital
|
|
|
Futures Contracts Purchased
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
|
78
|
|
|
$
|
58,547
|
|
|
|
0.34
|
%
|
Energy
|
|
|
67
|
|
|
|
158,876
|
|
|
|
0.92
|
|
Grains
|
|
|
37
|
|
|
|
16,280
|
|
|
|
0.09
|
|
Indices
|
|
|
120
|
|
|
|
195,792
|
|
|
|
1.13
|
|
Interest Rates U.S.
|
|
|
6
|
|
|
|
(4,425
|
)
|
|
|
(0.03
|
)
|
Interest Rates
Non-U.S.
|
|
|
14
|
|
|
|
12,150
|
|
|
|
0.07
|
|
Metals
|
|
|
17
|
|
|
|
21,710
|
|
|
|
0.13
|
|
Softs
|
|
|
59
|
|
|
|
169,950
|
|
|
|
0.98
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures contracts purchased
|
|
|
|
|
|
|
628,880
|
|
|
|
3.63
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts Sold
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
|
77
|
|
|
|
44,809
|
|
|
|
0.26
|
|
Energy
|
|
|
8
|
|
|
|
(480
|
)
|
|
|
(0.00
|
)*
|
Grains
|
|
|
68
|
|
|
|
(32,075
|
)
|
|
|
(0.18
|
)
|
Interest Rates U.S.
|
|
|
684
|
|
|
|
(26,821
|
)
|
|
|
(0.16
|
)
|
Interest Rates
Non-U.S.
|
|
|
195
|
|
|
|
(8,802
|
)
|
|
|
(0.05
|
)
|
Softs
|
|
|
24
|
|
|
|
(4,680
|
)
|
|
|
(0.03
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures contracts sold
|
|
|
|
|
|
|
(28,049
|
)
|
|
|
(0.16
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized Appreciation on Open Forward Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
Metals
|
|
|
43
|
|
|
|
341,017
|
|
|
|
1.97
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total unrealized appreciation on open forward contracts
|
|
|
|
|
|
|
341,017
|
|
|
|
1.97
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized Depreciation on Open Forward Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
Metals
|
|
|
11
|
|
|
|
(50,335
|
)
|
|
|
(0.29
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total unrealized depreciation on open forward contracts
|
|
|
|
|
|
|
(50,335
|
)
|
|
|
(0.29
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
|
|
|
|
$
|
891,513
|
|
|
|
5.15
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-86
CMF Eckhardt
Master Fund L.P.
Condensed Schedule of Investments
December 31, 2008
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Number of
|
|
|
|
|
|
% of Partners
|
|
|
|
Contracts
|
|
|
Fair Value
|
|
|
Capital
|
|
|
Futures Contracts Purchased
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
|
22
|
|
|
$
|
(30,425
|
)
|
|
|
(0.15
|
)%
|
Interest Rates U.S.
|
|
|
115
|
|
|
|
(90,041
|
)
|
|
|
(0.44
|
)
|
Interest Rates Non-U.S.
|
|
|
210
|
|
|
|
117,578
|
|
|
|
0.57
|
|
Metals
|
|
|
5
|
|
|
|
3,730
|
|
|
|
0.02
|
|
Softs
|
|
|
7
|
|
|
|
31,088
|
|
|
|
0.15
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures contracts purchased
|
|
|
|
|
|
|
31,930
|
|
|
|
0.15
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts Sold
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
|
16
|
|
|
|
(9,807
|
)
|
|
|
(0.05
|
)
|
Softs
|
|
|
16
|
|
|
|
5,190
|
|
|
|
0.03
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures contracts sold
|
|
|
|
|
|
|
(4,617
|
)
|
|
|
(0.02
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
|
|
|
|
$
|
27,313
|
|
|
|
0.13
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-87
CMF Eckhardt
Master Fund L.P.
Statements of Income and Expenses
for the year ended December 31, 2009
and for the period April 1, 2008
(commencement of trading operations)
to December 31, 2008
|
|
|
|
|
|
|
|
|
|
|
2009
|
|
|
2008
|
|
|
Income:
|
|
|
|
|
|
|
|
|
Net gains (losses) on trading of commodity interests:
|
|
|
|
|
|
|
|
|
Net realized gains (losses) on closed contracts
|
|
$
|
(1,481,848
|
)
|
|
$
|
821,249
|
|
Change in net unrealized gains (losses) on open contracts
|
|
|
864,200
|
|
|
|
27,313
|
|
|
|
|
|
|
|
|
|
|
Gain (loss) from trading, net
|
|
|
(617,648
|
)
|
|
|
848,562
|
|
Interest income
|
|
|
13,287
|
|
|
|
150,521
|
|
|
|
|
|
|
|
|
|
|
Total income (loss)
|
|
|
(604,361
|
)
|
|
|
999,083
|
|
|
|
|
|
|
|
|
|
|
Expenses:
|
|
|
|
|
|
|
|
|
Clearing fees
|
|
|
49,325
|
|
|
|
23,298
|
|
Professional fees
|
|
|
89,472
|
|
|
|
71,050
|
|
|
|
|
|
|
|
|
|
|
Total expenses
|
|
|
138,797
|
|
|
|
94,348
|
|
|
|
|
|
|
|
|
|
|
Net income (loss)
|
|
$
|
(743,158
|
)
|
|
$
|
904,735
|
|
|
|
|
|
|
|
|
|
|
Net income (loss) per Redeemable Unit of Limited Partnership
Interest (Notes 1 and 6)
|
|
$
|
(40.67
|
)
|
|
$
|
40.34
|
|
|
|
|
|
|
|
|
|
|
Weighted average units outstanding
|
|
|
18,748.0136
|
|
|
|
23,511.0343
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-88
CMF Eckhardt
Master Fund L.P.
Statements of Changes in Partners
Capital
for the year ended December 31, 2009
and for the period April 1, 2008
(commencement of trading operations)
to December 31, 2008
|
|
|
|
|
|
|
Partners
|
|
|
|
Capital
|
|
|
Initial capital contribution from Limited Partners at
April 1, 2008 representing 24,000.0000 Redeemable Units of
Limited Partnership Interest
|
|
$
|
24,000,000
|
|
Net income (loss)
|
|
|
904,735
|
|
Sale of 964.0322 Redeemable Units of Limited Partnership Interest
|
|
|
1,000,000
|
|
Redemption of 5,109.9921 Redeemable Units of Limited Partnership
Interest
|
|
|
(5,224,779
|
)
|
Distribution of interest income to feeder funds
|
|
|
(150,521
|
)
|
|
|
|
|
|
Partners Capital at December 31, 2008
|
|
|
20,529,435
|
|
Net income (loss)
|
|
|
(743,158
|
)
|
Redemption of 2,405.3853 Redeemable Units of Limited Partnership
Interest
|
|
|
(2,452,531
|
)
|
Distribution of interest income to feeder funds
|
|
|
(13,287
|
)
|
|
|
|
|
|
Partners Capital at December 31, 2009
|
|
$
|
17,320,459
|
|
|
|
|
|
|
Net Asset Value per Redeemable Unit of Limited Partnership
Interest:
|
|
|
|
|
|
|
|
|
|
2008:
|
|
$
|
1,034.02
|
|
|
|
|
|
|
|
|
|
|
|
2009:
|
|
$
|
992.65
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-89
CMF Eckhardt
Master Fund L.P.
Notes to Financial Statements
December 31, 2009
|
|
1.
|
Partnership
Organization:
|
CMF Eckhardt Master Fund L.P. (the Master) is a
limited partnership that was organized under the partnership
laws of the State of New York on February 13, 2008, to
engage in the speculative trading of a diversified portfolio of
commodity interests including futures contracts, options, swaps
and forward contracts. The sectors traded include currencies,
energy, indices, grains, U.S. and
non-U.S. interest
rates, softs and metals. The commodity interests that are traded
by the Master are volatile and involve a high degree of market
risk. The Master is authorized to sell an unlimited number of
redeemable units of Limited Partnership Interest
(Redeemable Units).
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 Master. 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 (NFA). 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 Master, 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.
On April 1, 2008 (commencement of trading operations),
Diversified 2000 Futures Fund L.P., formerly Citigroup
Diversified 2000 Futures Fund L.P. (Diversified
2000), Diversified Multi-Advisor Futures Fund L.P,
formerly Smith Barney Diversified Futures Fund L.P.
(Diversified I), Diversified Multi-Advisor
Futures Fund L.P. II, formerly Smith Barney Diversified Futures
Fund L.P. II (Diversified II) each allocated a
portion of their capital to the Master. Diversified 2000
purchased 10,000.0000 Redeemable Units with cash equal to
$10,000,000. Diversified I purchased 7,000.0000 Redeemable
Units with cash equal to $7,000,000. Diversified II
purchased 7,000.0000 Redeemable Units with cash equal to
$7,000,000. The Master was formed to permit commodity pools
managed now or in the future by Eckhardt Trading Company (the
Advisor) using the Standard Program, the
Advisors proprietary systematic trading program, to invest
together in one vehicle.
The Master operates under a structure where its investors
consist of Diversified 2000, Diversified I and
Diversified II (each a Feeder, collectively the
Funds) with approximately 40.4%, 31.1% and 28.5%
investments in the Master at December 31, 2009,
respectively. Diversified 2000, Diversified I and
Diversified II had approximately 38.3%, 31.0% and 30.7%
investments in the Master at December 31, 2008,
respectively.
The Master will be liquidated upon the first to occur of the
following: December 31, 2030; or under certain other
circumstances as defined in the Limited Partnership Agreement of
the Master (the Limited Partnership Agreement).
On July 1, 2009, the Financial Accounting Standards Board
(FASB) issued Statement of Financial Accounting
Standards (FAS) No. 168, The FASB Accounting
Standards Codification and the Hierarchy of Generally Accepted
Accounting Principles, also known as FASB Accounting Standards
Codification (ASC) 105, Generally Accepted
Accounting Principles (ASC 105) (the
Codification). ASC 105 established the
exclusive authoritative reference for U.S. Generally
Accepted Accounting Principles (GAAP) for use in
financial statements except for Securities and Exchange
Commission (SEC) rules and interpretive releases,
which are also authoritative GAAP for SEC registrants. The
Codification supersedes all existing non-SEC accounting and
reporting standards. The Codification is the single source of
authoritative accounting principles generally accepted in the
United States and applies to all financial statements issued
after September 15, 2009.
F-90
CMF Eckhardt
Master Fund L.P.
Notes to Financial Statements
December 31, 2009
|
|
|
|
a.
|
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.
In making these estimates and assumptions, management has
considered the effects, if any, of events occurring after the
date of the Masters Statements of Financial Condition
through the date the financial statements were issued. As a
result, actual results could differ from these estimates.
|
|
|
b.
|
Statement of Cash Flows. The Master is not
required to provide a Statement of Cash Flows as permitted by
ASC 230, 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).
|
|
|
c.
|
Masters Investments. All commodity
interests of the Master (including derivative financial
instruments and derivative commodity instruments) are held for
trading purposes. The commodity interests are recorded on trade
date and open contracts are recorded at fair value (as described
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 gains or losses from the preceding
period are reported in the Statements of Income and Expenses.
|
Masters Fair Value Measurements. The
Master adopted ASC 820, 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 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 Master did
not apply the deferral allowed by ASC 820 for nonfinancial
assets and nonfinancial liabilities measured at fair value on a
nonrecurring basis.
In 2009, the Master adopted amendments to ASC 820, Fair Value
Measurements and Disclosures (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) which
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. These amendments to
ASC 820 also reaffirm 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.
These amendments to ASC 820 are 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 Masters Level 2 assets and
liabilities. The adoption of the amendments to ASC 820 had no
effect on the Masters Financial Statements.
The 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).
F-91
CMF Eckhardt
Master Fund L.P.
Notes to Financial Statements
December 31, 2009
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 years ended December 31, 2009 and 2008, the
Master did not hold any derivative instruments for which market
quotations are not readily available and which are priced by
broker-dealer who derive fair values for those assets from
observable inputs (Level 2) or 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
|
|
|
Significant Other
|
|
|
Significant
|
|
|
|
|
|
|
Active Markets
|
|
|
Observable
|
|
|
Unobservable
|
|
|
|
|
|
|
for Identical Assets
|
|
|
Inputs
|
|
|
Inputs
|
|
|
|
12/31/2009
|
|
|
(Level 1)
|
|
|
(Level 2)
|
|
|
(Level 3)
|
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures
|
|
$
|
600,831
|
|
|
$
|
600,831
|
|
|
$
|
|
|
|
$
|
|
|
Forwards
|
|
|
290,682
|
|
|
|
290,682
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
$
|
891,513
|
|
|
$
|
891,513
|
|
|
$
|
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Quoted Prices in
|
|
|
Significant Other
|
|
|
Significant
|
|
|
|
|
|
|
Active Markets
|
|
|
Observable
|
|
|
Unobservable
|
|
|
|
|
|
|
for Identical Assets
|
|
|
Inputs
|
|
|
Inputs
|
|
|
|
12/31/2008
|
|
|
(Level 1)
|
|
|
(Level 2)
|
|
|
(Level 3)
|
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures
|
|
$
|
27,313
|
|
|
$
|
27,313
|
|
|
$
|
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total assets
|
|
$
|
27,313
|
|
|
$
|
27,313
|
|
|
$
|
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
d.
|
Futures Contracts. The Master trades futures
contracts. A futures contract is a firm commitment to buy or
sell a specified quantity of investments, currency or a
standardized amount of a deliverable grade commodity, at a
specified price on a specified future date, unless the contract
is closed before the delivery date or if the delivery quantity
is something where physical delivery can not occur (such as the
S&P 500 Index), whereby such contract is settled in cash.
Payments (variation margin) may be made or received
by the Master each business day, depending on the daily
fluctuations in the value of the underlying contracts, and are
recorded as unrealized gains or losses by the Master. When the
contract is closed, the Master records a realized gain or loss
equal to the difference between the value of the contract at the
time it was opened and the value at the time it was closed.
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.
|
|
|
|
|
e.
|
London Metals Exchange Forward
Contracts. Metal contracts traded on the London
Metals Exchange (LME) represent a firm commitment to
buy or sell a specified quantity of aluminum, copper, lead,
nickel, tin or zinc. LME contracts traded by the Master are cash
settled based on prompt dates published by the LME. Payments
(variation margin) may be made or received by the
Master each business day, depending on the daily fluctuations in
the value of the underlying contracts, and are recorded as
unrealized gains or losses by the Master. 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 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
|
F-92
CMF Eckhardt
Master Fund L.P.
Notes to Financial Statements
December 31, 2009
|
|
|
|
|
exposure is limited. Realized gains (losses) and changes in
unrealized gains (losses) on metal contracts are included in the
Statements of Income and Expenses.
|
|
|
|
|
f.
|
Income and Expenses Recognition. All of the
income and expenses and realized and unrealized gains and losses
on trading of commodity interests are determined on each
valuation day and allocated pro rata among the Funds at the time
of such determination.
|
|
|
|
|
g.
|
Income Taxes. Income taxes have not been
provided as each partner is individually liable for the taxes,
if any, on their share of the Masters income and expenses.
|
|
|
|
|
|
In 2008, the Master adopted ASC 740, Income Taxes (formerly, FAS
No. 48, Accounting for Uncertainty in Income
Taxes). ASC 740 provides guidance for how uncertain tax
positions should be recognized, measured, presented and
disclosed in the financial statements. ASC 740 requires the
evaluation of tax positions taken or expected to be taken in the
course of preparing the Masters financial statements to
determine whether the tax positions are
more-likely-than-not to be sustained by the
applicable tax authority. Tax positions with respect to tax at
the Master 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 concluded that no provision for income tax is
required in the Masters financial statements.
|
The following is the major tax jurisdiction for the Master and
the earliest tax year subject to examination: United
States 2008.
|
|
|
|
h.
|
Subsequent Events. In 2009, the Master adopted
ASC 855, Subsequent Events (formerly, FAS No. 165,
Subsequent Events). The objective of ASC 855 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.
Management has determined that there were no subsequent events
requiring adjustment or disclosure in the financial statements.
|
|
|
|
|
i.
|
Recent Accounting Pronouncements. In January
2010, the FASB issued Accounting Standards Update
No. 2010-06
(ASU
2010-06),
Improving Disclosures about Fair Value Measurements,
which , among other things, amends ASC 820 to require entities
to separately present purchases, sales, issuances, and
settlements in their reconciliation of Level 3 fair value
measurements (i.e. to present such items on a gross basis rather
than on a net basis), and which clarifies existing disclosure
requirements provided by ASC 820 regarding the level of
disaggregation and the inputs and valuation techniques used to
measure fair value for measurements that fall within either
Level 2 or Level 3 of the fair value hierarchy. ASU
2010-06 is
effective for interim and annual periods beginning after
December 15, 2009, except for the disclosures about
purchases, sales, issuances, and settlements in the roll forward
of activity in Level 3 fair value measurements (which are
effective for fiscal years beginning after December 15,
2010, and for interim periods within those fiscal years).
Management is currently assessing the impact that the adoption
of ASU
2010-06 will
have on the Masters financial statements disclosures.
|
In February 2010, the FASB issued Accounting Standards Update
No. 2010-09
(ASU 2010-09),
Subsequent Events (Topic 855): Amendments to Certain
Recognition and Disclosure Requirements, which among other
things amended ASC 855 to remove the requirement for an SEC
filer to disclose the date through which subsequent events have
been evaluated. This change alleviates potential conflicts
between ASC 855 and the SECs requirements. All of the
amendments in this update are effective upon issuance of this
update. Management has included the provisions of these
amendments in the financial statements.
|
|
|
|
j.
|
Certain prior period amounts have been reclassified to conform
to current years presentation.
|
|
|
|
|
k.
|
Net Income (Loss) per Redeemable Unit. Net
income (loss) per Redeemable Unit is calculated in accordance
with investment company guidance. See footnote 6 for Financial
Highlights.
|
F-93
CMF Eckhardt
Master Fund L.P.
Notes to Financial Statements
December 31, 2009
|
|
|
|
a.
|
Limited Partnership Agreement:
|
The General Partner administers the business and affairs of the
Master including selecting one or more advisors to make trading
decisions for the Master.
The General Partner, on behalf of the Master, has entered into a
management agreement (the Management Agreement) with
the Advisor, a registered commodity trading advisor. The Advisor
is not affiliated with the General Partner or CGM and is not
responsible for the organization or operation of the Master. The
Management Agreement provides that the Advisor has sole
discretion in determining the investment of the assets of the
Master. All management fees in connection with the Management
Agreement are borne by the Funds. The Management Agreement may
be terminated upon notice by either party.
The Master has entered into a customer agreement (the
Customer Agreement) with CGM whereby CGM provides
services which include, among other things, the execution of
transactions for the Masters account in accordance with
orders placed by the Advisor. All exchange, clearing, user,
give-up,
floor brokerage and NFA fees (collectively the clearing
fees) are borne by the Master. All other fees, including
CGMs direct brokerage commission, shall be borne by the
Funds. All of the Masters assets are deposited in the
Masters account at CGM. The Masters cash is
deposited by CGM in segregated bank accounts to the extent
required by Commodity Futures Trading Commission regulations. At
December 31, 2009 and 2008, the amounts of cash held by the
Master for margin requirements was $3,204,078 and $1,194,988,
respectively. The Customer Agreement may be terminated upon
notice by either party.
The Master was formed for the purpose of trading contracts in a
variety of commodity interests, including derivative financial
instruments and derivative commodity interests. The results of
the Masters trading activities are shown in the Statements
of Income and Expenses.
The Customer Agreement between the Master and CGM gives the
Master the legal right to net unrealized gains and losses on
open futures and forwards contracts. The Master nets, for
financial reporting purposes, the unrealized gains and losses on
open futures and forward contracts on the Statement of Financial
Condition as the criteria under ASC 210, Balance Sheet
(formerly, FASB Interpretation No. 39,
Offsetting of Amounts Related to Certain contracts)
have been met.
All of the commodity interests owned by the Master are held for
trading purposes. The average number of futures and metal
forward contracts traded for the year ended December 31,
2009 based on a quarterly calculation was 887. The average
notional values of currency forward contracts for the year ended
December 31, 2009, based on a quarterly calculation was
$85,375.
The Master adopted ASC 815 Derivatives and Hedging (formerly,
FAS No. 161, Disclosures 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 only expands the disclosure
requirements for derivative instruments and related hedging
activities and has no impact on the Statements of Financial
Condition, Statements of Income and Expenses and Statements of
Changes in Partners Capital.
F-94
CMF Eckhardt
Master Fund L.P.
Notes to Financial Statements
December 31, 2009
The following table indicates the fair values of derivative
instruments of futures and forward contracts as separate assets
and liabilities.
|
|
|
|
|
|
|
December 31, 2009
|
|
|
Assets
|
|
|
|
|
Futures Contracts
|
|
|
|
|
Currencies
|
|
$
|
137,351
|
|
Energy
|
|
|
159,874
|
|
Grains
|
|
|
26,855
|
|
Indices
|
|
|
195,792
|
|
Interest Rates U.S.
|
|
|
19,352
|
|
Interest Rates
Non-U.S.
|
|
|
28,140
|
|
Metals
|
|
|
44,650
|
|
Softs
|
|
|
178,261
|
|
|
|
|
|
|
Total unrealized appreciation on open futures contracts
|
|
$
|
790,275
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
Futures Contracts
|
|
|
|
|
Currencies
|
|
$
|
(33,995
|
)
|
Energy
|
|
|
(1,478
|
)
|
Grains
|
|
|
(42,650
|
)
|
Interest Rates U.S.
|
|
|
(50,597
|
)
|
Interest Rates
Non-U.S.
|
|
|
(24,793
|
)
|
Metals
|
|
|
(22,940
|
)
|
Softs
|
|
|
(12,991
|
)
|
|
|
|
|
|
Total unrealized depreciation on open futures contracts
|
|
$
|
(189,444
|
)
|
|
|
|
|
|
Net unrealized depreciation on open futures contracts
|
|
$
|
600,831
|
*
|
|
|
|
|
|
Assets
|
|
|
|
|
Forward Contracts
|
|
|
|
|
Metals
|
|
$
|
341,017
|
|
|
|
|
|
|
Total unrealized appreciation on open forward contracts
|
|
$
|
341,017
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
Forward Contracts
|
|
|
|
|
Metals
|
|
$
|
(50,335
|
)
|
|
|
|
|
|
Total unrealized depreciation on open forward contracts
|
|
$
|
(50,335
|
)
|
|
|
|
|
|
Net unrealized appreciation on open forward contracts
|
|
$
|
290,682
|
**
|
|
|
|
|
|
|
|
|
* |
|
This amount is in Net unrealized appreciation on open
futures contracts on the Statements of Financial Condition. |
|
** |
|
This amount is in Net unrealized appreciation on open
forward contracts on the Statements of Financial Condition. |
F-95
CMF Eckhardt
Master Fund L.P.
Notes to Financial Statements
December 31, 2009
The following table indicates the trading gains and losses, by
market sector, on derivative instruments for the year ended
December 31, 2009.
|
|
|
|
|
|
|
December 31, 2009
|
|
Sector
|
|
Gain (Loss) from trading
|
|
|
Currencies
|
|
$
|
(933,134
|
)
|
Energy
|
|
|
(1,166,899
|
)
|
Grains
|
|
|
(500,805
|
)
|
Indices
|
|
|
248,635
|
|
Interest Rates U.S.
|
|
|
(299,085
|
)
|
Interest Rates
Non-U.S.
|
|
|
110,249
|
|
Metals
|
|
|
1,358,927
|
|
Softs
|
|
|
564,464
|
|
|
|
|
|
|
Total
|
|
$
|
(617,648
|
)***
|
|
|
|
|
|
|
|
|
*** |
|
This amount is in Gain (loss) from trading, net on
the Statements of Income and Expenses. |
|
|
5.
|
Subscriptions,
Distributions and Redemptions:
|
Subscriptions are accepted monthly from investors and they
become Limited Partners on the first day of the month after
their subscription is processed. A Limited Partner may withdraw
all or part of their capital contribution and undistributed
profits, if any, from the Master in multiples 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 at
least 3 days in advance of the Redemption Date. The
Redeemable Units are classified as a liability when the Limited
Partner elects to redeem and informs the Master.
6. Financial
Highlights:
Changes in the Net Asset Value per Redeemable Unit of Limited
Partnership Interest for the year ended December 31, 2009
and for the period from April 1, 2008 (commencement of
trading operations) to December 31, 2008 were as follows:
|
|
|
|
|
|
|
|
|
|
|
2009
|
|
|
2008
|
|
|
Net realized and unrealized gains (losses)*
|
|
$
|
(36.49
|
)
|
|
$
|
37.11
|
|
Interest income
|
|
|
0.70
|
|
|
|
6.32
|
|
Expenses**
|
|
|
(4.88
|
)
|
|
|
(3.09
|
)
|
|
|
|
|
|
|
|
|
|
Increase (decrease) for the year/period
|
|
|
(40.67
|
)
|
|
|
40.34
|
|
Distribution of interest income to feeder funds
|
|
|
(0.70
|
)
|
|
|
(6.32
|
)
|
Net Asset Value per Redeemable Unit of Limited Partnership
Interest, beginning of year/period
|
|
|
1,034.02
|
|
|
|
1,000.00
|
|
|
|
|
|
|
|
|
|
|
Net Asset Value per Redeemable Unit of Limited Partnership
Interest, end of year/period
|
|
$
|
992.65
|
|
|
$
|
1,034.02
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Includes clearing fees. |
|
** |
|
Excludes clearing fees. |
F-96
CMF Eckhardt
Master Fund L.P.
Notes to Financial Statements
December 31, 2009
|
|
|
|
|
|
|
|
|
|
|
2009
|
|
|
2008
|
|
|
Ratios to Average Net Assets:
|
|
|
|
|
|
|
|
|
Net investment income***
|
|
|
(0.7
|
)%
|
|
|
0.3
|
%****
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Operating expenses
|
|
|
0.7
|
%
|
|
|
0.4
|
%****
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return
|
|
|
(4.0
|
)%
|
|
|
4.0
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
*** |
|
Interest income less total expenses. |
|
**** |
|
Annualized. |
The above ratios may vary for individual investors based on the
timing of capital transactions during the year. Additionally,
these ratios are calculated for the Limited Partner class using
the Limited Partners share of income, expenses and average
net assets.
|
|
7.
|
Financial
Instrument Risks:
|
In the normal course of its business, the Master is party to
financial instruments with off-balance sheet risk, including
derivative financial instruments and derivative commodity
instruments. These financial instruments may include forwards,
futures, options and swaps whose values are based upon an
underlying asset, index, or reference rate, and generally
represent future commitments to exchange currencies or cash
balances, to purchase or sell other financial instruments at
specific terms at specified future dates, or, in the case of
derivative commodity instruments, to have a reasonable
possibility to be settled in cash, through physical delivery or
with another financial instrument. These instruments may be
traded on an exchange or over-the-counter (OTC).
Exchange traded instruments are standardized and include futures
and certain forwards and option contracts. OTC contracts are
negotiated between contracting parties and include 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 Master due to market
changes, including interest and foreign exchange rate movements
and fluctuations in commodity or security prices. Market risk is
directly impacted by the volatility and liquidity in the markets
in which the related underlying assets are traded. The Master is
exposed to 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 Masters risk of loss in the event of
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 Masters risk of loss is reduced through
the use of legally enforceable master netting agreements with
counterparties that permit the Master to offset unrealized gains
and losses and other assets and liabilities with such
counterparties upon the occurrence of certain events. The Master
has credit risk and concentration risk as the sole counterparty
or broker with respect to the Masters assets is CGM or a
CGM affiliate. Credit risk with respect to exchange-traded
instruments is reduced to the extent that through CGM, the
Masters counterparty is an exchange or clearing
organization.
F-97
CMF Eckhardt
Master Fund L.P.
Notes to Financial Statements
December 31, 2009
The General Partner monitors and attempts to control the
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 Master may be
subject. These monitoring systems generally allow the General
Partner to statistically analyze actual trading results with
risk adjusted performance indicators and correlation statistics.
In addition, on-line monitoring systems provide account analysis
of futures, forwards and options positions 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 Masters
business, these instruments may not be held to maturity.
F-98
Selected
unaudited quarterly financial data for Eckhardt Master for the years ended December 31,
2009 and the period April 1, 2008 (commencement of trading operations)
to December 31, 2008 is summarized below:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the period from |
|
For the period from |
|
For the period from |
|
For the period from |
|
|
October 1, 2009 to |
|
July 1, 2009 to |
|
April 1, 2009 to |
|
January 1, 2009 to |
|
|
December 31, 2009 |
|
September 30, 2009 |
|
June 30, 2009 |
|
March 31, 2009 |
Net realized and
unrealized trading
gains (losses) net
of brokerage
commissions and
clearing fees
including interest
income |
|
$ |
(750,993 |
) |
|
$ |
879,516 |
|
|
$ |
(688,673 |
) |
|
$ |
(93,536 |
) |
Net income (loss) |
|
$ |
(781,496 |
) |
|
$ |
858,478 |
|
|
$ |
(708,340 |
) |
|
$ |
(111,800 |
) |
Increase (decrease)
in Net Asset Value
per Redeemable Unit |
|
$ |
(44.58 |
) |
|
$ |
47.42 |
|
|
$ |
(37.98 |
) |
|
$ |
(5.53 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the period from |
|
|
|
|
|
|
|
|
April 1, 2008 |
|
|
|
|
For the period from |
|
For the period from |
|
(commencement of |
|
|
|
|
October 1, 2008 to |
|
July 1, 2008 to |
|
trading
operations) to |
|
|
|
|
December 31, 2008 |
|
September 30, 2008 |
|
June 30, 2008 |
|
|
Net realized and
unrealized trading
gains (losses) net of
brokerage
commissions and
clearing fees
including interest
income |
|
$ |
421,041 |
|
|
$ |
(1,628,764 |
) |
|
$ |
2,183,508 |
|
|
|
|
|
Net income (loss) |
|
$ |
404,056 |
|
|
$ |
(1,641,549 |
) |
|
$ |
2,142,228 |
|
|
|
|
|
Increase
(decrease) in Net
Asset Value per
Redeemable Unit |
|
$ |
19.88 |
|
|
$ |
(68.62 |
) |
|
$ |
89.08 |
|
|
|
|
|
F-99
To the Limited
Partners of
CMF SandRidge Master Fund L.P.
To the best of the knowledge and belief of the undersigned, the
information contained herein is accurate and complete.
Chief Financial Officer and Director
Ceres Managed Futures LLC
General Partner,
CMF SandRidge Master Fund L.P.
Ceres Managed Futures LLC
55 East 59th Street
10th Floor
New York, N.Y. 10022
212-559-2011
F-100
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Partners of
CMF SandRidge Master Fund L.P.:
We have audited the accompanying statement of financial condition of CMF SandRidge Master Fund L.P.
(the Partnership), including the condensed schedule of investments, as of December 31, 2009, and the
related statements of income and expenses, and changes in partners capital for the year then
ended. These financial statements are the responsibility of the Partnerships management. Our
responsibility is to express an opinion on these financial statements based on our audit. The
financial statements of the Partnership for the years ended December 31, 2008 and 2007 were audited
by other auditors whose reports, dated March 26, 2009 and March 24, 2008, expressed unqualified
opinions on those statements.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight
Board (United States). Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material misstatement. The
Partnership is not required to have, nor were we engaged to perform, an audit of its internal
control over financial reporting. Our audit included consideration of internal control over
financial reporting as a basis for designing audit procedures that are appropriate in the
circumstances, but not for the purpose of expressing an opinion on the effectiveness of the
Partnerships internal control over financial reporting. Accordingly, we express no such opinion.
An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures
in the financial statements, assessing the accounting principles used and significant estimates
made by management, as well as evaluating the overall financial statement presentation. We believe
that our audit provides a reasonable basis for our opinion.
In our opinion, such financial statements present fairly, in all material respects, the financial
position of CMF SandRidge Master Fund L.P. as of December 31, 2009, and the results of its
operations and its changes in partners capital for the year then ended, in conformity with
accounting principles generally accepted in the United States of America.
/s/ Deloitte & Touche LLP
New York, New York
March 19, 2010
F-101
Report of Independent Auditors
To the Partners of
CMF SandRidge Master Fund L.P.:
In our
opinion, the accompanying statement of financial condition, including
the condensed schedule of
investments, and the related statement of income and expenses, and statement of changes in partners
capital present fairly, in all material respects, the financial position of CMF SandRidge Master
Fund L.P. at December 31, 2008, and the results of its operations for the year then ended
in conformity with accounting principles generally accepted in the United States of America. These
financial statements are the responsibility of the Companys management. Our responsibility is to
express an opinion on these financial statements based on our audit. We conducted our audit of
these statements in accordance with auditing standards generally accepted in the United States of
America. Those standards require that we plan and perform the audit to obtain reasonable assurance
about whether the financial statements are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates made by management,
and evaluating the overall financial statement presentation. We believe that our audit provides a
reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
New York, New York
March 26, 2009
F-102
Report of Independent Registered Public Accounting Firm
The Partners
CMF SandRidge Master Fund L.P.:
We have audited the
accompanying statements of income and expenses and changes in partners capital
of CMF SandRidge Master Fund L.P. for the year ended December 31, 2007.
These financial statements are the responsibility of the Partnerships management.
Our responsibility is to express an opinion on these financial statements based on our audit.
We conducted our audit in
accordance with the standards of the Public Company Accounting Oversight Board (United States).
Those standards require that we plan and perform the audit to obtain reasonable
assurance about whether the financial statements are free of material misstatement.
An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management,
as well as evaluating the overall financial statement presentation. We believe
that our audit provides a reasonable basis for our opinion.
In our opinion, the
financial statements referred to above present fairly, in all material respects,
the results of operations and changes in partners capital of CMF SandRidge Master
Fund L.P. for the year ended December 31, 2007, in conformity with U.S.
generally accepted accounting principles.
/s/ KPMG LLP
New York, New York
March 24, 2008
F-103
CMF SandRidge
Master Fund L.P.
Statements of Financial Condition
December 31, 2009 and 2008
|
|
|
|
|
|
|
|
|
|
|
2009
|
|
|
2008
|
|
|
Assets:
|
|
|
|
|
|
|
|
|
Equity in trading account:
|
|
|
|
|
|
|
|
|
Cash (Note 3c)
|
|
$
|
691,877,329
|
|
|
$
|
530,398,527
|
|
Cash margin (Note 3c)
|
|
|
22,651,198
|
|
|
|
29,705,022
|
|
Options owned, at fair value (cost $1,392,000 and $3,510,375 at
December 31, 2009 and 2008, respectively)
|
|
|
1,092,800
|
|
|
|
4,987,535
|
|
|
|
|
|
|
|
|
|
|
Total assets
|
|
$
|
715,621,327
|
|
|
$
|
565,091,084
|
|
|
|
|
|
|
|
|
|
|
Liabilities and Partners Capital:
|
|
|
|
|
|
|
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
Net unrealized depreciation on open futures and exchange cleared
swap contracts
|
|
$
|
29,412,753
|
|
|
$
|
110,973,333
|
|
Options written, at fair value (premium $994,000 and $3,103,510
at December 31, 2009 and 2008, respectively)
|
|
|
1,249,600
|
|
|
|
4,282,963
|
|
Accrued expenses:
|
|
|
|
|
|
|
|
|
Professional fees
|
|
|
49,481
|
|
|
|
116,342
|
|
|
|
|
|
|
|
|
|
|
Total liabilities
|
|
|
30,711,834
|
|
|
|
115,372,638
|
|
|
|
|
|
|
|
|
|
|
Partners Capital:
|
|
|
|
|
|
|
|
|
General Partner, 0.0000 Unit equivalents at December 31,
2009 and 2008
|
|
|
|
|
|
|
|
|
Limited Partners Capital, 311,109.5773 and 247,850.0335
Redeemable Units of Limited Partnership Interest outstanding at
December 31, 2009 and 2008, respectively
|
|
|
684,909,493
|
|
|
|
449,718,446
|
|
|
|
|
|
|
|
|
|
|
Total liabilities and partners capital
|
|
$
|
715,621,327
|
|
|
$
|
565,091,084
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-104
CMF SandRidge
Master Fund L.P.
Condensed
Schedule of Investments
December 31, 2009
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Number of
|
|
|
|
|
|
% of Partners
|
|
|
|
Contracts
|
|
|
Fair Value
|
|
|
Capital
|
|
|
Futures and Exchange Cleared Swap Contracts Purchased
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy
|
|
|
|
|
|
|
|
|
|
|
|
|
ICE Henry Hub Natural Gas Swap Apr. 10 Dec. 14
|
|
|
33,801
|
|
|
$
|
(11,509,797
|
)
|
|
|
(1.68
|
)%
|
NYMEX Henry Hub Natural Gas Swap Mar. 10 Dec. 14
|
|
|
14,452
|
|
|
|
(7,309,750
|
)
|
|
|
(1.07
|
)
|
NYMEX Henry Hub Natural Gas May 10 May 11
|
|
|
4,825
|
|
|
|
(5,954,147
|
)
|
|
|
(0.87
|
)
|
NYMEX Henry Hub Penultimate Mar. 10
|
|
|
524
|
|
|
|
495,220
|
|
|
|
0.07
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures and exchange cleared swap contracts purchased
|
|
|
|
|
|
|
(24,278,474
|
)
|
|
|
(3.55
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures and Exchange Cleared Swap Contracts Sold
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy
|
|
|
|
|
|
|
|
|
|
|
|
|
ICE Henry Hub Natural Gas Swap Mar. 10 March 11
|
|
|
22,040
|
|
|
|
(6,466,193
|
)
|
|
|
(0.94
|
)
|
NYMEX Henry Hub Natural Gas Swap May 10 Dec. 13
|
|
|
10,108
|
|
|
|
5,801,850
|
|
|
|
0.84
|
|
NYMEX Henry Hub Natural Gas Mar. 10 Sept. 10
|
|
|
6,621
|
|
|
|
(4,469,936
|
)
|
|
|
(0.65
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures and exchange cleared swap contracts sold
|
|
|
|
|
|
|
(5,134,279
|
)
|
|
|
(0.75
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options Owned
|
|
|
|
|
|
|
|
|
|
|
|
|
Puts
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy
|
|
|
240
|
|
|
|
1,092,800
|
|
|
|
0.16
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total options owned
|
|
|
|
|
|
|
1,092,800
|
|
|
|
0.16
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options Written
|
|
|
|
|
|
|
|
|
|
|
|
|
Calls
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy
|
|
|
240
|
|
|
|
(1,249,600
|
)
|
|
|
(0.18
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total options written
|
|
|
|
|
|
|
(1,249,600
|
)
|
|
|
(0.18
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
|
|
|
|
$
|
(29,569,553
|
)
|
|
|
(4.32
|
)%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-105
CMF SandRidge
Master Fund L.P.
Condensed
Schedule of Investments
December 31, 2008
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Number of
|
|
|
|
|
|
% of Partners
|
|
|
|
Contracts
|
|
|
Fair Value
|
|
|
Capital
|
|
|
Futures and Exchange Cleared Swap Contracts Purchased
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy
|
|
|
|
|
|
|
|
|
|
|
|
|
ICE Henry Hub Natural Gas Swap April 09 Dec. 14
|
|
|
30,555
|
|
|
$
|
(72,012,250
|
)
|
|
|
(16.01
|
)%
|
NYMEX Natural Gas Swap Oct. 09 Dec. 14
|
|
|
10,464
|
|
|
|
(43,628,900
|
)
|
|
|
(9.70
|
)
|
NYMEX Natural Gas Aug. 09 Oct. 10
|
|
|
6,052
|
|
|
|
(113,269,862
|
)
|
|
|
(25.19
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures and exchange cleared swap contracts purchased
|
|
|
|
|
|
|
(228,911,012
|
)
|
|
|
(50.90
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures and Exchange Cleared Swap Contracts Sold
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy
|
|
|
|
|
|
|
|
|
|
|
|
|
ICE Henry Hub Natural Gas Swap Feb. 09 Oct. 10
|
|
|
25,108
|
|
|
|
34,592,590
|
|
|
|
7.69
|
|
NYMEX Henry Hub Natural Gas Feb. 09 Dec. 12
|
|
|
10,624
|
|
|
|
42,565,560
|
|
|
|
9.46
|
|
NYMEX Natural Gas Feb. 09 Sep. 09
|
|
|
6,572
|
|
|
|
40,779,529
|
|
|
|
9.07
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures and exchange cleared swap contracts sold
|
|
|
|
|
|
|
117,937,679
|
|
|
|
26.22
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options Owned
|
|
|
|
|
|
|
|
|
|
|
|
|
Puts
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy
|
|
|
730
|
|
|
|
4,987,535
|
|
|
|
1.11
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total options owned
|
|
|
|
|
|
|
4,987,535
|
|
|
|
1.11
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options Written
|
|
|
|
|
|
|
|
|
|
|
|
|
Calls
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy
|
|
|
15
|
|
|
|
(4,380
|
)
|
|
|
(0.00
|
)*
|
Puts
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy
|
|
|
1,675
|
|
|
|
(4,278,583
|
)
|
|
|
(0.95
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total options written
|
|
|
|
|
|
|
(4,282,963
|
)
|
|
|
(0.95
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
|
|
|
|
$
|
(110,268,761
|
)
|
|
|
(24.52
|
)%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-106
CMF SandRidge
Master Fund L.P.
Statements of Income and Expenses
for the years ended
December 31, 2009, 2008 and 2007
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2009
|
|
|
2008
|
|
|
2007
|
|
|
Income:
|
|
|
|
|
|
|
|
|
|
|
|
|
Net gains (losses) on trading of commodity interests:
|
|
|
|
|
|
|
|
|
|
|
|
|
Net realized gains (losses) on closed contracts
|
|
$
|
18,484,633
|
|
|
$
|
209,086,188
|
|
|
$
|
40,099,593
|
|
Change in net unrealized gains (losses) on open contracts
|
|
|
80,708,073
|
|
|
|
(109,479,479
|
)
|
|
|
634,796
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gain (loss) from trading, net
|
|
|
99,192,706
|
|
|
|
99,606,709
|
|
|
|
40,734,389
|
|
Interest Income
|
|
|
388,904
|
|
|
|
4,119,717
|
|
|
|
9,737,038
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total income (loss)
|
|
|
99,581,610
|
|
|
|
103,726,426
|
|
|
|
50,471,427
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses:
|
|
|
|
|
|
|
|
|
|
|
|
|
Clearing fees
|
|
|
623,298
|
|
|
|
390,792
|
|
|
|
677,706
|
|
Professional fees
|
|
|
210,642
|
|
|
|
269,306
|
|
|
|
261,470
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses
|
|
|
833,940
|
|
|
|
660,098
|
|
|
|
939,176
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss)
|
|
$
|
98,747,670
|
|
|
$
|
103,066,328
|
|
|
$
|
49,532,251
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss) per Redeemable Unit of Limited Partnership
interest (Notes 1 and 6)
|
|
$
|
388.51
|
|
|
$
|
468.42
|
|
|
$
|
242.28
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Weighted average units outstanding
|
|
|
275,661.9324
|
|
|
|
241,781.3550
|
|
|
|
212,935.2422
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-107
CMF SandRidge
Master Fund L.P.
Statements of Changes in Partners Capital
for the years ended
December 31, 2009, 2008 and 2007
|
|
|
|
|
|
|
Partners
|
|
|
|
Capital
|
|
|
Partners Capital at December 31, 2006
|
|
$
|
215,065,486
|
|
Net income (loss)
|
|
|
49,532,251
|
|
Sale of 69,725.8292 Redeemable Units of Limited Partnership
Interest
|
|
|
89,474,602
|
|
Redemption of 24,714.6195 Redeemable Units of Limited
Partnership Interest
|
|
|
(31,803,576
|
)
|
Distribution of interest income to feeder funds
|
|
|
(9,737,038
|
)
|
|
|
|
|
|
Partners Capital at December 31, 2007
|
|
|
312,531,725
|
|
Net income (loss)
|
|
|
103,066,328
|
|
Sale of 80,081.4747 Redeemable Units of Limited Partnership
Interest
|
|
|
141,534,374
|
|
Redemption of 61,402.1561 Redeemable Units of Limited
Partnership Interest
|
|
|
(103,294,264
|
)
|
Distribution of interest income to feeder funds
|
|
|
(4,119,717
|
)
|
|
|
|
|
|
Partners Capital at December 31, 2008
|
|
|
449,718,446
|
|
Net income (loss)
|
|
|
98,747,670
|
|
Sale of 127,771.5856 Redeemable Units of Limited Partnership
Interest
|
|
|
270,602,300
|
|
Redemption of 64,512.0418 Redeemable Units of Limited
Partnership Interest
|
|
|
(133,770,019
|
)
|
Distribution of interest income to feeder funds
|
|
|
(388,904
|
)
|
|
|
|
|
|
Partners Capital at December 31, 2009
|
|
$
|
684,909,493
|
|
|
|
|
|
|
Net Asset Value per Redeemable Unit of Limited Partnership
Interest:
|
|
|
|
|
|
|
|
|
|
2007:
|
|
$
|
1,363.75
|
|
|
|
|
|
|
|
|
|
|
|
2008:
|
|
$
|
1,814.48
|
|
|
|
|
|
|
|
|
|
|
|
2009:
|
|
$
|
2,201.51
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-108
CMF SandRidge
Master Fund L.P.
Notes to
Financial Statements
December 31, 2009
|
|
1.
|
Partnership
Organization:
|
CMF SandRidge Master Fund L.P. (the Master) is
a limited partnership that was organized under the partnership
laws of the State of New York to engage in the speculative
trading of a diversified portfolio of commodity interests
including futures contracts, options, swaps and forward
contracts. The commodity interests that are traded by the Master
are volatile and involve a high degree of market risk. The
Master may trade commodity futures and option contracts of any
kind but intends initially to trade solely energy and energy
related products. The Master is authorized to sell an unlimited
number of redeemable units of Limited Partnership Interest
(Redeemable Units).
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 Master. 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 (NFA). 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 Master, 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.
On December 1, 2005 (commencement of trading operations),
Bristol Energy Fund L.P., (formerly Smith Barney Bristol Energy
Fund L.P.) (Bristol) allocated substantially
all of its capital to the Master. Bristol purchased 14,461.8400
Redeemable Units with cash equal to $14,477,858 and a
contribution of open commodity futures and options positions
with a fair value of $(16,018). On May 1, 2006, two
separate private investors (Private Investor I and
Private Investor II) each allocated substantially
all of their capital to the Master. Private Investor I purchased
23,073.5521 Redeemable Units with cash equal to $28,000,000 and
Private Investor II purchased 4,944.3326 Redeemable Units
with cash equal to $6,000,000. On October 1, 2006, CMF
SandRidge Feeder (Cayman) Ltd. (SandRidge Feeder)
and Energy Advisors Portfolio L.P., (formerly Citigroup Energy
Advisors Portfolio L.P.) (Energy Advisors) each
allocated substantially all of their capital to the Master.
SandRidge Feeder purchased 22,075.2638 Redeemable Units with
cash equal to $25,000,000. Energy Advisors purchased 2,092.7350
Redeemable Units with cash equal to $2,370,000. On April 1,
2007, Diversified 2000 Futures Fund L.P., (formerly
Citigroup Diversified 2000 Futures Fund L.P.)
(Diversified 2000) purchased 7,659.0734 Redeemable
Units with cash equal to $9,635,703. On March 1, 2009,
Tactical Diversified Futures Fund L.P., (formerly Citigroup
Diversified Futures Fund L.P.) (Tactical Diversified),
purchased 14,408.1177 Redeemable Units with cash equal to
$27,000,000. On June 1, 2009, Diversified Multi-Advisor
Futures Fund L.P., (Diversified), (formerly
Smith Barney Diversified Futures Fund L.P.) and Diversified
Multi-Advisors Futures Fund L.P. II, (Diversified
II), (formerly Smith Barney Diversified Futures Fund L.P.
II) each allocated a portion of their capital to the Master.
Diversified purchased 1,370.9885 Redeemable Units with cash
equal to $2,818,836. Diversified II purchased 2,086.0213
Redeemable Units with cash equal to 4,288,986. The Master was
formed to permit commodity pools managed now and in the future
by SandRidge Capital, L.P. (the Advisor) using the
Energy Program, the Advisors proprietary systematic
trading program, to invest together in one trading vehicle.
The Master operates under a structure where its investors are
Bristol, Private Investor I, Private Investor II, SandRidge
Feeder, Energy Advisors, Diversified 2000, Tactical Diversified,
Diversified and Diversified II (each a Feeder,
collectively the Funds) with approximately 70.1%,
4.2%, 0.7%, 9.0%, 1.3%, 2.0%, 11.7%, 0.4% and 0.6% investments
in the Master at December 31, 2009, respectively. Bristol,
Private Investor I, Private Investor II, SandRidge Feeder,
Energy Advisors and Diversified 2000 had approximately 75.3%,
5.2%, 0.9%, 13.7%, 2.1% and 2.8% investments in the Master at
December 31, 2008, respectively.
F-109
CMF SandRidge
Master Fund L.P.
Notes to Financial Statements
December 31, 2009
The Master will be liquidated upon the first to occur of the
following: December 31, 2025; or under certain other
circumstances as defined in the Limited Partnership Agreement of
the Master (the Limited Partnership Agreement).
On July 1, 2009, the Financial Accounting Standards Board
(FASB) issued Statement of Financial Accounting
Standards (FAS) No. 168, The FASB Accounting
Standards Codification and the Hierarchy of Generally Accepted
Accounting Principles, also known as FASB Accounting Standards
Codification (ASC) 105, Generally Accepted
Accounting Principles (ASC 105) (the
Codification). ASC 105 established the
exclusive authoritative reference for U.S. Generally Accepted
Accounting Principles (GAAP) for use in financial
statements except for Securities Exchange Commission
(SEC) rules and interpretive releases, which are
also authoritative GAAP for SEC registrants. The Codification
supersedes all existing non-SEC accounting and reporting
standards. The Codification is the single source of
authoritative accounting principles generally accepted in the
United States and applies to all financial statements issued
after September 15, 2009.
|
|
|
|
a.
|
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.
In making these estimates and assumptions, management has
considered the effects, if any, of events occurring after the
date of the Masters Statements of Financial Condition
through the date the financial statements were issued. As a
result, actual results could differ from these estimates.
|
|
|
b.
|
Statement of Cash Flows. The Master is not
required to provide a Statement of Cash Flows as permitted by
ASC 230, 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).
|
|
|
c.
|
Masters Investments. All commodity
interests of the Master (including derivative financial
instruments and derivative commodity instruments) are held for
trading purposes. The commodity interests are recorded on trade
date and open contracts are recorded at fair value (as described
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 gains or losses from the preceding
period are reported in the Statements of Income and Expenses.
|
Masters Fair Value Measurements. The
Master adopted ASC 820, 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 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 Master did
not apply the deferral allowed by ASC 820 for nonfinancial
assets and nonfinancial liabilities measured at fair value on a
nonrecurring basis.
F-110
CMF SandRidge
Master Fund L.P.
Notes to Financial Statements
December 31, 2009
In 2009, the Master adopted amendments to ASC 820, Fair Value
Measurements and Disclosure (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) which
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. These amendments to ASC 820
also reaffirm 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. These
amendments to ASC 820 are 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 Masters Level 2 assets and
liabilities. The adoption of the amendments to ASC 820 had
no effect on the Masters Financial Statements.
The 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 years ended December 31,
2009 and 2008, the Master did not hold any derivative
instruments for which market quotations are not available and
which are priced by broker-dealer who derive fair values for
those assets from observable inputs (Level 2) or 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
|
|
|
|
|
|
Significant
|
|
|
|
|
|
|
Active Markets for
|
|
|
Significant Other
|
|
|
Unobservable
|
|
|
|
|
|
|
Identical Sets
|
|
|
Observable Inputs
|
|
|
Inputs
|
|
|
|
12/31/2009
|
|
|
(Level 1)
|
|
|
(Level 2)
|
|
|
(Level 3)
|
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options owned
|
|
$
|
1,092,800
|
|
|
$
|
1,092,800
|
|
|
$
|
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total assets
|
|
$
|
1,092,800
|
|
|
$
|
1,092,800
|
|
|
$
|
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures and Exchange Cleared Swaps
|
|
$
|
29,412,753
|
|
|
$
|
29,412,753
|
|
|
$
|
|
|
|
$
|
|
|
Options written
|
|
|
1,249,600
|
|
|
|
1,249,600
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total liabilities
|
|
|
30,662,353
|
|
|
|
30,662,353
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
$
|
(29,569,553
|
)
|
|
$
|
(29,569,553
|
)
|
|
$
|
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Quoted Prices in
|
|
|
|
|
|
Significant
|
|
|
|
|
|
|
Active Markets for
|
|
|
Significant Other
|
|
|
Unobservable
|
|
|
|
|
|
|
Identical Assets
|
|
|
Observable Inputs
|
|
|
Inputs
|
|
|
|
12/31/2008
|
|
|
(Level 1)
|
|
|
(Level 2)
|
|
|
(Level 3)
|
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options owned
|
|
$
|
4,987,535
|
|
|
$
|
4,987,535
|
|
|
$
|
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total assets
|
|
$
|
4,987,535
|
|
|
$
|
4,987,535
|
|
|
$
|
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures and Exchange Cleared Swaps
|
|
$
|
110,973,333
|
|
|
$
|
110,973,333
|
|
|
$
|
|
|
|
$
|
|
|
Options written
|
|
|
4,282,963
|
|
|
|
4,282,963
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total liabilities
|
|
|
115,256,296
|
|
|
|
115,256,296
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
$
|
(110,268,761
|
)
|
|
$
|
(110,268,761
|
)
|
|
$
|
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
F-111
CMF SandRidge
Master Fund L.P.
Notes to Financial Statements
December 31, 2009
|
|
|
|
d.
|
Futures Contracts. The Master trades futures
contracts. Exchange cleared swaps included in futures and
exchange cleared swaps are swaps that are traded as futures. 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
Master each business day, depending on the daily fluctuations in
the value of the underlying contracts, and are recorded as
unrealized gains or losses by the Master. When the contract is
closed, the Master records a realized gain or loss equal to the
difference between the value of the contract at the time it was
opened and the value at the time it was closed. 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.
|
|
|
e.
|
Options. The Master may purchase and write
(sell), both exchange listed and
over-the-counter,
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 Master writes an option, the premium
received is recorded as a liability in the Statements of
Financial Condition and marked to market daily. When the Master
purchases an option, the premium paid is recorded as an asset in
the Statements of Financial Condition and marked to market
daily. Realized gains (losses) and changes in unrealized gains
(losses) on options contracts are included in the Statements of
Income and Expenses.
|
|
|
|
|
f.
|
Income and Expenses Recognition. All of the
income and expenses and realized and unrealized gains and losses
on trading of commodity interests are determined on each
valuation day and allocated pro rata among the Funds at the time
of such determination.
|
|
|
|
|
g.
|
Income Taxes. Income taxes have not been
provided as each partner is individually liable for the taxes,
if any, on their share of the Masters income and expenses.
|
In 2007, the Master adopted ASC 740, Income Taxes
(formerly, FAS No. 48, Accounting for Uncertainty in
Income Taxes). ASC 740 provides guidance for how
uncertain tax positions should be recognized, measured,
presented and disclosed in the financial statements.
ASC 740 requires the evaluation of tax positions taken or
expected to be taken in the course of preparing the
Masters financial statements to determine whether the tax
positions are more-likely-than-not to be sustained
by the applicable tax authority. Tax positions with respect to
tax at the Master 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 concluded that no provision for income tax is
required in the Masters financial statements.
The following is the major tax jurisdiction for the Master and
the earliest tax year subject to examination: United
States 2006.
|
|
|
|
h.
|
Subsequent Events. In 2009, the Master adopted
ASC 855, Subsequent Events (formerly, FAS No. 165,
Subsequent Events). The objective of ASC 855 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.
Management has determined that there were no subsequent events
requiring adjustment or disclosure in the financial statements.
|
|
|
|
|
i.
|
Recent Accounting Pronouncements. In January
2010, the FASB issued Accounting Standards Update
No. 2010-06
(ASU
2010-06),
Improving Disclosures about Fair Value Measurements,
which, among other things, amends ASC 820 to require entities to
separately present purchases, sales, issuances, and settlements
in their reconciliation of Level 3 fair value measurements
(i.e. to
|
F-112
CMF SandRidge
Master Fund L.P.
Notes to Financial Statements
December 31, 2009
|
|
|
|
|
present such items on a gross basis rather than on a net basis),
and which clarifies existing disclosure requirements provided by
ASC 820 regarding the level of disaggregation and the inputs and
valuation techniques used to measure fair value for measurements
that fall within either Level 2 or Level 3 of the fair
value hierarchy. ASU
2010-06 is
effective for interim and annual periods beginning after
December 15, 2009, except for the disclosures about
purchases, sales, issuances, and settlements in the roll forward
of activity in Level 3 fair value measurements (which are
effective for fiscal years beginning after December 15,
2010, and for interim periods within those fiscal years).
Management is currently assessing the impact that the adoption
of ASU
2010-06 will
have on the Masters financial statements disclosures.
|
|
|
|
|
|
In February 2010, the FASB issued Accounting Standards Update
No. 2010-09
(ASU
2010-09),
Subsequent Events (Topic 855): Amendments to Certain
Recognition and Disclosure Requirements, which among other
things amended ASC 855 to remove the requirement for an SEC
filer to disclose the date through which subsequent events have
been evaluated. This change alleviates potential conflicts
between ASC 855 and the SECs requirements. All of the
amendments in this update are effective upon issuance of this
update. Management has included the provisions of these
amendments in the financial statements.
|
|
|
j.
|
Certain prior period amounts have been reclassified to conform
to current year presentation.
|
|
|
k.
|
Net Income (Loss) per Redeemable Unit. Net
income (loss) per Redeemable Unit is calculated in accordance
with investment company guidance. See footnote 6 for Financial
Highlights.
|
|
|
|
|
a.
|
Limited Partnership Agreement:
|
The General Partner administers the business and affairs of the
Master including selecting one or more advisors to make trading
decisions for the Master.
The General Partner, on behalf of the Master, has entered into a
management agreement (the Management Agreement) with
the Advisor, a registered commodity trading advisor. The Advisor
is not affiliated with the General Partner or CGM and is not
responsible for the organization or operation of the Master. The
Management Agreement provides that the Advisor has sole
discretion in determining the investment of the assets of the
Master. All management fees in connection with the Management
Agreement are borne by the Funds. The Management Agreement may
be terminated upon notice by either party.
The Master has entered into a customer agreement (the
Customer Agreement) with CGM whereby CGM provides
services which include, among other things, the execution of
transactions for the Masters account in accordance with
orders placed by the Advisor. All exchange, clearing, user,
give-up,
floor brokerage and NFA fees (collectively the clearing
fees) are borne by the Master. All other fees including
CGMs direct brokerage commission shall be borne by the
Funds. All of the Masters assets are deposited in the
Masters account at CGM. The Masters cash is
deposited by CGM in segregated bank accounts to the extent
required by Commodity Futures Trading Commission regulations. At
December 31, 2009 and 2008, the amounts of cash held by the
Master for margin requirements were $22,651,198 and $29,705,022,
respectively. The Customer Agreement may be terminated upon
notice by either party.
The Master was formed for the purpose of trading contracts in a
variety of commodity interests, including derivative financial
instruments and derivative commodity interests. The results of
the Masters trading activities are shown in the Statements
of Income and Expenses.
F-113
CMF SandRidge
Master Fund L.P.
Notes to Financial Statements
December 31, 2009
The Customer Agreement between the Master and CGM gives the
Master the legal right to net unrealized gains and losses on
open futures and exchange cleared swap contracts. The Master
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, Balance
Sheet (formerly, FASB Interpretation No. 39,
Offsetting of Amounts Related to Certain contracts)
have been met.
All of the commodity interests owned by the Master are held for
trading purposes. The average number of futures, exchange
cleared swap and option contracts traded for the year ended
December 31, 2009, based on a quarterly calculation was
68,224.
The Master adopted ASC 815, Derivatives and Hedging
(formerly, FAS No. 161, Disclosures 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 only
expands the disclosure requirements for derivative instruments
and related hedging activities and has no impact on the
Statements of Financial Condition, Statements of Income and
Expenses and Statements of Changes in Partners Capital.
The following table indicates the fair values of derivative
instruments of futures, exchange cleared swap and option
contracts as separate assets and liabilities for the year ended
December 31, 2009.
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2009
|
|
|
|
|
December 31, 2009
|
|
|
Assets
|
|
|
|
|
|
Assets
|
|
|
|
|
Futures and Exchange Cleared Swap Contracts
|
|
|
|
|
|
Options Owned
|
|
|
|
|
Energy
|
|
$
|
37,079,802
|
|
|
Energy
|
|
$
|
1,092,800
|
|
|
|
|
|
|
|
|
|
|
|
|
Total unrealized appreciation on open futures and exchange
cleared swap contracts
|
|
$
|
37,079,802
|
|
|
Options owned
|
|
$
|
1,092,800
|
**
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
|
Liabilities
|
|
|
|
|
Futures and Exchange Cleared Swap Contracts
|
|
|
|
|
|
Options Written
|
|
|
|
|
Energy
|
|
$
|
(66,492,555
|
)
|
|
Energy
|
|
$
|
(1,249,600
|
)
|
|
|
|
|
|
|
|
|
|
|
|
Total unrealized depreciation on open futures and exchange
cleared swap contracts
|
|
$
|
(66,492,555
|
)
|
|
Options written
|
|
$
|
(1,249,600
|
)***
|
|
|
|
|
|
|
|
|
|
|
|
Net unrealized depreciation on open futures contracts
|
|
$
|
(29,412,753
|
)*
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
This amount is in Net unrealized depreciation on open
futures and exchange cleared swap contracts on the
Statements of Financial Condition. |
|
** |
|
This amount is in Options owned at fair value on the
Statements of Financial Condition. |
|
*** |
|
This amount is in Options written at fair value on
the Statements of Financial Condition. |
The following table indicates the trading gains and losses, by
market sector, on derivative instruments for the year ended
December 31, 2009.
|
|
|
|
|
|
|
December 31, 2009
|
|
Sector
|
|
Gain (loss) from trading
|
|
|
Energy
|
|
$
|
99,192,706
|
|
|
|
|
|
|
Total
|
|
$
|
99,192,706
|
****
|
|
|
|
|
|
|
|
|
**** |
|
This amount is in Gain(loss) from trading, net on
the Statements of Income and Expenses. |
F-114
CMF SandRidge
Master Fund L.P.
Notes to Financial Statements
December 31, 2009
|
|
5.
|
Subscriptions,
Distributions and Redemptions:
|
Subscriptions are accepted monthly from investors and they
become Limited Partners on the first day of the month after
their subscription is processed. A Limited Partner may withdraw
all or part of their capital contribution and undistributed
profits, if any, from the Masters in multiples of the Net Asset
Value per Redeemable Unit of Limited Partnership Interest as of
the end day of any day (the Redemption Date) after a
request for redemption has been made to the General Partner at
least 3 days in advance of the Redemption Date. The
Redeemable Units are classified as a liability when the Limited
Partner elects to redeem and informs the Master.
Changes in the Net Asset Value per Redeemable Unit of Limited
Partnership Interest for the years ended December 31, 2009,
2008 and 2007 were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2009
|
|
|
2008
|
|
|
2007
|
|
|
Net realized and unrealized gains (losses)*
|
|
$
|
387.81
|
|
|
$
|
451.86
|
|
|
$
|
197.11
|
|
Interest income
|
|
|
1.48
|
|
|
|
17.69
|
|
|
|
46.35
|
|
Expenses**
|
|
|
(0.78
|
)
|
|
|
(1.13
|
)
|
|
|
(1.18
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Increase (decrease) for the year
|
|
|
388.51
|
|
|
|
468.42
|
|
|
|
242.28
|
|
Distribution of interest income to feeder funds
|
|
|
(1.48
|
)
|
|
|
(17.69
|
)
|
|
|
(46.35
|
)
|
Net Asset Value per Redeemable Unit of Limited Partnership
Interest, beginning of year
|
|
|
1,814.48
|
|
|
|
1,363.75
|
|
|
|
1,167.82
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Asset Value per Redeemable Unit of Limited Partnership
Interest, end of year
|
|
$
|
2,201.51
|
|
|
$
|
1,814.48
|
|
|
$
|
1,363.75
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Includes clearing fees. |
|
|
** |
|
Excludes clearing fees. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2009
|
|
|
2008
|
|
|
2007
|
|
|
Ratios to average net assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)***
|
|
|
(0.1
|
)%
|
|
|
0.9
|
%
|
|
|
3.3
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Operating expenses
|
|
|
0.1
|
%
|
|
|
0.2
|
%
|
|
|
0.3
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return
|
|
|
21.3
|
%
|
|
|
34.3
|
%
|
|
|
20.8
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
*** |
|
Interest income less total expenses. |
The above ratios may vary for individual investors based on the
timing of capital transactions during the year. Additionally,
these ratios are calculated for the Limited Partner class using
the Limited Partners share of income, expenses and average
net assets.
|
|
7.
|
Financial
Instrument Risks:
|
In the normal course of its business, the Master is party to
financial instruments with off-balance sheet risk, including
derivative financial instruments and derivative commodity
instruments. These financial instruments may include forwards,
futures, options and swaps whose values are based upon an
underlying asset, index, or reference rate, and generally
represent future commitments to exchange currencies or cash
balances, to purchase or sell other financial instruments at
specific terms at specified future dates, or, in the case of
derivative commodity instruments, to have a reasonable
possibility to be settled in cash, through physical delivery or
with another financial instrument. These instruments may be
traded on an exchange or over-the-counter (OTC).
Exchange traded instruments are standardized and include futures
and certain forwards and option contracts. OTC contracts are
negotiated between contracting parties and include certain
forwards and option contracts. Each of these instruments is
subject to various risks similar
F-115
CMF SandRidge
Master Fund L.P.
Notes to Financial Statements
December 31, 2009
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 Master due to market
changes, including interest and foreign exchange rate movements
and fluctuations in commodity or security prices. Market risk is
directly impacted by the volatility and liquidity in the markets
in which the related underlying assets are traded. The Master is
exposed to 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 Masters risk of loss in the event of
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 Masters risk of loss is reduced through
the use of legally enforceable master netting agreements with
counterparties that permit the Master to offset unrealized gains
and losses and other assets and liabilities with such
counterparties upon the occurrence of certain events. The Master
has credit risk and concentration risk as the sole counterparty
or broker with respect to the Masters assets is CGM or a
CGM affiliate. Credit risk with respect to exchange-traded
instruments is reduced to the extent that through CGM, the
Masters counterparty is an exchange or clearing
organization.
The Advisor will concentrate the Masters trading in energy
related markets. Concentration in a limited number of commodity
interests may subject the Masters account to greater
volatility than if a more diversified portfolio of contracts.
As both a buyer and seller of options, the Master pays or
receives a premium at the outset and then bears the risk of
unfavorable changes in the price of the contract underlying the
option. Written options expose the Master 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 Master does not consider these contracts to
be guarantees as described in ASC 460 Guarantees (formerly, FAS
No. 45, Guarantors Accounting and Disclosure
Requirements for Guarantees).
The General Partner monitors and attempts to control the
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 Master may be
subject. These monitoring systems generally allow the General
Partner to statistically analyze actual trading results with
risk adjusted performance indicators and correlation statistics.
In addition, on-line monitoring systems provide account analysis
of futures, exchange cleared swaps and options positions 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 Masters
business, these instruments may not be held to maturity.
F-116
Selected unaudited quarterly financial data for SandRidge Master for the years ended December 31, 2009 and 2008 are summarized below:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the period from |
|
For the period from |
|
For the period from |
|
For the period from |
|
|
October 1, 2009 to |
|
July 1, 2009 to |
|
April 1, 2009 to |
|
January 1, 2009 to |
|
|
December 31, 2009 |
|
September 30, 2009 |
|
June 30, 2009 |
|
March 31, 2009 |
Net realized and
unrealized trading gains
(losses) net of brokerage
commissions and clearing
fees including interest
income |
|
$ |
(7,776,936 |
) |
|
$ |
34,084,889 |
|
|
$ |
31,810,672 |
|
|
$ |
40,839,687 |
|
Net income (loss) |
|
$ |
(7,833,376 |
) |
|
$ |
34,047,914 |
|
|
$ |
31,760,955 |
|
|
$ |
40,772,177 |
|
Increase (decrease) in Net
Asset Value per Redeemable
Unit |
|
$ |
(21.17 |
) |
|
$ |
125.50 |
|
|
$ |
122.39 |
|
|
$ |
161.79 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the period from |
|
For the period from |
|
For the period from |
|
For the period from |
|
|
October 1, 2008 to |
|
July 1, 2008 to |
|
April 1, 2008 to |
|
January 1, 2008 to |
|
|
December 31, 2008 |
|
September 30, 2008 |
|
June 30, 2008 |
|
March 31, 2008 |
Net realized and
unrealized trading gains
(losses) net of brokerage
commissions and clearing
fees including interest
income |
|
$ |
10,020,345 |
|
|
$ |
(31,305,268 |
) |
|
$ |
66,997,344 |
|
|
$ |
57,623,213 |
|
Net income (loss) |
|
$ |
9,955,370 |
|
|
$ |
(31,370,244 |
) |
|
$ |
66,929,871 |
|
|
$ |
57,551,331 |
|
Increase (decrease) in Net
Asset Value per Redeemable
Unit |
|
$ |
39.67 |
|
|
$ |
(131.21 |
) |
|
$ |
297.96 |
|
|
$ |
262.00 |
|
F-117
Item 9. Changes in and Disagreements with Accountants on Accounting and Financial Disclosure.
KPMG LLP (KPMG) was previously the principal accountant for the Partnership through June 26,
2008. On June 27, 2008, KPMG was dismissed as principal accountant and PricewaterhouseCoopers LLP
(PwC) was engaged as the independent registered public accounting firm. From June 27, 2008
through July 22, 2009, PwC was the principal accountant for the
Partnership. On July 22, 2009, PwC
was dismissed as principal accountant and on July 23, 2009 Deloitte & Touche LLP (Deloitte)
was engaged as the independent registered public accounting firm. The decision to change
accountants was approved by the General Partner of the Partnership.
In
connection with the audit of the fiscal year ended December 31,
2008, and through July 22, 2009,
and the audit of the fiscal year ended December 31, 2007, and through June 26, 2008, there were no
disagreements with PwC or KPMG, respectively, on any matter of accounting principles or practices,
financial statement disclosure, or auditing scope or procedures, which disagreements if not
resolved to their satisfaction would have caused them to make reference thereto in their report on
the financial statements for the corresponding year.
The respective audit report of PwC and KPMG on the financial statements of the Partnership as of
and for the years ended December 31, 2008 and 2007, respectively, did not contain any adverse
opinion or disclaimer of opinion, nor was it qualified or modified as to uncertainty, audit scope,
or accounting principle.
Item 9A(T). Controls and Procedures.
The Partnerships disclosure controls and procedures are designed to ensure that information
required to be disclosed under the Exchange Act 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 Rule 13a-15(e) and 15d-15(e) under the Exchange
Act) as of December 31, 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. |
The report included in Item 8. Financial Statements and Supplementary Data. includes
managements report on internal control over financial reporting (Managements Report) and an
attestation report of the Partnerships registered public accounting firm regarding internal
control over financial reporting. Managements Report was not required to be audited by the
Partnerships registered public accounting firm pursuant to temporary rules of the SEC that permit the Partnership to provide only managements report in this annual
report. Management elected to have its internal control over financial reporting audited.
There were no changes in the Partnerships internal control over financial reporting during
the fiscal quarter ended December 31, 2009 that materially affected, or are reasonably likely to
materially affect, the Partnerships internal control over financial reporting.
Item 9B. Other Information.
None.
26
PART III
Item 10. Directors, Executive Officers and Corporate Governance.
The Partnership has no officers or directors and its affairs are managed by its General
Partner. Investment decisions are made by the
Advisors.
The officers and directors of Ceres Managed Futures LLC (f/k/a, Citigroup Managed Futures LLC)
(the General Partner) are Jerry Pascucci (President, Chief Investment Officer and Director),
Jennifer Magro (Chief Financial Officer, Vice President and Director), Daryl Dewbrey (Secretary and
Director), Shelley Deavitt Ullman (Senior Vice President and Director) and Raymond Nolte
(Director). Each director holds office until his or her successor is elected, or until his or her
earlier death, resignation or removal. Vacancies on the board of directors may be filled by
appointment by the sole member of the General Partner, Morgan Stanley Smith Barney Holdings LLC
which wholly owns the General Partner, or by unanimous vote of the remaining directors, depending
on the circumstances of the vacancy. The officers of the General Partner are designated by the
General Partners board of directors. Each officer holds office until his or her death,
resignation or removal.
Mr. Pascucci, age 40, is President, Chief Investment Officer and Director of the General
Partner (since March 2007, May 2005 and June 2005, respectively). Mr. Pascuccis principal status
was approved by the National Futures Association (NFA) in June 2005. He is also registered as an
associated person of the General Partner (since June 2009) and of Morgan Stanley Smith Barney LLC
(Morgan Stanley Smith Barney) (since August 2009). From March 2007 to July 2009, Mr. Pascucci
was a Managing Director of Citigroup Alternative Investments LLC (CAI), a division of Citigroup
Inc. (Citigroup) that administers its hedge fund and fund of funds businesses, and until July
2009, its commodity pool business. He was also Chief Investment Officer of CAIs Hedge Fund
Management Group from March 2007 to July 2009. He was registered as an associated person of
Citigroup Global Markets Inc. (Citigroup Global Markets) from February 2006 to July 2009. Mr.
Pascucci has been responsible for trading advisor selection, due diligence and portfolio
construction for managed futures funds and accounts since May 1999. Between May 1996 and May 1999,
Mr. Pascucci served as a Senior Credit Risk Officer for Citigroup Global Markets, focused primarily
on market and counterparty risks associated with Citigroup Global Markets commodity pool and hedge
fund clients. Prior to joining Citigroup Global Markets in May 1996, Mr. Pascucci was employed
(from October 1992) by ABN AMRO North America at its European American Bank subsidiary as a
corporate banking officer where he facilitated the establishment of credit lines and other loan
facilities for corporate clients.
Ms. Magro, age 38, is Chief Financial Officer, Director and Vice President of the General
Partner (since October 2006, May 2005 and August 2001, respectively). Ms. Magros principal status
was approved by the NFA in June 2005. She was also a Managing Director of CAI and Chief Operating
Officer of CAIs Hedge Fund Management Group from October 2006 to July 2009. Ms. Magro is
responsible for the financial, administrative and operational functions of the General Partner. She is also
responsible for the accounting and financial and regulatory reporting of the General Partners
managed futures funds. From March 1999 to July 2009, Ms. Magro was responsible for the accounting
and financial and regulatory reporting of Citigroups managed futures funds. She had similar
responsibilities with CAIs Hedge Fund Management Group (from October 2006 to July 2009). Prior to
joining Citigroup Global Markets in January 1996, Ms. Magro was employed by Prudential Securities
Inc. (from July 1994) as a staff accountant whose duties included the calculation of net asset
values for commodity pools and real estate investment products.
Mr. Dewbrey, age 39, is Secretary and Director of the General Partner (since July 2009 and
March 2007, respectively). He registered as an associated person of the General Partner in January
2004 and became a principal of the General Partner in March 2007. He is also registered as an
associated person of Morgan Stanley Smith Barney (since August 2009). He was registered as an
associated person of Citigroup Global Markets from March 1998 to July 2009. Mr. Dewbrey has worked
with the General Partner in varying capacities since April 2001, and, since May 2005, Mr. Dewbrey
has been head of managed futures product development. Mr. Dewbrey was a director of CAI
responsible for marketing and client services for CAIs Hedge Fund Management Group from February
2007 to July 2009. From October 1997 to September 2000, Mr. Dewbrey was head of Citigroup Global
Markets managed futures trading desk. In September 2000, Mr. Dewbrey was selected for the Salomon
Smith Barney Sales and Trading Training Program. Mr. Dewbrey began his career in the futures
markets with Rosenthal Collins Group, a futures brokerage firm, where he worked from May 1990 to
October 1997 in varying capacities on the trading floors of the Chicago Board of Trade, COMEX and
the New York Mercantile Exchange. Mr. Dewbrey is a member of the Managed Funds Association and the
Futures Industry Association.
Ms. Ullman, age 51, is a Managing Director of Citigroup Global Markets Futures Division and a
Senior Vice President and Director of the General Partner (since May 1997 and April 1994,
respectively). Ms. Ullmans principal status was approved by the NFA in June 1994. She was
registered as an associated person of the General Partner from January 2004 to July 2009. Ms.
Ullman is registered as an associated person of Citigroup Global Markets (since July 1993). She is
also the branch manager of the Citigroup Global Markets branch that supports the General Partner
(since January 2002). Previously, Ms. Ullman was a Vice President of Lehman Brothers (October 1985
to July 1993), with responsibility for execution, administration, operations and performance
analysis for managed futures funds and accounts. She was registered as an associated person of
Lehman Brothers Inc. (from February 1983 to July 1993) and was principal of Lehman Brothers Capital
Management Corp. (from April 1989 to July 1993).
27
Mr. Nolte, age 48, is the Chief Executive Officer and the Chairman of the Investment Committee
of CAIs Hedge Fund Management Group. He registered as an associated person and became a principal
of the General Partner in March 2007. He was appointed a Director of the General Partner in March
2007. He is also registered as an associated person of Citigroup Global Markets (since October
2005). He registered as an associated person and became a principal of CAI in March 2007. Prior
to joining CAI in September 2005, Mr. Nolte worked at Deutsche Bank and its affiliate Deutsche Asset Management
(from June 1999 to September 2005). He was registered as an associated person and was a principal
of DB Capital Advisors Inc. (from July 2000 to May 2005) and DB Investment Managers Inc. (from May
2002 to June 2005). Prior to that, Mr. Nolte worked for Bankers Trust (from May 1983 until the
firm was acquired by Deutsche Bank in June 1999). During his employment at Deutsche Asset
Management, Mr. Nolte served as the Global Head and Chief Investment Officer of the DB Absolute
Return Strategies (DB ARS) Fund of Funds business, the Chairman of the DB ARS Fund of Funds
Investment Committee, the Vice Chairman of DB ARS and Head of the Single Manager Hedge Fund
business. While employed at Deutsche Bank and Deutsche Asset Management, Mr. Noltes duties
included overseeing the firms fund of funds and hedge fund businesses. Mr. Nolte was the founder
and head of the Investment Committee for the Topiary Fund, Deutsche Banks first fund of hedge
funds. The DB ARS Fund of Hedge Funds platform grew to $7 billion in assets under management
during Mr. Noltes tenure. That business was comprised of several multi-manager, multi-strategy
funds as well as single strategy funds and separate accounts.
The Partnership has not adopted a code of ethics that applies to officers because it has no
officers. In addition, the Partnership has not adopted any procedures by which investors may
recommend nominees to the Partnerships board of directors, and has not established an audit
committee because it has no board of directors.
Item 11. Executive Compensation.
The Partnership has no directors or officers. Its affairs are managed by the General Partner.
CGM, an affiliate of the General Partner, is the commodity broker for the Partnership and receives
brokerage commissions for such services, as described under Item 1. Business. Brokerage
commissions and clearing fees of $2,255,697 were earned by CGM for the year ended December 31,
2009. Management fees and incentive fees of $732,811 and $29,522, respectively, were earned by the
Advisors for the year ended December 31, 2009.
Item 12. Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters.
(a) Security ownership of certain beneficial owners. As of February 28, 2010, the
Partnership knows of no person who beneficially owns more than 5% of the Redeemable Units
outstanding.
(b) Security ownership of management. Under the terms of the Limited Partnership
Agreement, the Partnerships affairs are managed by the General Partner. The General Partner owns
Units of general partnership interest equivalent to 280.4039
Redeemable Units (1.5%) as of December
31, 2009.
Principles
of the General Partner who own Redeemable Units. None.
(c) Changes in control. None.
Item 13. Certain Relationship and Related Transactions, and Director Independence.
CGM and the General Partner would be considered promoters for purposes of item 404 (d) of
Regulation S-K. The nature and the amounts of compensation each promoter will receive from the
Partnership are set forth under Item 1. Business, Item 11. Executive
Compensation, and Item 8. Financial Statements and Supplementary Data.
Item 14. Principal Accountant Fees and Services.
(1) Audit Fees. The aggregate fees billed for each of the last two fiscal years for
professional services rendered by Deloitte in the
period from July 23, 2009 through December 31, 2009, PwC in the period from June 27,
2008 through December 31, 2008 and KPMG
in the period from January 1, 2008 through
June 26, 2008 for the audit of the Partnerships annual financial statements, review of financial
statements included in the Partnerships Forms 10-Q and 10-K and other services normally provided
in connection with regulatory filings or engagements were:
|
|
|
|
|
Deloitte |
|
$ |
62,216 |
|
PwC |
|
$ |
49,578 |
|
KPMG |
|
$ |
4,940 |
|
(2) Audit-Related Fees. None
(3) Tax Fees. In the last two fiscal years, Deloitte did not provide any professional services for tax compliance, tax advice or tax planning.
The aggregate fees billed for each of the last two fiscal years for
professional services rendered by PwC for tax compliance and tax advice
given in the preparation of the Partnerships Schedule K1s, the preparation of the Partnerships
Form 1065 and preparation of all State Tax Returns were:
|
|
|
|
|
2009 |
|
$ |
20,000 |
|
2008 |
|
$ |
22,200 |
|
(4) All Other Fees. None.
(5) Not Applicable.
(6) Not Applicable.
28
PART IV
Item 15. Exhibits, Financial Statement Schedules.
|
|
|
(a) (1)
|
|
Financial Statements: |
|
|
|
|
|
Statements of Financial Condition
at December 31, 2009 and 2008. |
|
|
|
|
|
Schedules of Investments at
December 31, 2009 and 2008. |
|
|
|
|
|
Statements of Income and Expenses
for the years ended December 31, 2009, 2008 and 2007. |
|
|
|
|
|
Statements of Changes in
Partners Capital for the years ended December 31, 2009,
2008 and 2007. |
|
|
|
|
|
Notes to Financial Statements. |
3.1 |
|
Limited Partnership Agreement (filed as Exhibit 3.1 to the Registration Statement on Form S-1
filed on February 9, 1994). |
|
3.2(a) |
|
Certificate of Limited Partnership of the Partnership as filed in the office of the
Secretary of State of the State of New York on October 13, 1993 (filed as Exhibit 3.2 to the
Registration Statement on Form S-1 filed on February 9, 1994). |
|
(b) |
|
Certificate of Amendment of the Certificate of Limited Partnership of the Partnership as
filed in the office of the Secretary of State of the State of New York, dated October 1,
1999 (filed as Exhibit 3.2(b) to the Form 10-Q filed on November 16, 2009). |
|
(c) |
|
Certificate of Amendment of the Certificate of Limited Partnership of the Partnership as
filed in the office of the Secretary of State of the State of New York, dated May 21, 2003
(filed as Exhibit 3.2(c) to the Form 10-Q filed on November 16, 2009). |
|
(d) |
|
Certificate of Amendment of the Certificate of Limited Partnership of the Partnership as
filed in the office of the Secretary of State of the State of New York, dated September 21,
2005 (filed as Exhibit 3.2(d) to the Form 10-Q filed on November 16, 2009). |
|
(e) |
|
Certificate of Amendment of the Certificate of Limited Partnership of the Partnership as
filed in the office of the Secretary of State of the State of New York, dated September 19,
2008 (filed as Exhibit 3.2(e) to the Form 10-Q filed on November 16, 2009). |
|
(f) |
|
Certificate of Amendment of the Certificate of Limited Partnership of the Partnership as
filed in the office of the Secretary of State of the State of New York, dated September 28,
2009 (filed as an exhibit to the Form 8-K filed on September 30, 2009). |
|
10.1 |
|
Customer Agreement between the Partnership and Smith Barney Shearson Inc. (filed as Exhibit
10.1 to the Registration Statement on Form S-1 filed on February 9, 1994). |
|
10.2 |
|
Escrow Instructions relating to escrow of subscription funds (filed as Exhibit 10.3 to the
Registration Statement on Form S-1 filed on February 9, 1994). |
|
10.3(a) |
|
Management Agreement among the Partnership, the General Partner and Willowbridge
Associates, Inc. (filed as an exhibit to the Form 10-K filed on March 29, 2000). |
|
(b) |
|
Letter extending Management Agreement with Willowbridge Associates, Inc. for 2009 (filed
herein). |
|
10.4(a) |
|
Management Agreement among the Partnership, the General Partner and Winton Capital
Management Limited (filed as an exhibit to the Form 10-K filed on March 27, 2002). |
|
(b) |
|
Letter extending Management Agreement with Winton Capital Management Limited for 2009
(filed herein). |
|
10.5(a) |
|
Management Agreement among the Partnership, the General Partner and Graham Capital
Management L.P. (filed as an exhibit to the Form 10-K filed on March 27, 2002). |
|
(b) |
|
Letter extending Management Agreement with Graham Capital Management L.P. for 2009 (filed
herein). |
|
10.6(a) |
|
Management Agreement among the Partnership, the General Partner and Eckhardt Trading
Company (filed as an exhibit to the Form 10-Q filed on August 14, 2008). |
|
(b) |
|
Letter extending Management Agreement with Eckhardt Trading Company for 2009 (filed
herein). |
10.7(a) |
|
Management Agreement among the Partnership, the General Partner and SandRidge Capital LP
(filed as Exhibit 10.1 to the Form 8-K filed on June 2, 2009). |
|
(b) |
|
Letter extending Management Agreement with SandRidge Capital LP for 2009 (filed
herein). |
|
10.8 |
|
Joinder Agreement among the Partnership, Citigroup Managed Futures LLC, Citigroup Global
Markets Inc. and Morgan Stanley Smith Barney LLC (filed as Exhibit 10 to the Form 10-Q filed
on August 14, 2009). |
|
16.1 |
|
Letter dated July 23, 2009 from PricewaterhouseCoopers LLP regarding Change in Certifying
Accountant (filed as Exhibit 16.1 to the Form 8-K filed on July 24, 2009). |
|
16.2 |
|
Letter dated June 26, 2008 from KPMG LLP regarding Change in Certifying Accountant (filed as
Exhibit 16.1 to the Form 8-K filed on July 1, 2008). |
The exhibits required to be filed by Item 601 of regulation S-K are incorporated herein by
reference
|
|
|
|
31.1
|
|
|
Rule 13a-14(a)/15d-14(a)
Certification (Certification of President and Director). (filed
herein) |
|
|
|
|
31.2
|
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|
Rule 13a-14(a)/15d-14(a)
Certification (Certification of Chief Financial Officer and
Director). (filed
herein)
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|
|
|
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32.1
|
|
|
Section 1350 Certification
(Certification of President and Director). (filed
herein)
|
|
|
|
|
32.2
|
|
|
Section 1350 Certification
(Certification of Chief Financial Officer and Director). (filed
herein)
|
29
SIGNATURES
Pursuant to the requirements of Section 13 or 15(d) 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, on the 31st day of March 2009.
Diversified
Multi-Advisor Futures Fund L.P.
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By:
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Ceres Managed Futures LLC
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(General Partner) |
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By:
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/s/ Jerry Pascucci |
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Jerry Pascucci, President and Director |
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|
Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been
signed below by the following persons on behalf of the Registrant and in the capacities and on the
date indicated.
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/s/ Jerry Pascucci
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/s/ Daryl Dewbrey |
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Jerry Pascucci
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Daryl Dewbrey |
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President
and Director Ceres Managed Futures LLC
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Director Ceres Managed Futures LLC |
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/s/ Jennifer Magro
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Jennifer Magro
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Chief Financial Officer and Director
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(Principal
Accounting Officer) Ceres Managed Futures LLC
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/s/ Raymond Nolte |
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Raymond Nolte |
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Director Ceres Managed Futures LLC
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/s/ Shelley Deavitt Ullman
Shelley Deavitt Ullman
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Director Ceres Managed Futures LLC |
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Supplemental Information to be Furnished With Reports Filed Pursuant to Section 15(d) of the
Act by Registrants Which Have Not Registered Securities Pursuant to Section 12 of the Act.
Annual Report to Limited Partners
No proxy material has been sent to Limited Partners.
30