Attached files
file | filename |
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EX-31.1 - EX-31.1 - CERES ABINGDON L.P. | y05243exv31w1.htm |
EX-10.4 - EX-10.4 - CERES ABINGDON L.P. | y05243exv10w4.htm |
EX-32.1 - EX-32.1 - CERES ABINGDON L.P. | y05243exv32w1.htm |
EX-32.2 - EX-32.2 - CERES ABINGDON L.P. | y05243exv32w2.htm |
EX-31.2 - EX-31.2 - CERES ABINGDON L.P. | y05243exv31w2.htm |
EXCEL - IDEA: XBRL DOCUMENT - CERES ABINGDON L.P. | Financial_Report.xls |
Table of Contents
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 10-Q
(X) QUARTERLY REPORT PURSUANT TO SECTION 13 or
15(d) OF THE SECURITIES EXCHANGE
ACT OF 1934
ACT OF 1934
For the quarterly period ended September 30, 2011
OR ( ) TRANSITION REPORT PURSUANT TO SECTION 13 OR
15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934
OF THE SECURITIES EXCHANGE ACT OF 1934
For the transition period
from to
Commission File Number 0-53210
ABINGDON FUTURES FUND L.P.
(Exact name of registrant as specified in its charter)
New York | 20-3845005 | |
(State or other jurisdiction of incorporation or organization) |
(I.R.S. Employer Identification No.) |
c/o Ceres
Managed Futures LLC
522 Fifth
Avenue -
14th
Floor
New York, New York 10036
(Address of principal executive offices) (Zip Code)
(212) 296-1999
(Registrants telephone number, including area code)
Indicate by check mark whether the registrant (1) has filed
all reports required to be filed by Section 13 or 15(d) of
the Securities Exchange Act of 1934 during the preceding
12 months (or for such shorter period that the registrant
was required to file such reports), and (2) has been
subject to such filing requirements for the past 90 days.
Yes X No
Indicate by check mark whether the registrant has submitted electronically
and posted on its corporate Web site, if any, every Interactive Data File required to
be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of the chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).
Yes X No
Indicate by check mark whether the registrant is a large
accelerated filer, an accelerated filer, a non-accelerated
filer or a smaller reporting company. See the definitions of
large accelerated filer, accelerated
filer and smaller reporting company in
Rule 12b-2
of the Exchange Act. (Check one):
Large accelerated filer
|
Accelerated filer | Non-accelerated filer X | Smaller reporting company |
Indicate by check mark whether the registrant is a shell company
(as defined in
rule 12b-2
of the Exchange Act).
Yes No X
As of October 31, 2011, there were
177,659.0669 Limited
Partnership Redeemable Units of Class A outstanding,
10,467.2498 Limited Partnership Redeemable Units of Class D outstanding
and 435.9665 Limited Partnership Redeemable Units of Class Z outstanding.
ABINGDON FUTURES FUND L.P.
FORM 10-Q
INDEX
EX - 31.1 |
Certification | |||||||
EX - 31.2
|
Certification | |||||||
EX - 32.1
|
Certification | |||||||
EX - 32.2
|
Certification | |||||||
EX-10.4 | ||||||||
EX-31.1 | ||||||||
EX-31.2 | ||||||||
EX-32.1 | ||||||||
EX-32.2 | ||||||||
EX-101 INSTANCE DOCUMENT | ||||||||
EX-101 SCHEMA DOCUMENT | ||||||||
EX-101 CALCULATION LINKBASE DOCUMENT | ||||||||
EX-101 LABELS LINKBASE DOCUMENT | ||||||||
EX-101 PRESENTATION LINKBASE DOCUMENT | ||||||||
EX-101 DEFINITION LINKBASE DOCUMENT |
101.INS |
XBRL Instance Document. | |
101.SCH |
XBRL Taxonomy Extension Schema Document. | |
101.CAL |
XBRL Taxonomy Extension Calculation Linkbase Document. | |
101.LAB |
XBRL Taxonomy Extension Label Linkbase Document. | |
101.PRE |
XBRL Taxonomy Extension Presentation Linkbase Document. | |
2
Table of Contents
PART I
Item 1. Financial Statements
(Unaudited) September 30, |
December 31, | |||||||
2011 | 2010 | |||||||
Assets: |
||||||||
Investment in Master, at fair value |
$ | 227,195,277 | $ | 161,648,425 | ||||
Cash |
199,146 | 223,010 | ||||||
Total assets |
$ | 227,394,423 | $ | 161,871,435 | ||||
Liabilities and Partners Capital |
||||||||
Liabilities: |
||||||||
Accrued expenses: |
||||||||
Brokerage fees |
$ | 827,837 | $ | 607,018 | ||||
Management fees |
283,089 | 268,559 | ||||||
Administrative fees |
94,363 | 67,140 | ||||||
Incentive fees |
948,965 | 0 | ||||||
Other |
95,480 | 128,893 | ||||||
Redemptions payable |
3,192,142 | 2,942,132 | ||||||
Total liabilities |
5,441,876 | 4,013,742 | ||||||
Partners Capital: |
||||||||
General
Partner, Class A, (1,878.6760 unit equivalents outstanding at September 30, 2011
and December 31, 2010) |
2,256,910 | 2,186,159 | ||||||
General
Partner, Class D, (0.0000 unit equivalents outstanding at September 30, 2011
and December 31, 2010) |
0 | 0 | ||||||
General
Partner, Class Z, (0.0000 unit equivalents outstanding at September 30, 2011
and December 31, 2010) |
0 | 0 | ||||||
Limited Partners, Class A, (173,635.6478 and 133,776.0295 Redeemable Units
outstanding at September 30, 2011 and December 31, 2010, respectively) |
208,593,088 | 155,671,534 | ||||||
Limited
Partners, Class D, (10,467.2498 and 0.0000 Redeemable Units
outstanding at September 30, 2011 and December 31, 2010, respectively) |
10,828,472 | 0 | ||||||
Limited
Partners, Class Z, (269.4696 and 0.0000 Redeemable Units
outstanding at September 30, 2011 and December 31, 2010, respectively) |
274,077 | 0 | ||||||
Total partners capital |
221,952,547 | 157,857,693 | ||||||
Total liabilities and partners capital |
$ | 227,394,423 | $ | 161,871,435 | ||||
Class A, net asset value per redeemable unit |
$ | 1,201.33 | $ | 1,163.67 | ||||
Class D, net asset value per redeemable unit |
$ | 1,034.51 | $ | | ||||
Class Z, net asset value per redeemable unit |
$ | 1,017.10 | $ | | ||||
See
accompanying notes to financial statements.
3
Table of Contents
Three Months | Nine Months | |||||||||||||||
Ended September 30, | Ended September 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
Income: |
||||||||||||||||
Interest income allocated from Master |
$ | 6,513 | $ | 38,284 | $ | 47,957 | $ | 86,789 | ||||||||
Expenses: |
||||||||||||||||
Expenses allocated from Master |
38,460 | 32,521 | 101,930 | 109,607 | ||||||||||||
Brokerage fees |
2,463,147 | 1,618,953 | 6,719,550 | 4,561,932 | ||||||||||||
Management fees |
841,786 | 716,114 | 2,494,608 | 2,017,931 | ||||||||||||
Administrative fees |
280,596 | 179,029 | 757,456 | 504,482 | ||||||||||||
Incentive fees |
948,965 | 0 | 948,965 | 0 | ||||||||||||
Other |
59,423 | 68,410 | 212,224 | 229,582 | ||||||||||||
Total expenses |
4,632,377 | 2,615,027 | 11,234,733 | 7,423,534 | ||||||||||||
Net investment income (loss) |
(4,625,864 | ) | (2,576,743 | ) | (11,186,776 | ) | (7,336,745 | ) | ||||||||
Trading results: |
||||||||||||||||
Net realized gains (losses) on closed contracts allocated from Master |
14,556,945 | 786,971 | 22,719,113 | 9,424,785 | ||||||||||||
Change in net unrealized gains (losses) on open contracts allocated from Master |
2,560,679 | 3,958,831 | (5,017,313 | ) | 5,418,708 | |||||||||||
Net trading gain (loss) allocated from Master |
17,117,624 | 4,745,802 | 17,701,800 | 14,843,493 | ||||||||||||
Net income (loss) |
12,491,760 | 2,169,059 | 6,515,024 | 7,506,748 | ||||||||||||
Net income (loss) allocation from Master |
||||||||||||||||
Class A |
11,833,113 | 2,169,059 | 6,269,043 | 7,506,748 | ||||||||||||
Class D |
656,353 | 0 | 243,687 | 0 | ||||||||||||
Class Z |
2,294 | 0 | 2,294 | 0 | ||||||||||||
Net asset value per Redeemable Unit |
||||||||||||||||
Class A
(175,514.3238 and 128,044.0533 units outstanding at
September 30, 2011 and 2010, respectively) |
$ | 1,201.33 | $ | 1,127.96 | $ | 1,201.33 | $ | 1,127.96 | ||||||||
Class D
(10,467.2498 and 0.0000 units outstanding at September 30, 2011
and 2010, respectively) |
$ | 1,034.51 | $ | 0 | $ | 1,034.51 | $ | 0 | ||||||||
Class Z
(269.4696 units and 0.0000 units outstanding at September 30, 2011 and 2010, respectively) |
$ | 1,017.10 | $ | 0 | $ | 1,017.10 | $ | 0 | ||||||||
Net income (loss) per Redeemable Unit* |
||||||||||||||||
Class A |
$ | 67.03 | $ | 16.93 | $ | 37.66 | $ | 61.42 | ||||||||
Class D |
$ | 62.71 | $ | 0 | $ | 34.51 | $ | 0 | ||||||||
Class Z |
$ | 17.10 | $ | 0 | $ | 17.10 | $ | 0 | ||||||||
Weighted average units outstanding |
||||||||||||||||
Class A |
177,488.8320 | 128,881.0191 | 165,310.6803 | 122,764.6729 | ||||||||||||
Class D |
10,467.2498 | 0 | 9,387.2231 | 0 | ||||||||||||
Class Z |
231.3814 | 0 | 231.3814 | 0 | ||||||||||||
* | Based on change in net asset value per unit. |
See accompanying notes to financial statements.
4
Table of Contents
Abingdon Futures Fund L.P.
Statements of Changes in Partners Capital
For the Nine Months Ended September 30, 2011 and 2010
(Unaudited)
Statements of Changes in Partners Capital
For the Nine Months Ended September 30, 2011 and 2010
(Unaudited)
Class A | Class D | Class Z | Total | |||||||||||||||||||||||||||||
Amount | Units | Amount | Units | Amount | Units | Amount | Units | |||||||||||||||||||||||||
Partners Capital December 31, 2010 |
$ | 157,857,693 | 135,654.7055 | $ | 0 | 0 | $ | 0 | 0 | $ | 157,857,693 | 135,654.7055 | ||||||||||||||||||||
Subscriptions Limited Partners |
76,523,895 | 65,168.9096 | 10,584,785 | 10,467.2498 | 346,031 | 342.4696 | 87,454,711 | 75,978.6290 | ||||||||||||||||||||||||
Net income
(Loss) |
6,269,043 | 0 | 243,687 | 0 | 2,294 | 0 | 6,515,024 | 0 | ||||||||||||||||||||||||
Redemptions Limited Partners |
(29,800,633 | ) | (25,309.2913 | ) | 0 | 0 | (74,248 | ) | (73.0000 | ) | (29,874,881 | ) | (25,382.2913 | ) | ||||||||||||||||||
Partners Capital September 30, 2011 |
$ | 210,849,998 | 175,514.3238 | $ | 10,828,472 | 10,467.2498 | $ | 274,077 | 269.4696 | $ | 221,952,547 | 186,251.0432 | ||||||||||||||||||||
Partners Capital December 31, 2009 |
$ | 120,785,979 | 113,249.8188 | $ | 0 | 0 | $ | 0 | 0 | $ | 120,785,979 | 113,249.8188 | ||||||||||||||||||||
Subscriptions Limited Partners |
34,647,500 | 31,789.7615 | 0 | 0 | 0 | 0 | 34,647,500 | 31,789.7615 | ||||||||||||||||||||||||
Subscriptions General Partner |
200,000 | 189.5034 | 0 | 0 | 0 | 0 | 200,000 | 189.5034 | ||||||||||||||||||||||||
Net income
(loss) |
7,506,748 | 0 | 0 | 0 | 0 | 0 | 7,506,748 | 0 | ||||||||||||||||||||||||
Redemptions Limited Partners |
(18,711,215 | ) | (17,185.0304 | ) | 0 | 0 | 0 | 0 | (18,711,215 | ) | (17,185.0304 | ) | ||||||||||||||||||||
Partners Capital September 30, 2010 |
$ | 144,429,012 | 128,044.0533 | $ | 0 | 0 | $ | 0 | 0 | $ | 144,429,012 | 128,044.0533 | ||||||||||||||||||||
See accompanying notes to financial statements.
5
Table of Contents
Abingdon Futures Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)
Notes to Financial Statements
September 30, 2011
(Unaudited)
1. General:
Abingdon Futures Fund
L.P. (the Partnership) is a limited partnership organized on November 8, 2005, under the partnership laws of the State
of New York to engage, directly or indirectly, in the speculative trading of a diversified portfolio of commodity interests including futures
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 Partnership commenced trading on February 1, 2007. The commodity interests that are
traded by the Partnership, through its investment in the Master (as defined below), are volatile and involve a high degree of market risk. The Partnership privately and continuously
offers up to 300,000 redeemable units of limited partnership interest in the Partnership (Redeemable Units) to qualified investors. There is no maximum number of units that may be sold by the Partnership.
Ceres Managed Futures LLC, a Delaware limited liability company, acts as the general partner
(the General Partner) and commodity pool operator of the Partnership. The General Partner is
wholly owned by Morgan Stanley Smith Barney Holdings LLC (MSSB
Holdings). Morgan Stanley, indirectly through various subsidiaries, owns a
majority equity interest in MSSB Holdings. Citigroup
Global Markets Inc. (CGM), the commodity broker and a selling agent for the Partnership, owns
a minority equity interest in MSSB Holdings. Citigroup Inc. (Citigroup), indirectly through various subsidiaries, wholly
owns CGM. Prior to July 31, 2009, the date as of which MSSB Holdings became its owner, the General
Partner was wholly owned by Citigroup Financial Products Inc., a wholly owned subsidiary of
Citigroup Global Markets Holdings Inc., the sole owner of which is
Citigroup. As of September 30, 2011, all trading decisions for the Partnership are made by the Advisor (defined below).
On February 1,
2007, the Partnership allocated substantially all of its capital to the CMF
Winton Master L.P. (the Master), a limited partnership organized under the partnership laws of
the state of New York, having the same investment objective as the Partnership. The Partnership
purchased 9,017.0917 units of the Master with cash equal to $12,945,000. The Master was formed in
order to permit accounts managed by Winton Capital Management Limited (the Advisor) using the
Diversified Program, the Advisors proprietary, systematic trading program, to invest together in
one trading vehicle. The General Partner is also the general partner of the Master. Individual and
pooled accounts currently managed by the Advisor, including the Partnership, are permitted to be
limited partners of the Master. The General Partner and the Advisor believe that trading through
this master/feeder structure promotes efficiency and economy in the trading process. Expenses to
investors as a result of the investment in the Master are approximately the same and redemption
rights are not affected.
On April 1, 2011, the Redeemable Units offered pursuant to the Limited
Partnership Agreement were deemed Class A Units. The rights, liabilities, risks, and fees
associated with investment in the Class A Units did not change. In addition, beginning on
April 1, 2011, Class D Units were offered and on August 1, 2011, Class Z Units were offered. Class
A, Class D and Class Z will each be referred to as a Class and collectively referred to as the
Classes. The Class of Units that a Limited Partner receives upon a subscription will generally
depend upon the amount invested in the Partnership, although the General Partner may determine to
offer Redeemable Units to investors at its discretion. Class Z units were offered to certain
employees of Morgan Stanley Smith Barney and its affiliates (and their family members). Class A
Units, Class D Units, and Class Z Units are identical, except that Class D Units will be
subject to a monthly commission fee equal to 1/12th of 1.875% (a 1.875% annual rate) of the Net
Assets of Class D as of the ending of each month, and
Class Z Units will be subject to a monthly commission fee equal to 1/12th of 1.125% (a 1.125% annual rate) of
the Net Assets of Class Z as of the ending of each month
which differs from the Class A monthly commission fee of 1/12th of 4.5% (a 4.5% annual
rate) of the net assets of Class A.
The General Partner is not aware of any material changes to the trading program discussed
above during the fiscal quarter ended September 30, 2011.
At
September 30, 2011 and December 31, 2010, the Partnership owned
approximately 27.4% and 18.3%, respectively, of the Master. The Partnership intends to continue to invest substantially all
of its assets in the Master. The performance of the Partnership is directly affected by the
performance of the Master.
The Masters trading of futures, forwards, swaps and option contracts, if applicable, on
commodities is done primarily on U.S. and foreign commodity exchanges. The Master
engages in such trading through a commodity brokerage account maintained with CGM.
The Masters Statements of Financial Condition, Condensed Schedules of
Investments and Statements of Income and Expenses and Changes in Partners Capital are included
herein.
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 capital contribution and profits, if any, net of distributions.
The accompanying financial statements and accompanying notes are unaudited but, in the opinion of management, include
all adjustments, consisting only of normal recurring adjustments, necessary for a fair statement of
the Partnerships financial condition at September 30, 2011 and
December 31, 2010, and the results of its operations and changes
in partners capital for the three and nine months ended September 30, 2011 and 2010. These financial statements present the results of interim periods and do not include all
disclosures normally provided in annual financial statements. You should read these financial
statements together with the financial statements and notes included in the Partnerships annual
report on Form 10-K filed with the Securities and Exchange Commission (the SEC) for the year
ended December 31, 2010.
The
preparation of financial statements and accompanying notes in conformity with
accounting principles generally accepted in the United States of
America (GAAP) requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities, income
6
Table of Contents
Abingdon Futures Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)
Notes to Financial Statements
September 30, 2011
(Unaudited)
and expenses, and related disclosures of contingent assets and liabilities in the financial
statements and accompanying notes. As a result, actual
results could differ from these estimates.
Due to the nature of commodity trading, the results of operations for the interim periods
presented should not be considered indicative of the results that may be expected for the entire
year.
7
Table of Contents
Abingdon Futures Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)
Notes to Financial Statements
September 30, 2011
(Unaudited)
The Masters
Statements of Financial Condition and Condensed Schedules of Investments as of
September 30, 2011 and December 31, 2010 and Statements of Income and Expenses and Changes in Partners
Capital for the three and nine months ended September 30, 2011 and 2010 are presented below:
CMF Winton Master L.P.
Statements of Financial Condition
Statements of Financial Condition
(Unaudited) September 30, |
December 31, | |||||||
2011 | 2010 | |||||||
Assets: |
||||||||
Equity in trading account: |
||||||||
Cash |
$ | 785,031,692 | $ | 807,251,910 | ||||
Cash margin |
37,467,085 | 49,613,732 | ||||||
Net unrealized appreciation on open futures contracts |
5,966,494 | 23,451,496 | ||||||
Net unrealized appreciation on open forward contracts |
1,710,792 | 3,491,675 | ||||||
Options purchased, at fair value (cost $63,620 and $46,200
at September 30, 2011 and December 31, 2010, respectively) |
129,750 | 33,670 | ||||||
Total assets |
$ | 830,305,813 | $ | 883,842,483 | ||||
Liabilities and Partners Capital: |
||||||||
Liabilities: |
||||||||
Options premium received, at fair value (premium $119,620 and $85,275
at September 30, 2011 and December 31, 2010, respectively) |
$ | 244,115 | $ | 65,795 | ||||
Accrued expenses: |
||||||||
Professional fees |
45,364 | 56,817 | ||||||
Total liabilities |
289,479 | 122,612 | ||||||
Partners Capital: |
||||||||
General Partner, 0.0000 unit equivalents at September 30, 2011
and December 31, 2010 |
0 | 0 | ||||||
Limited Partners, 337,386.9452 and 391,924.9266 units
outstanding at September 30, 2011 and December 31, 2010, respectively |
830,016,334 | 883,719,871 | ||||||
Total liabilities and partners capital |
$ | 830,305,813 | $ | 883,842,483 | ||||
Net asset value per unit |
$ | 2,460.13 | $ | 2,254.82 | ||||
8
Table of Contents
Abingdon Futures Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)
Notes to Financial Statements
September 30, 2011
(Unaudited)
CMF Winton Master L.P.
Condensed Schedule of Investments
September 30, 2011
(Unaudited)
Condensed Schedule of Investments
September 30, 2011
(Unaudited)
Notional ($)/ | ||||||||||||
Number of | % of Partners | |||||||||||
Contracts | Fair Value | Capital | ||||||||||
Futures Contracts Purchased |
||||||||||||
Currencies |
1,089 | $ | (3,036,838 | ) | (0.37 | )% | ||||||
Energy |
311 | (1,940,268 | ) | (0.23 | ) | |||||||
Grains |
534 | (3,426,611 | ) | (0.41 | ) | |||||||
Indices |
31 | (56,140 | ) | (0.01 | ) | |||||||
Interest Rates U.S. |
6,567 | 3,638,859 | 0.44 | |||||||||
Interest Rates Non-U.S. |
7,347 | 2,554,865 | 0.31 | |||||||||
Livestock |
52 | 86,615 | 0.01 | |||||||||
Metals |
239 | (1,396,415 | ) | (0.17 | ) | |||||||
Softs |
184 | (767,366 | ) | (0.09 | ) | |||||||
Total futures contracts purchased |
(4,343,299 | ) | (0.52 | ) | ||||||||
Futures Contracts Sold |
||||||||||||
Currencies |
1,400 | 2,423,911 | 0.29 | |||||||||
Energy |
794 | 4,547,774 | 0.55 | |||||||||
Grains |
730 | 2,451,084 | 0.30 | |||||||||
Indices |
1,262 | (1,148,833 | ) | (0.14 | ) | |||||||
Interest Rates Non-U.S. |
16 | 19,468 | 0.00 | * | ||||||||
Livestock |
169 | (289,805 | ) | (0.03 | ) | |||||||
Metals |
28 | 439,182 | 0.05 | |||||||||
Softs |
321 | 1,867,012 | 0.22 | |||||||||
Total futures contracts sold |
10,309,793 | 1.24 | ||||||||||
Unrealized Appreciation on Open Forward Contracts |
||||||||||||
Currencies |
$ | 40,909,356 | 610,970 | 0.07 | ||||||||
Metals |
523 | 6,499,487 | 0.78 | |||||||||
Total unrealized appreciation on open forward contracts |
7,110,457 | 0.85 | ||||||||||
Unrealized Depreciation on Open Forward Contracts |
||||||||||||
Currencies |
$ | 114,526,281 | (1,257,045 | ) | (0.15 | ) | ||||||
Metals |
222 | (4,142,620 | ) | (0.50 | ) | |||||||
Total unrealized depreciation on open forward contracts |
(5,399,665 | ) | (0.65 | ) | ||||||||
Options Purchased |
||||||||||||
Puts |
||||||||||||
Indices |
51 | 129,750 | 0.02 | |||||||||
Total options purchased |
129,750 | 0.02 | ||||||||||
Options Premium Received |
||||||||||||
Puts |
||||||||||||
Indices |
51 | (244,115 | ) | (0.03 | ) | |||||||
Total options premium received |
(244,115 | ) | (0.03 | ) | ||||||||
Total fair value |
$ | 7,562,921 | 0.91 | % | ||||||||
* | Due to rounding. |
9
Table of Contents
Abingdon Futures Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)
Notes to Financial Statements
September 30, 2011
(Unaudited)
CMF Winton Master
L.P.
Condensed Schedule of Investments
December 31, 2010
Condensed Schedule of Investments
December 31, 2010
Notional ($)/ |
||||||||||||
Number of |
% of Partners |
|||||||||||
Contracts | Fair Value | Capital | ||||||||||
Futures Contracts Purchased
|
||||||||||||
Currencies
|
3,180 | $ | 9,643,771 | 1.09 | % | |||||||
Energy
|
853 | 1,746,824 | 0.20 | |||||||||
Grains
|
1,967 | 6,773,822 | 0.77 | |||||||||
Indices
|
3,730 | 802,802 | 0.09 | |||||||||
Interest Rates U.S.
|
460 | 75,260 | 0.01 | |||||||||
Interest Rates
Non-U.S.
|
2,060 | 180,335 | 0.02 | |||||||||
Livestock
|
258 | 440,485 | 0.05 | |||||||||
Metals
|
661 | 5,059,533 | 0.57 | |||||||||
Softs
|
466 | 1,890,590 | 0.21 | |||||||||
Total futures contracts purchased
|
26,613,422 | 3.01 | ||||||||||
Futures Contracts Sold
|
||||||||||||
Currencies
|
619 | (1,141,369 | ) | (0.13 | ) | |||||||
Energy
|
237 | (565,450 | ) | (0.06 | ) | |||||||
Indices
|
145 | 66,307 | 0.01 | |||||||||
Interest Rates U.S.
|
1,002 | (480,409 | ) | (0.05 | ) | |||||||
Interest Rates
Non-U.S.
|
1,369 | (1,041,005 | ) | (0.12 | ) | |||||||
Total futures contracts sold
|
(3,161,926 | ) | (0.35 | ) | ||||||||
Unrealized Appreciation on Open Forward Contracts
|
||||||||||||
Currencies
|
$ | 28,330,202 | 473,215 | 0.05 | ||||||||
Metals
|
686 | 6,967,880 | 0.79 | |||||||||
Total unrealized appreciation on open forward contracts
|
7,441,095 | 0.84 | ||||||||||
Unrealized Depreciation on Open Forward Contracts
|
||||||||||||
Currencies
|
$ | 59,051,932 | (318,217 | ) | (0.04 | ) | ||||||
Metals
|
382 | (3,631,203 | ) | (0.41 | ) | |||||||
Total unrealized depreciation on open forward contracts
|
(3,949,420 | ) | (0.45 | ) | ||||||||
Options Purchased
|
||||||||||||
Puts
|
||||||||||||
Indices
|
75 | 33,670 | 0.00 | * | ||||||||
Total options purchased
|
33,670 | 0.00 | * | |||||||||
Options Premium Received
|
||||||||||||
Puts
|
||||||||||||
Indices
|
75 | (65,795 | ) | (0.01 | ) | |||||||
Total options premium received
|
(65,795 | ) | (0.01 | ) | ||||||||
Total fair value
|
$ | 26,911,046 | 3.04 | % | ||||||||
* | Due to rounding. |
10
Table of Contents
Abingdon Futures Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)
Notes to Financial Statements
September 30, 2011
(Unaudited)
CMF Winton Master L.P.
Statements of Income and Expenses and Changes in Partners Capital
(Unaudited)
Statements of Income and Expenses and Changes in Partners Capital
(Unaudited)
Three Months Ended | Nine Months Ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
Investment Income: |
||||||||||||||||
Interest income |
$ | 29,007 | $ | 239,637 | $ | 271,152 | $ | 538,018 | ||||||||
Expenses: |
||||||||||||||||
Clearing fees |
123,164 | 147,999 | 374,961 | 503,702 | ||||||||||||
Professional fees |
21,442 | 28,252 | 69,138 | 80,947 | ||||||||||||
Total expenses |
144,606 | 176,251 | 444,099 | 584,649 | ||||||||||||
Net investment income (loss) |
(115,599 | ) | 63,386 | (172,947 | ) | (46,631 | ) | |||||||||
Trading results: |
||||||||||||||||
Net gains (losses) on trading of commodity interests: |
||||||||||||||||
Net realized gains (losses) on closed contracts |
54,296,749 | 4,515,767 | 95,430,492 | 51,771,595 | ||||||||||||
Change in net unrealized gains (losses) on open contracts |
11,260,944 | 21,535,038 | (19,331,200 | ) | 28,749,291 | |||||||||||
Total trading results |
65,557,693 | 26,050,805 | 76,099,292 | 80,520,886 | ||||||||||||
Net income (loss) |
65,442,094 | 26,114,191 | 75,926,345 | 80,474,255 | ||||||||||||
Subscriptions Limited Partners |
14,891,020 | 51,571,191 | 208,090,998 | 258,288,119 | ||||||||||||
Redemptions Limited Partners |
(85,791,657 | ) | (38,471,822 | ) | (337,449,728 | ) | (113,113,236 | ) | ||||||||
Distribution of interest income to feeder funds |
(29,007 | ) | (239,637 | ) | (271,152 | ) | (538,018 | ) | ||||||||
Net increase (decrease) in Partners Capital |
(5,487,550 | ) | 38,973,923 | (53,703,537 | ) | 225,111,120 | ||||||||||
Partners Capital, beginning of period |
835,503,884 | 760,545,510 | 883,719,871 | 574,408,313 | ||||||||||||
Partners Capital, end of period |
$ | 830,016,334 | $ | 799,519,433 | $ | 830,016,334 | $ | 799,519,433 | ||||||||
Net asset value per unit
|
||||||||||||||||
(337,386.9452 and 372,335.1656 units outstanding
|
||||||||||||||||
at September 30, 2011 and 2010, respectively) |
$ | 2,460.13 | $ | 2,147.31 | $ | 2,460.13 | $ | 2,147.31 | ||||||||
Net income (loss) per unit * |
$ | 184.94 | $ | 70.15 | $ | 206.00 | $ | 224.76 | ||||||||
Weighted average units outstanding |
360,300.0339 | 377,043.0866 | 394,312.7407 | 358,649.4945 | ||||||||||||
* | Based on changes in net asset value per unit. |
11
Table of Contents
Abingdon Futures Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)
Notes to Financial Statements
September 30, 2011
(Unaudited)
2. | Financial Highlights: |
Changes
in the net asset value per unit for each Class for the
three and nine months ended September 30, 2011 and 2010 were as follows:
For the period | For the period | For the period | ||||||||||||||||||||||||||||||
August 1, 2011 | April 1, 2011 | August 1, 2011 | ||||||||||||||||||||||||||||||
(commencement | (commencement | (commencement | ||||||||||||||||||||||||||||||
Three Months Ended | of operations) | Three Months Ended | Nine Months Ended | of operations) | of operations) | Nine Months Ended | ||||||||||||||||||||||||||
September 30, 2011 | to September 30, 2011 | September 30, 2010 | September 30, 2011 | to September 30, 2011 | to September 30, 2011 | September 30, 2010 | ||||||||||||||||||||||||||
Class A | Class D | Class Z | Class A | Class A | Class D | Class Z | Class A | |||||||||||||||||||||||||
Net realized and unrealized gains (losses) allocated from Master * |
$ | 78.35 | $ | 73.96 | $ | 24.91 | $ | 24.16 | $ | 63.14 | $ | 54.32 | $ | 24.91 | $ | 83.26 | ||||||||||||||||
Interest income allocated from Master |
0.03 | 0.03 | 0.02 | 0.30 | 0.30 | 0.06 | 0.02 | 0.69 | ||||||||||||||||||||||||
Expenses ** |
(11.35 | ) | (11.28 | ) | (7.83 | ) | (7.53 | ) | (25.78 | ) | (19.87 | ) | (7.83 | ) | (22.53 | ) | ||||||||||||||||
Increase (decrease) for the period |
67.03 | 62.71 | 17.10 | 16.93 | 37.66 | 34.51 | 17.10 | 61.42 | ||||||||||||||||||||||||
Net asset value per unit, beginning of period |
1,134.30 | 971.80 | 1,000.00 | 1,111.03 | 1,163.67 | 1,000.00 | 1,000.00 | 1,066.54 | ||||||||||||||||||||||||
Net asset value per unit, end of period |
$ | 1,201.33 | $ | 1,034.51 | $ | 1,017.10 | $ | 1,127.96 | $ | 1,201.33 | $ | 1,034.51 | $ | 1,017.10 | $ | 1,127.96 | ||||||||||||||||
* | Includes Partnership brokerage fees and clearing fees allocated from Master. | |
** | Excludes Partnership brokerage fees and clearing fees allocated from Master. |
t | ||||||||||||||||||||||||||||||||
For the period | For the period | For the period | ||||||||||||||||||||||||||||||
August 1, 2011 | April 1, 2011 | August 1, 2011 | ||||||||||||||||||||||||||||||
(commencement | (commencement | (commencement | ||||||||||||||||||||||||||||||
Three Months Ended | of operations) | Three Months Ended | Nine Months Ended | of operations) | of operations) | Nine Months Ended | ||||||||||||||||||||||||||
September 30, 2011 | to September 30, 2011 | September 30, 2010 | September 30, 2011 | to September 30, 2011 | to September 30, 2011 | September 30, 2010 | ||||||||||||||||||||||||||
Class A | Class D | Class Z | Class A | Class A | Class D | Class Z | Class A | |||||||||||||||||||||||||
Ratio to average net assets:*** |
||||||||||||||||||||||||||||||||
Net investment income (loss) before incentive fees**** |
(6.9 | )% | (4.1 | )% | (4.5 | )% | (7.3 | )% | (7.1 | )% | (4.4 | )% | (4.5 | )% | (7.5 | )% | ||||||||||||||||
Operating expenses |
6.9 | % | 4.1 | % | 4.5 | % | 7.4 | % | 7.2 | % | 4.4 | % | 4.5 | % | 7.6 | % | ||||||||||||||||
Incentive fees |
0.4 | % | 0.6 | % | 0.3 | % | | % | 0.5 | % | 0.7 | % | 0.3 | % | | % | ||||||||||||||||
Total expenses |
7.3 | % | 4.7 | % | 4.8 | % | 7.4 | % | 7.7 | % | 5.1 | 4.8 | % | 7.6 | % | |||||||||||||||||
Total return : |
||||||||||||||||||||||||||||||||
Total return before incentive fees |
6.4 | % | 7.1 | % | 1.9 | % | 1.5 | % | 3.7 | % | 4.0 | % | 1.9 | % | 5.8 | % | ||||||||||||||||
Incentive fees |
(0.5 | )% | (0.6 | )% | (0.2 | )% | | % | (0.5 | )% | (0.5 | )% | (0.2 | )% | | % | ||||||||||||||||
Total return after incentive fees |
5.9 | % | 6.5 | % | 1.7 | % | 1.5 | % | 3.2 | % | 3.5 | % | 1.7 | % | 5.8 | % | ||||||||||||||||
*** | Annualized (other than incentive fees). | |
**** | Interest income allocated from Master less total expenses. |
The above ratios may vary for individual investors based on the timing of capital transactions
during the period. Additionally, these ratios are calculated for the limited partner class for the Classes using
the limited partners share of income, expenses and average net assets.
12
Table of Contents
Abingdon Futures Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)
Notes to Financial Statements
September 30, 2011
(Unaudited)
Financial Highlights of the Master:
Three Months Ended | Nine Months Ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
Net realized and unrealized gains (losses) * |
$ | 184.93 | $ | 69.57 | $ | 205.50 | $ | 223.48 | ||||||||
Interest income |
0.08 | 0.65 | 0.69 | 1.51 | ||||||||||||
Expenses ** |
(0.07 | ) | (0.07 | ) | (0.19 | ) | (0.23 | ) | ||||||||
Increase (decrease) for the period |
184.94 | 70.15 | 206.00 | 224.76 | ||||||||||||
Distribution of interest income to feeder funds |
(0.08 | ) | (0.65 | ) | (0.69 | ) | (1.51 | ) | ||||||||
Net asset value per unit, beginning of period |
2,275.27 | 2,077.81 | 2,254.82 | 1,924.06 | ||||||||||||
Net asset value per unit, end of period |
$ | 2,460.13 | $ | 2,147.31 | $ | 2,460.13 | $ | 2,147.31 | ||||||||
* | Includes clearing fees. | |
** | Excludes clearing fees. |
Three Months Ended | Nine Months Ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
Ratios to average net assets:*** |
||||||||||||||||
Net
investment income (loss)**** |
(0.1) | %***** | 0.0 | %***** | (0.0) | %***** | (0.0) | %***** | ||||||||
Operating expenses |
0.1 | % | 0.1 | % | 0.1 | % | 0.1 | % | ||||||||
Total return |
8.1 | % | 3.4 | % | 9.1 | % | 11.7 | % | ||||||||
*** | Annualized. | |
**** | Interest income less total expenses. | |
***** | Due to rounding. |
The above ratios may vary for individual investors based on the timing of capital transactions
during the period. Additionally, these ratios are calculated for the limited partner class using
the limited partners share of income, expenses and average net assets.
3. | Trading Activities: |
The Partnership was formed for the purpose of trading commodity
interest, including derivative financial instruments and derivative commodity instruments. The Partnership invests substantially all of its assets through a master-feeder structure.
The Partnerships pro-rata share of the results of the Masters trading activities are shown
in the Statements of Income and Expenses.
The customer agreements between the Partnership and CGM and the Master and CGM give the
Partnership and the Master, respectively, the legal right to net unrealized gains and losses on
open futures and open forward contracts. The Master nets, for financial reporting purposes, the
unrealized gains and losses on open futures and open forward contracts on the Statements of Financial
Condition.
Brokerage
fees are calculated as a percentage of the adjusted net asset value
per class on
the last day of each month and are affected by trading performance,
subscriptions and redemptions.
All of the commodity interests owned by the Master are held for trading purposes. The monthly average number of futures
contracts traded during the three months ended September 30, 2011 and 2010 were 25,856 and 29,386, respectively.
The monthly average number of futures contracts traded during the nine months ended September 30, 2011 and 2010
were 22,943 and 27,617, respectively. The monthly average number of metals forward contracts traded during the three
months ended September 30, 2011 and 2010 were 936 and 696, respectively. The monthly average number of metals forward
contracts traded during the nine months ended September 30, 2011 and 2010 were 1,075 and 1,005, respectively.
The average notional values of currency forward contracts during the three months ended September 30, 2011 and
2010 were $247,412,091 and $48,970,710, respectively. The average notional values of currency forward contracts
during the nine months ended September 30, 2011 and 2010 were $201,875,966 and $27,744,712, respectively.
The monthly average number of options contracts traded during the three months ended September 30, 2011 and
2010 were 111 and 140, respectively. The monthly average number of options contracts traded during the nine months ended
September 30, 2011 and 2010 were 152 and 137, respectively.
13
Table of Contents
Abingdon Futures Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)
Notes to Financial Statements
September 30, 2011
(Unaudited)
The following tables indicate the gross fair values of derivative instruments of futures, forward
and options contracts as separate assets and liabilities as of September 30, 2011 and December 31, 2010.
September 30, 2011 | ||||
Assets |
||||
Futures Contracts |
||||
Currencies |
$ | 2,940,200 | ||
Energy |
4,556,680 | |||
Grains |
2,451,237 | |||
Indices |
396,665 | |||
Interest Rates U.S. |
4,203,538 | |||
Interest Rates Non-U.S. |
3,913,529 | |||
Livestock |
86,815 | |||
Metals |
565,762 | |||
Softs |
1,878,138 | |||
Total unrealized appreciation on open futures contracts |
$ | 20,992,564 | ||
Liabilities |
||||
Futures Contracts |
||||
Currencies |
$ | (3,553,127 | ) | |
Energy |
(1,949,174 | ) | ||
Grains |
(3,426,764 | ) | ||
Indices |
(1,601,638 | ) | ||
Interest Rates U.S. |
(564,679 | ) | ||
Interest Rates Non-U.S. |
(1,339,196 | ) | ||
Livestock |
(290,005 | ) | ||
Metals |
(1,522,995 | ) | ||
Softs |
(778,492 | ) | ||
Total unrealized depreciation on open futures contracts |
$ | (15,026,070 | ) | |
Net unrealized appreciation on open futures contracts |
$ | 5,966,494 | * | |
September 30, 2011 | ||||
Assets |
||||
Forward Contracts |
||||
Currencies |
$ | 610,970 | ||
Metals |
6,499,487 | |||
Total unrealized appreciation on open forward contracts |
$ | 7,110,457 | ||
Liabilities |
||||
Forward Contracts |
||||
Currencies |
$ | (1,257,045 | ) | |
Metals |
(4,142,620 | ) | ||
Total unrealized depreciation on open forward contracts |
$ | (5,399,665 | ) | |
Net unrealized appreciation on open forward contracts |
||||
$ | 1,710,792 | ** | ||
Assets |
||||
Options Purchased |
||||
Indices |
$ | 129,750 | ||
Total options purchased |
$ | 129,750 | *** | |
Liabilities |
||||
Options Premium Received |
||||
Indices |
$ | (244,115 | ) | |
Total options premium received |
$ | (244,115 | )**** | |
* | This amount is in Net unrealized appreciation on open futures contracts on the Masters Statements of Financial Condition. | |
** | This amount is in Net unrealized appreciation on open forward contracts on the Masters Statements of Financial Condition. | |
*** | This amount is in Options purchased, at fair value on the Masters Statements of Financial Condition. | |
**** | This amount is in Options premium received, at fair value on the Masters Statements of Financial Condition. |
14
Table of Contents
Abingdon Futures Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)
Notes to Financial Statements
September 30, 2011
(Unaudited)
December 31, 2010 | ||||
Assets
|
||||
Futures Contracts
|
||||
Currencies
|
$ | 9,644,271 | ||
Energy
|
1,844,471 | |||
Grains
|
6,777,945 | |||
Indices
|
1,799,439 | |||
Interest Rates U.S.
|
204,140 | |||
Interest Rates
Non-U.S.
|
455,439 | |||
Livestock
|
440,768 | |||
Metals
|
5,063,713 | |||
Softs
|
1,906,919 | |||
Total unrealized appreciation on open futures contracts
|
$ | 28,137,105 | ||
Liabilities
|
||||
Futures Contracts
|
||||
Currencies
|
$ | (1,141,869 | ) | |
Energy
|
(663,097 | ) | ||
Grains
|
(4,123 | ) | ||
Indices
|
(930,330 | ) | ||
Interest Rates U.S.
|
(609,289 | ) | ||
Interest Rates
Non-U.S.
|
(1,316,109 | ) | ||
Livestock
|
(283 | ) | ||
Metals
|
(4,180 | ) | ||
Softs
|
(16,329 | ) | ||
Total unrealized depreciation on open futures contracts
|
$ | (4,685,609 | ) | |
Net unrealized appreciation on open futures contracts
|
$ | 23,451,496 | * | |
December 31, 2010 | ||||
Assets
|
||||
Forward Contracts
|
||||
Currencies
|
$ | 473,215 | ||
Metals
|
6,967,880 | |||
Total unrealized appreciation on open forward contracts
|
$ | 7,441,095 | ||
Liabilities
|
||||
Forward Contracts
|
||||
Currencies
|
$ | (318,217 | ) | |
Metals
|
(3,631,203 | ) | ||
Total unrealized depreciation on open forward contracts
|
$ | (3,949,420 | ) | |
Net unrealized appreciation on open forward contracts
|
$ | 3,491,675 | ** | |
Assets
|
||||
Options Purchased
|
||||
Indices
|
$ | 33,670 | ||
Total options purchased
|
$ | 33,670 | *** | |
Liabilities
|
||||
Options Premium Received
|
||||
Indices
|
$ | (65,795 | ) | |
Total options premium received
|
$ | (65,795 | )**** | |
* | This amount is in Net unrealized appreciation on open futures contracts on the Masters Statements of Financial Condition. | |
** | This amount is in Net unrealized appreciation on open forward contracts on the Masters Statements of Financial Condition. | |
*** | This amount is in Options purchased, at fair value on the Masters Statements of Financial Condition. | |
**** | This amount is in Options premium received, at fair value on the Masters Statements of Financial Condition. |
15
Table of Contents
Abingdon Futures Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)
Notes to Financial Statements
September 30, 2011
(Unaudited)
The following tables indicate the trading gains and losses, by market sector, on derivative
instruments for the three and nine months ended September 30, 2011 and 2010.
Three Months Ended | Nine Months Ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
Sector | 2011 | 2010 | 2011 | 2010 | ||||||||||||
Currencies |
$ | (13,260,114 | ) | $ | (3,994,348 | ) | $ | (5,509,756 | ) | $ | 22,355,794 | |||||
Energy |
(943,053 | ) | (5,518,499 | ) | 4,226,611 | (13,818,858 | ) | |||||||||
Grains |
(853,851 | ) | (5,061,389 | ) | (3,904,275 | ) | (3,994,112 | ) | ||||||||
Indices |
(10,592,871 | ) | (1,821,598 | ) | (9,971,686 | ) | (17,490,188 | ) | ||||||||
Interest Rates U.S. |
31,316,409 | 23,202,559 | 29,893,072 | 40,216,662 | ||||||||||||
Interest Rates Non-U.S. |
42,090,191 | 14,344,001 | 38,433,438 | 44,624,569 | ||||||||||||
Livestock |
(570,805 | ) | 399,058 | (366,385 | ) | (109,005 | ) | |||||||||
Metals |
16,842,243 | 5,238,304 | 18,812,339 | 8,491,941 | ||||||||||||
Softs |
1,529,544 | (737,283 | ) | 4,485,934 | 244,083 | |||||||||||
Total |
$ | 65,557,693 | ***** | $ | 26,050,805 | ***** | $ | 76,099,292 | ***** | $ | 80,520,886 | ***** | ||||
**** | This amount is in Total trading results on the Masters Statements of Income and Expenses and Changes in Partners Capital. |
16
Table of Contents
Abingdon Futures Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)
Notes to Financial Statements
September 30, 2011
(Unaudited)
4. Fair Value Measurements:
Partnerships Investments. The Partnership values its investment in the Master at its net asset
value per unit per class calculated by the Master. The Master values its investments as described in Note
2 of the Masters notes to the annual financial statements as of
December 31, 2010.
Partnerships
Fair Value Measurements. Fair value is defined 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 under current market
conditions. The fair
value hierarchy gives the highest priority to unadjusted quoted prices in active markets for
identical assets or liabilities (Level 1) and the lowest priority to fair values derived from
unobservable inputs (Level 3). The level in the fair value hierarchy within which the fair value
measurement in its entirety falls shall be determined based on the lowest level input that is
significant to the fair value measurement in its entirety.
GAAP also requires 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.
Management has concluded that based on available information in the marketplace, there has
not been a significant decrease in the volume and level of activity in the Partnerships Level 2
assets and liabilities.
The Partnership will separately present purchases, sales, issuances and settlements in
its reconciliation of Level 3 fair value measurements (i.e., to present such items on a gross
basis rather than on a net basis), and make disclosures 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 as required under GAAP.
The Partnership values investment in the Master where there are no other rights or obligations
inherent within the ownership interest held by the Partnership based on the end of the day net
asset value of the Master (Level 2). The value of the Partnerships investment in the Master
reflects its proportional interest in the Master. As of and for the
periods ended September 30, 2011 and December 31, 2010, the
Partnership did not hold any derivative instruments that were based on
unadjusted quoted prices in active markets for identical assets (Level 1) or priced at fair value
using unobservable inputs through the application of managements assumptions and internal
valuation pricing models (Level 3).
Quoted Prices | ||||||||||||||||
in Active Markets | Significant Other | Significant | ||||||||||||||
for Identical | Observable Inputs | Unobservable | ||||||||||||||
9/30/2011 | Assets (Level 1) | (Level 2) | Inputs (Level 3) | |||||||||||||
Assets |
||||||||||||||||
Investment in Master |
$ | 227,195,277 | $ | | $ | 227,195,277 | $ | | ||||||||
Net fair value |
$ | 227,195,277 | $ | | $ | 227,195,277 | $ | | ||||||||
Quoted Prices | ||||||||||||||||
in Active Markets | Significant Other | Significant | ||||||||||||||
for Identical | Observable Inputs | Unobservable | ||||||||||||||
12/31/2010 | Assets (Level 1) | (Level 2) | Inputs (Level 3) | |||||||||||||
Assets |
||||||||||||||||
Investment in Master |
$ | 161,648,425 | $ | | $ | 161,648,425 | $ | | ||||||||
Net fair value |
$ | 161,648,425 | $ | | $ | 161,648,425 | $ | | ||||||||
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. Net realized gains or losses and any change in net unrealized gains or losses from
the preceding period are reported in the Statements of Income and Expenses and Changes in Partners
Capital.
17
Table of Contents
Abingdon Futures Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)
Notes to Financial Statements
September 30, 2011
(Unaudited)
Masters Fair Value
Measurements. Fair value is defined 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 under current market conditions.
The fair value hierarchy gives the highest priority to
unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the
lowest priority to fair values derived from unobservable inputs
(Level 3). The level in the fair value hierarchy within which the
fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. Management has concluded that based on available information in the
marketplace, the Masters Level 1 assets and liabilities are actively traded.
GAAP also requires 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.
Management has concluded that based on available information in the marketplace, there has not
been a significant decrease in the volume and level of activity in the
Masters Level 2 assets and liabilities.
The Master will 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 makes disclosures 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 as required under GAAP.
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 periods ended September 30, 2011 and December 31, 2010, the Master 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).
Quoted Prices in | Significant | |||||||||||||||
Active Markets for | Significant Other | Unobservable | ||||||||||||||
Identical Assets | Observable Inputs | Inputs | ||||||||||||||
9/30/2011 | (Level 1) | (Level 2) | (Level 3) | |||||||||||||
Assets |
||||||||||||||||
Futures |
$ | 20,992,564 | $ | 20,992,564 | $ | | $ | | ||||||||
Forwards |
7,110,457 | 6,499,487 | 610,970 | | ||||||||||||
Options purchased |
129,750 | 129,750 | | | ||||||||||||
Total Assets |
28,232,771 | 27,621,801 | 610,970 | | ||||||||||||
Liabilities |
||||||||||||||||
Futures |
15,026,070 | 15,026,070 | | | ||||||||||||
Forwards |
5,399,665 | 4,142,620 | 1,257,045 | | ||||||||||||
Options premium
received |
244,115 | 244,115 | | | ||||||||||||
Total Liabilities |
20,669,850 | 19,412,805 | 1,257,045 | | ||||||||||||
Total fair value |
$ | 7,562,921 | $ | 8,208,996 | $ | (646,075 | ) | $ | | |||||||
Quoted Prices in | Significant | |||||||||||||||
Active Markets for | Significant Other | Unobservable | ||||||||||||||
Identical Assets | Observable Inputs | Inputs | ||||||||||||||
12/31/2010* | (Level 1) | (Level 2) | (Level 3) | |||||||||||||
Assets |
||||||||||||||||
Futures |
$ | 28,137,105 | $ | 28,137,105 | $ | | $ | | ||||||||
Forwards |
7,441,095 | 6,967,880 | 473,215 | | ||||||||||||
Options purchased |
33,670 | 33,670 | | | ||||||||||||
Total Assets |
35,611,870 | 35,138,655 | 473,215 | | ||||||||||||
Liabilities |
||||||||||||||||
Futures |
4,685,609 | 4,685,609 | | | ||||||||||||
Forwards |
3,949,420 | 3,631,203 | 318,217 | | ||||||||||||
Options premium
received |
65,795 | 65,795 | | | ||||||||||||
Total Liabilities |
8,700,824 | 8,382,607 | 318,217 | | ||||||||||||
Total fair value |
$ | 26,911,046 | $ | 26,756,048 | $ | 154,998 | $ | | ||||||||
* The amounts have
been reclassified from the December 31, 2010 prior year financial
statements to conform to current year presentation.
5. Financial Instrument Risks:
In the normal course of business, the Partnership, through its investment in the Master,
is party to financial instruments with off-balance sheet risk, including derivative financial
instruments and derivative commodity instruments. These financial instruments may include forwards,
futures, options and swaps, whose values are based upon an underlying asset, index, or reference
rate, and generally represent future commitments to exchange currencies or cash balances, or to
purchase or sell other financial instruments at specific terms at specified future dates, or, in
the case of derivative commodity instruments, to have a reasonable possibility to be settled in
cash, through physical delivery or with another financial instrument. These instruments may be
traded on an exchange or over-the-counter (OTC). Exchange-traded instruments are standardized and
include futures and certain forwards and option contracts. OTC contracts are negotiated between
contracting parties and include certain forwards, swaps option
contracts. Specific market movements of commodities or futures contracts underlying an option cannot accurately be predicted. Each of these instruments is
subject to various risks similar to those related to the underlying
financial instrument, including
market and credit risk. In general, the risks associated with OTC contracts are greater than those
associated with exchange-traded instruments because of the greater risk of default by the
counterparty to an OTC contract.
The 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 result of the organization of the Partnership as a limited
partnership under New York law.
Market risk is the potential for changes in the value of the financial instruments traded by
the Partnership/Master due to market changes, including interest and foreign exchange rate movements and
fluctuations in commodity or security prices. Market risk is directly impacted by the volatility
and liquidity in the markets in which the related underlying assets are traded. The Partnership/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.
18
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Abingdon Futures Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)
Notes to Financial Statements
September 30, 2011
(Unaudited)
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/Masters risk of loss in the event of a
counterparty default is typically limited to the amounts recognized in the Statements of Financial
Condition and is not represented by the contract or notional amounts of the instruments. The Partnerships/Masters
risk of loss is reduced through the use of legally enforceable master netting agreements with
counterparties that permit the Partnership/Master to offset unrealized gains and losses and other assets and
liabilities with such counterparties upon the occurrence of certain events. The Partnership/Master has credit
risk and concentration risk as CGM or a CGM affiliate is the sole
counterparty or broker with respect to the Partnerships/Masters assets. Credit risk with respect to exchange-traded instruments is reduced to
the extent that, through CGM, the Partnerships/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.
The General Partner monitors and attempts to control
the Partnerships/Masters risk exposure on a daily
basis through financial, credit and risk management monitoring systems, and accordingly, believes
that it has effective procedures for evaluating and limiting the credit and market risks to which
the Partnership/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, online 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 Partnerships/Masters business, these instruments may not be held to maturity.
6. Critical
Accounting Policies:
Use of Estimates. The preparation of financial statements and accompanying notes in conformity
with GAAP requires management to make estimates and assumptions that affect the reported amounts of
assets and liabilities, income and expenses, and related disclosures of contingent assets and
liabilities in the financial statements and accompanying notes. As a result, actual results could differ from these estimates.
Partnerships Investments. The Partnership values its investment in the Master at its net
asset value per unit per Class as calculated by the Master. The Master values its investments as described in
Note 2 of the Masters notes to the annual financial statements
as of December 31, 2010.
Partnerships and the Masters Fair Value Measurements.
Fair value is defined 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 under current market conditions. The fair value
hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical
assets or liabilities (Level 1) and the lowest priority to fair values derived from unobservable
inputs (Level 3). The level in the fair value hierarchy within which the fair value measurement in
its entirety falls shall be determined based on the lowest level input that is significant to the
fair value measurement in its entirety. Management has concluded that based on available
information in the marketplace, the Masters Level 1 assets and liabilities are actively
traded.
GAAP also requires 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. Management has concluded that based on available information in the marketplace, there has not been a significant decrease
in the volume and level of activity in the Partnerships and the Masters Level 2 assets and liabilities.
The
Partnership and the Master will separately present
purchases, sales, issuances and settlements in its reconciliation
of Level 3 fair value measurements (i.e., to present such items
on a gross basis rather than on a net basis), and make disclosures 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 as
required under GAAP.
The
Partnership values investments in the Master where there are no other rights or obligations
inherent within the ownership interest held by the Partnership based on the end of the day net
asset value of the Master (Level 2). The value of the Partnerships investment in the Master
reflects its proportional interest in the Master. As of and for the
periods ended September 30, 2011 and
December 31, 2010, the Partnership did not hold any derivative
instruments that were based on
unadjusted quoted prices in active markets for identical assets (Level 1) or priced at fair value
using unobservable inputs through the application of managements assumptions and internal
valuation pricing models (Level 3).
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 periods ended September 30, 2011 and December 31, 2010, the Master 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 Master trades futures contracts. A futures contract is a firm commitment
to buy or sell a specified quantity of investments, currency or a standardized amount of a
deliverable grade commodity, at a specified price on a specified future date, unless the contract
is closed before the delivery date or if the delivery quantity is something where physical delivery
cannot occur (such as the S&P 500 Index), whereby such contract is settled in cash. Payments
(variation margin) may be made or received by the Master each business day, depending on the
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. 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.
Net realized gains (losses) and changes in net unrealized gains (losses) on futures contracts are
included in the Statements of Income and Expenses and Changes in Partners Capital.
19
Table of Contents
Abingdon Futures Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)
Notes to Financial Statements
September 30, 2011
(Unaudited)
Forward
Foreign Currency Contracts. Forward foreign currency contracts are those contracts where the
Master agrees to receive or deliver a fixed quantity of foreign currency for an agreed-upon price
on an agreed future date. Forward foreign currency contracts are valued daily, and the Masters net equity
therein, representing unrealized gain or loss on the contracts as measured by the difference
between the forward foreign exchange rates at the dates of entry into the contracts and the forward
rates at the reporting date, is included in the Statements of Financial Condition. Net realized gains
(losses) and changes in net 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 and Changes in Partners Capital.
The Master does not isolate the 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 and Changes in Partners Capital.
London Metals Exchange Forward Contracts. Metal contracts traded on the London Metals Exchange
(LME) represent a firm commitment to buy or sell a specified quantity of aluminum, copper, lead,
nickel, tin or zinc. LME contracts traded by the Master are cash settled based on prompt dates
published by the LME. Payments (variation margin) may be made or received by the Master each
business day, depending on the daily fluctuations in the value of the underlying contracts, and are
recorded as unrealized gains or losses by the Master. A contract is considered offset when all long
positions have been matched with a like number of short positions
settling on the same prompt date. 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. 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.
Net realized gains (losses) and
changes in net unrealized gains (losses) on metal contracts are included in
the Statements of Income and Expenses and Changes in Partners Capital.
Options. The Master
may purchase and write (sell) both exchange-listed and OTC options on commodities or financial instruments. An option is a contract allowing, but not
requiring, its holder to buy (call) or sell (put) a specific or standard commodity or financial
instrument at a specified price during a specified time period. The option premium is the total
price paid or received for the option contract. When the 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 and Changes in Partners Capital.
Income Taxes. Income taxes have not been provided as each partner is individually liable for
the taxes, if any, on its share of the Partnerships income and expenses.
GAAP provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial
statements and requires the evaluation of tax positions taken or expected to be taken in the
course of preparing the Partnerships financial statements to determine whether the tax positions
are more-likely-than-not to be sustained by the applicable tax authority. Tax positions with
respect to tax at the Partnership level not deemed to meet the more-likely-than-not threshold
would be recorded as a tax benefit or expense in the current year. The General Partner concluded
that no provision for income tax is required in the Partnerships financial statements.
The Partnership files U.S. federal and various state and local tax returns. No income tax
returns are currently under examination. Generally, the 2008 through 2010 tax years remain
subject to examination by U.S. federal and most state tax authorities. Management does not
believe that there are any uncertain tax positions that require recognition of a tax liability.
Subsequent
Events. The General Partner evaluates events that occur
after the balance sheet date but before financial statements are
filed. The General Partner has assessed the subsequent events through the date
of filing and has determined that there were no subsequent events
requiring adjustment of or disclosure in the financial statements.
Recent
Accounting Pronouncements. In May 2011, the Financial Accounting Standards Board (FASB) issued
Accounting Standards Update (ASU) 2011-04, Amendments to Achieve Common Fair
Value Measurement and Disclosure Requirements in U.S. GAAP and International Financial Reporting Standards (IFRS).
The amendments within this ASU change the wording used to describe many of the requirements in U.S. GAAP for measuring fair value
and for disclosing information about fair value measurements to
eliminate unnecessary wording differences between U.S. GAAP and IFRS.
However, some of the amendments clarify the FASBs intent about the application of existing fair value measurement requirements and
other amendments change a particular principle or requirement for measuring fair value or for disclosing information about fair value
measurements. The ASU is effective for annual and interim periods beginning after December 15, 2011 for public entities. This new guidance
is not expected to have a material impact on the
Partnerships financial statements.
In October 2011, FASB issued a
proposed ASU intended to improve and converge financial reporting
by setting forth consistent criteria for determining whether an entity is an investment company. Under longstanding U.S. GAAP, investment companies carry all of their investments at fair value, even if they hold a controlling interest in another company. The primary changes being proposed by the FASB relate to which entities would be considered investment companies as well as certain disclosure and presentation requirements. In addition to the changes to the criteria for determining whether an entity is an investment company, the FASB also proposes that an investment company consolidate another investment company if it holds a controlling financial interest in the entity. The Partnership is currently evaluating the impact that this proposed update would have on the financial statements.
Net Income (Loss) per
unit. Net income (loss) per unit for each Class is calculated in
accordance with investment company guidance. See Note 2 Financial Highlights.
20
Table of Contents
Item 2. Managements Discussion and Analysis of Financial Condition and Results of
Operations.
Liquidity
and Capital Resources
The Partnership does not engage in sales of goods or services. Its only assets are its
investment in the Master and cash. The Master does not engage in sales of goods or services. Because of
the low margin deposits normally required in commodity futures trading, relatively small price
movements may result in substantial losses to the Partnership, through its investment in the
Master. While substantial losses could lead to a material decrease in liquidity, no such
illiquidity occurred in the third quarter of 2011.
The
Partnerships capital consists of capital contributions, as increased or decreased by income (loss) from its investment in the Master, expenses, interest income, subscriptions, redemptions of Redeemable Units and distributions of profits, if any.
For the nine months ended September 30, 2011, Partnership capital
increased 40.6% from $157,857,693 to $221,952,547. This
increase was attributable to subscriptions of 65,168.9096 Redeemable Units of Class A totaling $76,523,895, subscriptions
of 10,467.2498 Redeemable Units of Class D totaling $10,584,785 and subscriptions of 342.4696 Redeemable Units of Class Z
totaling $346,031, coupled with the net gain from operations of $6,515,024. This increase was partially offset by the
redemptions of 25,309.2913 Redeemable Units of Class A totaling $29,800,633 and by the redemptions of 73.0000 Redeemable
Units of Class Z totaling $74,248. Future redemptions can impact the amount of funds available for investment
in the Master in subsequent periods.
The Masters capital consists of the capital contributions of the partners as increased or
decreased by gains or losses on trading and by expenses, interest income, redemptions of units and
distributions of profits, if any.
For the nine months ended September 30, 2011, the Masters
capital decreased 6.1% from $883,719,871 to $830,016,334.
This decrease was attributable to redemptions of 144,030.1540 units totaling $337,449,728 and distribution of interest
income to feeder funds totaling $271,152, which was partially offset by the net income from operations of $75,926,345,
coupled with subscriptions of 89,492.1726 units totaling $208,090,998. Future redemptions can impact the amount of funds
available for investment in commodity contract positions in subsequent periods.
Critical Accounting Policies
The preparation of financial statements in
conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities
and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and
expense during the reporting period. Management believes that the estimates utilized in preparing the financial statements are
reasonable. Actual results could differ from those estimates. The Partnerships significant accounting policies are described in
detail in Note 6 of the Financial Statements.
The Partnership records all investments at
fair value in its financial statements, with changes in fair value reported as a component of net realized gains (losses) and change in net
unrealized gains (losses) in the Statements of Income and Expenses.
21
Table of Contents
Results of Operations
During the Partnerships third quarter of 2011, the net asset
value per unit for Class A increased 5.9% from
$1,134.30 to $1,201.33 as compared to an increase of 1.5% in the third quarter of 2010. During the Partnerships
third quarter of 2011, the net asset value per unit for Class D
increased 6.5% from $971.80 to $1,034.51. During the Partnerships third quarter of 2011, the net asset value per unit for Class Z increased
1.7% from $1000.00 to $1,017.10 from August 1, 2011 to September 30,
2011. Class D and Class Z units were not offered by the Partnership in the third quarter of 2010.
The Partnership, through its investment in the
Master, experienced a net trading gain before brokerage fees and
related fees in the third quarter of 2011 of $17,117,624.
Gains were primarily attributable to the Masters trading of
commodity futures in U.S. and non-U.S. interest rates, metals and
softs, and were partially
offset by losses in currencies, energy, grains, indices and livestock. The Partnership, through its investment in the Master, experienced a net trading gain before
brokerage fees and related fees in the third quarter of 2010 of $4,745,802. Gains were primarily attributable to the Masters
trading of commodity futures in U.S. and non-U.S. interest rates, livestock and metals and were partially offset by losses in currencies, energy, grains, indices and softs.
The most significant gains were achieved within the global interest rate sector throughout a majority of the quarter due to long futures positions in European and U.S. fixed-income futures as prices advanced higher due to concern about the European sovereign debt crisis and a faltering global economy.
Within the metals markets, gains were recorded primarily during July and August from long positions in gold futures after prices reached a record high as escalating concern that the global economy is slowing boosted demand for the precious metal. Within the agricultural complex, gains were experienced primarily during July from short positions in coffee futures as prices declined following speculation Indias coffee exports may be boosted by record production levels.
A portion of the Partnerships gains during the quarter was offset by losses incurred within the currency sector, primarily during August, from long positions in the Australian dollar, Canadian dollar, and Mexican peso versus the U.S. dollar as the value of the U.S. dollar was boosted higher against these currencies by increased safe haven demand following central bank intervention in the Japanese yen and amid concerns related to the European debt crisis.
Additional losses were recorded within this sector in September due
to long positions in the Australian dollar and New Zealand dollar
versus the U.S. dollar as the value of these commodity currencies moved lower in tandem with declining commodity prices.
Within the global stock index sector, losses were experienced primarily during July and August due to long positions in European and U.S.
equity index futures as prices dropped amid Standard & Poors downgrade of the United States sovereign credit rating and concern about the European sovereign debt crisis. Losses were also incurred within the energy sector, primarily during August, from long futures positions in crude oil and its related products as prices fell on concern energy demand may falter amid slowing economic growth in the U.S. and a deepening debt crisis in Europe.
During the Partnerships nine months ended September 30, 2011, the net asset value per unit for Class A increased
3.2% from $1,163.67 to $1,201.33 as compared to an increase of 5.8% during the nine months ended September 30, 2010.
During the Partnerships nine months ended September 30, 2011, the net asset
value per unit for Class D increased 3.5% from
$1,000.00 to $1,034.51 from April 1, 2011 to September 30, 2011.
Class D Units were not offered by the Partnership prior to April 1,
2011. During the Partnerships nine months ended September 30, 2011,
the net asset value per unit for Class Z increased 1.7% from $1,000.00 to $1,017.10 from August 1, 2011 to September 30, 2011. Class Z units were not offered by the Partnership prior to August 1, 2011.
The Partnership, through its investment in the Master,
experienced a net trading gain before brokerage fees and related fees in the nine months ended September 30, 2011
of $17,701,800. Gains were primarily attributable to the
Masters trading of commodity futures in energy, U.S. and
non-U.S. interest rates, metals and softs, and
were partially offset by losses in currencies, grains, indices and
livestock. The Partnership, through its investment in the Master, experienced a
net trading gain before brokerage fees and related fees in the nine months ended September 30, 2010 of $14,843,493.
Gains were primarily attributable to the Masters trading of commodity futures in currencies, U.S. and non-U.S. interest
rates, metals and softs and were partially offset by losses in energy, grains, indices and livestock.
The most significant gains were achieved within the global interest rate sector, primarily during the third quarter, due to long futures positions in European and U.S. fixed-income futures as prices advanced higher due to concern about the European sovereign debt crisis and a faltering global economy.
Within the metals markets, gains were recorded primarily during April, July, and August. In April, long positions in gold futures resulted in gains as prices approached an all-time high after the U.S. Federal Reserve pledged to keep borrowing costs low, eroding the value of the U.S. dollar and spurring demand for the precious metal.
During July and August, further gains were experienced from long positions in gold futures after prices reached a record high as escalating concern that the global economy is slowing boosted demand for the precious metal.
Within the energy sector, gains were achieved throughout the majority of the first four months of the year from long futures positions in crude oil and its related products as prices rose amid an escalation in political instability in the Middle East and North Africa.
Gains were also recorded within the agricultural complex, primarily during January, from long positions in corn futures as prices rose to the highest levels since July 2008 after the U.S. government lowered forecasts for domestic inventories as adverse weather slashed harvests.
During July, additional gains were experienced within this sector from short positions in coffee futures as prices declined following speculation Indias coffee exports may be boosted by record production levels.
A portion of the Partnerships gains during the first nine
months of the year was offset by losses incurred within the global
stock index markets, primarily during June, July, and August, from
long positions in European and U.S. equity index futures as prices
dropped amid Standard & Poors downgrade of the United States sovereign credit rating, worse-than-expected economic reports, and concern about the European sovereign debt crisis.
Within the currency sector, losses were recorded primarily during
May, August, and September. During May, long positions in the euro
and British pound versus the U.S. dollar resulted in losses as the
value of these currencies moved lower against the U.S. dollar after
Standard & Poors downgraded Greeces credit rating, prompting concern that the European sovereign debt crisis may escalate.
In August, losses were experienced from long positions in the Australian dollar, Canadian dollar, and Mexican peso versus the U.S. dollar as the value of the U.S. dollar was boosted higher against these currencies by increased safe haven demand following central bank intervention in the Japanese yen and amid concerns related to the European debt crisis.
Additional losses were recorded within this sector in September due to long positions in the Australian dollar and New Zealand dollar versus the U.S. dollar as the value of these commodity currencies moved lower in tandem with declining commodity prices.
Commodity futures markets are
highly volatile. The
potential for broad and rapid price fluctuations increases the risks involved in commodity trading, but also increases the
possibility of profit.
The profitability of the Partnership (and the Master) depends on the existence of major price trends and the ability
of the Advisor to correctly identify those price trends. Price
trends are influenced by, among other things, changing supply and demand relationship, weather, governmental,
agricultural, commercial and trade programs and
policies, national and international political and economic events and changes in interest rates. To the extent
that market trends exist and the Advisor is able to identify them, the Partnership
(and the Master) expects to increase capital through operations.
22
Table of Contents
Interest income on 80% of the Partnerships average daily equity allocated to it by the Master was earned at a 30-day
U.S. Treasury bill rate determined weekly by CGM based on the average non-competitive yield on 3-month U.S. Treasury
bills maturing in 30 days. Interest income allocated from the Master for the three and nine months ended September 30, 2011 decreased by $31,771 and
$38,832, respectively, as compared to the corresponding periods in 2010. The decrease in interest income is primarily due
to lower U.S. Treasury bill rates during the three and nine months ended September 30, 2011 as compared to the
corresponding periods in 2010. Interest earned by the Partnership will increase the net asset value of the Partnership.
The amount of interest income earned by the Partnership depends on the average daily equity n the Masters account and upon interest rates over which the Partnership, the Master and CGM have no control.
Brokerage 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, subscriptions and redemptions. Accordingly, they must be analyzed in relation
to the fluctuations in the monthly net asset values. Brokerage fees for the three and nine months ended September 30,
2011 increased by $844,194 and $2,157,618, respectively, as compared to the corresponding periods in 2010. The increase
in brokerage fees is due to higher net assets during the three and
nine months ended September 30, 2011, as compared to
the corresponding periods in 2010.
Management fees are calculated as a percentage of the Partnerships net asset value as of the end of each month and
are affected by trading performance, subscriptions and redemptions. Management fees for the three and nine months ended
September 30, 2011 increased by $125,672 and $476,677, respectively, as compared to the corresponding periods in 2010.
The increase in management fees is due to higher net assets during
the three and nine months ended September 30, 2011, as
compared to the corresponding periods in 2010.
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 net asset value as of the end of each month and are
affected by trading performance, subscriptions and redemptions. Administrative fees for the three and nine months ended
September 30, 2011 increased by $101,567 and $252,974, respectively, as compared to the corresponding periods in 2010.
The increase in administrative fees is due to higher net assets
during the three and nine months ended September 30, 2011,
as compared to the corresponding periods in 2010.
Incentive fees paid by the Partnership are based on the new trading profits generated by the Advisor at the end of the
quarter, as defined in the management agreements among the Partnership, the General Partner and the Advisor. Trading
performance for the three and nine months ended September 30, 2011
resulted in incentive fees of $948,965. There were
no incentive fees for the three and nine months ended September 30, 2010. The Advisor will not be paid incentive fees
until the Advisor recovers the net loss incurred and earns additional new trading profits for the Partnership.
In allocating substantially all of the assets of the Partnership to the Master, the General
Partner considers the Advisors past performance, trading style, volatility of markets traded and
fee requirements. The General Partner may modify or terminate the allocation of assets to the
Advisor at any time.
23
Table of Contents
Item 3. Quantitative and Qualitative Disclosures about Market Risk
All of the Partnerships assets are subject to the risk of trading loss through its investment
in the Master. The Master is a speculative commodity pool. The market sensitive instruments held by
the Master are acquired for speculative trading purposes, and all or
substantially all of the Partnerships assets are subject to the risk
of trading loss through its investment in the Master. Unlike an operating company, the risk of market
sensitive instruments is integral, not incidental, to the
Masters and the Partnerships main line of business.
The
risk to the limited partners that have purchased interests in the Partnership is limited
to the amount of their capital contributions to the Partnership and their share of the
Partnerships assets and undistributed profits. This limited liability is a result of the
organization of the Partnership as a limited partnership under New
York law.
Market movements result in frequent changes in the fair value of the Masters open positions
and, consequently, in its earnings and cash flow. The Masters market risk is influenced by a wide
variety of factors, including the level and volatility of interest rates, exchange rates, equity
price levels, the market value of financial instruments and contracts, the diversification effects
among the Masters open contracts and the liquidity of the markets in which it trades.
The Master 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 Masters past performance is not necessarily indicative
of its future results.
Value at Risk is a measure of the maximum amount which the Master could reasonably be expected
to lose in a given market sector. However, the inherent uncertainty of the Masters speculative
trading and the recurrence in the markets traded by the Master of market movements far exceeding
expectations could result in actual trading or non-trading losses far beyond the indicated Value at
Risk or the Masters experience to date (i.e., risk of ruin). In light of the foregoing as well
as the risks and uncertainties intrinsic to all future projections, the inclusion of the
quantification in this section should not be considered to constitute any assurance or
representation that the Masters losses in any market sector will be limited to Value at Risk or by
the Masters attempts to manage its market risk.
Exchange maintenance margin requirements have been used by the Master 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 interval. Maintenance margin has been used rather than the more generally available initial
margin, because initial margin includes a credit risk component, which is not relevant to Value at
Risk.
Value at Risk tables represent a probabilistic assessment of the risk of loss in market risk
sensitive instruments. The following tables indicate the trading Value at Risk associated with the
Masters open positions by market category as of September 30, 2011 and December 31, 2010, and the highest, lowest and
average values during the three months ended September 30, 2011 and for the twelve months ended December 31, 2010. All open position trading risk
exposures of the Master have been included in calculating the figures set forth below. There has
been no material change in the trading Value at Risk information previously disclosed in the
Partnerships Annual Report on Form 10-K for the year ended
December 31, 2010.
As
of September 30, 2011, the Masters total capitalization was
$830,016,334 and the Partnership
owned approximately 27.4% of the Master. The Partnership invests substantially all of its assets in the
Master. The Masters Value at Risk as of September 30, 2011 was as follows:
September 30, 2011
Three Months ended September 30 , 2011 | ||||||||||||||||||||
% of Total | High | Low | Average | |||||||||||||||||
Market Sector | Value at Risk | Capitalization | Value at Risk | Value at Risk | Value at Risk* | |||||||||||||||
Currencies |
$ | 6,398,762 | 0.77 | % | $ | 17,770,593 | $ | 6,398,762 | $ | 12,628,909 | ||||||||||
Energy |
2,254,997 | 0.27 | % | 3,682,308 | 1,861,063 | 2,726,371 | ||||||||||||||
Grains |
760,796 | 0.09 | % | 1,916,355 | 540,481 | 1,325,661 | ||||||||||||||
Indices |
5,146,585 | 0.62 | % | 11,849,454 | 5,146,585 | 8,662,893 | ||||||||||||||
Interest Rates U.S. |
5,172,100 | 0.63 | % | 8,420,650 | 5,172,100 | 6,643,483 | ||||||||||||||
Interest Rates Non-U.S. |
9,204,700 | 1.11 | % | 15,134,879 | 9,204,700 | 11,303,280 | ||||||||||||||
Livestock |
197,650 | 0.03 | % | 287,050 | 171,300 | 236,217 | ||||||||||||||
Metals |
4,588,241 | 0.55 | % | 6,271,309 | 3,994,864 | 5,107,472 | ||||||||||||||
Softs |
1,023,363 | 0.12 | % | 2,456,982 | 826,937 | 1,463,424 | ||||||||||||||
Total |
$ | 34,747,194 | 4.19 | % | ||||||||||||||||
* Average of month-end Values at Risk.
24
Table of Contents
As of
December 31, 2010, the Masters total capitalization was $883,719,871 and the Partnership owned
approximately 18.3% of the Master. The Partnership invests substaintially all of its assets in the
Master. The Masters Value at Risk as of December 31, 2010 was as follows:
December 31, 2010 | Twelve Months ended December 31, 2010 | |||||||||||||||||||
Low | Average | |||||||||||||||||||
% of Total | High | Value at | Value at | |||||||||||||||||
Market Sector | Value at Risk | Capitalization | Value at Risk | Risk | Risk* | |||||||||||||||
Currencies |
$ | 8,969,665 | 1.01 | % | $ | 13,529,797 | $ | 3,127,432 | $ | 9,858,603 | ||||||||||
Energy |
3,277,769 | 0.37 | % | 4,944,082 | 236,988 | 2,213,508 | ||||||||||||||
Grains |
3,992,796 | 0.45 | % | 4,064,389 | 556,164 | 2,285,359 | ||||||||||||||
Indices |
15,987,691 | 1.81 | % | 22,020,780 | 2,382,812 | 12,021,182 | ||||||||||||||
Interest Rates U.S. |
1,387,025 | 0.16 | % | 10,348,050 | 275,672 | 5,195,958 | ||||||||||||||
Interest Rates Non-U.S. |
3,521,207 | 0.40 | % | 13,490,861 | 1,949,046 | 7,347,287 | ||||||||||||||
Livestock |
268,200 | 0.03 | % | 437,350 | 158,080 | 263,226 | ||||||||||||||
Metals |
6,416,979 | 0.73 | % | 8,963,451 | 3,939,668 | 5,989,765 | ||||||||||||||
Softs |
1,393,632 | 0.16 | % | 2,071,953 | 538,916 | 1,029,710 | ||||||||||||||
Total |
$ | 45,214,964 | 5.12 | % | ||||||||||||||||
* | Annual average of month-end Value at Risk. |
25
Table of Contents
Item 4. Controls and Procedures
The Partnerships disclosure controls and procedures are designed to ensure that information
required to be disclosed by the Partnership on the reports that it files or submits under the
Securities Exchange Act of 1934, as amended (the Exchange Act), is recorded, processed, summarized and
reported within the time periods expected in the SECs rules and
forms. Disclosure controls and procedures include controls and procedures designed to ensure that information required to be
disclosed by the Partnership in the reports it files is accumulated and communicated to management,
including the Chief Executive Officer (CEO) and Chief Financial Officer (CFO) of the General
Partner, to allow for timely decisions regarding required disclosure and appropriate SEC filings.
The General Partner is responsible for ensuring that there is an adequate and effective process for
establishing, maintaining and evaluating disclosure controls and procedures for the Partnerships
external disclosures.
The General Partners
CEO and CFO have evaluated the effectiveness of the Partnerships
disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the Exchange
Act) as of September 30, 2011 and, based on that evaluation, the General Partners CEO and CFO have concluded that, at
that date, the Partnerships disclosure controls and procedures were effective.
The Partnerships internal control over financial reporting is a process under the supervision
of the General Partners CEO and CFO to provide reasonable assurance regarding the reliability of
financial reporting and the preparation of financial statements in accordance with GAAP. These
controls include policies and procedures that:
| pertain to the maintenance of records, that in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the Partnership; | ||
| provide reasonable assurance that (i) transactions are recorded as necessary to permit preparation of financial statements in accordance with GAAP, and (ii) the Partnerships receipts are handled and expenditures are made only pursuant to authorizations of the General Partner; and | ||
| provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of the Partnerships assets that could have a material effect on the financial statements. |
There were no changes in the Partnerships internal control over financial reporting during
the fiscal quarter ended September 30, 2011 that materially affected, or are reasonably likely to
materially affect, the Partnerships internal control over financial reporting.
26
Table of Contents
PART II. OTHER INFORMATION
Item 1. Legal Proceedings
The following information supplements and amends the discussion set forth under Part I, Item 3 Legal Proceedings in the Partnerships Annual Report on Form 10-K for the fiscal year ended December 31, 2010, as updated by the Partnerships Quarterly Reports on Form 10-Q for the quarters ended March 31, 2011 and June 30, 2011.
Subprime-Mortgage Related Actions
On October 19, 2011, the SEC and Citigroup announced a settlement, subject to judicial approval, in connection with the SECs investigation into the structuring and sale of CDOs. Pursuant to the proposed settlement, CGM agreed to pay $160 million in disgorgement, $30 million in prejudgment interest, and a civil penalty of $95 million relating to CGMs role in the structuring and sale of the Class V Funding III CDO transaction. Additional information relating to this matter is publicly available in court filings under the docket number 11 Civ. 7387 (S.D.N.Y.) (Rakoff, J.).
27
Table of Contents
Item 1A. Risk Factors
There have been no material changes to the risk factors set forth under Part I, Item 1A. Risk
Factors in the Partnerships Annual Report on Form 10-K for the fiscal year ended December 31,
2010 and under Part II, Item 1A. Risk Factors in the
Partnerships Quarterly Reports on Form 10-Q for the quarters
ended March 31, 2011 and June 30, 2011.
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds
For the three months ended September 30, 2011, there were additional sales of 12,701.6108 Redeemable Units totaling
$14,791,020. 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 defined in Regulation D.
Proceeds of net offering were used for the trading of commodity interests, including futures
contracts, options and forwards contracts.
The following chart sets forth the purchases of Redeemable Units by the Partnership.
(d) Maximum Number | ||||||||||||||||||||||||||||||||
(c) Total Number | (or Approximate | |||||||||||||||||||||||||||||||
Redeemable Units | Dollar Value) of | |||||||||||||||||||||||||||||||
(a) Total Class A | Class A | (a) Total Class Z | Class Z | Purchased as Part | Redeemable Units | |||||||||||||||||||||||||||
of Number of | (b) Average | of Number of | (b) Average | of Publicly | that May Yet Be | |||||||||||||||||||||||||||
Redeemable | Price Paid per | Redeemable | Price Paid per | Announced | Purchased Under the | |||||||||||||||||||||||||||
Period | Units Purchased* | Redeemable Unit** | Units Purchased* | Redeemable Unit** | Plans or Programs | Plans or Programs | ||||||||||||||||||||||||||
July 1, 2011 - July 31, 2011 |
956.5007 | 1,186.51 | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||||
August 1, 2011 - August 31, 2011 |
4,299.4428 | 1,202.79 | 0.0000 | $1,016.03 | N/A | N/A | ||||||||||||||||||||||||||
September 1, 2011 - September 30, 2011 |
2,595.3682 | 1,201.33 | 73.000 | $1,017.10 | N/A | N/A | ||||||||||||||||||||||||||
7,851.3117 | 1,200.32 | 73.000 | $1,017.10 | |||||||||||||||||||||||||||||
* Generally, limited partners are permitted to redeem their
Redeemable Units as of the end of
each month on three business days notice to the General Partner. Under certain circumstances, the General
Partner can compel redemption, although to date the General Partner has not exercised this right.
Purchases of Redeemable Units by the Partnership reflected in the chart above were made in the
ordinary course of the Partnerships business in connection with effecting redemptions for
limited partners.
** Redemptions of Redeemable Units are effected
as of the last day of each month at the net
asset value per Redeemable Unit as of that day.
Item 3. Defaults Upon Senior Securities None
Item 4. [Removed and Reserved]
Item 5. Other Information None
28
Table of Contents
Item 6. Exhibits
3.1 |
(a) | Certificate of Limited Partnership of the Partnership as filed in the office of the Secretary of State of the State of New York, dated November 1, 2005 (filed as Exhibit 3.1 to the Registration on Form 10-12G filed on April 30, 2008 and incorporated herein by reference). | ||
(b) | Certificate of Amendment to the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated September 19, 2008 (filed as Exhibit 3.1(b) to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference). | |||
(c) | Certificate of Amendment to the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated September 28, 2009 (filed as Exhibit 99.1 to the Form 8-K filed on September 29, 2009 and incorporated herein by reference). | |||
(d) | Certificate of Amendment to the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated June 29, 2010 (filed as Exhibit 3.1(d) to the Form 8-K filed on June 30, 2010 and incorporated herein by reference). | |||
(e) | Certificate of Amendment to Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated September 2, 2011 (filed as Exhibit 3.1 to the Form 8-K filed on September 7, 2011 and incorporated herein by reference). | |||
3.2 |
(a) | Third Amended and Restated Agreement of Limited Partnership, dated March 1, 2011 (filed as Exhibit 3.3(a) to the Form 10-Q filed on May 16, 2011 and incorporated herein by reference). | ||
10.1 |
Customer Agreement between the Partnership, the General Partner and CGM, dated April 29, 2008 (filed as Exhibit 10.2 to the Registration on Form 10-12G filed on April 30, 2008 and incorporated herein by reference). | |||
10.2 |
(a) | Amended and Restated Management Agreement between the Partnership, the General Partner and the Advisor, dated April 29, 2011 (filed as Exhibit 10.2 to the Form 8-K filed on May 2, 2011 and incorporated herein by reference). | ||
(b) | Letter from the General Partner extending Management Agreement with the Advisor for 2010, dated June 1, 2010 (filed as Exhibit 10.2(c) to the Form 10-K filed on March 31, 2011 and incorporated herein by reference). | |||
10.3 |
Agency Agreement between the Partnership, the General Partner and CGM, dated May 27, 2007 (filed as Exhibit 10.3 to the Registration on Form 10-12G filed on April 30, 2008 and incorporated herein by reference). | |||
10.4 |
Form of Selling Agreement between the Partnership, Citigroup Managed Futures LLC, Citigroup Global Markets Inc. and Credit Suisse Securities, (USA) LLC, dated September 30, 2008 (filed herein). | |||
10.5 |
Form of Third Party Subscription Agreement (filed as Exhibit 10.4 to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference). | |||
10.6 |
Form of Subscription Agreement (filed as Exhibit 10.5 to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference). | |||
10.7 |
Joinder Agreement among the General Partner, CMF, and Morgan Stanley Smith Barney LLC dated as of June 1, 2009 (filed as Exhibit 10 to the Form 10-Q filed on August 14, 2009 and incorporated herein by reference). | |||
The exhibits required to be filed by Item 601 of regulation S-K are incorporated herein by reference |
||||
31.1 |
| Rule 13a-14(a)/15d-14(a) Certification (Certification of President and Director) | ||
31.2 |
| Rule 13a-14(a)/15d-14(a) Certification (Certification of Chief Financial Officer) | ||
32.1 |
| Section 1350 Certification (Certification of President and Director) | ||
32.2 |
| Section 1350 Certification (Certification of Chief Financial Officer) |
101.INS |
XBRL Instance Document. | |
101.SCH |
XBRL Taxonomy Extension Schema Document. | |
101.CAL |
XBRL Taxonomy Extension Calculation Linkbase Document. | |
101.LAB |
XBRL Taxonomy Extension Label Linkbase Document. | |
101.PRE |
XBRL Taxonomy Extension Presentation Linkbase Document. | |
29
Table of Contents
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly
caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
ABINGDON FUTURES FUND L.P. |
||||
By: | Ceres Managed Futures LLC | |||
(General Partner) | ||||
By: | /s/ Walter Davis | |||
Walter Davis | ||||
President and Director | ||||
Date: November 14, 2011 | ||||
By: | /s/ Brian Centner | |||
Brian Centner | ||||
Chief Financial Officer (Principal Accounting Officer) |
||||
Date: November 14, 2011 |