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 0-53211
EMERGING CTA PORTFOLIO L.P.
(Exact name of registrant as specified in its charter)
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New York
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04-3768983 |
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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 59 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
Securities registered pursuant to Section 12(g) of the Act: Redeemable Units of Limited
Partnership Interest
(Title of Class)
Indicate
by check mark if the registrant is a well-known seasoned 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 (Do not check if a smaller reporting
company) |
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Smaller reporting company |
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the
Exchange Act).
Yes No X
Limited Partnership Redeemable Units with an aggregate value of $158,340,908 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, 117,138.2406 Limited Partnership Redeemable Units were outstanding.
DOCUMENTS
INCORPORATED BY REFERENCE
[None]
PART I
(a) General Development of Business. Emerging CTA Portfolio L.P., formerly Citigroup
Emerging CTA Portfolio L.P.(the Partnership) is a limited partnership that was organized on July
7, 2003 under the partnership laws of the State of New York. The objective of the Partnership is to
achieve capital appreciation through the allocation of assets to a
blind pool of early-stage commodity trading advisors which, directly and indirectly, engage
in speculative trading of a diversified portfolio of commodity interests, including futures
contracts, options, swaps and forward contracts. The sectors traded include currencies, livestock,
energy, grains, metals, indices, softs, U.S. and non-U.S. interest rates. The commodity interests
that are traded by the Partnership are volatile and involve a high degree of market risk.
Between December 1, 2003 (commencement of the offering period) and August 5, 2004, 20,872
redeemable units of Limited Partnership Interest (Redeemable Units) were sold at $1,000 per
Redeemable Unit. The proceeds of the initial offering were held in an escrow account until August
6, 2004, at which time they were remitted to the Partnership for trading. The Partnership is
authorized to sell 300,000 units and continues to offer Redeemable Units. Sales of additional
Redeemable Units and additional general partner contributions and redemptions of Redeemable Units
for the years ended December 31, 2009, 2008 and 2007 are reported in the Statements 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 its eight
trading advisors (the Advisors) either directly, through individually managed accounts, or
indirectly, through investments in other collective investment vehicles. As indicated above, the
Partnership allocates its assets to a blind pool of trading advisors which refers to the fact
that detailed information about the advisors, such as their backgrounds, individual trading strategies
and past performance records has not been and, is not expected to be, provided to investors. The General
Partner has chosen not to disclose such information because, among other reasons, the advisors engaged to
trade on behalf of the Partnership may have little or no performance histories and the mix of advisors may
change frequently as new advisors are identified and others progress
beyond the emerging stage. 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 be liquidated upon the first to occur of the following: December 31,
2023; the Net Asset Value per Redeemable Unit decreases to less than $400 per Redeemable Unit as of
a close of any business day; a decline in net assets after trading commences to less than
$1,000,000; or under certain other circumstances as defined in the Limited Partnership Agreement of
the Partnership (the Limited Partnership Agreement).
On November 1, 2005, the assets allocated to Altis Partners Jersey Limited (Altis) for
trading were invested in CMF Altis Partners Master Fund L.P. (Altis Master), a limited
partnership organized under the partnership laws of the State of New York. The Partnership
purchased 4,898.1251 Units of the Altis Master with cash equal to $4,196,275 and a contribution of
open commodity futures and forward positions with a fair value of $701,851. Altis Master was formed
to permit commodity pools managed now or in the future by Altis using the Global Futures Portfolio
program, a proprietary, systematic trading program, to
invest together in one vehicle. The General Partner is also the general partner of Altis Master.
Individual and pooled accounts currently managed by Altis, including the Partnership are permitted
to be limited partners of Altis Master. The General Partner and Altis believe that trading through
this structure should promote efficiency and economy in the trading process.
2
On March 1, 2006, the assets allocated to Avant Capital Management L.P. (Avant) for trading
were invested in the CMF Avant Master Fund L.P. (Avant Master), a limited partnership organized
under the partnership laws of the State of New York. The Partnership purchased 8,177.1175 Units of
Avant Master with cash equal to $6,827,887 and a contribution of open commodity futures and
forwards positions with a fair value of $1,349,230. Avant Master was formed in order to permit
accounts managed now or in the future by Avant using the Diversified Program, a proprietary, systematic trading
program, to invest together in one trading vehicle. The General Partner is also the general partner
of Avant Master. Individual and pooled accounts currently managed by Avant, including the
Partnership, are permitted to be limited partners of Avant Master. The General Partner and Avant
believe that trading through this structure should promote efficiency and economy in the trading
process.
On May 1, 2009, the assets allocated to Sasco Energy Partners LLC (Sasco) for trading were
invested in the CMF Sasco Master Fund L.P. (Sasco Master), a limited partnership organized under
the partnership laws of the State of New York. The Partnership purchased 16,437.9008 Units of Sasco
Master with cash equal to $16,364,407 and a contribution of open
commodity futures contracts with a fair
value of $(1,325,727). Sasco Master was formed in order to permit accounts managed now or in the
future by Sasco using the the Energy Program, a proprietary, systematic trading program, to invest
together in one trading vehicle. The General Partner is also the general partner of Sasco Master.
Individual and pooled accounts currently managed by Sasco, including the Partnership are permitted
to be limited partners of Sasco Master. The General Partner and Sasco believe that trading through
this structure should promote efficiency and economy in the trading process.
The General Partner is not aware of any material changes to the trading programs discussed
above during the fiscal year ended December 31, 2009.
Altis Masters, Avant Masters and Sasco Masters (the Funds) and the Partnerships 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 and the
Partnership 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 Partners
elect to redeem and informs the
Funds.
Management, administrative 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 Partnership and through its investment in the Funds. All other fees including
CGMs direct brokerage commissions are charged at the Partnership level.
For the period January 1, 2009 through December 31, 2009, the approximate average market sector allocation for the Partnership was as follows:
On December 31, 2009, the Partnership owned approximately 33.6% of Altis Master, 100.0% of
Avant Master and 65.1% of Sasco Master. On December 31, 2008,
the Partnership had approximately
35.7% of Altis Master and 30.1% of Avant Master. The performance of the Partnership is directly
affected by the performance of the Funds. It is the Partnerships intention to continue to invest
in 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 profits, if any, net of distributions.
The
General Partner administers the business and affairs of the
Partnership including selecting one or more advisors to make trading
decisions for the Partnership. The Partnership
pays the General Partner a monthly administrative fee equal to 1/24 of 1% (0.5% per year) of
month-end Net Assets of the Partnership. Month-end Net Assets, for the purpose of calculating
administrative fees, are Net Assets, as defined in the Limited Partnership Agreement, prior to the
reduction of the current months management fees, incentive fees
accrual, the General Partners administrative fee and any
redemptions or distributions as of the end of such month.
Pursuant to the terms of the management agreements (the Management Agreements) the
Partnership is obligated to pay the Advisors a monthly management fee equal to 1/6 of 1% (2% per
year), of month-end Net Assets allocated to the Advisors. Month-end
3
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 management fees, incentive fee accruals, the General
Partners administrative fee and any redemptions or
distributions as of the end of such month. Each
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 17% of the New Trading Profits, as defined in the Management Agreements, earned
by the Advisors for the Partnership.
The General Partner, on behalf of the Partnership has entered into a customer agreement (the Customer Agreement) with CGM
which provides that the Partnership will pay CGM a brokerage commission equal to 3.5% per year
calculated and paid monthly based on .29% of month-end Net Assets, in lieu of brokerage commissions
on a per trade basis. Month-end Net Assets, for the purpose of
calculating brokerage commissions, are Net
Assets, as defined in the Limited Partnership Agreement, prior to the
reduction of the current months brokerage commission, incentive
fee accruals, management fees, the General Partners
administrative fee, other expenses and any redemptions or
distributions as of the end of such month. CGM will pay a portion of
its brokerage commission 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 fees are paid may be changed. The Partnership will pay
clearing fees directly and through its investment in the Funds. In addition, CGM has agreed to pay
the Partnership interest on 100% of the average daily equity maintained in cash in the
Partnerships (or the Partnerships allocable portion of a
Funds) account during each month. The interest is earned 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 up to all of the Partnerships assets in 90-day U.S. Treasury
bills and pay the Partnership 100% of the interest earned on the Treasury bills purchased for the Partnership. The Customer Agreement
between the Partnership and CGM gives the Partnership the legal right to net unrealized gains and
losses. 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 $166,705,672.
(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 sale 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.
As a result of leverage, small changes in the price of the Partnerships positions may result
in major losses.
4
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 its investment.
Due to the speculative nature of trading commodity interests, an investor could lose all of
its 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 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
in commodity interests for their own accounts; and |
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3. |
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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.
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 advisors.
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 commodity trading advisors and allocate assets
among them.
The backgrounds, strategies and past performance records of the Partnerships advisors will not be
know to its investors.
Because an investor will not know the backgrounds, strategies and past performance records of
the Partnerships advisors, the investor will not be able to evaluate factors such as the advisors
trading strategies, markets traded, past performance or the background of the advisors principals.
An investor must rely on the General Partners ability to select the advisors to the Partnership
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.
5
The Partnership does not own or lease any properties. The General Partner operates out of
facilities provided by its affiliate, Citigroup.
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Item 3. |
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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.
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.
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Item 4. |
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[Removed and Reserved] |
6
PART II
Item 5. Market for Registrants Common Equity, Related Security Holder Matters and Issuer Purchases of Equity Securities.
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(a) |
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Market Information. The Partnership has issued no stock. There is no public
market for the Redeemable Units of limited partnership interest. |
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(b) |
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Holders. The number of holders of Redeemable Units of limited partnership
interest as of December 31, 2009 was 1,330. |
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(c) |
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Dividends. The Partnership did not declare a distribution in 2009, 2008 or 2007. The
Partnership does not intend to declare distributions in the foreseeable future. |
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(d) |
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Securities Authorized for Issuance Under Equity Compensation Plans. None |
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(e) |
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Performance Graph. Not applicable. |
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(f) |
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Recent Sales of Unregistered Securities. For the twelve months ended December 31, 2009, there were
additional sales of 32,652.7934 Redeemable Units of Limited Partnership Interest totaling
$47,627,000 and 1,173.6036 of General Partner Unit equivalents totaling $1,700,000. |
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For the twelve months ended December 31, 2008, there were additional sales of 33,621.0347
Redeemable Units of Limited Partnership Interest totaling $45,104,000. |
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For the twelve months ended December 31, 2007, there were additional sales of 65,774.6650
Redeemable Units of Limited Partnership Interest totaling $80,500,000. |
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Proceeds from the sale of additional Redeemable Units are used in the trading of commodity
interests including futures contracts, swaps, options and forward contracts. |
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(g) |
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Purchases of Equity Securities by the Issuer and Affiliated Purchases. |
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The following chart sets forth the purchases of Redeemable Units by the Partnership. |
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Period |
(a) Total Number of Redeemable Units Purchased* |
(b) Average Price Paid per Redeemable Unit** |
(c) Total Number of Redeemable Units Purchased as Part of Publicly Announced Plans or Programs |
(d) Maximum Number (or Approximate Dollar Value) of Redeemable Units that May Yet Be Purchased Under the Plans or Programs |
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October 1, 2009
October 31, 2009 |
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742.3252 |
$ |
1,448.53 |
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N/A |
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N/A |
November 1, 2009
November 30, 2009 |
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3,228.5789 |
$ |
1,464.51 |
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N/A |
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N/A |
December 1, 2009
December 31, 2009 |
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1,821.7548 |
$ |
1,406.38 |
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N/A |
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N/A |
Total |
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5,792.6589 |
$ |
1,444.18 |
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* |
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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. |
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** |
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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. |
7
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The Redeemable Units were issued in reliance upon applicable exemptions from registration
under Section 4(2) of the Securities Act of 1933, as amended, and Section 506 of Regulation D
promulgated thereunder. The Redeemable Units were purchased by accredited investors as
described in Regulation D. |
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Item 6. |
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Selected Financial Data. |
Net realized and
unrealized trading gains (losses), interest income, net income, increase (decrease)
in Net Asset Value per Redeemable 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:
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2009 |
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2008 |
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2007 |
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2006 |
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2005 |
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Net realized
and unrealized
trading gains
(losses) and
investment in
Partnerships net of
brokerage
commissions
(including clearing
fees) of $6,945,800,
$6,174,578,
$4,577,746,
$2,385,451 and
$1,389,607,
respectively |
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$ |
(6,137,060 |
) |
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$ |
39,424,671 |
|
|
$ |
6,386,632 |
|
|
$ |
4,184,407 |
|
|
$ |
4,135,470 |
|
Total interest income |
|
|
147,376 |
|
|
|
2,038,055 |
|
|
|
5,105,509 |
|
|
|
2,723,333 |
|
|
|
991,528 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(5,989,684 |
) |
|
$ |
41,462,726 |
|
|
$ |
11,492,141 |
|
|
$ |
6,907,740 |
|
|
$ |
5,126,998 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss) |
|
$ |
(11,927,806 |
) |
|
$ |
29,408,855 |
|
|
$ |
6,304,054 |
|
|
$ |
3,940,490 |
|
|
$ |
3,415,841 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Increase (decrease)
in Net Asset Value
per Redeemable Unit |
|
$ |
(102.13 |
) |
|
$ |
244.45 |
|
|
$ |
62.64 |
|
|
$ |
122.33 |
|
|
$ |
102.71 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Asset Value per Unit |
|
$ |
1,406.38 |
|
|
$ |
1,506.43 |
|
|
$ |
1,261.98 |
|
|
$ |
1,199.34 |
|
|
$ |
1,077.01 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total assets |
|
$ |
171,248,643 |
|
|
$ |
180,118,590 |
|
|
$ |
141,636,874 |
|
|
$ |
84,715,597 |
|
|
$ |
35,306,228 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Item 7. |
|
Managements Discussion and Analysis of Financial Condition and Results of Operations. |
Overview
The Partnership aims to achieve substantial capital appreciation and permit investors to
diversify a traditionally structured stock and bond portfolio. The Partnership attempts to
accomplish its objectives through speculative trading in U.S. and international markets for
currencies, interest rates, stock indices, agricultural and energy products and precious and base
metals directly, or through investments in the Funds. The Partnership/Funds may employ futures, swaps,
options on futures, and forward contracts in those markets.
The General Partner manages all business of the Partnership/Funds. 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 conducts proprietary research and considers the background of the advisors principals, as well as
the advisors trading styles, strategies and markets traded, expected volatility, trading results
(to the extent available) 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. |
8
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 the 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: Altis Global
Futures Portfolio Program, Avant Diversified Program and Sasco Energy Program. As of December 31,
2009, the Partnerships assets were allocated among these Advisors in the following approximate
percentages: Altis 17%, Avant 7% and 14% Sasco.
Altis Partners (Jersey) Limited.
Altis trades its Global Futures Portfolio Program on behalf of the Partnership. It is a systematic,
automated trading program that builds on the Principals market experience and employs a unique
proprietary Advanced Asset Allocator. The Advanced Asset Allocator was specifically developed to
manage portfolios of derivative instruments in a robust and scalable manner. The portfolio
management technology combines original, traditional and contrasting investment techniques into one
complete and comprehensive trading system. Investment changes are implemented after considering
their effect on the whole portfolio, not just the individual markets concerned.
Avant Capital Management L.P.
Avant trades its Diversified Program on behalf of Avant Master.
Avants Diversified Program,
a proprietary, systematic trading program,
was developed specifically for energy futures and related options,
and has concentrated historically in the natural gas market. Both NYMEX futures and options are
traded utilizing outright long and short positions, time spreads and other trading tactics. The
focus is on long-term core positions, while simultaneously managing short-term positions, based on
technical and fundamental analysis and risk management.
There are no restrictions on which commodity interest Avant will trade. While trading will
focus on natural gas, it may also include other energy markets as opportunities arise. In addition
to trading NYMEX futures and options, the trading of over-the-counter products (OTC), such as NYMEX
swaps, basis swaps and Gas daily swaps may also occur.
Effective risk management is a crucial aspect of Avants trading program. Account size,
expectation, volatility of market traded and the nature of other positions taken are all factors in
deciding whether to take a position and determining the amount of equity committed to that
position. Avant will also use dollar stops, time stops and technical stops to control risk.
Sasco Energy Partners LLC
Sasco trades its Energy Program on behalf of Sasco Master.
Sascos
Energy Program was developed specifically for exchange traded futures and related options,
exchange cleared over-the-counter instruments and swaps in energy related commodity interest. Both futures and options are traded
utilizing outright long and short positions, time spreads, swaps and other trading tactics. The focus is
on long-term core positions, while simultaneously managing short-term positions, based on technical
and fundamental analysis and risk management.
9
Effective risk management is a crucial aspect of Sascos trading program. Account size,
expectation, volatility of market traded and the nature of other positions taken are all factors in
deciding whether to take a position and determining the amount of equity committed to that
position.
No assurance can be given that the Advisors strategies will be successful or that they will
generate profits for the Partnership.
Average Allocation by Commodity Market Sector for the period January 1, 2009 through December 31, 2009
CMF Altis Partners Master Fund L.P.
|
|
|
|
|
Currencies |
|
|
16.3 |
% |
Energy |
|
|
13.2 |
% |
Grains |
|
|
6.3 |
% |
Interest Rates Non-U.S. |
|
|
15.4 |
% |
Interest Rates U.S. |
|
|
7.9 |
% |
Livestock |
|
|
1.8 |
% |
Metals |
|
|
15.2 |
% |
Softs |
|
|
6.6 |
% |
Index |
|
|
17.3 |
% |
CMF Avant Master Fund L.P.
CMF Sasco Master Fund L.P.
The Partnership does not engage in sales of goods or services. Its assets are its (i)
investments in partnerships, (ii) equity in its trading account, consisting of cash and cash
equivalents, net unrealized appreciation on open futures contracts, net unrealized depreciation on
open forward contracts, and (iii) interest receivable. Because of the low margin
deposits normally required in commodity futures trading, relatively small price movements may
result in substantial losses to the Partnership. While substantial losses could lead to a material
decrease in liquidity, no such illiquidity occurred during the year ended December 31, 2009.
To minimize this risk relating to low margin deposits, the Partnership follows certain trading
policies, including:
|
(i) |
|
The Partnership/Funds invests their assets only in commodity interests that the Advisors
believe 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 Advisors believe
will permit them to enter and exit trades without noticeably moving the market. |
|
|
(ii) |
|
An Advisor will not initiate additional positions in any commodity 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 do not employ the trading technique commonly known as pyramiding,
in which the speculator uses unrealized profits on existing positions as margin for the
purchase or sale of additional positions in the same or related commodities. |
|
|
(v) |
|
The Partnership/Funds do 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. Spreads and Straddles describe
commodity futures trading strategies involving the simultaneous buying and selling of futures
contracts on the same commodity but involving different delivery dates or markets. |
|
|
(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 16.5%. 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 parties 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, or 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 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
10
risks associated with OTC contracts are greater than those associated with exchange traded
instruments because of the greater risk of default by the counterparty to an OTC contract.
Market risk is the potential for changes in the value of the financial instruments traded by
the Partnership/Funds due to market changes, including interest and foreign exchange rate movements
and fluctuations in commodity or security prices. Market risk is directly impacted by the
volatility and liquidity in the markets in which the related underlying assets are traded. The
Partnership/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.
The risk to the Limited Partners that have purchased interests in the Partnership is limited
to the amount of their capital contributions to the Partnership and their share of the
Partnerships assets and undistributed profits. The limited liability is a consequence of the
organization of the Partnership as a limited partnership under applicable law.
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 Partnerships/Funds 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
Partnerships/Funds risk of loss is reduced through the use of legally enforceable master netting
agreements with counterparties that permit the Partnership/Funds to offset unrealized gains and
losses and other assets and liabilities with such counterparties upon the occurrence of certain
events. The Partnership/Funds have credit risk and concentration risk because the sole counterparty
or broker with respect to the Partnerships/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
Partnerships/Funds counterparty is an exchange or clearing organization.
As both a buyer and seller of options, the Partnership/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 Partnership/Funds to potentially unlimited liability; for
purchased options the risk of loss is limited to the premiums paid. Certain written put options
permit cash settlement and do not require the option holder to own the reference asset. The
Partnership/Funds do not consider these contracts to be guarantees 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 Partnerships/Funds risk exposure on a daily
basis through financial, credit and risk management monitoring systems, and accordingly, other derivatives, believes
that it has effective procedures for evaluating and limiting the credit and market risks to which
the Partnership/Funds are may be subject. These monitoring systems
generally allow the General Partner to
statistically analyze actual trading results with risk adjusted performance indicators and
correlation statistics. In addition, online monitoring systems provide account analysis of
futures, 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, 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 trading 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, additions,
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 commissions,
administrative fees and advisory fees. The
level of these expenses is dependent upon trading performance and
11
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 its Redeemable Units at their Net Asset Value as of the
last day of each month, after an initial six-month holding period, on 10 days 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, 26,312.7107 Redeemable
Units were redeemed totaling $38,177,873. For the year ended December 31, 2008, 32,691.6051
Redeemable Units were redeemed totaling $46,200,870. For the year ended December 31, 2007,
23,646.4057 Redeemable Units were redeemed totaling $29,382,009
The
Partnership continues to offer Redeemable Units at the Net Asset Value per
Redeemable Unit of Limited Partnership Interest as of the end of each month. For the year ended December 31, 2009, there were additional sales of 32,652.7934 Redeemable
Units totaling $47,627,000 and General Partners contribution representing 1,173.6036 Unit equivalents totaling $1,700,000.
For the year ended December 31, 2008, there were additional sales of 33,621.0347 Redeemable Units
totaling $45,104,000. For the year ended December 31, 2007, there were additional sales of
65,774.6650 Redeemable Units totaling $80,500,000.
(c) |
|
Results of Operations. |
For the year ended December 31, 2009, the Net Asset Value per Redeemable Unit decreased 6.6%
from $1,506.43 to $1,406.38. For the year ended December 31, 2008, the Net Asset Value per
Redeemable Unit increased 19.4% from $1,261.98 to $1,506.43. For the year ended December 31, 2007,
the Net Asset Value per Redeemable Unit increased 5.2% from $1,199.34 to $1,261.98.
The
Partnership experienced a net trading gain of $808,740 before brokerage commissions and
expenses in 2009. Gains were primarily attributed to the Partnerships/Funds trading in
currencies, energy, grains, lumber and metals and were partially offset by losses in livestock,
indices, U.S. and non-U.S. interest rates and softs.
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.
Sharp reversals in the equity market resulted in losses for the Partnership. Losses were also
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.
The Partnership experienced a net trading gain of $45,599,249 before brokerage commissions and
expenses in 2008. Gains were primarily attributed to the Partnerships/Funds trading in
currencies, energy, grains, indices, lumber, U.S. and non-U.S. interest rates, livestock, metals
and softs.
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 of the
sectors.
Profits were primarily realized from trading in fixed income, equity indices, and energy. The
Partnership was 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% most of the year, the yield dropped to 2% in December. Non-U.S. interest rates also
showed tremendous volatility as the rates dropped
12
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. The Partnership also realized 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.
Interest income is earned on 100% of the Partnerships average daily equity maintained in
cash (or the Partnerships allocable portion of a Funds) in its account during each month at the 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 the Partnerships or a Funds assets in 90-day Treasury bills
and pay the Partnership 100% of the interest earned or its allocable
share thereof on Treasury bills purchased for the Partnership. Interest income
for the three and twelve months ended December 31, 2009 decreased by $59,068 and $1,890,679,
respectively, as compared to the corresponding periods in 2008. Interest earned by the Partnership will increase the net asset value of the Partnership. The decrease is due to lower U.S.
Treasury bill rates as compared to the corresponding periods in 2008.
Interest earned by the Partnership will increase the net asset value of the Partnership.
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. Brokerage commissions for the three and twelve months ended December 31, 2009
increased by $29,329 and $771,222, respectively, as compared to the corresponding periods in 2008.
The increase in brokerage commissions is primarily due to higher average 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 adjusted net asset value
on the last day of each month and are affected by trading performance, additions and redemptions.
Management fees for the three months ended December 31, 2009 decreased by $37,800 due to lower net
assets during the three months ended December 31, 2009
and for the
twelve months ended December 31, 2009 increased by $149,472,
due to
higher average net assets during the twelve months ended December 31, 2009, as compared to
the corresponding periods in 2008.
Administrative fees are paid to the General Partner for administering the business and affairs
of the Partnership. These fees 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. Administrative fees for the three months ended
December 31, 2009 decreased by $9,448 due to lower net assets during the three ended December 31, 2009
and for the twelve months ended December 31, 2009 increased by $31,890,
due to higher average adjusted net assets during the 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. Trading performance for the three and twelve months ended
December 31, 2009 resulted in incentive fees accrual of $42,297 and $1,307,243, respectively. Trading
performance for the three and twelve months ended December 31,
2008, resulted in incentive fees accrual of
$3,853,338 and $7,645,964, respectively.
The Partnership experienced a net trading gain of $10,964,378 before brokerage commissions and
expenses in 2007. Gains were primarily attributed to the Partnerships/Funds trading in energy,
grains, metals, U.S. and non-U.S. interest rates and were partially offset by losses recognized in
the trading of currencies, livestock, indices and softs.
2007 proved to be an eventful year as the sub-prime credit crisis and the increasing probability
that the U.S. was going to run into recession resonated throughout the capital and commodity
markets. The equity market experienced a surge in volatility in February when nervousness about
changes to Chinese stock market regulations sparked a sharp 5% drop in the U.S. equity markets. By
late-July, disturbance in the credit markets emerged as a headline issue for all financial markets
for the remainder of the year. The revaluation of risk resulted in a flight-to-quality driven rally
in prices of sovereign debt instruments as central bankers moved quickly to cut rates. As a result,
the U.S. dollar became less attractive in the midst of these events and weakened considerably
against most major currencies during the latter half of the year.
The return of market volatility benefited the fund and resulted in profits for the strategy.
Profits were realized in fixed income as market turbulence created favorable environment for
significant directional moves in interest rates and a strong bias towards price rallies in all
Treasury securities. In agricultural market trading, gains were earned in wheat and the soybean
complex as prices rallied considerably on reductions in supply expectations. While prices of base
metals moved erratically during most of the year on signs of slowing Chinese economic growth,
profits earned more than offset losses.
Slightly offsetting gains were losses realized in soft commodities and currencies. In soft
commodities, losses were accumulated in coffee and cocoa as prices surprisingly fell in August on
excess exports from growers in Africa and Indonesia. Losses were also taken in trading currency as
the U.S. dollar weakened against low-yielding currencies such as the Japanese Yen and Swiss Franc.
In the General Partners opinion, the Advisors continue to employ trading methods and produce
results consistent with their expected performance given market conditions and the objectives of
the Partnership. The General Partner continues to monitor the Advisors performance on a daily,
weekly, monthly and annual basis to ensure that 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.
13
In allocating the assets of the Partnership among the Advisors, the General Partner considered
past performance, trading style, volatility of markets traded and fee requirements.
Conducts proprietary research and considers the background of the advisors principals, as well
as the advisors trading styles, strategies and markets traded, expected volatility, trading results
(to the extent available) and fee requirements.
The General
Partner may modify or terminate the allocation of assets among the Advisors and may allocate assets
to additional advisors at any time.
(d) Off-balance Sheet Arrangements. None
(e) Contractual obligations. None
(f) Operational Risk.
The Partnership/Funds are 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 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 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 of the financial statements were issued. As a result, actual results could differ from
these estimates.
14
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
held by the Partnership and Funds (including derivative
financial instruments and derivative commodity instruments) are held for trading purposes. The
commodity interests are recorded on trade date and open contracts are recorded at fair value (as
described 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.
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 Partnership and 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 of and for the years ended December 31, 2009 and 2008, the Partnership did not hold any derivative instruments that
were priced at fair value using unobservable inputs through the application of managements
assumptions and internal valuation pricing models (Level 3).
Futures Contracts. The Partnership and 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 Partnership and the Funds each
business day, depending on the daily fluctuations in the value of the underlying contracts, and are
recorded as unrealized gains or losses by the Partnership/Funds. When the contract is closed, the
Partnership/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 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
Partnership and 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
Partnerships and 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 and are included in the Statements of Income and Expenses.
The Partnership and 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 Partnership and the Funds are cash settled based
on prompt dates published by the LME. Payments (variation margin) may be made or received by the
Partnership and the Funds each business day, depending on the daily fluctuations in the value of
the underlying contracts, and
15
are recorded as unrealized gains or losses by the Partnership and the Funds. A contract is
considered offset when all long positions have been matched with short positions. When the contract
is closed at the prompt date, the Partnership and the Funds record a realized gain or loss equal to
the difference between the value of the contract at the time it was opened and the value at the
time it was closed. 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 Partnership/Funds may purchase and write (sell) options. An option is a contract
allowing, but not requiring, its holder to buy (call) or sell (put) a specific or standard
commodity or financial instrument at a specified price during a specified time period. The option
premium is the total price paid or received for the option contract. When the Partnership/Funds
write an option, the premium received is recorded as a liability in the Statements of Financial
Condition and marked to market daily. When the Partnership/Funds purchase an option, the premium
paid is recorded as an asset in the 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 has 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.
16
|
|
|
Item 7A. |
|
Quantitative and Qualitative Disclosures about Market Risk |
Introduction
The Partnership/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
Partnerships/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 Partnerships main
line of business.
The risk to the limited partners that have purchased interests in the Partnership is limited
to the amount of their capital contributions to the Partnership and their share of Partnership
assets and undistributed profits. This limited liability is a consequence of the organization of
the Partnership as a limited partnership under applicable law.
Market movements result in frequent changes in the fair market value of the
Partnerships/Funds open positions and, consequently, in its earnings and cash balances. The
Partnerships/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 effects among the Partnerships/Funds
open positions and the liquidity of the markets in which they trade.
The Partnership rapidly acquires and liquidates 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 Partnerships past performance is not necessarily
indicative of its future results.
Value at Risk is a measure of the maximum amount which the Partnership/Funds could reasonably
be expected to lose in a given market sector. However, the inherent uncertainty of the
Partnerships/Funds speculative trading and the recurrence in the markets traded by the
Partnership/Funds of market movements far exceeding expectations could result in actual trading or
non-trading losses far beyond the indicated Value at Risk or the Partnerships/Funds experience to
date (i.e., risk of ruin). In light of the foregoing as well as the risks and uncertainties
intrinsic to all future projections, the inclusion of the quantification in this section should not
be considered to constitute any assurance or representation that the Partnerships/Funds losses in
any market sector will be limited to Value at Risk or by the Partnerships/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 Partnerships/Funds market sensitive instruments.
Quantifying the Partnerships Trading Value at Risk
The following quantitative disclosures regarding the Partnerships 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 and Section 21E of the Securities Exchange
Act of 1934, as amended). 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 Partnerships risk exposure in the various market sectors traded by the Advisors is
quantified below in terms of Value at Risk. Due to the Partnerships/Funds mark-to-market
accounting, any loss in the fair value of the Partnerships open positions including investments in
other partnerships, is directly reflected in the Partnerships earnings (realized and unrealized)
and cash balances. Exchange maintenance margin requirements have been used by the Partnership as
the measure of its 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 intervals. 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 Partnership/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.
17
The
fair value of the Partnerships/Funds futures and forward positions does not have any
optionality component. However, the Advisors may trade commodity options. The Value at Risk
associated with options is reflected in the following tables as the margin requirement attributable
to the instrument underlying each option. Where this instrument is a futures contract, the futures
margin, 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
Partnership/Funds in almost all cases fluctuate to a
lesser extent than those of the underlying instruments.
In quantifying the Partnerships/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 Partnerships/Funds
positions are rarely, if ever, 100% positively correlated have not been reflected.
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. Some of
the Partnerships Advisors currently trade the Partnerships assets
indirectly in master fund managed accounts established in the name over
which they have been granted limited authority to make trading decisions. The first two trading value at risk tables
reflect the market sensitive instruments held by the Partnership
directly and through its investments in the Funds. The remaining trading Value at Risk tables
reflect the market sensitive instruments held by the Partnership
directly and indirectly 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 $166,705,672.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
% of Total |
|
Market Sector |
|
Value at Risk |
|
|
Capitalization |
|
Currencies |
|
$ |
2,371,409 |
|
|
|
1.42 |
% |
Energy |
|
|
8,063,378 |
|
|
|
4.83 |
% |
Grains |
|
|
510,287 |
|
|
|
0.31 |
% |
Interest Rates U.S. |
|
|
1,079,007 |
|
|
|
0.65 |
% |
Interest Rates Non-U.S. |
|
|
1,723,417 |
|
|
|
1.03 |
% |
Livestock |
|
|
77,719 |
|
|
|
0.05 |
% |
Lumber |
|
|
3,696 |
|
|
|
0.00 |
%* |
Metals |
|
|
913,618 |
|
|
|
0.55 |
% |
Softs |
|
|
580,880 |
|
|
|
0.35 |
% |
Indices |
|
|
2,931,969 |
|
|
|
1.76 |
% |
|
|
|
|
|
|
|
Total |
|
$ |
18,255,380 |
|
|
|
10.95 |
% |
|
|
|
|
|
|
|
* Due
to rounding.
As of December 31, 2008, the Partnerships total capitalization was $167,245,789.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
% of Total |
|
Market Sector |
|
Value at Risk |
|
|
Capitalization |
|
Currencies |
|
$ |
1,585,521 |
|
|
|
0.95 |
% |
Energy |
|
|
1,560,842 |
|
|
|
0.93 |
% |
Grains |
|
|
463,097 |
|
|
|
0.28 |
% |
Interest Rates U.S. |
|
|
887,948 |
|
|
|
0.53 |
% |
Interest Rates Non-U.S. |
|
|
1,626,940 |
|
|
|
0.97 |
% |
Livestock |
|
|
115,704 |
|
|
|
0.07 |
% |
Lumber |
|
|
675,236 |
|
|
|
0.40 |
% |
Metals |
|
|
651,552 |
|
|
|
0.39 |
% |
Softs |
|
|
831,557 |
|
|
|
0.50 |
% |
Indices |
|
|
2,045,473 |
|
|
|
1.22 |
% |
|
|
|
|
|
|
|
Total |
|
$ |
10,443,870 |
|
|
|
6.24 |
% |
|
|
|
|
|
|
|
18
The following tables indicate the trading Value at Risk associated with the Partnerships
investments and investments in other Partnerships by market category as of December 31, 2009 and
December 31, 2008, the highest and lowest value at any point and the average value during the
years. All open position trading risk exposures have been included in calculating the figures set
forth below. As
of December 31, 2009, the Partnerships Value at Risk for the
portion of its assets that are traded directly was as follows:
December 31, 2009
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Low |
|
|
Average |
|
|
|
|
|
|
|
% of Total |
|
|
High |
|
|
Value at |
|
|
Value at |
|
Market Sector |
|
Value at Risk |
|
|
Capitalization |
|
|
Value at Risk |
|
|
Risk |
|
|
Risk* |
|
Currencies |
|
$ |
1,964,328 |
|
|
|
1.18 |
% |
|
$ |
10,152,349 |
|
|
$ |
951,436 |
|
|
$ |
5,360,065 |
|
Energy |
|
|
558,730 |
|
|
|
0.33 |
% |
|
|
14,726,004 |
|
|
|
352,687 |
|
|
|
3,201,365 |
|
Grains |
|
|
423,218 |
|
|
|
0.25 |
% |
|
|
1,331,537 |
|
|
|
247,378 |
|
|
|
608,962 |
|
Interest Rates U.S. |
|
|
985,850 |
|
|
|
0.59 |
% |
|
|
2,930,108 |
|
|
|
341,125 |
|
|
|
1,488,257 |
|
Interest Rates Non-U.S. |
|
|
1,450,748 |
|
|
|
0.87 |
% |
|
|
6,017,060 |
|
|
|
1,317,272 |
|
|
|
2,593,218 |
|
Livestock |
|
|
50,150 |
|
|
|
0.03 |
% |
|
|
384,144 |
|
|
|
42,050 |
|
|
|
120,965 |
|
Metals |
|
|
383,493 |
|
|
|
0.23 |
% |
|
|
1,329,686 |
|
|
|
226,929 |
|
|
|
707,811 |
|
Softs |
|
|
393,558 |
|
|
|
0.24 |
% |
|
|
1,015,509 |
|
|
|
288,753 |
|
|
|
615,627 |
|
Indices |
|
|
2,445,305 |
|
|
|
1.47 |
% |
|
|
5,381,090 |
|
|
|
10,000 |
|
|
|
2,726,142 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
8,655,380 |
|
|
|
5.19 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Annual average of month-end Value at Risk |
As
of December 31, 2008, the Partnerships Value at Risk for
the portion of its assets that are traded directly was as follows:.
December 31, 2008
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Low |
|
|
Average |
|
|
|
|
|
|
|
% of Total |
|
|
High |
|
|
Value at |
|
|
Value at |
|
Market Sector |
|
Value at Risk |
|
|
Capitalization |
|
|
Value at Risk |
|
|
Risk |
|
|
Risk* |
|
Currencies |
|
$ |
859,543 |
|
|
|
0.51 |
% |
|
$ |
9,150,973 |
|
|
$ |
306,197 |
|
|
$ |
2,486,314 |
|
Energy |
|
|
827,430 |
|
|
|
0.50 |
% |
|
|
7,889,707 |
|
|
|
33,050 |
|
|
|
1,526,344 |
|
Grains |
|
|
242,605 |
|
|
|
0.14 |
% |
|
|
552,050 |
|
|
|
16,200 |
|
|
|
255,985 |
|
Interest Rates U.S. |
|
|
473,400 |
|
|
|
0.28 |
% |
|
|
1,674,990 |
|
|
|
203,150 |
|
|
|
562,488 |
|
Interest Rates Non-U.S. |
|
|
834,689 |
|
|
|
0.50 |
% |
|
|
2,550,224 |
|
|
|
496,820 |
|
|
|
1,233,938 |
|
Livestock |
|
|
51,390 |
|
|
|
0.03 |
% |
|
|
158,400 |
|
|
|
13,640 |
|
|
|
61,364 |
|
Metals |
|
|
436,055 |
|
|
|
0.26 |
% |
|
|
1,607,285 |
|
|
|
79,619 |
|
|
|
486,580 |
|
Softs |
|
|
437,008 |
|
|
|
0.26 |
% |
|
|
660,923 |
|
|
|
188,255 |
|
|
|
395,142 |
|
Indices |
|
|
2,031,728 |
|
|
|
1.22 |
% |
|
|
3,378,451 |
|
|
|
418,110 |
|
|
|
1,360,739 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
6,193,848 |
|
|
|
3.70 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Annual average of month-end Value at Risk |
19
As of December 31, 2009, Altis Masters total capitalization was $84,307,758. The Partnership
owned approximately 33.6% of Altis Master. As of December 31, 2009, the Altis Masters Value at Risk for its assets
(including the portion of the Partnerships assets allocated to
Altis for trading) 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 |
|
$ |
1,211,550 |
|
|
|
1.44 |
% |
|
$ |
2,264,297 |
|
|
$ |
598,360 |
|
|
$ |
1,468,143 |
|
Energy |
|
|
247,290 |
|
|
|
0.29 |
% |
|
|
2,143,145 |
|
|
|
247,290 |
|
|
|
1,110,020 |
|
Grains |
|
|
259,135 |
|
|
|
0.31 |
% |
|
|
1,137,757 |
|
|
|
169,964 |
|
|
|
495,014 |
|
Interest Rates U.S. |
|
|
277,254 |
|
|
|
0.33 |
% |
|
|
1,344,800 |
|
|
|
265,892 |
|
|
|
688,612 |
|
Interest Rates Non-U.S. |
|
|
811,515 |
|
|
|
0.96 |
% |
|
|
2,354,713 |
|
|
|
801,993 |
|
|
|
1,420,442 |
|
Livestock |
|
|
82,050 |
|
|
|
0.10 |
% |
|
|
302,700 |
|
|
|
76,770 |
|
|
|
154,601 |
|
Lumber |
|
|
11,000 |
|
|
|
0.01 |
% |
|
|
50,600 |
|
|
|
3,600 |
|
|
|
20,792 |
|
Metals |
|
|
1,577,754 |
|
|
|
1.87 |
% |
|
|
1,948,265 |
|
|
|
507,229 |
|
|
|
1,335,488 |
|
Softs |
|
|
557,507 |
|
|
|
0.66 |
% |
|
|
815,920 |
|
|
|
310,795 |
|
|
|
531,234 |
|
Indices |
|
|
1,448,404 |
|
|
|
1.72 |
% |
|
|
3,383,400 |
|
|
|
38,250 |
|
|
|
1,540,807 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
6,483,459 |
|
|
|
7.69 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Annual average of month-end Value at Risk |
As of December 31, 2008, Altis Masters total capitalization was $99,282,582. The Partnership
owned approximately 35.7% of Altis Master. As of December 31, 2008, the Altis Masters Value at Risk for its assets
(including the portion of the Partnerships assets allocated to
Altis for trading) 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 |
|
$ |
2,033,552 |
|
|
|
2.05 |
% |
|
$ |
2,133,841 |
|
|
$ |
404,375 |
|
|
$ |
1,177,834 |
|
Energy |
|
|
1,373,430 |
|
|
|
1.38 |
% |
|
|
5,244,750 |
|
|
|
255,462 |
|
|
|
1,831,958 |
|
Grains |
|
|
617,624 |
|
|
|
0.62 |
% |
|
|
2,403,902 |
|
|
|
415,944 |
|
|
|
963,936 |
|
Interest Rates U.S. |
|
|
1,161,200 |
|
|
|
1.17 |
% |
|
|
1,183,600 |
|
|
|
66,931 |
|
|
|
631,163 |
|
Interest Rates Non-U.S. |
|
|
2,219,191 |
|
|
|
2.24 |
% |
|
|
2,247,376 |
|
|
|
450,742 |
|
|
|
1,450,548 |
|
Livestock |
|
|
180,150 |
|
|
|
0.18 |
% |
|
|
350,200 |
|
|
|
26,555 |
|
|
|
168,853 |
|
Metals |
|
|
1,891,418 |
|
|
|
1.90 |
% |
|
|
4,028,244 |
|
|
|
734,589 |
|
|
|
2,099,632 |
|
Softs |
|
|
603,632 |
|
|
|
0.61 |
% |
|
|
1,018,874 |
|
|
|
451,658 |
|
|
|
643,159 |
|
Indices |
|
|
1,105,179 |
|
|
|
1.11 |
% |
|
|
4,700,387 |
|
|
|
469,975 |
|
|
|
1,929,248 |
|
Lumber |
|
|
38,500 |
|
|
|
0.04 |
% |
|
|
63,100 |
|
|
|
24,200 |
|
|
|
37,900 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
11,223,876 |
|
|
|
11.30 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Annual average of month-end Value at Risk |
As of December 31, 2009, Avant Masters total capitalization was $11,500,184. The Partnership
owned approximately 100.0% of Avant Master. As of December 31, 2009, the Avant Masters Value at Risk for its assets
(including the portion of the Partnerships assets allocated to
Avant for trading) was as follows:
December 31, 2009
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Low |
|
|
Average |
|
|
|
|
|
|
|
% of Total |
|
|
High |
|
|
Value at |
|
|
Value at |
|
Market Sector |
|
Value at Risk |
|
|
Capitalization |
|
|
Value at Risk |
|
|
Risk |
|
|
Risk* |
|
Energy |
|
$ |
202,307 |
|
|
|
1.76 |
% |
|
$ |
3,761,786 |
|
|
$ |
157,278 |
|
|
$ |
1,493,392 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Totals |
|
$ |
202,307 |
|
|
|
1.76 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Annual average of month-end Value at Risk |
As of December 31, 2008, Avant Masters total capitalization was $52,372,036. The Partnership
owned approximately 30.1% of Avant Master. As of December 31, 2008, the Avant Masters Value at Risk for its assets
(including the portion of the Partnerships assets allocated to
Avant for trading) was as follows:
December 31, 2008
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Low |
|
|
Average |
|
|
|
|
|
|
|
% of Total |
|
|
High |
|
|
Value at |
|
|
Value at |
|
Market Sector |
|
Value at Risk |
|
|
Capitalization |
|
|
Value at Risk |
|
|
Risk |
|
|
Risk* |
|
Energy |
|
$ |
807,633 |
|
|
|
1.54 |
% |
|
$ |
4,921,092 |
|
|
$ |
460,938 |
|
|
|
2,563,495 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Totals |
|
$ |
807,633 |
|
|
|
1.54 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Annual average of month-end Value at Risk |
20
As of December 31, 2009, Sasco Masters total capitalization was $36,905,334. The Partnership
owned approximately 65.1% of Sasco Master. As of December 31, 2009, the Sasco Masters Value at Risk for its assets
(including the portion of the Partnerships assets allocated to
Sasco for trading) was as follows:
December 31, 2009
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Low |
|
|
Average |
|
|
|
|
|
|
|
% of Total |
|
|
High |
|
|
Value at |
|
|
Value at |
|
Market Sector |
|
Value at Risk |
|
|
Capitalization |
|
|
Value at Risk |
|
|
Risk |
|
|
Risk* |
|
Energy |
|
$ |
11,089,480 |
|
|
|
30.05 |
% |
|
$ |
14,491,728 |
|
|
$ |
164,835 |
|
|
$ |
6,820,042 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Totals |
|
$ |
11,089,480 |
|
|
|
30.05 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Annual average of month-end Value 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 Partnership/Funds is 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
Partnership/Funds. The magnitude of the Partnerships/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 Partnership/Funds to incur severe losses over a short period of time. The foregoing Value at
Risk table as well as the past performance of the Partnership/Funds give no indication of
this risk of ruin.
Non-Trading Risk
The Partnership/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.
Qualitative Disclosures Regarding Primary Trading Risk Exposures
The following qualitative disclosures regarding the Partnerships/Funds market risk exposures
except for (i) those disclosures that are statements of historical fact and (ii) the
descriptions of how the Partnership/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 Securities Exchange Act. The Partnerships/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 Partnerships/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 Partnership/Funds. There can be no assurance that the
Partnerships/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 Partnership as of December 31,
2009 by market sector.
Interest Rates. Interest rate movements directly affect the price of the futures and
forward positions held by the Partnership/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 Partnerships/Funds profitability. The
Partnerships/Funds primary interest rate exposure is to interest rate fluctuations in the United
States and the other G-8 countries. However, the Partnership/Funds also take futures positions on
the government debt of smaller nations.
Currencies. The Partnerships/Funds currency exposure is 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/Managing Member does not
anticipate that the risk profile of the Partnerships/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 Partnership/Funds in expressing Value at Risk in a
functional currency other than U.S. dollars.
Stock Indices. The Partnerships/Funds primary equity exposure is to equity price
risk in the G-8 countries. The stock index futures traded by the Partnership/Funds are limited to
futures on broadly based indices. As of December 31, 2009 the Partnerships/Funds primary
exposures were in the Hong Kong Futures Exchange (HKFE) and Sydney Futures Exchange (SFE) stock
indices. The General Partner/Managing Member anticipates little, if any, trading in non-G-8 stock
indices. The Partnership/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 Partnership/Funds to avoid being whipsawed
into numerous small losses.)
Metals. The Partnerships/Funds primary metal market exposure is to fluctuations in
the price of palladium, platinum and silver. Although the Advisors will from time to time trade base metals
such as copper, the principal market exposures of the Partnership/Funds have consistently been in
the palladium, platinum and silver.
Softs. The Partnerships/Funds primary commodities exposure is to agricultural price
movements which are often directly affected by severe or unexpected weather conditions. Coffee,
cotton and sugar accounted for the bulk of the Partnerships/Funds commodity exposure.
21
Energy. The Partnerships/Funds primary energy market exposure is to natural 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 Partnerships/Funds commodities exposure is to agricultural price
movements which are often directly affected by severe or unexpected weather conditions.
Qualitative Disclosures Regarding Non-Trading Risk Exposure
The following were the only non-trading risk exposures of the Partnership/Funds as of December
31, 2009.
Foreign Currency Balances. The Partnerships/Funds primary foreign currency balances
are in Japanese yen, Euro and British pounds. The Advisors regularly convert foreign currency
balances to dollars in an attempt to control the Partnerships/Funds non-trading risk.
Qualitative Disclosures Regarding Means of Managing Risk Exposure
The General Partner monitors and controls the Partnerships/Funds risk
exposure on a daily basis through financial, credit and risk management monitoring systems and
accordingly believes that it has effective procedures for evaluating and limiting the credit and
market risks to which the Partnership/Funds are subject.
The General Partner monitors the Partnerships/Funds performance and the
concentration of its open positions, and consults with the Advisors concerning the Partnerships/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 certain positions traded on behalf of the Partnership/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
Partnerships/Funds market risk exposures.
The Advisors apply their own risk management policies to their 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.
22
Item 8. Financial Statements and Supplementary Data.
EMERGING CTA PORTFOLIO 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 |
Condensed 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-24 |
Selected Unaudited Quarterly Financial Data |
|
F-25 |
F-1
EMERGING CTA PORTFOLIO L.P.
INDEX TO FINANCIAL STATEMENTS CONTINUED
|
|
|
|
|
Page |
|
|
Number |
Financial Statements of CMF Altis Partners Master Fund L.P. |
|
|
Oath or Affirmation |
|
F-26 |
Reports of Independent Registered Public Accounting Firms |
|
F-27 F-29 |
Statements of Financial Condition at December 31, 2009 and 2008 |
|
F-30 |
Condensed Schedules of Investments at December 31, 2009 and 2008 |
|
F-31 F-32 |
Statements of Income and Expenses for the year ended December 31, 2009, 2008 and 2007 |
|
F-33 |
Statements of Changes in Partners Capital for the year ended December 31, 2009, 2008 and 2007 |
|
F-34 |
Notes to Financial Statements |
|
F-35 F-42 |
Selected Unaudited Quarterly Financial Data |
|
F-43 |
Financial Statements of CMF Avant Master Fund L.P. |
|
|
Oath or Affirmation |
|
F-44 |
Reports of Independent Registered Public Accounting Firms |
|
F-45 F-47 |
Statements of Financial Condition at December 31, 2009 and 2008 |
|
F-48 |
Condensed Schedules of Investments at December 31, 2009 and 2008 |
|
F-49 F-50 |
Statements of Income and Expenses for the years ended December 31, 2009, 2008 and 2007 |
|
F-51 |
Statements of Changes in Partners Capital for the years ended December 31, 2009, 2008 and 2007 |
|
F-52 |
Notes to Financial Statements |
|
F-53 F-60 |
Selected Unaudited Quarterly Financial Data |
|
F-61 |
Financial Statements of CMF Sasco Master Fund L.P. |
|
|
Oath or Affirmation |
|
F-62 |
Reports of Independent Registered Public Accounting Firm |
|
F-63 |
Statement of Financial Condition at December 31, 2009 |
|
F-64 |
Condensed Schedule of Investments at December 31, 2009 |
|
F-65 |
Statement of Income and Expenses for the period April 1, 2009 (commencement of trading
operations) to December, 2009 |
|
F-66 |
Statement of Changes in Partners Capital for the period April 1, 2009 (commencement of
trading operations) to December, 2009 |
|
F-67 |
Notes to Financial Statements |
|
F-68 F-74 |
Selected Unaudited Quarterly Financial Data |
|
F-75 |
F-2
To the Limited
Partners of
Emerging CTA Portfolio 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,
Emerging CTA Portfolio 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 Emerging CTA Portfolio L.P. (formerly,
Citigroup Emerging CTA Portfolio 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 Emerging CTA Portfolio 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,
Emerging CTA Portfolio L.P.
F-4
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Partners of
Emerging CTA Portfolio L.P.:
We have audited the accompanying statement of financial condition of Emerging CTA Portfolio 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. 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 Emerging CTA Portfolio 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
Emerging CTA Portfolio 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 Emerging CTA Portfolio L.P. (formerly known as Citigroup
Emerging CTA Portfolio 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
Emerging CTA Portfolio L.P.:
We have audited the accompanying statements of income and expenses and changes in partners capital
of Emerging CTA Portfolio L.P. (formerly, Citigroup Emerging CTA Portfolio 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 Emerging CTA Portfolio 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
Emerging CTA
Portfolio L.P.
Statements
of Financial Condition
December 31, 2009 and 2008
|
|
|
|
|
|
|
|
|
|
|
2009
|
|
|
2008
|
|
|
Assets:
|
|
|
|
|
|
|
|
|
Investment in Partnerships, at fair value (Note 5)
|
|
$
|
63,868,859
|
|
|
$
|
51,209,248
|
|
Equity in trading account:
|
|
|
|
|
|
|
|
|
Cash (Note 3c)
|
|
|
94,883,891
|
|
|
|
116,717,439
|
|
Cash margin (Note 3c)
|
|
|
11,750,313
|
|
|
|
7,320,973
|
|
Net unrealized appreciation on open futures contracts
|
|
|
744,126
|
|
|
|
4,286,597
|
|
Net unrealized appreciation on open forward contracts
|
|
|
|
|
|
|
581,962
|
|
|
|
|
|
|
|
|
|
|
|
|
|
171,247,189
|
|
|
|
180,116,219
|
|
Interest receivable (Note 3c)
|
|
|
1,454
|
|
|
|
2,371
|
|
|
|
|
|
|
|
|
|
|
Total assets
|
|
$
|
171,248,643
|
|
|
$
|
180,118,590
|
|
|
|
|
|
|
|
|
|
|
Liabilities and Partners Capital:
|
|
|
|
|
|
|
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
Net unrealized depreciation on open forward contracts
|
|
$
|
1,025,915
|
|
|
$
|
|
|
Accrued expenses:
|
|
|
|
|
|
|
|
|
Brokerage commissions (Note 3c)
|
|
|
496,483
|
|
|
|
525,346
|
|
Management fees (Note 3b)
|
|
|
282,773
|
|
|
|
299,205
|
|
Administrative fees (Note 3a)
|
|
|
70,693
|
|
|
|
74,801
|
|
Incentive fees (Note 3b)
|
|
|
42,297
|
|
|
|
2,574,101
|
|
General Partner incentive fees (Note 3a)
|
|
|
|
|
|
|
1,750,838
|
|
Professional fees
|
|
|
50,699
|
|
|
|
52,424
|
|
Other
|
|
|
12,031
|
|
|
|
17,527
|
|
Redemptions payable (Note 6)
|
|
|
2,562,080
|
|
|
|
7,578,559
|
|
|
|
|
|
|
|
|
|
|
Total liabilities
|
|
|
4,542,971
|
|
|
|
12,872,801
|
|
|
|
|
|
|
|
|
|
|
Partners Capital: (Notes 1 and 6)
|
|
|
|
|
|
|
|
|
General Partner, 1,302.6036 and 129.0000 Unit equivalents
outstanding at December 31, 2009 and 2008, respectively
|
|
|
1,831,956
|
|
|
|
194,329
|
|
Limited Partners, 117,232.3714 and 110,892.2887 Redeemable Units
of Limited Partnership Interest outstanding at December 31,
2009 and 2008, respectively
|
|
|
164,873,716
|
|
|
|
167,051,460
|
|
|
|
|
|
|
|
|
|
|
Total partners capital
|
|
|
166,705,672
|
|
|
|
167,245,789
|
|
|
|
|
|
|
|
|
|
|
Total liabilities and partners capital
|
|
$
|
171,248,643
|
|
|
$
|
180,118,590
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-8
Emerging CTA
Portfolio L.P.
Condensed Schedule of Investments
December 31, 2009
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Notional ($)/
|
|
|
|
|
|
|
|
|
|
Number of
|
|
|
|
|
|
% of Partners
|
|
|
|
Contracts
|
|
|
Fair Value
|
|
|
Capital
|
|
|
Futures Contracts Purchased
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
|
559
|
|
|
$
|
(127,478
|
)
|
|
|
(0.08
|
)%
|
Energy
|
|
|
190
|
|
|
|
436,615
|
|
|
|
0.26
|
|
Grains
|
|
|
152
|
|
|
|
30,308
|
|
|
|
0.02
|
|
Indices
|
|
|
560
|
|
|
|
639,897
|
|
|
|
0.38
|
|
Interest Rates U.S.
|
|
|
930
|
|
|
|
(277,236
|
)
|
|
|
(0.17
|
)
|
Interest Rates
Non-U.S.
|
|
|
1,027
|
|
|
|
(103,653
|
)
|
|
|
(0.06
|
)
|
Livestock
|
|
|
22
|
|
|
|
(3,650
|
)
|
|
|
(0.00
|
)*
|
Metals
|
|
|
91
|
|
|
|
42,022
|
|
|
|
0.03
|
|
Softs
|
|
|
194
|
|
|
|
253,960
|
|
|
|
0.15
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures contracts purchased
|
|
|
|
|
|
|
890,785
|
|
|
|
0.53
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts Sold
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
|
119
|
|
|
|
110,339
|
|
|
|
0.07
|
|
Energy
|
|
|
89
|
|
|
|
(372,022
|
)
|
|
|
(0.22
|
)
|
Grains
|
|
|
285
|
|
|
|
(208,494
|
)
|
|
|
(0.13
|
)
|
Indices
|
|
|
102
|
|
|
|
(60,061
|
)
|
|
|
(0.03
|
)
|
Interest Rates U.S.
|
|
|
353
|
|
|
|
224,031
|
|
|
|
0.13
|
|
Interest Rates
Non-U.S.
|
|
|
406
|
|
|
|
122,499
|
|
|
|
0.07
|
|
Livestock
|
|
|
31
|
|
|
|
(840
|
)
|
|
|
(0.00
|
)*
|
Metals
|
|
|
12
|
|
|
|
31,850
|
|
|
|
0.02
|
|
Softs
|
|
|
28
|
|
|
|
6,039
|
|
|
|
0.00
|
*
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures contracts sold
|
|
|
|
|
|
|
(146,659
|
)
|
|
|
(0.09
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized Appreciation on Forward Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
$
|
36,468,535
|
|
|
|
495,276
|
|
|
|
0.30
|
|
Metals
|
|
|
271
|
|
|
|
1,901,753
|
|
|
|
1.14
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total unrealized appreciation on forward contracts
|
|
|
|
|
|
|
2,397,029
|
|
|
|
1.44
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized Depreciation on Forward Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
$
|
74,168,842
|
|
|
|
(1,420,713
|
)
|
|
|
(0.85
|
)
|
Metals
|
|
|
273
|
|
|
|
(2,002,231
|
)
|
|
|
(1.20
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total unrealized depreciation on forward contracts
|
|
|
|
|
|
|
(3,422,944
|
)
|
|
|
(2.05
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment in Partnerships
|
|
|
|
|
|
|
|
|
|
|
|
|
CMF Altis Partners Master Fund LP
|
|
|
|
|
|
|
28,338,180
|
|
|
|
17.00
|
|
CMF Avant Master Fund LP
|
|
|
|
|
|
|
11,500,341
|
|
|
|
6.90
|
|
CMF Sasco Master Fund LP
|
|
|
|
|
|
|
24,030,338
|
|
|
|
14.41
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total investment in Partnerships
|
|
|
|
|
|
|
63,868,859
|
|
|
|
38.31
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
|
|
|
|
$
|
63,587,070
|
|
|
|
38.14
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* Due to rounding.
See accompanying notes to financial statements.
F-9
Emerging CTA
Portfolio L.P.
Condensed
Schedule of Investments
December 31, 2008
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Notional (s)/
|
|
|
|
|
|
|
|
|
|
Number of
|
|
|
|
|
|
% of Partners
|
|
|
|
Contracts
|
|
|
Fair Value
|
|
|
Capital
|
|
|
Futures Contracts Purchased
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
|
88
|
|
|
$
|
224,468
|
|
|
|
0.13
|
%
|
Energy
|
|
|
788
|
|
|
|
(2,497,868
|
)
|
|
|
(1.49
|
)
|
Grains
|
|
|
224
|
|
|
|
637,672
|
|
|
|
0.38
|
|
Indices
|
|
|
243
|
|
|
|
121,078
|
|
|
|
0.07
|
|
Interest Rates U.S
|
|
|
340
|
|
|
|
526,258
|
|
|
|
0.31
|
|
Interest Rates Non-U.S
|
|
|
442
|
|
|
|
1,065,205
|
|
|
|
0.64
|
|
Livestock
|
|
|
25
|
|
|
|
(7,270
|
)
|
|
|
(0.00
|
)*
|
Metals
|
|
|
93
|
|
|
|
37,735
|
|
|
|
0.02
|
|
Softs
|
|
|
214
|
|
|
|
366,097
|
|
|
|
0.22
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures contracts purchased
|
|
|
|
|
|
|
473,375
|
|
|
|
0.28
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts Sold
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
|
98
|
|
|
|
153,769
|
|
|
|
0.09
|
|
Energy
|
|
|
799
|
|
|
|
4,000,085
|
|
|
|
2.39
|
|
Grains
|
|
|
121
|
|
|
|
(414,627
|
)
|
|
|
(0.25
|
)
|
Indices
|
|
|
69
|
|
|
|
(28,222
|
)
|
|
|
(0.02
|
)
|
Interest Rates U.S
|
|
|
8
|
|
|
|
(5,778
|
)
|
|
|
(0.00
|
)*
|
Interest Rates Non-U.S
|
|
|
58
|
|
|
|
(21,539
|
)
|
|
|
(0.01
|
)
|
Livestock
|
|
|
42
|
|
|
|
34,200
|
|
|
|
0.02
|
|
Metals
|
|
|
5
|
|
|
|
(9,531
|
)
|
|
|
(0.00
|
)*
|
Softs
|
|
|
94
|
|
|
|
104,865
|
|
|
|
0.06
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures contracts sold
|
|
|
|
|
|
|
3,813,222
|
|
|
|
2.28
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized Appreciation on Open Forward Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
$
|
47,198,019
|
|
|
|
2,148,531
|
|
|
|
1.29
|
|
Metals
|
|
|
920
|
|
|
|
5,473,402
|
|
|
|
3.27
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total unrealized appreciation on open forward contracts
|
|
|
|
|
|
|
7,621,933
|
|
|
|
4.56
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized Depreciation on Open Forward Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
$
|
29,003,077
|
|
|
|
(1,635,524
|
)
|
|
|
(0.98
|
)
|
Metals
|
|
|
852
|
|
|
|
(5,404,447
|
)
|
|
|
(3.23
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total unrealized depreciation on open forward contracts
|
|
|
|
|
|
|
(7,039,971
|
)
|
|
|
(4.21
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment in Partnerships
|
|
|
|
|
|
|
|
|
|
|
|
|
CMF Altis Partners Master Fund LP
|
|
|
|
|
|
|
35,435,099
|
|
|
|
21.19
|
|
CMF Avant Master Fund LP
|
|
|
|
|
|
|
15,774,149
|
|
|
|
9.43
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total investment in Partnerships
|
|
|
|
|
|
|
51,209,248
|
|
|
|
30.62
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
|
|
|
|
$
|
56,077,807
|
|
|
|
33.53
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* Due to rounding.
See accompanying notes to financial statements.
F-10
Emerging CTA
Portfolio 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 closed contracts
|
|
$
|
3,589,030
|
|
|
$
|
23,060,216
|
|
|
$
|
9,253,364
|
|
Net realized gains (losses) on investment in Partnerships
|
|
|
3,304,237
|
|
|
|
19,350,420
|
|
|
|
600,079
|
|
Change in net unrealized gains (losses) on open contracts
|
|
|
(5,150,348
|
)
|
|
|
4,099,625
|
|
|
|
(1,840,651
|
)
|
Change in net unrealized gains (losses) on investments in
Partnerships
|
|
|
(934,179
|
)
|
|
|
(911,012
|
)
|
|
|
2,951,586
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gain (loss) from trading, net
|
|
|
808,740
|
|
|
|
45,599,249
|
|
|
|
10,964,378
|
|
Interest income (Note 3c)
|
|
|
96,229
|
|
|
|
1,433,012
|
|
|
|
3,258,245
|
|
Interest income from investment in Partnerships
|
|
|
51,147
|
|
|
|
605,043
|
|
|
|
1,847,264
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total income (loss)
|
|
|
956,116
|
|
|
|
47,637,304
|
|
|
|
16,069,887
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses:
|
|
|
|
|
|
|
|
|
|
|
|
|
Brokerage commissions including clearing fees (Note 3c)
|
|
|
6,945,800
|
|
|
|
6,174,578
|
|
|
|
4,577,746
|
|
Management fees (Note 3b)
|
|
|
3,365,881
|
|
|
|
3,216,409
|
|
|
|
2,375,644
|
|
Administrative fees (Note 3a)
|
|
|
841,470
|
|
|
|
809,580
|
|
|
|
593,908
|
|
Incentive fees (Note 3b)
|
|
|
1,307,243
|
|
|
|
5,895,126
|
|
|
|
1,946,168
|
|
General Partner incentive fees (Note 3a)
|
|
|
|
|
|
|
1,750,838
|
|
|
|
166,156
|
|
Professional fees
|
|
|
370,746
|
|
|
|
343,452
|
|
|
|
93,446
|
|
Other
|
|
|
52,782
|
|
|
|
38,466
|
|
|
|
12,765
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses
|
|
|
12,883,922
|
|
|
|
18,228,449
|
|
|
|
9,765,833
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss)
|
|
$
|
(11,927,806
|
)
|
|
$
|
29,408,855
|
|
|
$
|
6,304,054
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss) per Redeemable Unit of Limited Partnership
Interest and General Partner Unit equivalent (Notes 1 and 7)
|
|
$
|
(102.13
|
)
|
|
$
|
244.45
|
|
|
$
|
62.64
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Weighted average units outstanding
|
|
|
115,611.6683
|
|
|
|
118,955.0099
|
|
|
|
96,007.2633
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-11
Emerging CTA
Portfolio 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
|
|
$
|
81,357,044
|
|
|
$
|
154,715
|
|
|
$
|
81,511,759
|
|
Net income (loss)
|
|
|
6,295,973
|
|
|
|
8,081
|
|
|
|
6,304,054
|
|
Sale of 65,774.6650 Redeemable Units of Limited Partnership
Interest
|
|
|
80,500,000
|
|
|
|
|
|
|
|
80,500,000
|
|
Redemption of 23,646.4057 Redeemable Units of Limited
Partnership Interest
|
|
|
(29,382,009
|
)
|
|
|
|
|
|
|
(29,382,009
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Partners Capital at December 31, 2007
|
|
|
138,771,008
|
|
|
|
162,796
|
|
|
|
138,933,804
|
|
Net income (loss)
|
|
|
29,377,322
|
|
|
|
31,533
|
|
|
|
29,408,855
|
|
Sale of 33,621.0347 Redeemable Units of Limited Partnership
Interest
|
|
|
45,104,000
|
|
|
|
|
|
|
|
45,104,000
|
|
Redemption of 32,691.6051 Redeemable Units of Limited
Partnership Interest
|
|
|
(46,200,870
|
)
|
|
|
|
|
|
|
(46,200,870
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Partners Capital at December 31, 2008
|
|
|
167,051,460
|
|
|
|
194,329
|
|
|
|
167,245,789
|
|
Net income (loss)
|
|
|
(11,865,433
|
)
|
|
|
(62,373
|
)
|
|
|
(11,927,806
|
)
|
Sale of 32,652.7934 Redeemable Units of Limited Partnership
Interest and 1,173.6036 of General Partner Unit equivalents
|
|
|
47,627,000
|
|
|
|
1,700,000
|
|
|
|
49,327,000
|
|
Proceeds from Limited Partners redemption fees
|
|
|
238,562
|
|
|
|
|
|
|
|
238,562
|
|
Redemption of 26,312.7107 Redeemable Units of Limites
Partnership Interest
|
|
|
(38,177,873
|
)
|
|
|
|
|
|
|
(38,177,873
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Partners Capital at December 31, 2009
|
|
$
|
164,873,716
|
|
|
$
|
1,831,956
|
|
|
$
|
166,705,672
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Asset Value per Unit:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2007:
|
|
$
|
1,261.98
|
|
|
|
|
|
|
|
|
|
|
|
2008:
|
|
$
|
1,506.43
|
|
|
|
|
|
|
|
|
|
|
|
2009:
|
|
$
|
1,406.38
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-12
Emerging CTA
Portfolio L.P.
Notes to Financial Statements
December 31, 2009
|
|
1.
|
Partnership
Organization:
|
Emerging CTA Portfolio L.P., formerly Citigroup Emerging CTA
Portfolio L.P. (the Partnership) is a limited
partnership that was organized on July 7, 2003 under the
partnership laws of the State of New York to engage, directly
and indirectly, in the speculative trading of a diversified
portfolio of commodity interests including futures contracts,
options, swaps and forward contracts. The sectors traded include
currencies, livestock, energy, grains, metals, indices, softs,
U.S. and non-U.S. interest rates. The Partnership and the Funds,
(as defined in Note 5 Investment in Partnerships)
may trade futures, forwards and options contracts of any kind.
The commodity interests that are traded by the Partnership are
volatile and involve a high degree of market risk.
Between December 1, 2003 (commencement of the offering
period) and August 5, 2004, 20,872 redeemable units of
Limited Partnership Interest (Redeemable Units) were
sold at $1,000 per Redeemable Unit. The proceeds of the initial
offering were held in an escrow account until August 6,
2004, at which time they were remitted to the Partnership for
trading. The Partnership is authorized to sell
300,000 units and continues to offer 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 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 their initial capital contribution and
profits, if any, net of distributions.
The Partnership will be liquidated upon the first to occur of
the following: December 31, 2023; the Net Asset Value per
Redeemable Unit decreases to less than $400 per Redeemable Unit
as of a close of any business day; a decline in net assets after
trading commences to less than $1,000,000; 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.
|
|
|
|
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
|
F-13
Emerging CTA
Portfolio L.P.
Notes to Financial Statements
December 31, 2009
|
|
|
|
|
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.
|
|
|
|
|
b.
|
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).
|
|
|
c.
|
Partnerships and the Funds
Investments. All commodity interests held by the
Partnership and the Funds (including derivative financial
instruments and derivative commodity instruments) are held for
trading purposes. The commodity interests are recorded on trade
date and open contracts are recorded at fair value (as described
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.
|
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. 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 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 Partnership and 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
F-14
Emerging CTA
Portfolio L.P.
Notes to Financial Statements
December 31, 2009
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 of and for the
years ended December 31, 2009 and 2008, the Partnership and
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).
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Quoted Prices in
|
|
|
|
|
|
Significant
|
|
|
|
|
|
|
Active Markets
|
|
|
Significant Other
|
|
|
Unobservable
|
|
|
|
|
|
|
for Identical
|
|
|
Observable Inputs
|
|
|
Inputs
|
|
|
|
12/31/2009
|
|
|
Assets (Level 1)
|
|
|
(Level 2)
|
|
|
(Level 3)
|
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment in Partnerships
|
|
$
|
63,868,859
|
|
|
$
|
|
|
|
$
|
63,868,859
|
|
|
$
|
|
|
Futures
|
|
|
744,126
|
|
|
|
744,126
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total assets
|
|
|
64,612,985
|
|
|
|
744,126
|
|
|
|
63,868,859
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forwards
|
|
$
|
1,025,915
|
|
|
$
|
100,478
|
|
|
$
|
925,437
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total liabilities
|
|
|
1,025,915
|
|
|
|
100,478
|
|
|
|
925,437
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
$
|
63,587,070
|
|
|
$
|
643,648
|
|
|
$
|
62,943,422
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Quoted Prices in
|
|
|
|
|
|
Significant
|
|
|
|
|
|
|
Active Markets
|
|
|
Significant Other
|
|
|
Unobservable
|
|
|
|
|
|
|
for Identical
|
|
|
Observable Inputs
|
|
|
Inputs
|
|
|
|
12/31/2008
|
|
|
Assets (Level 1)
|
|
|
(Level 2)
|
|
|
(Level 3)
|
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment in Partnerships
|
|
$
|
51,209,248
|
|
|
$
|
|
|
|
$
|
51,209,248
|
|
|
$
|
|
|
Futures
|
|
|
4,286,597
|
|
|
|
4,286,597
|
|
|
|
|
|
|
|
|
|
Forwards
|
|
|
581,962
|
|
|
|
68,955
|
|
|
|
513,007
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total assets
|
|
|
56,077,807
|
|
|
|
4,355,552
|
|
|
|
51,722,255
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
$
|
56,077,807
|
|
|
$
|
4,355,552
|
|
|
$
|
51,722,255
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
d.
|
Futures Contracts. The Partnership and 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 Partnership and the Funds each business day,
depending on the daily fluctuations in the value of the
underlying contracts, and are recorded as unrealized gains or
losses by the Partnership and Funds. When the contract is
closed, the Partnership and Funds 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 Partnership and
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
|
F-15
Emerging CTA
Portfolio L.P.
Notes to Financial Statements
December 31, 2009
|
|
|
|
|
Partnerships and 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 Partnership and the Funds 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 Partnership and
the Funds are cash settled based on prompt dates published by
the LME. Payments (variation margin) may be made or
received by the Partnership and the Funds each business day,
depending on the daily fluctuations in the value of the
underlying contracts, and are recorded as unrealized gains or
losses by the Partnership and the Funds. A contract is
considered offset when all long positions have been matched with
short positions. When the contract is closed at the prompt date,
the Partnership and 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.
|
|
|
g.
|
Options. The Partnership and 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 Partnership and 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 Partnership and 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.
|
|
|
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 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 has 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.
F-16
Emerging CTA
Portfolio L.P.
Notes to Financial Statements
December 31, 2009
|
|
|
|
i.
|
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.
|
|
|
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 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.
|
|
|
|
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 7 for Financial
Highlights.
|
|
|
|
|
a.
|
Limited Partnership Agreement:
|
The General Partner administers the business and affairs of the
Partnership including selecting one or more advisors to make
trading decisions for the Partnership. The Partnership pays the
General Partner a monthly administration fee equal to
1/24
of 1% (0.5% per year) of month-end Net Assets. Month-end Net
Assets, for the purpose of calculating administrative fees, are
Net Assets, as defined in the Limited Partnership Agreement,
prior to the reduction of the current months management
fees, incentive fee accruals, the General Partners
administrative fee and any redemptions or distributions as of
the end of such month. The Partnership will also pay the General
Partner an incentive fee payable annually equal to 5% of the
Partnerships overall New Trading Profits, as defined in
the Limited Partnership Agreement, earned in each calendar year.
For the years ended December 31, 2009, 2008 and 2007, the
General Partner earned incentive fees of $0, $1,750,838, and
$166,156, respectively.
The Partnership consists of individually managed accounts where
the underlying advisors will be unknown to the Limited Partners.
The General Partner, on behalf of the Partnership, has entered
into management agreements (the Management
Agreements) with eight registered commodity trading
advisors (the Advisors). The Advisors are not
affiliated with one another, are not affiliated
F-17
Emerging CTA
Portfolio L.P.
Notes to Financial Statements
December 31, 2009
with the General Partner or CGM and are not responsible for the
organization or operation of the Partnership. The Partnership
pays the Advisors a monthly management fee equal to
1/6
of 1% (2% per year) of month-end Net Assets allocated to
each 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 management fees, incentive fee accruals,
the General Partners administrative fee and any
redemptions or distributions as of the end of such month. Each
Management Agreement may be terminated by either party.
In addition, the Partnership is obligated to pay each Advisor an
incentive fee, payable quarterly, equal to 17% of the New
Trading Profits, as defined in the Management Agreements, earned
by the Advisors for the Partnership during each calendar quarter.
In allocating the assets of the Partnership among the trading
advisors, the General Partner conducts proprietary research and
considers the background of the advisors principals, as
well as the advisors trading styles, strategies and
markets traded, expected volatility, trading results (to the
extent available) 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.
The Partnership has entered into a customer agreement (the
Customer Agreement) which provides that the
Partnership will pay CGM a monthly brokerage commission equal to
7/24
of 1% (3.5% per year) of month-end Net Assets, as defined, in
lieu of brokerage commissions on a per trade basis. Month-end
Net Assets, for the purpose of calculating brokerage commissions
are Net Assets, as defined in the Limited Partnership Agreement,
prior to the reduction of the current months brokerage
commission, incentive fee accruals, management fees, the General
Partners administrative fee, other expenses and any
redemptions or distributions as of the end of such month. CGM
will pay a portion of its brokerage commission 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 fees are paid may
be changed. The Partnership will pay for NFA fees, as well as
exchange, clearing, user,
give-up and
floor brokerage fees (collectively the clearing
fees) directly and through its investment in the Funds.
All of the Partnerships assets, not held in the
Funds accounts at CGM, are deposited in the
Partnerships account at CGM. The Partnerships assets
are 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 for
margin requirements was $11,750,313 and $7,320,973,
respectively. CGM has agreed to pay the Partnership interest on
100% of the average daily equity maintained in cash in the
Partnerships (or the Partnerships allocable portion
of a Funds) account during each month 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 the Partnerships or a Funds
assets in 90-day U.S. Treasury bills and pay the Partnership
100% of the interest earned or its allocable share thereof on
the Treasury bills purchased for the Partnership. 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 interests. The
results of the Partnerships trading activities are shown
in the Statements of Income and Expenses.
The Customer Agreement between the Partnership and CGM gives the
Partnership the legal right to net unrealized gains and losses
on open futures and forward contracts on the Statements of
Financial Condition. The Partnership nets, for financial
reporting purposes, the unrealized gains and losses on open
futures,
F-18
Emerging CTA
Portfolio L.P.
Notes to Financial Statements
December 31, 2009
exchange cleared swaps 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 Partnership 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 11,024. The average
notional values of currency forward contracts for the year ended
December 31, 2009 based on a quarterly calculation, was
$193,690,491.
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 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.
|
|
|
|
|
Assets
|
|
December 31, 2009
|
|
|
Futures Contracts
|
|
|
|
|
Currencies
|
|
$
|
454,205
|
|
Energy
|
|
|
524,031
|
|
Grains
|
|
|
89,903
|
|
Indices
|
|
|
698,928
|
|
Interest Rates U.S.
|
|
|
312,507
|
|
Interest Rates
Non-U.S.
|
|
|
320,014
|
|
Livestock
|
|
|
7,630
|
|
Metals
|
|
|
186,737
|
|
Softs
|
|
|
316,766
|
|
|
|
|
|
|
Total unrealized appreciation on open futures contracts
|
|
$
|
2,910,721
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
Futures Contracts
|
|
|
|
|
Currencies
|
|
$
|
(471,344
|
)
|
Energy
|
|
|
(459,438
|
)
|
Grains
|
|
|
(268,089
|
)
|
Indices
|
|
|
(119,092
|
)
|
Interest Rates U.S.
|
|
|
(365,712
|
)
|
Interest Rates
Non-U.S.
|
|
|
(301,168
|
)
|
Livestock
|
|
|
(12,120
|
)
|
Metals
|
|
|
(112,865
|
)
|
Softs
|
|
|
(56,767
|
)
|
|
|
|
|
|
Total unrealized depreciation on open futures contracts
|
|
|
(2,166,595
|
)
|
|
|
|
|
|
Net unrealized appreciation on open futures contracts
|
|
$
|
744,126
|
*
|
|
|
|
|
|
|
|
|
* |
|
This amount is in Net unrealized appreciation on open
futures contracts on the Statements of Financial Condition. |
F-19
Emerging CTA
Portfolio L.P.
Notes to Financial Statements
December 31, 2009
|
|
|
|
|
|
Assets
|
|
|
|
|
Forward Contracts
|
|
|
|
|
Currencies
|
|
$
|
495,276
|
|
Metals
|
|
|
1,901,753
|
|
|
|
|
|
|
Total unrealized appreciation on open forward contracts
|
|
$
|
2,397,029
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
Forward Contracts
|
|
|
|
|
Currencies
|
|
$
|
(1,420,713
|
)
|
Metals
|
|
|
(2,002,231
|
)
|
|
|
|
|
|
Total unrealized depreciation on open forward contracts
|
|
|
(3,422,944
|
)
|
|
|
|
|
|
Net unrealized depreciation on open forward contracts
|
|
$
|
(1,025,915
|
)**
|
|
|
|
|
|
|
|
|
** |
|
This amount is in Net unrealized depreciation on open
forward 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
|
|
$
|
2,459,707
|
|
Energy
|
|
|
(1,657,789
|
)
|
Grains
|
|
|
1,822,876
|
|
Indices
|
|
|
(2,244,361
|
)
|
Interest Rates U.S.
|
|
|
45,747
|
|
Interest Rates
Non-U.S.
|
|
|
(1,918,698
|
)
|
Livestock
|
|
|
(161,189
|
)
|
Softs
|
|
|
(204,378
|
)
|
Metals
|
|
|
296,767
|
|
|
|
|
|
|
Total
|
|
$
|
(1,561,318
|
)
|
|
|
|
|
|
|
|
5.
|
Investment in
Partnerships:
|
On November 1, 2005, the assets allocated to Altis Partners
Jersey Limited (Altis) for trading were invested in
CMF Altis Partners Master Fund L.P. (Altis
Master), a limited partnership organized under the
partnership laws of the State of New York. The Partnership
purchased 4,898.1251 Units of the Altis Master with cash equal
to $4,196,275 and a contribution of open commodity futures and
forward positions with a fair value of $701,851. Altis Master
was formed to permit commodity pools managed now or in the
future by Altis using the Global Futures Portfolio program, a
proprietary, systematic trading program, to invest together in
one vehicle. The General Partner is also the general partner of
Altis Master. Individual and pooled accounts currently managed
by Altis, including the Partnership are permitted to be limited
partners of Altis Master. The General Partner and Altis believe
that trading through this structure should promote efficiency
and economy in the trading process.
On March 1, 2006, the assets allocated to Avant Capital
Management L.P. (Avant) for trading were invested in
the CMF Avant Master Fund L.P. (Avant Master),
a limited partnership organized under the partnership laws of
the State of New York. The Partnership purchased 8,177.1175
Units of Avant Master with cash equal to $6,827,887 and a
contribution of open commodity futures and forwards positions
with a fair value of $1,349,230. Avant Master was formed in
order to permit accounts managed now or in the future by Avant
using the Diversified Program, a proprietary, systematic trading
program, to invest together in one trading vehicle. The General
Partner is also the general partner of Avant Master. Individual
and
F-20
Emerging CTA
Portfolio L.P.
Notes to Financial Statements
December 31, 2009
pooled accounts currently managed by Avant, including the
Partnership are permitted to be limited partners of Avant
Master. The General Partner and Avant believe that trading
through this structure should promote efficiency and economy in
the trading process.
On May 1, 2009, the assets allocated to Sasco Energy
Partners LLC (Sasco) for trading were invested in
the CMF Sasco Master Fund L.P. (Sasco Master), a
limited partnership organized under the partnership laws of the
State of New York. The Partnership purchased 16,437.9008
Units of Sasco Master with cash equal to $16,364,407 and a
contribution of open commodity futures contracts with a fair
value of $(1,325,727). Sasco Master was formed in order to
permit accounts managed now or in the future by Sasco using the
Energy Program, a proprietary, systematic trading program, to
invest together in one trading vehicle. The General Partner is
also the general partner of Sasco Master. Individual and pooled
accounts currently managed by Sasco, including the Partnership,
are permitted to be limited partners of Sasco Master. The
General Partner and Sasco believe that trading through this
structure should promote efficiency and economy in the trading
process.
The General Partner is not aware of any material changes to any
of the trading programs discussed above during the fiscal year
ended December 31, 2009.
Altis Masters, Avant Masters and Sasco 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, administrative and incentive fees are charged at the
Partnership level. All clearing fees are borne by the
Partnership and through its investment in the Funds. All other
fees including CGMs direct brokerage commissions are
charged at the Partnership level.
On December 31, 2009, the Partnership owned approximately
33.6% of Altis Master, 65.1% of Sasco Master and 100.0% of
Avant Master. It is the intention of the Partnership to continue
to invest in the Funds. On December 31, 2008, the
Partnership had approximately 35.7% of Altis Master and 30.1% of
Avant 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
|
|
|
Altis Master
|
|
$
|
84,341,762
|
|
|
$
|
34,004
|
|
|
$
|
84,307,758
|
|
Avant Master
|
|
|
13,259,355
|
|
|
|
1,759,171
|
|
|
|
11,500,184
|
|
Sasco Master
|
|
|
37,621,540
|
|
|
|
716,206
|
|
|
|
36,905,334
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
135,222,657
|
|
|
$
|
2,509,381
|
|
|
$
|
132,713,276
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
F-21
Emerging CTA
Portfolio L.P.
Notes to Financial Statements
December 31, 2009
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2008
|
|
|
|
Total Assets
|
|
|
Total Liabilities
|
|
|
Total Capital
|
|
|
Altis Master
|
|
$
|
99,300,545
|
|
|
$
|
17,963
|
|
|
$
|
99,282,582
|
|
Avant Master
|
|
|
67,629,391
|
|
|
|
15,257,355
|
|
|
|
52,372,036
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
166,929,936
|
|
|
$
|
15,275,318
|
|
|
$
|
151,654,618
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Summarized information 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)
|
|
|
Altis Master
|
|
$
|
(4,037,646
|
)
|
|
$
|
(3,970,425
|
)
|
|
$
|
(4,128,406
|
)
|
Avant Master
|
|
|
2,261,358
|
|
|
|
2,278,567
|
|
|
|
2,181,987
|
|
Sasco Master
|
|
|
3,282,459
|
|
|
|
3,299,341
|
|
|
|
2,690,111
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
1,506,171
|
|
|
$
|
1,607,483
|
|
|
$
|
743,692
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the Year Ended December 31, 2008
|
|
|
|
Gain (Loss) from
|
|
|
Total Income
|
|
|
Net Income
|
|
|
|
trading, net
|
|
|
(Loss)
|
|
|
(Loss)
|
|
|
Altis Master
|
|
$
|
46,523,557
|
|
|
$
|
47,469,925
|
|
|
$
|
47,259,015
|
|
Avant Master
|
|
|
3,971,897
|
|
|
|
4,604,810
|
|
|
|
4,407,115
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
50,495,454
|
|
|
$
|
52,074,735
|
|
|
$
|
51,666,130
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Summarized information reflecting the Partnerships
investments in, and the operations of, the Funds are shown in
the following tables:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
% of
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net
|
|
|
|
|
|
|
|
Partnerships
|
|
|
|
|
|
|
|
|
Expenses
|
|
|
Income
|
|
|
Investment
|
|
Redemptions
|
Funds
|
|
Net Assets
|
|
|
Fair Value
|
|
|
Income (Loss)
|
|
|
Commissions
|
|
|
Other
|
|
|
(Loss)
|
|
|
Objective
|
|
Permitted
|
|
For the year ended December 31, 2009
|
Altis Master
|
|
|
17.00
|
%
|
|
$
|
28,338,180
|
|
|
$
|
(1,527,679
|
)
|
|
$
|
34,231
|
|
|
$
|
20,605
|
|
|
$
|
(1,582,515
|
)
|
|
Commodity
Portfolio
|
|
Monthly
|
Avant Master
|
|
|
6.90
|
%
|
|
|
11,500,341
|
|
|
|
1,866,969
|
|
|
|
42,105
|
|
|
|
42,302
|
|
|
|
1,782,562
|
|
|
Commodity
Portfolio
|
|
Monthly
|
Sasco Master
|
|
|
14.41
|
%
|
|
|
24,030,338
|
|
|
|
2,081,915
|
|
|
|
321,983
|
|
|
|
71,659
|
|
|
|
1,688,273
|
|
|
Energy
Markets
|
|
Monthly
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
|
|
|
|
$
|
63,868,859
|
|
|
$
|
2,421,205
|
|
|
$
|
398,319
|
|
|
$
|
134,566
|
|
|
$
|
1,888,320
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
% of
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net
|
|
|
|
|
|
|
|
Partnerships
|
|
|
|
|
|
|
|
|
Expenses
|
|
|
Income
|
|
|
Investment
|
|
Redemptions
|
Funds
|
|
Net Assets
|
|
|
Fair Value
|
|
|
Income (Loss)
|
|
|
Commissions
|
|
|
Other
|
|
|
(Loss)
|
|
|
Objective
|
|
Permitted
|
|
For the year ended December 31, 2008
|
Altis Master
|
|
|
21.19
|
%
|
|
$
|
35,435,099
|
|
|
$
|
17,428,734
|
|
|
$
|
63,047
|
|
|
$
|
13,357
|
|
|
$
|
17,352,330
|
|
|
Commodity
Portfolio
|
|
Monthly
|
Avant Master
|
|
|
9.43
|
%
|
|
|
15,774,149
|
|
|
|
1,615,717
|
|
|
|
47,199
|
|
|
|
15,477
|
|
|
|
1,553,041
|
|
|
Commodity
Portfolio
|
|
Monthly
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
|
|
|
|
$
|
51,209,248
|
|
|
$
|
19,044,451
|
|
|
$
|
110,246
|
|
|
$
|
28,834
|
|
|
$
|
18,905,371
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
F-22
Emerging CTA
Portfolio L.P.
Notes to Financial Statements
December 31, 2009
|
|
6.
|
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. 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 as of the last day of any month
on ten days notice to the General Partner. Redemption
fees shall be for the benefit of the Partnership.
Changes in the Net Asset Value per Redeemable Unit of Limited
Partnership Interest for the years ended December 31, 2009,
2008 and 2007 are as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2009
|
|
|
2008
|
|
|
2007
|
|
|
Net realized and unrealized gains (losses)*
|
|
$
|
(51.90
|
)
|
|
$
|
328.34
|
|
|
$
|
62.49
|
|
Interest income
|
|
|
1.30
|
|
|
|
17.22
|
|
|
|
53.83
|
|
Expenses**
|
|
|
(51.53
|
)
|
|
|
(101.11
|
)
|
|
|
(53.68
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Increase (decrease) for the year
|
|
|
(102.13
|
)
|
|
|
244.45
|
|
|
|
62.64
|
|
Proceeds from Limited Partner redemption fees
|
|
|
2.08
|
|
|
|
|
|
|
|
|
|
Net Asset Value per Redeemable Unit of Limited Partnership
Interest, beginning of year
|
|
|
1,506.43
|
|
|
|
1,261.98
|
|
|
|
1,199.34
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Asset Value per Redeemable Unit of Limited Partnership
Interest, end of year
|
|
$
|
1,406.38
|
|
|
$
|
1,506.43
|
|
|
$
|
1,261.98
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Includes brokerage commissions. |
|
|
** |
|
Excludes brokerage commissions. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2009
|
|
|
2008
|
|
|
2007
|
|
|
Ratios to Average Net Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss) before incentive fees***
|
|
|
(6.9
|
)%
|
|
|
(5.4
|
)%
|
|
|
(2.2
|
)%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Operating expenses
|
|
|
7.0
|
%
|
|
|
6.7
|
%
|
|
|
6.7
|
%
|
Incentive fees
|
|
|
0.8
|
%
|
|
|
4.8
|
%
|
|
|
1.9
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses
|
|
|
7.8
|
%
|
|
|
11.5
|
%
|
|
|
8.6
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return:
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return before incentive fees
|
|
|
(5.9
|
)%
|
|
|
24.8
|
%
|
|
|
6.8
|
%
|
Incentive fees
|
|
|
(0.7
|
)%
|
|
|
(5.4
|
)%
|
|
|
(1.6
|
)%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return after incentive fees
|
|
|
(6.6
|
)%
|
|
|
19.4
|
%
|
|
|
5.2
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
*** |
|
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.
|
|
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
F-23
Emerging CTA
Portfolio L.P.
Notes to Financial Statements
December 31, 2009
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 Partnership/Funds due to
market changes, including interest and foreign exchange rate
movements and fluctuations in commodity or security prices.
Market risk is directly impacted by the volatility and liquidity
in the markets in which the related underlying assets are
traded. The Partnership/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.
The risk to the Limited Partners that have purchased interests
in the Partnership is limited to the amount of their capital
contributions to the Partnership and their share of the
Partnerships assets and undistributed profits. This
limited liability is a consequence of the organization of the
Partnership as a limited partnership under applicable law.
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 Partnerships/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 Partnerships/Funds risk of loss is
reduced through the use of legally enforceable master netting
agreements with counterparties that permit the Partnership/Funds
to offset unrealized gains and losses and other assets and
liabilities with such counterparties upon the occurrence of
certain events. The Partnership/Funds have credit risk and
concentration risk as the sole counterparty or broker with
respect to the Partnerships/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
Partnerships/Funds counterparty is an exchange or
clearing organization.
As both a buyer and seller of options, the Partnership/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 Partnership/Funds to
potentially unlimited liability; for purchased options the risk
of loss is limited to the premiums paid. Certain written put
options permit cash settlement and do not require the option
holder to own the reference asset. The Partnership/Funds do not
consider these contracts to be guarantees 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
Partnerships/Funds risk exposure on a daily basis
through financial, credit and risk management monitoring
systems, and accordingly, believes that it has effective
procedures for evaluating and limiting the credit and market
risks to which the Partnership/Funds may be subject. These
monitoring systems generally allow the General Partner to
statistically analyze actual trading results with risk adjusted
performance indicators and correlation statistics. In addition,
on-line monitoring systems provide account analysis of futures,
exchange cleared swaps, 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
Partnerships/Funds business, these instruments may
not be held to maturity.
F-24
Selected unaudited quarterly financial data for the Partnership of the years ended December 31, 2009
and 2008 are summarized below:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the period |
|
For the period |
|
For the period |
|
For the period |
|
|
from |
|
from |
|
from |
|
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 plus interest income |
|
$ |
(5,954,444 |
) |
|
$ |
3,874,342 |
|
|
$ |
973,019 |
|
|
$ |
(4,882,601 |
) |
Net income (loss) |
|
$ |
(7,133,0081 |
) |
|
$ |
2,368,105 |
|
|
$ |
(827,973 |
) |
|
$ |
(6,334,857 |
) |
Increase (decrease) in Net Asset Value per Unit |
|
$ |
(59.86 |
) |
|
$ |
20.55 |
|
|
$ |
(7.26 |
) |
|
$ |
(55.56 |
) |
|
|
|
For the period |
|
For the period |
|
For the period |
|
For the period |
|
|
from |
|
from |
|
from |
|
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 plus interest income |
|
$ |
26,966,882 |
|
|
$ |
(9,520,965 |
) |
|
$ |
12,231,406 |
|
|
$ |
11,785,403 |
|
Net income (loss) |
|
$ |
21,802,886 |
|
|
$ |
(10,658,747 |
) |
|
$ |
8,971,088 |
|
|
$ |
9,293,628 |
|
Increase (decrease) in Net Asset Value per Unit |
|
$ |
179.26 |
|
|
$ |
(89.66 |
) |
|
$ |
75.04 |
|
|
$ |
79.81 |
|
F-25
To the Limited
Partners of
CMF Altis Partners 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 Altis Partners Master Fund L.P.
Ceres Managed Futures LLC
55 East 59th Street
10th Floor
New York, N.Y. 10022
212-559-2011
F-26
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Partners of
CMF Altis Partners Master Fund L.P.:
We have audited the accompanying statement of financial condition of CMF Altis Partners 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 Altis Partners 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-27
Report of Independent Auditors
To the
Partners of
CMF Altis Partners 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 Altis Partners
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-28
Report of Independent Registered Public Accounting Firm
The Partners
CMF Altis Partners Master Fund L.P.:
We have audited the accompanying statements of income and expenses and changes in partners capital
of CMF Altis Partners 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 Altis Partners 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-29
CMF Altis
Partners Master Fund L.P.
Statements
of Financial Condition
December 31, 2009 and 2008
|
|
|
|
|
|
|
|
|
|
|
2009
|
|
|
2008
|
|
|
Assets:
|
|
|
|
|
|
|
|
|
Equity in trading account:
|
|
|
|
|
|
|
|
|
Cash (Note 3c)
|
|
$
|
72,536,409
|
|
|
$
|
69,644,254
|
|
Cash margin (Note 3c)
|
|
|
6,880,657
|
|
|
|
14,456,853
|
|
Net unrealized appreciation on open futures contracts
|
|
|
3,658,632
|
|
|
|
13,064,649
|
|
Net unrealized appreciation on open forward contracts
|
|
|
1,266,064
|
|
|
|
2,134,789
|
|
|
|
|
|
|
|
|
|
|
Total assets
|
|
$
|
84,341,762
|
|
|
$
|
99,300,545
|
|
|
|
|
|
|
|
|
|
|
Liabilities and Partners Capital:
|
|
|
|
|
|
|
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
Accrued expenses:
|
|
|
|
|
|
|
|
|
Professional fees
|
|
$
|
34,004
|
|
|
$
|
17,963
|
|
|
|
|
|
|
|
|
|
|
Total liabilities
|
|
|
34,004
|
|
|
|
17,963
|
|
|
|
|
|
|
|
|
|
|
Partners Capital:
|
|
|
|
|
|
|
|
|
General Partner, 0.0000 Unit equivalents at December 31,
2009 and 2008
|
|
|
|
|
|
|
|
|
Limited Partners Capital, 26,342.3882 and 29,515.9972
Redeemable Units of Limited Partnership Interest outstanding at
December 31, 2009 and 2008, respectively
|
|
|
84,307,758
|
|
|
|
99,282,582
|
|
|
|
|
|
|
|
|
|
|
Total liabilities and partners capital
|
|
$
|
84,341,762
|
|
|
$
|
99,300,545
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-30
CMF Altis
Partners Master Fund L.P.
Condensed
Schedule of Investments
December 31, 2009
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Number of
|
|
|
|
|
|
% of Partners
|
|
|
|
Contracts
|
|
|
Fair Value
|
|
|
Capital
|
|
|
Futures Contracts Purchased
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
|
151
|
|
|
$
|
(86,245
|
)
|
|
|
(0.10
|
)%
|
Energy
|
|
|
137
|
|
|
|
(133,827
|
)
|
|
|
(0.16
|
)
|
Grains
|
|
|
145
|
|
|
|
70,145
|
|
|
|
0.08
|
|
Indices
|
|
|
261
|
|
|
|
644,786
|
|
|
|
0.77
|
|
Interest Rates U.S.
|
|
|
462
|
|
|
|
619,047
|
|
|
|
0.73
|
|
Interest Rates
Non-U.S.
|
|
|
744
|
|
|
|
1,423,043
|
|
|
|
1.69
|
|
Livestock
|
|
|
4
|
|
|
|
3,280
|
|
|
|
0.00
|
*
|
Metals
|
|
|
182
|
|
|
|
474,556
|
|
|
|
0.56
|
|
Softs
|
|
|
311
|
|
|
|
763,907
|
|
|
|
0.91
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures contracts purchased
|
|
|
|
|
|
|
3,778,692
|
|
|
|
4.48
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts Sold
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
|
256
|
|
|
|
161,999
|
|
|
|
0.19
|
|
Energy
|
|
|
116
|
|
|
|
(383,104
|
)
|
|
|
(0.45
|
)
|
Grains
|
|
|
126
|
|
|
|
77,989
|
|
|
|
0.09
|
|
Interest Rates U.S.
|
|
|
70
|
|
|
|
61,922
|
|
|
|
0.07
|
|
Interest Rates
Non-U.S.
|
|
|
52
|
|
|
|
22,694
|
|
|
|
0.03
|
|
Livestock
|
|
|
90
|
|
|
|
(96,250
|
)
|
|
|
(0.11
|
)
|
Metals
|
|
|
6
|
|
|
|
1,750
|
|
|
|
0.00
|
*
|
Softs
|
|
|
48
|
|
|
|
32,940
|
|
|
|
0.04
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures contracts sold
|
|
|
|
|
|
|
(120,060
|
)
|
|
|
(0.14
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized Appreciation on Open Forward Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
Metals
|
|
|
400
|
|
|
|
3,166,023
|
|
|
|
3.75
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total unrealized appreciation on open forward contracts
|
|
|
|
|
|
|
3,166,023
|
|
|
|
3.75
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized Depreciation on Open Forward Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
Metals
|
|
|
367
|
|
|
|
(1,899,959
|
)
|
|
|
(2.25
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total unrealized depreciation on open forward contracts
|
|
|
|
|
|
|
(1,899,959
|
)
|
|
|
(2.25
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
|
|
|
|
$
|
4,924,696
|
|
|
|
5.84
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* Due to rounding
See accompanying notes to financial statements.
F-31
CMF Altis
Partners Master Fund L.P.
Condensed
Schedule of Investments
December 31, 2008
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Number of
|
|
|
|
|
|
% of Partners
|
|
|
|
Contracts
|
|
|
Fair Value
|
|
|
Capital
|
|
|
Futures Contracts Purchased
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
|
221
|
|
|
$
|
359,977
|
|
|
|
0.36
|
%
|
Grains
|
|
|
3
|
|
|
|
638
|
|
|
|
0.00
|
*
|
Indices
|
|
|
137
|
|
|
|
196,752
|
|
|
|
0.20
|
|
Interest Rates U.S.
|
|
|
872
|
|
|
|
2,743,895
|
|
|
|
2.76
|
|
Interest Rates
Non-U.S.
|
|
|
1,565
|
|
|
|
4,508,352
|
|
|
|
4.54
|
|
Livestock
|
|
|
15
|
|
|
|
(1,500
|
)
|
|
|
(0.00
|
)*
|
Metals
|
|
|
44
|
|
|
|
198,430
|
|
|
|
0.20
|
|
Softs
|
|
|
119
|
|
|
|
364,297
|
|
|
|
0.37
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures contracts purchased
|
|
|
|
|
|
|
8,370,841
|
|
|
|
8.43
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts Sold
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
|
124
|
|
|
|
596,380
|
|
|
|
0.60
|
|
Energy
|
|
|
470
|
|
|
|
1,119,463
|
|
|
|
1.13
|
|
Grains
|
|
|
693
|
|
|
|
712,530
|
|
|
|
0.72
|
|
Indices
|
|
|
45
|
|
|
|
(21,735
|
)
|
|
|
(0.02
|
)
|
Interest Rates
Non-U.S.
|
|
|
60
|
|
|
|
44,808
|
|
|
|
0.04
|
|
Livestock
|
|
|
174
|
|
|
|
644,715
|
|
|
|
0.65
|
|
Lumber
|
|
|
35
|
|
|
|
229,460
|
|
|
|
0.23
|
|
Metals
|
|
|
227
|
|
|
|
652,283
|
|
|
|
0.66
|
|
Softs
|
|
|
265
|
|
|
|
715,904
|
|
|
|
0.72
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures contracts sold
|
|
|
|
|
|
|
4,693,808
|
|
|
|
4.73
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized Appreciation on Open Forward Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
Metals
|
|
|
225
|
|
|
|
3,764,562
|
|
|
|
3.79
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total unrealized appreciation on open forward contracts
|
|
|
|
|
|
|
3,764,562
|
|
|
|
3.79
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized Depreciation on Open Forward Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
Metals
|
|
|
192
|
|
|
|
(1,629,773
|
)
|
|
|
(1.64
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total unrealized depreciation on open forward contracts
|
|
|
|
|
|
|
(1,629,773
|
)
|
|
|
(1.64
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
|
|
|
|
$
|
15,199,438
|
|
|
|
15.31
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* Due to rounding
See accompanying notes to financial statements.
F-32
CMF Altis
Partners 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
|
|
$
|
6,237,096
|
|
|
$
|
43,242,776
|
|
|
$
|
8,388,931
|
|
Change in net unrealized gains (losses) on open contracts
|
|
|
(10,274,742
|
)
|
|
|
3,280,781
|
|
|
|
5,902,514
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gain (loss) from trading, net
|
|
|
(4,037,646
|
)
|
|
|
46,523,557
|
|
|
|
14,291,445
|
|
Interest income
|
|
|
67,221
|
|
|
|
946,368
|
|
|
|
2,316,916
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total income (loss)
|
|
|
(3,970,425
|
)
|
|
|
47,469,925
|
|
|
|
16,608,361
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses:
|
|
|
|
|
|
|
|
|
|
|
|
|
Clearing fees
|
|
|
97,912
|
|
|
|
174,092
|
|
|
|
174,310
|
|
Professional fees
|
|
|
60,069
|
|
|
|
36,818
|
|
|
|
38,430
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses
|
|
|
157,981
|
|
|
|
210,910
|
|
|
|
212,740
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss)
|
|
$
|
(4,128,406
|
)
|
|
$
|
47,259,015
|
|
|
$
|
16,395,621
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss) per Redeemable Unit of Limited Partnership
Interest (Notes 1 and 6)
|
|
$
|
(160.69
|
)
|
|
$
|
1,419.53
|
|
|
$
|
434.50
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Weighted average units outstanding
|
|
|
27,447.9300
|
|
|
|
35,038.6637
|
|
|
|
34,674.0707
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-33
CMF Altis
Partners 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
|
|
$
|
45,727,192
|
|
Net income (loss)
|
|
|
16,395,621
|
|
Sale of 15,332.4004 Redeemable Units of Limited Partnership
Interest
|
|
|
24,794,065
|
|
Redemption of 7,165.6466 Redeemable Units of Limited Partnership
Interest
|
|
|
(12,341,087
|
)
|
Distribution of interest income to feeder funds
|
|
|
(2,316,916
|
)
|
|
|
|
|
|
Partners capital at December 31, 2007
|
|
|
72,258,875
|
|
Net income (loss)
|
|
|
47,259,015
|
|
Sale of 7,905.1589 Redeemable Units of Limited Partnership
Interest
|
|
|
19,703,367
|
|
Redemption of 15,042.4224 Redeemable Units of Limited
Partnership Interest
|
|
|
(38,992,307
|
)
|
Distribution of interest income to feeder funds
|
|
|
(946,368
|
)
|
|
|
|
|
|
Partners capital at December 31, 2008
|
|
|
99,282,582
|
|
Net income (loss)
|
|
|
(4,128,406
|
)
|
Sale of 7,949.9256 Redeemable Units of Limited Partnership
Interest
|
|
|
25,607,383
|
|
Redemption of 11,123.5346 Redeemable Units of Limited
Partnership Interest
|
|
|
(36,386,580
|
)
|
Distribution of interest income to feeder funds
|
|
|
(67,221
|
)
|
|
|
|
|
|
Partners capital at December 31, 2009
|
|
$
|
84,307,758
|
|
|
|
|
|
|
Net Asset Value per Redeemable Unit of Limited Partnership
Interest:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2007:
|
|
$
|
1,971.42
|
|
|
|
|
|
|
|
|
|
|
|
2008:
|
|
$
|
3,363.69
|
|
|
|
|
|
|
|
|
|
|
|
2009:
|
|
$
|
3,200.46
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-34
CMF Altis
Partners Master Fund L.P.
Notes to
Financial Statements
December 31, 2009
|
|
1.
|
Partnership
Organization:
|
CMF Altis Partners 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, 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, 2005 (commencement of trading operations),
Global Diversified Futures Fund L.P. (formerly, Citigroup
Global Diversified Futures Fund L.P.) (Global
Diversified) and Emerging CTA Portfolio L.P. (formerly,
Citigroup Emerging CTA Portfolio L.P.) (Emerging
CTA) allocated a portion of their capital to the Master.
Global Diversified purchased 13,013.6283 Redeemable Units with
cash equal to $11,227,843 and a contribution of open commodity
futures and forward positions with a fair value of $1,785,785.
Emerging CTA purchased 4,898.1251 Redeemable Units with cash
equal to $4,196,275 and a contribution of open commodity futures
and forward positions with a fair value of $701,851. On
February 1, 2006, 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 3,989.7912 Redeemable Units
with cash equal to $5,000,000. 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 1,600.3547 Redeemable
Units with a fair value of $2,500,000. The Master was formed to
permit commodity pools managed now or in the future by Altis
Partners (Jersey) Limited (the Advisor) using the
Global Futures Portfolio Program, the Advisors proprietary
systematic trading program, to invest together in one vehicle.
The Master operates under a structure where its investors
consist of Global Diversified, Emerging CTA, Institutional
Portfolio and Global Futures (each a Feeder,
collectively the Funds) with approximately 12.8%,
33.6%, 25.3% and 28.3% investments in the Master at
December 31, 2009, respectively. Global Diversified,
Emerging CTA, Institutional Portfolio and Global Futures had
approximately 15.7%, 35.7%, 24.7% and 23.9% 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 (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
F-35
CMF Altis
Partners Master Fund L.P.
Notes to Financial Statements
December 31, 2009
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 an 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 gain or loss and any
change in net unrealized gain or loss 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
F-36
CMF Altis
Partners Master Fund L.P.
Notes to Financial Statements
December 31, 2009
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 for
|
|
|
Significant Other
|
|
|
Significant
|
|
|
|
|
|
|
Identical Assets
|
|
|
Observable Inputs
|
|
|
Unobservable Inputs
|
|
|
|
12/31/2009
|
|
|
(Level 1)
|
|
|
(Level 2)
|
|
|
(Level 3)
|
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures
|
|
$
|
3,658,632
|
|
|
$
|
3,658,632
|
|
|
$
|
|
|
|
$
|
|
|
Forwards
|
|
|
1,266,064
|
|
|
|
1,266,064
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
$
|
4,924,696
|
|
|
$
|
4,924,696
|
|
|
$
|
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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
|
|
$
|
13,064,649
|
|
|
$
|
13,064,649
|
|
|
$
|
|
|
|
$
|
|
|
Forwards
|
|
|
2,134,789
|
|
|
|
2,134,789
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
$
|
15,199,438
|
|
|
$
|
15,199,438
|
|
|
$
|
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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
|
F-37
CMF Altis
Partners Master Fund L.P.
Notes to Financial Statements
December 31, 2009
|
|
|
|
|
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.
|
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 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 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
F-38
CMF Altis
Partners Master Fund L.P.
Notes to Financial Statements
December 31, 2009
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 period 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 was $6,880,657 and $14,456,853,
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 4,416.
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
F-39
CMF Altis
Partners Master Fund L.P.
Notes to Financial Statements
December 31, 2009
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.
|
|
|
|
|
|
|
December 31,
|
|
|
|
2009
|
|
|
Assets
|
|
|
|
|
Futures Contracts
|
|
|
|
|
Currencies
|
|
$
|
513,272
|
|
Energy
|
|
|
34,206
|
|
Grains
|
|
|
201,302
|
|
Indices
|
|
|
646,144
|
|
Interest Rates U.S.
|
|
|
806,247
|
|
Interest Rates
Non-U.S.
|
|
|
1,623,556
|
|
Livestock
|
|
|
20,960
|
|
Metals
|
|
|
489,601
|
|
Softs
|
|
|
861,460
|
|
|
|
|
|
|
Total unrealized appreciation on open futures contracts
|
|
$
|
5,196,748
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
Futures Contracts
|
|
|
|
|
Currencies
|
|
$
|
(437,517
|
)
|
Energy
|
|
|
(551,137
|
)
|
Grains
|
|
|
(53,169
|
)
|
Indices
|
|
|
(1,358
|
)
|
Interest Rates U.S.
|
|
|
(125,278
|
)
|
Interest Rates
Non-U.S.
|
|
|
(177,819
|
)
|
Livestock
|
|
|
(113,930
|
)
|
Metals
|
|
|
(13,295
|
)
|
Softs
|
|
|
(64,613
|
)
|
|
|
|
|
|
Total unrealized depreciation on open futures contracts
|
|
$
|
(1,538,116
|
)
|
|
|
|
|
|
Net unrealized appreciation on open futures contracts
|
|
$
|
3,658,632
|
*
|
|
|
|
|
|
|
|
|
|
|
Assets
|
|
|
|
|
Forward Contracts
|
|
|
|
|
Metals
|
|
$
|
3,166,023
|
|
|
|
|
|
|
Total unrealized appreciation on open forward contracts
|
|
$
|
3,166,023
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
Forward Contracts
|
|
|
|
|
Metals
|
|
$
|
(1,899,959
|
)
|
|
|
|
|
|
Total unrealized depreciation on open forward contracts
|
|
$
|
(1,899,959
|
)
|
|
|
|
|
|
Net unrealized appreciation on open forward contracts
|
|
$
|
1,266,064
|
**
|
|
|
|
|
|
|
|
|
* |
|
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-40
CMF Altis
Partners 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 twelve months
ended December 31, 2009.
|
|
|
|
|
|
|
December 31, 2009
|
|
Sector
|
|
Gain (Loss) from trading
|
|
|
Currencies
|
|
$
|
90,312
|
|
Energy
|
|
|
(3,628,727
|
)
|
Grains
|
|
|
(2,301,628
|
)
|
Indices
|
|
|
(942,057
|
)
|
Interest Rates U.S.
|
|
|
(750,482
|
)
|
Interest Rates
Non-U.S.
|
|
|
313,186
|
|
Livestock
|
|
|
340,475
|
|
Lumber
|
|
|
(229,460
|
)
|
Metals
|
|
|
2,922,408
|
|
Softs
|
|
|
148,327
|
|
|
|
|
|
|
Total
|
|
|
(4,037,646
|
)***
|
|
|
|
|
|
|
|
|
*** |
|
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)*
|
|
$
|
(160.98
|
)
|
|
$
|
1,393.37
|
|
|
$
|
367.31
|
|
Interest income
|
|
|
2.54
|
|
|
|
27.26
|
|
|
|
68.30
|
|
Expenses**
|
|
|
(2.25
|
)
|
|
|
(1.10
|
)
|
|
|
(1.11
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Increase (decrease) for the year
|
|
|
(160.69
|
)
|
|
|
1,419.53
|
|
|
|
434.50
|
|
Distribution of interest income to feeder funds
|
|
|
(2.54
|
)
|
|
|
(27.26
|
)
|
|
|
(68.30
|
)
|
Net Asset Value per Redeemable Unit of Limited Partnership
Interest, beginning of year
|
|
|
3,363.69
|
|
|
|
1,971.42
|
|
|
|
1,605.22
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Asset Value per Redeemable Unit of Limited Partnership
Interest, end of year
|
|
$
|
3,200.46
|
|
|
$
|
3,363.69
|
|
|
$
|
1,971.42
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Includes clearing fees. |
|
|
** |
|
Excludes clearing fees. |
F-41
CMF Altis
Partners Master Fund L.P.
Notes to Financial Statements
December 31, 2009
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2009
|
|
|
2008
|
|
|
2007
|
|
|
Ratios to Average Net Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)***
|
|
|
(0.1
|
)%
|
|
|
0.9
|
%
|
|
|
3.6
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Operating expenses
|
|
|
0.2
|
%
|
|
|
0.3
|
%
|
|
|
0.4
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return
|
|
|
(4.8
|
)%
|
|
|
72.0
|
%
|
|
|
27.1
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
*** |
|
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.
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-42
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Selected unaudited quarterly financial data for Altis Master for the years ended December
31, 2009 and 2008 is summarized below: |
|
|
|
For the period |
|
For the period |
|
For the period |
|
For the period |
|
|
from |
|
from |
|
from |
|
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 |
|
$ |
(3,126,708 |
) |
|
$ |
4,107,431 |
|
|
$ |
(196,386 |
) |
|
$ |
(4,852,674 |
) |
Net income (loss) |
|
$ |
(3,150,340 |
) |
|
$ |
4,094,363 |
|
|
$ |
(209,227 |
) |
|
$ |
(4,863,202 |
) |
Increase (decrease)
in Net Asset Value
per Redeemable Unit |
|
$ |
(120.89 |
) |
|
$ |
153.67 |
|
|
$ |
(7.77 |
) |
|
$ |
(185.70 |
) |
|
|
|
For the period |
|
For the period |
|
For the period |
|
For the period |
|
|
from |
|
from |
|
from |
|
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 |
|
$ |
30,914,449 |
|
|
$ |
(15,270,584 |
) |
|
$ |
23,717,513 |
|
|
$ |
7,934,455 |
|
Net income (loss) |
|
$ |
30,905,495 |
|
|
$ |
(15,279,538 |
) |
|
$ |
23,708,108 |
|
|
$ |
7,924,950 |
|
Increase (decrease)
in Net Asset Value
per Redeemable Unit |
|
$ |
982.42 |
|
|
$ |
(466.12 |
) |
|
$ |
684.52 |
|
|
$ |
218.71 |
|
F-43
To the Limited
Partners of
CMF Avant 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 Avant Master Fund L.P.
Ceres Managed Futures LLC
55 East 59th Street
10th Floor
New York, N.Y. 10022
212-559-2011
F-44
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Partners of
CMF Avant Master Fund L.P.:
We have audited the accompanying statement of financial condition of CMF Avant 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 Avant 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-45
Report of Independent Auditors
To the
Partners of
CMF Avant Partners 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 Avant Partners
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-46
Report of Independent Registered Public Accounting Firm
The Partners
CMF Avant Master Fund L.P.:
We have audited the accompanying statements of income and expenses and changes in partners capital
of CMF Avant 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 Avant Master Fund L.P.
for the year December 31, 2007, in conformity with U.S. generally accepted accounting principles.
/s/ KPMG LLP
New York, New York
March 24, 2008
F-47
CMF Avant Master
Fund L.P.
Statements
of Financial Condition
December 31, 2009 and 2008
|
|
|
|
|
|
|
|
|
|
|
2009
|
|
|
2008
|
|
|
Assets:
|
|
|
|
|
|
|
|
|
Equity in trading account:
|
|
|
|
|
|
|
|
|
Cash (Note 3c)
|
|
$
|
12,986,240
|
|
|
$
|
51,744,010
|
|
Cash margin (Note 3c)
|
|
|
273,115
|
|
|
|
6,298,957
|
|
Options owned, at fair value (cost $0 and $5,563,825 at
December 31, 2009 and 2008, respectively)
|
|
|
|
|
|
|
9,586,424
|
|
|
|
|
|
|
|
|
|
|
Total assets
|
|
$
|
13,259,355
|
|
|
$
|
67,629,391
|
|
|
|
|
|
|
|
|
|
|
Liabilities and Partners Capital:
|
|
|
|
|
|
|
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
Net unrealized depreciation on open futures and exchange cleared
swap contracts
|
|
$
|
1,727,090
|
|
|
$
|
433,120
|
|
Options written, at fair value (premium $0 and $5,314,025 at
December 31, 2009 and 2008, respectively)
|
|
|
|
|
|
|
14,795,076
|
|
Accrued expenses:
|
|
|
|
|
|
|
|
|
Professional fees
|
|
|
32,081
|
|
|
|
29,159
|
|
|
|
|
|
|
|
|
|
|
Total liabilities
|
|
|
1,759,171
|
|
|
|
15,257,355
|
|
|
|
|
|
|
|
|
|
|
Partners Capital:
|
|
|
|
|
|
|
|
|
General Partner, 0.0000 Unit equivalents at December 31,
2009 and 2008
|
|
|
|
|
|
|
|
|
Limited Partners Capital, 10,848.7365 and 56,889.3869
Redeemable Units of Limited Partnership Interest outstanding at
December 31, 2009 and 2008, respectively
|
|
|
11,500,184
|
|
|
|
52,372,036
|
|
|
|
|
|
|
|
|
|
|
Total liabilities and partners capital
|
|
$
|
13,259,355
|
|
|
$
|
67,629,391
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-48
CMF Avant 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
|
|
|
|
|
|
|
|
|
|
|
|
|
NYMEX Natural Gas Feb. 2010 Oct. 2012
|
|
|
144
|
|
|
$
|
(525,500
|
)
|
|
|
(4.57
|
)%
|
NMX HH N Gas Swap April. 2010 Dec. 2012
|
|
|
2,064
|
|
|
|
(4,996,200
|
)
|
|
|
(43.45
|
)
|
Other
|
|
|
3
|
|
|
|
1,950
|
|
|
|
0.02
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures and exchange cleared swap contracts purchased
|
|
|
|
|
|
|
(5,519,750
|
)
|
|
|
(48.00
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures and Exchange Cleared Swap Contracts Sold
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy
|
|
|
|
|
|
|
|
|
|
|
|
|
NYMEX Natural Gas Mar. 2010 Mar. 2013
|
|
|
501
|
|
|
|
3,193,570
|
|
|
|
27.77
|
|
NMX HH N Gas Swap Feb. 2010 Jan. 2012
|
|
|
628
|
|
|
|
603,020
|
|
|
|
5.24
|
|
Other
|
|
|
3
|
|
|
|
(3,930
|
)
|
|
|
(0.03
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures and exchange cleared swap contracts sold
|
|
|
|
|
|
|
3,792,660
|
|
|
|
32.98
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
|
|
|
|
$
|
(1,727,090
|
)
|
|
|
(15.02
|
)%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-49
CMF Avant 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
|
|
|
|
|
|
|
|
|
|
|
|
|
NYMEX Natural Gas Mar. 2009 Aug. 2012
|
|
|
806
|
|
|
$
|
(6,272,350
|
)
|
|
|
(11.98
|
)%
|
NMX HH N Gas Swap Mar. 2009 Aug. 2012
|
|
|
1,600
|
|
|
|
(5,452,440
|
)
|
|
|
(10.41
|
)
|
Other
|
|
|
340
|
|
|
|
(1,752,130
|
)
|
|
|
(3.34
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures and exchange cleared swap contracts purchased
|
|
|
|
|
|
|
(13,476,920
|
)
|
|
|
(25.73
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures and Exchange Cleared Swap Contracts Sold
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy
|
|
|
|
|
|
|
|
|
|
|
|
|
NYMEX Natural Gas Feb. 2009 Dec. 2012
|
|
|
1,023
|
|
|
|
10,264,700
|
|
|
|
19.60
|
|
NMX HH N Gas Swap Dec. 2009 Sep. 2011
|
|
|
1,024
|
|
|
|
2,779,100
|
|
|
|
5.31
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures and exchange cleared swap contracts sold
|
|
|
|
|
|
|
13,043,800
|
|
|
|
24.91
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options Owned
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy
|
|
|
|
|
|
|
|
|
|
|
|
|
Call
|
|
|
|
|
|
|
|
|
|
|
|
|
Other
|
|
|
422
|
|
|
|
129,249
|
|
|
|
0.24
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Call options owned
|
|
|
|
|
|
|
129,249
|
|
|
|
0.24
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Put
|
|
|
|
|
|
|
|
|
|
|
|
|
NYMEX Natural Gas E Feb. 09 Sept. 09
|
|
|
1,064
|
|
|
|
9,457,175
|
|
|
|
18.06
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Put options owned
|
|
|
|
|
|
|
9,457,175
|
|
|
|
18.06
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total options owned
|
|
|
|
|
|
|
9,586,424
|
|
|
|
18.30
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options Written
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy
|
|
|
|
|
|
|
|
|
|
|
|
|
Call
|
|
|
|
|
|
|
|
|
|
|
|
|
Other
|
|
|
423
|
|
|
|
(915,359
|
)
|
|
|
(1.75
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Call options written
|
|
|
|
|
|
|
(915,359
|
)
|
|
|
(1.75
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Put
|
|
|
|
|
|
|
|
|
|
|
|
|
NYMEX Natural Gas E Feb. 09 April 09
|
|
|
618
|
|
|
|
(13,281,717
|
)
|
|
|
(25.36
|
)
|
Other
|
|
|
40
|
|
|
|
(598,000
|
)
|
|
|
(1.14
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Put options written
|
|
|
|
|
|
|
(13,879,717
|
)
|
|
|
(26.50
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total options written
|
|
|
|
|
|
|
(14,795,076
|
)
|
|
|
(28.25
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
|
|
|
|
$
|
(5,641,772
|
)
|
|
|
(10.77
|
)%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-50
CMF Avant 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
|
|
$
|
(1,903,124
|
)
|
|
$
|
11,106,601
|
|
|
$
|
(8,119,508
|
)
|
Change in net unrealized gains (losses) on open contracts
|
|
|
4,164,482
|
|
|
|
(7,134,704
|
)
|
|
|
2,160,940
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gain (loss) from trading, net
|
|
|
2,261,358
|
|
|
|
3,971,897
|
|
|
|
(5,958,568
|
)
|
Interest income
|
|
|
17,209
|
|
|
|
632,913
|
|
|
|
2,179,378
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total income (loss)
|
|
|
2,278,567
|
|
|
|
4,604,810
|
|
|
|
(3,779,190
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses:
|
|
|
|
|
|
|
|
|
|
|
|
|
Clearing fees
|
|
|
50,022
|
|
|
|
148,722
|
|
|
|
252,377
|
|
Professional fees
|
|
|
46,558
|
|
|
|
48,973
|
|
|
|
30,957
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses
|
|
|
96,580
|
|
|
|
197,695
|
|
|
|
283,334
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss)
|
|
$
|
2,181,987
|
|
|
$
|
4,407,115
|
|
|
$
|
(4,062,524
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss) per Redeemable Unit of Limited Partnership
Interest (Notes 1 and 6)
|
|
$
|
140.40
|
|
|
$
|
58.65
|
|
|
$
|
(59.91
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Weighted average units outstanding
|
|
|
21,162.1320
|
|
|
|
63,885.9168
|
|
|
|
62,059.9620
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-51
CMF Avant 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
|
|
$
|
37,016,960
|
|
Net income (loss)
|
|
|
(4,062,524
|
)
|
Sale of 38,610.2462 Redeemable Units of Limited Partnership
Interest
|
|
|
36,599,757
|
|
Redemption of 4,968.7921 Redeemable Units of Limited Partnership
Interest
|
|
|
(4,703,486
|
)
|
Distribution of interest income to feeder funds
|
|
|
(2,179,378
|
)
|
|
|
|
|
|
Partners Capital at December 31, 2007
|
|
|
62,671,329
|
|
Net income (loss)
|
|
|
4,407,115
|
|
Sale of 10,313.7684 Redeemable Units of Limited Partnership
Interest
|
|
|
9,669,031
|
|
Redemption of 25,308.3134 Redeemable Units of Limited
Partnership Interest
|
|
|
(23,742,526
|
)
|
Distribution of interest income to feeder funds
|
|
|
(632,913
|
)
|
|
|
|
|
|
Partners Capital at December 31, 2008
|
|
|
52,372,036
|
|
Net income (loss)
|
|
|
2,181,987
|
|
Redemption of 46,040.6504 Redeemable Units of Limited
Partnership Interest
|
|
|
(43,036,630
|
)
|
Distribution of interest income to feeder funds
|
|
|
(17,209
|
)
|
|
|
|
|
|
Partners Capital at December 31, 2009
|
|
$
|
11,500,184
|
|
|
|
|
|
|
Net Asset Value per Redeemable Unit of Limited Partnership
Interest:
|
|
|
|
|
|
|
|
|
|
2007:
|
|
$
|
871.84
|
|
|
|
|
|
|
|
|
|
|
|
2008:
|
|
$
|
920.59
|
|
|
|
|
|
|
|
|
|
|
|
2009:
|
|
$
|
1,060.05
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-52
CMF Avant Master
Fund L.P.
Notes to
Financial Statements
December 31, 2009
|
|
1.
|
Partnership
Organization:
|
CMF Avant 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, 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 March 1, 2006 (commencement of trading operations),
Emerging CTA Portfolio L.P. (formerly, Citigroup Emerging CTA
Portfolio L.P.) (Emerging CTA) purchased 8,177.1175
Redeemable Units with cash of $6,827,887 and a contribution of
open commodity futures and forwards positions with a fair value
of $1,349,230. On May 1, 2006, Alera Portfolio SPC
(Alera SPC) allocated a portion of its capital to
the Master and purchased 4,242.8088 Redeemable Units with cash
of $4,795,225. On July 1, 2006, 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 17,941.7382
Redeemable Units with a cash of $20,000,000. On October 1,
2006, Citigroup Energy Advisors Portfolio L.P. (Energy
Fund) allocated a portion of its capital to the Master and
purchased 2,456.7378 Redeemable Units with cash of $2,370,000.
On March 31, 2007, Alera SPC redeemed its entire investment
in the Master. This amounted to 1,717.5007 Redeemable Units with
a fair value of $1,672,710, which includes interest income of
$6,907. On January 31, 2009, Tactical Diversified redeemed
its entire investment in the Master. This amounted to
15,102.2650 Redeemable Units with a fair value of $14,145,443.
On April 30, 2009, Energy Fund redeemed its entire
investment in the Master. This amounted to 3,398.3309 Redeemable
Units with a fair value of $3,243,811. The Master was formed to
permit commodity pools managed now or in the future by Avant
Capital Management L.P., a Texas limited partnership (the
Advisor) using the Managed Account Trading Program,
the Advisors proprietary trading program, to invest
together in one vehicle.
The Master operates under a structure where its investor
consists of Emerging CTA with approximately 100.0% investments
in the Master at December 31, 2009. Emerging CTA, Tactical
Diversified and Energy Fund, had approximately 30.1%, 57.2%, and
12.7% investments in the Master at December 31, 2008,
respectively.
The Master will be liquidated upon the first to occur of the
following: December 31, 2026; 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)
F-53
CMF Avant Master
Fund L.P.
Notes to Financial Statements
December 31, 2009
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 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
F-54
CMF Avant Master
Fund L.P.
Notes to Financial Statements
December 31, 2009
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
|
|
|
Significant
|
|
|
|
|
|
|
|
|
|
Markets for
|
|
|
Other
|
|
|
Significant
|
|
|
|
|
|
|
Identical
|
|
|
Observable
|
|
|
Unobservable
|
|
|
|
|
|
|
Assets
|
|
|
Inputs
|
|
|
Inputs
|
|
|
|
12/31/2009
|
|
|
(Level 1)
|
|
|
(Level 2)
|
|
|
(Level 3)
|
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures and Exchange Cleared Swaps
|
|
$
|
1,727,090
|
|
|
$
|
1,727,090
|
|
|
$
|
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total liabilities
|
|
|
1,727,090
|
|
|
|
1,727,090
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
$
|
(1,727,090
|
)
|
|
$
|
(1,727,090
|
)
|
|
$
|
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Quoted
|
|
|
|
|
|
|
|
|
|
|
|
|
Prices
|
|
|
|
|
|
|
|
|
|
|
|
|
in Active
|
|
|
Significant
|
|
|
|
|
|
|
|
|
|
Markets for
|
|
|
Other
|
|
|
Significant
|
|
|
|
|
|
|
Identical
|
|
|
Observable
|
|
|
Unobservable
|
|
|
|
|
|
|
Assets
|
|
|
Inputs
|
|
|
Inputs
|
|
|
|
12/31/2008
|
|
|
(Level 1)
|
|
|
(Level 2)
|
|
|
(Level 3)
|
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options owned
|
|
$
|
9,586,424
|
|
|
$
|
9,586,424
|
|
|
$
|
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total assets
|
|
|
9,586,424
|
|
|
|
9,586,424
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures and Exchange Cleared Swaps
|
|
$
|
433,120
|
|
|
$
|
433,120
|
|
|
$
|
|
|
|
$
|
|
|
Options written
|
|
|
14,795,076
|
|
|
|
14,795,076
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total liabilities
|
|
|
15,228,196
|
|
|
|
15,228,196
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
$
|
(5,641,772
|
)
|
|
$
|
(5,641,772
|
)
|
|
$
|
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 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
|
F-55
CMF Avant Master
Fund L.P.
Notes to Financial Statements
December 31, 2009
|
|
|
|
|
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 and exchange cleared swap
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 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 of 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,
|
F-56
CMF Avant Master
Fund L.P.
Notes to Financial Statements
December 31, 2009
|
|
|
|
|
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 period 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
Partnership. 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 $273,115 and $6,298,957. 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 exchange cleared swap contracts. The Master
nets, for
F-57
CMF Avant Master
Fund L.P.
Notes to Financial Statements
December 31, 2009
financial reporting purposes, the unrealized gains and losses on
open futures and exchange cleared swap 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 swaps and options contracts traded for the year ended
December 31, 2009 based on a quarterly calculation, was
4,814.
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 exchange cleared swap contracts as
separate assets and liabilities.
|
|
|
|
|
|
|
December 31, 2009
|
|
|
Assets
|
|
|
|
|
Futures and Exchange Cleared Swap Contracts
|
|
|
|
|
Energy
|
|
$
|
3,938,900
|
|
|
|
|
|
|
Total unrealized appreciation on open futures and exchange
cleared swap contracts
|
|
$
|
3,938,900
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
Futures and Exchange Cleared Swap Contracts
|
|
|
|
|
Energy
|
|
$
|
(5,665,990
|
)
|
|
|
|
|
|
Total unrealized depreciation on open futures and exchange
cleared swap contracts
|
|
$
|
(5,665,990
|
)
|
|
|
|
|
|
Net unrealized depreciation on open futures and exchange cleared
swap contracts
|
|
$
|
(1,727,090
|
)*
|
|
|
|
|
|
|
|
|
* |
|
This amount is in Net unrealized depreciation on open
futures and exchange cleared swap 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
|
|
|
Energy
|
|
$
|
2,261,358
|
|
|
|
|
|
|
Total
|
|
$
|
2,261,358
|
**
|
|
|
|
|
|
|
|
|
** |
|
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
F-58
CMF Avant Master
Fund L.P.
Notes to Financial Statements
December 31, 2009
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)*
|
|
$
|
142.72
|
|
|
$
|
49.55
|
|
|
$
|
(95.55
|
)
|
Interest income
|
|
|
0.94
|
|
|
|
9.90
|
|
|
|
36.20
|
|
Expenses**
|
|
|
(3.26
|
)
|
|
|
(0.80
|
)
|
|
|
(0.56
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Increase (decrease) for the year
|
|
|
140.40
|
|
|
|
58.65
|
|
|
|
(59.91
|
)
|
Distribution of interest income to feeder funds
|
|
|
(0.94
|
)
|
|
|
(9.90
|
)
|
|
|
(36.20
|
)
|
Net Asset Value per Redeemable Unit of Limited Partnership
Interest, beginning of year
|
|
|
920.59
|
|
|
|
871.84
|
|
|
|
967.95
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Asset Value per Redeemable Unit of Limited Partnership
Interest, end of year
|
|
$
|
1,060.05
|
|
|
$
|
920.59
|
|
|
$
|
871.84
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Includes clearing fees. |
|
|
** |
|
Excludes clearing fees. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2009
|
|
|
2008
|
|
|
2007
|
|
|
Ratios to average net assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)***
|
|
|
(0.4
|
)%
|
|
|
0.7
|
%
|
|
|
3.5
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Operating expenses
|
|
|
0.5
|
%
|
|
|
0.3
|
%
|
|
|
0.5
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return
|
|
|
15.3
|
%
|
|
|
6.7
|
%
|
|
|
(6.2
|
)%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
*** |
|
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, 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
F-59
CMF Avant Master
Fund L.P.
Notes to Financial Statements
December 31, 2009
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 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 generally systems allow the General
Partner to statistically analyze actual trading results with
risk adjusted performance indicators and correlation statistics.
In addition, on-line monitoring systems provide account analysis
of futures, exchange cleared swaps, 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-60
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Selected unaudited quarterly financial data for Avant Master for the years ended December 31,
2009 and 2008 are summarized below: |
|
|
|
For the period |
|
For the period |
|
For the period |
|
For the period |
|
|
from |
|
from |
|
from |
|
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 plus
interest income |
|
$ |
(102,614 |
) |
|
$ |
995,881 |
|
|
$ |
737,557 |
|
|
$ |
597,721 |
|
Net Income (loss) |
|
$ |
(120,202 |
) |
|
$ |
987,759 |
|
|
$ |
726,751 |
|
|
$ |
587,679 |
|
Increase (decrease)
in Net Asset Value
per Redeemable Unit |
|
$ |
(11.21 |
) |
|
$ |
96.60 |
|
|
$ |
39.97 |
|
|
$ |
15.04 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the period |
|
For the period |
|
For the period |
|
For the period |
|
|
from |
|
from |
|
from |
|
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 plus
interest income |
|
$ |
13,513 |
|
|
$ |
(6,373,164 |
) |
|
$ |
5,790,002 |
|
|
$ |
5,025,737 |
|
Net income (loss) |
|
$ |
4,132 |
|
|
$ |
(6,387,237 |
) |
|
$ |
5,775,487 |
|
|
$ |
5,014,733 |
|
Increase (decrease)
in Net Asset Value
per Redeemable Unit |
|
$ |
0.12 |
|
|
$ |
(108.70 |
) |
|
$ |
96.87 |
|
|
$ |
70.36 |
|
F-61
To the Limited
Partners of
CMF Sasco 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 Sasco Master Fund L.P.
Ceres Managed Futures LLC
55 East 59th Street
10th Floor
New York, N.Y. 10022
212-559-2011
F-62
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Partners of
CMF Sasco Master Fund L.P.:
We have audited the accompanying statement of financial condition of CMF Sasco 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 period
April 1, 2009 (commencement of trading operations) to December 31, 2009. 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. 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 Sasco Master Fund L.P. as of December 31, 2009, and the results of its operations and its
changes in partners capital for the period April 1, 2009 (commencement of trading operations) to
December 31, 2009, 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-63
CMF Sasco Master
Fund L.P.
Statement of
Financial Condition
December 31, 2009
|
|
|
|
|
|
|
2009
|
|
|
Assets:
|
|
|
|
|
Equity in trading account:
|
|
|
|
|
Cash (Note 3c)
|
|
$
|
24,418,043
|
|
Cash margin (Note 3c)
|
|
|
13,203,497
|
|
|
|
|
|
|
Total assets
|
|
$
|
37,621,540
|
|
|
|
|
|
|
Liabilities and Partners Capital:
|
|
|
|
|
Liabilities:
|
|
|
|
|
Net unrealized depreciation on open futures and exchange cleared
swap contracts
|
|
$
|
653,492
|
|
Accrued expenses:
|
|
|
|
|
Professional fees
|
|
|
62,714
|
|
|
|
|
|
|
Total liabilities
|
|
|
716,206
|
|
|
|
|
|
|
Partners Capital:
|
|
|
|
|
General Partner, 0.0000 Unit equivalents at December 31,
2009
|
|
|
|
|
Limited Partners Capital, 33,533.4656 Redeemable
Units of Limited Partnership Interest outstanding at
December 31, 2009
|
|
|
36,905,334
|
|
|
|
|
|
|
Total liabilities and partners capital
|
|
$
|
37,621,540
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-64
CMF Sasco 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
|
|
|
|
|
|
|
|
|
|
|
|
|
NYMEX Henry Hub Swap Apr 10 Mar 12
|
|
|
5,211
|
|
|
$
|
(2,594,295
|
)
|
|
|
(7.03
|
)%
|
NYMEX Henry Hub Natural Gas May 10 Apr 11
|
|
|
2,308
|
|
|
|
(2,498,421
|
)
|
|
|
(6.77
|
)
|
Other
|
|
|
5,533
|
|
|
|
761,344
|
|
|
|
2.06
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures and exchange cleared swap contracts purchased
|
|
|
|
|
|
|
(4,331,372
|
)
|
|
|
(11.74
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures and Exchange Cleared Swap Contracts Sold
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy
|
|
|
|
|
|
|
|
|
|
|
|
|
NYMEX Henry Hub Swap May 10 Jan 12
|
|
|
4,343
|
|
|
|
1,872,587
|
|
|
|
5.07
|
|
NYMEX Henry Hub Natural Gas Feb 10 Jan 11
|
|
|
3,600
|
|
|
|
2,892,435
|
|
|
|
7.84
|
|
Other
|
|
|
1,067
|
|
|
|
(1,087,142
|
)
|
|
|
(2.94
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures and exchange cleared swap contracts sold
|
|
|
|
|
|
|
3,677,880
|
|
|
|
9.97
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fair value
|
|
|
|
|
|
$
|
(653,492
|
)
|
|
|
(1.77
|
)%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-65
CMF Sasco Master
Fund L.P.
Statement of Income and Expenses
for the period April 1, 2009
(commencement of trading operations)
to December 31, 2009
|
|
|
|
|
|
|
2009
|
|
|
Income:
|
|
|
|
|
Net gains (losses) on trading of commodity interests:
|
|
|
|
|
Net realized gains (losses) on closed contracts
|
|
$
|
3,935,951
|
|
Change in net unrealized gains (losses) on open contracts
|
|
|
(653,492
|
)
|
|
|
|
|
|
Gain (loss) from trading, net
|
|
|
3,282,459
|
|
Interest income
|
|
|
16,882
|
|
|
|
|
|
|
Total income (loss) (Note 3c)
|
|
|
3,299,341
|
|
|
|
|
|
|
Expenses:
|
|
|
|
|
Clearing fees
|
|
|
496,529
|
|
Professional fees
|
|
|
112,701
|
|
|
|
|
|
|
Total expenses
|
|
|
609,230
|
|
|
|
|
|
|
Net income (loss)
|
|
$
|
2,690,111
|
|
|
|
|
|
|
Net income (loss) per Redeemable Unit of Limited Partnership
Interest (Notes 1 and 6)
|
|
$
|
101.21
|
|
|
|
|
|
|
Weighted average units outstanding
|
|
|
27,923.5104
|
|
|
|
|
|
|
See accompanying notes to financial statements.
F-66
CMF Sasco Master
Fund L.P.
Statement of Changes in Partners Capital
for the period April 1, 2009
(commencement of trading operations)
to December 31, 2009
|
|
|
|
|
|
|
Partners
|
|
|
|
Capital
|
|
|
Initial capital contribution from Limited Partners at
April 1, 2009 representing 6,000.0000 Redeemable Units of
Limited Partnership Interest
|
|
$
|
6,000,000
|
|
Net income (loss)
|
|
|
2,690,111
|
|
Sale of 34,959.7832 Redeemable Units of Limited Partnership
Interest
|
|
|
36,210,261
|
|
Redemption of 7,426.3176 Redeemable Units of Limited Partnership
Interest
|
|
|
(7,978,156
|
)
|
Distribution of interest income to feeder funds
|
|
|
(16,882
|
)
|
|
|
|
|
|
Partners Capital at December 31, 2009
|
|
$
|
36,905,334
|
|
|
|
|
|
|
Net Asset Value per Redeemable Unit of Limited Partnership
Interest:
See accompanying notes to financial statements.
F-67
CMF Sasco Master
Fund L.P.
Notes to Financial Statements
December 31, 2009
|
|
1.
|
Partnership
Organization:
|
CMF Sasco 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 20, 2009, 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 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, 2009 (commencement of trading operations),
Energy Advisors Portfolio L.P., formerly, Citigroup Energy
Advisors Portfolio L.P., (Energy Advisors)
allocated all of its capital to the Master and purchased
6,000.0000 Redeemable Units with cash equal to $6,000,000.
On May 1, 2009, Emerging CTA Portfolio L.P., formerly,
Citigroup Emerging CTA Portfolio L.P. (Emerging CTA)
allocated a portion of its capital to the Master and purchased
16,437.9008 Redeemable Units with cash equal to $16,364,407
and a contribution of open commodity futures contracts with a
fair value of $(1,325,727). The Master was formed to permit
commodity pools managed now or in the future by Sasco Energy
Partners LLC (the Advisor) using the Energy Program,
the Advisors proprietary systematic trading program, to
invest together in one vehicle.
The Master operates under a structure where its investors
consist of Energy Advisors and Emerging CTA (each a
Feeder, collectively the Funds) with
approximately 34.9% and 65.1% of the Master at December 31,
2009, respectively.
The Master will be liquidated upon the first to occur of the
following: December 31, 2029; 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
|
F-68
CMF Sasco Master
Fund L.P.
Notes to Financial Statements
December 31, 2009
|
|
|
|
|
estimates and assumptions, management has considered the
effects, if any, of events occurring after the date of the
Masters Statement 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
Statement of Financial Condition. Realized gains or losses and
any change in net unrealized gains or losses from the preceding
period are reported in the Statement 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 April 1, 2009, 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). The values of non-exchange traded forwards,
swaps and certain options contracts for which market quotations
are not readily available are priced by a broker-dealers who
derives fair values for those assets from observable inputs
(Level 2). As of and for the period ended December 31,
2009, 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
F-69
CMF Sasco Master
Fund L.P.
Notes to Financial Statements
December 31, 2009
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)
|
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures and Exchange Cleared Swaps
|
|
$
|
653,492
|
|
|
$
|
653,492
|
|
|
$
|
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total liabilities
|
|
$
|
653,492
|
|
|
$
|
653,492
|
|
|
$
|
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 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 Statement of Income and
Expenses.
|
|
|
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 2009, 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 2009.
|
|
|
|
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.
|
F-70
CMF Sasco Master
Fund L.P.
Notes to Financial Statements
December 31, 2009
|
|
|
|
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.
|
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, the amount of cash held by the Master
for margin requirements was $13,203,497. The Customer Agreement
may be terminated upon notice by either party.
F-71
CMF Sasco Master
Fund L.P.
Notes to Financial Statements
December 31, 2009
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 Statement
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 exchange cleared swap 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 exchange
cleared swap contracts traded for the period ended
December 31, 2009 based on a quarterly calculation was
14,268.
The Master adopted ASC 815 Derivatives and Hedging (formerly,
FAS No. 161, Disclosures about Derivative Instruments
and Hedging Activities) as of April 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 Statement of Financial
Condition, Statement of Income and Expenses and Statement of
Changes in Partners Capital. The following table indicates
the fair values of derivative instruments of futures and
exchange cleared swap contracts as separate assets and
liabilities.
|
|
|
|
|
|
|
December 31, 2009
|
|
|
Assets
|
|
|
|
|
Futures and Exchange Cleared Swap Contracts
|
|
|
|
|
Energy
|
|
$
|
10,906,404
|
|
|
|
|
|
|
Total unrealized appreciation on open futures and exchange
cleared swap contracts
|
|
$
|
10,906,404
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
Futures and Exchange Cleared Swap Contracts
|
|
|
|
|
Energy
|
|
$
|
(11,559,896
|
)
|
|
|
|
|
|
Total unrealized depreciation on open futures and exchange
cleared swap contracts
|
|
$
|
(11,559,896
|
)
|
|
|
|
|
|
Net unrealized depreciation on open futures and exchange cleared
swap contracts
|
|
$
|
(653,492
|
)*
|
|
|
|
|
|
|
|
|
* |
|
This amount is in Net unrealized depreciation on open
futures and exchange cleared swap contracts on the
Statement of Financial Condition. |
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
|
|
|
|
Gain (loss) from trading
|
|
|
Sector
|
|
|
|
|
Energy
|
|
$
|
3,282,459
|
|
|
|
|
|
|
Total
|
|
$
|
3,282,459
|
**
|
|
|
|
|
|
|
|
|
** |
|
This amount is in Gain (loss) from trading, net on
the Statement of Income and Expenses. |
F-72
CMF Sasco 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 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 period from April 1, 2009
(commencement of trading operations) to December 31, 2009
was as follows:
|
|
|
|
|
|
|
2009
|
|
|
Net realized and unrealized gains*
|
|
$
|
104.96
|
|
Interest income
|
|
|
0.66
|
|
Expenses**
|
|
|
(4.41
|
)
|
|
|
|
|
|
Increase for the period
|
|
|
101.21
|
|
Distribution of interest income to feeder funds
|
|
|
(0.66
|
)
|
Net Asset Value per Redeemable Unit of Limited Partnership
Interest, beginning of period
|
|
|
1,000.00
|
|
|
|
|
|
|
Net Asset Value per Redeemable Unit of Limited Partnership
Interest, end of period
|
|
$
|
1,100.55
|
|
|
|
|
|
|
|
|
|
* |
|
Includes clearing fees. |
|
** |
|
Excludes clearing fees. |
|
|
|
|
|
Ratios to Average Net Assets:
|
|
|
|
|
Net investment income***
|
|
|
(2.8
|
)%****
|
|
|
|
|
|
|
|
|
|
|
Operating expenses
|
|
|
2.9
|
%****
|
|
|
|
|
|
|
|
|
|
|
Total return
|
|
|
10.1
|
%
|
|
|
|
|
|
|
|
|
*** |
|
Interest income less total expenses. |
|
**** |
|
Annualized. |
The above ratios may vary for individual investors based on the
timing of capital transactions during the period. Additionally,
these ratios are calculated for the Limited Partner class using
the Limited Partners share of income, expenses and average
net assets.
|
|
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
F-73
CMF Sasco Master
Fund L.P.
Notes to Financial Statements
December 31, 2009
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 Statement 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, 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-74
Selected unaudited quarterly financial data for Sasco Master for the period ended December 31,
2009 is summarized below:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the period |
|
|
|
|
|
|
|
|
|
|
from |
|
|
|
|
|
|
|
|
|
|
April 1, 2009 |
|
|
For the period |
|
For the period |
|
(commencement of |
|
|
from |
|
from |
|
trading operations) |
|
|
October 1, 2009 to |
|
July 1, 2009 to |
|
to |
|
|
December 31, 2009 |
|
September 30, 2009 |
|
June 30, 2009 |
Net realized
and unrealized
trading gains
(losses) net of
brokerage
commissions and
clearing fees plus
interest income |
|
$ |
568,704 |
|
|
$ |
(1,203,250 |
) |
|
$ |
3,437,358 |
|
Net income (loss) |
|
$ |
541,189 |
|
|
$ |
(1,222,765 |
) |
|
$ |
3,371,687 |
|
Increase (decrease)
in Net Asset Value
per Redeemable Unit |
|
$ |
15.76 |
|
|
$ |
(42.62 |
) |
|
$ |
128.07 |
|
F-75
PART III
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
the Exchange Act of 1934 (theExchange Act)
accumulated and communicated to management, including the Chief Executive Officer (the CEO) and Chief
Financial Officer (the CFO) of the General Partner, to allow for timely decisions regarding required
disclosure and appropriate SEC filings.
Management is responsible for ensuring that there is an adequate and effective process for
establishing, maintaining and evaluating disclosure controls and procedures for the Partnerships
external disclosures.
The General Partners CEO and CFO have evaluated the effectiveness of the Partnerships
disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the Exchange
Act) as of 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.
23
PART III
Item 10. Directors and Executive Officers of the Registrant.
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 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
24
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).
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.
25
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 its 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 $6,945,800 were earned by CGM for the
year ended December 31, 2009. Management fees and incentive fees of $3,365,881 and $1,307,243,
respectively, were earned by the Advisors for the year ended December 31, 2009. Administrative fees
of $841,470, were earned by the General Partner for the year ended December 31, 2009.
26
Item 12. Security Ownership of Certain Beneficial Owners and Management and Related Security Holder 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 1,302.6036 Redeemable Units (1.1%) of Limited
Partnership Interest as of December 31, 2009.
Principals who own Redeemable Units.*
|
|
|
*Raymond Nolte |
|
85.1663 Redeemable Units |
*Jerry Pascucci |
|
10.0000 Redeemable Units |
|
|
|
* |
|
No one principal owns more than 1% of Redeemable Units. |
(c) Changes in control. None.
Item 13. Certain Relationship and Related Transactions.
CGM and the General Partner would be considered promoters for purposes of item 404(c) of
Regulation S-K. The nature and the amounts of compensation each promoter will receive, if any, from
the Partnership are set forth under Item 1. Business, Item 8. Financial Statements
and Supplementary Data. and Item 11. Executive Compensation.
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 July 22, 2009 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
$143,000
PwC
$143,000
KPMG $3,000
(2) Audit-Related Fees. None
(3) Tax
Fees. In the last two fiscal years, Deloitte did not provide any
professional service 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 $25,000
2008 $17,000
(4) All Other Fees. None.
(5) Not Applicable.
(6) Not Applicable.
27
PART IV
Item 15. Exhibits and Financial Statement Schedules.
|
|
|
(a)(1)
|
|
Financial Statements: |
|
|
|
|
|
Statements of Financial Condition at December 31, 2009 and 2008. |
|
|
|
|
|
Condensed 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. |
|
|
|
(2)
|
|
Exhibits: |
|
|
|
3.1(a)
|
|
Certificate of Limited Partnership dated June 30, 2003 (filed as Exhibit 3.1 to the
General Form for Registration of Securities on Form 10 filed on April 30, 2008 and incorporated
herein by reference). |
|
|
|
(b)
|
|
Certificate of Amendment of the Certificate of Limited Partnership dated September 21, 2005
(filed as Exhibit 3.1(a) to the General Form for Registration of Securities on Form 10 filed on
April 30, 2008 and incorporated herein by reference). |
|
|
|
(c)
|
|
Certificate of Amendment of the Certificate of Limited Partnership dated September 19, 2008
(filed as Exhibit 3.1(c) to the Quarterly Report on Form 10-Q filed on November 16, 2009 and
incorporated herein by reference). |
|
|
|
(d)
|
|
Certificate of Amendment of the Certificate of Limited Partnership dated September 28, 2009
(filed as Exhibit 99.1 to the Current Report of Form 8-K filed on September 30, 2009 and
incorporated herein by reference). |
|
|
|
3.2
|
|
Limited Partnership Agreement (filed as Exhibit 3.2 to the General Form for
Registration of Securities on Form 10 filed on April 30, 2008 and incorporated herein by
reference). |
|
|
|
10.1(a)
|
|
Management Agreement among the Partnership, the General Partner and Altis (filed as
Exhibit 10.1 to the General Form for Registration of Securities on Form 10 filed on April
30, 2008 and incorporated herein by reference). |
|
|
|
(b)
|
|
Letter from the General Partner to Altis extending the Management
Agreement from June 30, 2009 to June 30, 2010 (filed herein). |
|
|
|
10.2(a)
|
|
Management Agreement
among the
Partnership, the General Partner and Fall River Capital LLC (filed as Exhibit 10.2 to
the General Form for Registration of Securities on
Form 10 filed on April 30, 2008 and incorporated herein by reference).
|
|
|
|
(b)
|
|
Letter from the General Partner to Fall River Capital LLC extending the Management
Agreement from June 30, 2009 to June 30, 2010 (filed herein). |
|
|
|
10.3(a)
|
|
Management Agreement among the Partnership, the General Partner and Waypoint
Capital Management LLC (filed as Exhibit 10.4 to the General Form for Registration of
Securities on Form 10 filed on April 30, 2008 and incorporated herein by reference). |
|
|
|
(b)
|
|
Letter from the General Partner to Waypoint Capital Management LLC extending the
Management Agreement from June 30, 2009 to June 30, 2010 (filed herein). |
|
|
|
10.4(a)
|
|
Management Agreement among the Partnership, the General Partner and Xplor Capital
Management, LLC (filed as Exhibit 10.5 to the General Form for Registration of Securities on
Form 10 filed on April 30, 2008 and incorporated herein by reference). |
|
|
|
(b)
|
|
Letter from the General Partner to Xplor Capital Management, LLC extending the Management Agreement from June 30, 2009 to June 30, 2010 (filed herein). |
|
|
|
10.5(a)
|
|
Management Agreement among the Partnership the General Partner and Avant (filed as
Exhibit 10.6 to the General Form for Registration of Securities on Form 10 filed on
April 30, 2008 and incorporated herein by reference). |
|
|
|
(b)
|
|
Letter from the General Partner to Avant extending the Management Agreement from
June 30, 2009 to June 30, 2010 (filed herein). |
|
|
|
10.6(a)
|
|
Management Agreement among the Partnership, the General Partner and Cantab Capital
Partners LLP (filed as Exhibit 10.7 to the General Form for Registration of
Securities on Form 10 filed on April 30, 2008 and incorporated herein by reference). |
|
|
|
(b)
|
|
Letter from the General Partner to Cantab Capital Partners LLP extending the
Management Agreement from June 30, 2009 to June 30, 2010 (filed herein). |
28
|
|
|
|
|
|
10.7
|
|
Customer Agreement between the Partnership, the General Partner and CGM (filed
as Exhibit 10.9 to the General Form for Registration of Securities on Form 10 filed on April
30, 2008 and incorporated herein by reference). |
|
|
|
10.8
|
|
Amended and Restated Agency Agreement between the Partnership, the
General Partner and CGM (filed as Exhibit 10.10 to the General Form for Registration
of Securities on Form 10 filed on April 30, 2008 and
incorporated herein by reference). |
|
|
|
10.9
|
|
Form of Subscription Agreement (filed as Exhibit 10.11 to the Quarterly Report on
Form 10-Q filed on November 16, 2009 and incorporated herein by reference). |
|
|
|
10.10 (a)
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Management Agreement among the Partnership, the General Partner and Sasco (filed as
Exhibit 10.1 to the Current Report on Form 8-K filed on April 21, 2009 and incorporated herein
by reference). |
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(b)
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Letter from the General Partner to Sasco extending the Management Agreement from June
30, 2009 to June 30, 2010 (filed herein). |
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10.11
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Joinder Agreement among the Partnership, the General Partner, CGM and MSSB (filed
as Exhibit 10 to the Quarterly Report on Form 10-Q for the quarterly period ended June 30, 2009
filed on August 14, 2009 and incorporated herein by reference). |
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10.12
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Management Agreement among the Partnership, the General Partner and PGR Capital LLP
(filed as Exhibit 10.1 to the Current Report on Form 8-K filed on November 5, 2009 and
incorporated herein by reference). |
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10.13
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Management Agreement among the Partnership, the General Partner and Blackwater
Capital Management LLC (filed as Exhibit 10.1 to the Current Report on Form 8-K filed on
February 28, 2010 and incorporated herein by reference). |
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10.14
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Management Agreement among the
Partnership, the General Partner and J E Moody & Company LLC
(filed herein) |
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16.1(a)
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Letter Regarding Change of Certifying Accountant (filed as Exhibit 16.1 to the
current report 8-K filed on July 24, 2009 and incorporated herein by reference). |
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(b)
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Letter Regarding Change of Certifying Accountant (filed as Exhibit 16.1 to current
report 8-K filed on July 1, 2008 and incorporated herein by reference). |
The exhibits required to be filed by Item 601 of regulation S-K are incorporated herein by
reference
(a) |
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31.1 Rule 13a-14(a)/15d-14(a) Certification (Certification of President and Director) |
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31.2 Rule 13a-14(a)/15d-14(a) Certification (Certification of Chief Financial Officer and
Director) |
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32.1 Section 1350 Certification (Certification of President and Director) |
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32.2 Section 1350 Certification (Certification of Chief Financial Officer and Director) |
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 2010.
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Emerging CTA Portfolio 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 & 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
Jerry Pascucci
President and Director
Ceres Managed Futures LLC
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/s/ Daryl Dewbrey
Daryl Dewbrey
Director
Ceres Managed Futures LLC
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/s/ Jennifer Magro
Jennifer Magro
Chief Financial Officer and Director
(Principal Accounting Officer)
Ceres Managed Futures LLC
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/s/ Raymond Nolte
Raymond Nolte
Director
Ceres Managed Futures LLC
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/s/ Shelley Deavitt Ullman |
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Shelley Deavitt Ullman
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