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Table of Contents

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
 
FORM 10-Q
 
(X) QUARTERLY REPORT PURSUANT TO SECTION 13 or 15(d) OF THE SECURITIES EXCHANGE
ACT OF 1934
 
For the quarterly period ended September 30, 2011
 
OR ( ) TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934
 
For the transition period from           to           
 
Commission File Number 000-52604
 
TIDEWATER FUTURES FUND L.P.
(Exact name of registrant as specified in its charter)
 
     
New York   13-3811113
(State or other jurisdiction of
incorporation or organization)
  (I.R.S. Employer
Identification No.)
 
c/o Ceres Managed Futures LLC
522 5th Ave - 14th Floor
New York, New York 10036
(Address of principal executive offices) (Zip Code)
 
(212) 296-1999
(Registrant’s 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    
 
      (Do not check if a 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, 15,612.7108 Limited Partnership Redeemable Units were outstanding.

 


 

TIDEWATER FUTURES FUND L.P.
FORM 10-Q
INDEX
         
    Page  
    Number  
       
     
    3  
    4 – 5  
    6  
    7 – 14  
    15 – 17  
    18 – 19  
    20  
    21 – 24  
       
Ex 31.1 Certification
       
Ex 31.2 Certification
       
Ex 32.1 Certification
       
Ex 32.2 Certification
       
 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
Tidewater Futures Fund L.P.
Statements of Financial Condition
                 
    (Unaudited)        
    September 30,     December 31,  
    2011     2010  
Assets:
               
Equity in trading account:
               
Cash
  $ 18,657,304     $ 25,519,706  
Cash margin
    5,204,835       10,943,883  
Net unrealized appreciation on open futures contracts
    0       6,452,412  
 
           
Total trading equity
    23,862,139       42,916,001  
Interest receivable
          2,566  
 
           
Total assets
  $ 23,862,139     $ 42,918,567  
 
           
 
               
Liabilities and Partners’ Capital:
               
Liabilities:
               
Net unrealized depreciation on open futures contracts
  $ 1,305,702     $ 0  
Net unrealized depreciation on open forward contracts
    154,863       56,461  
Accrued expenses:
               
Brokerage fees
    93,340       232,170  
Management fees
    37,078       70,888  
Other
    61,147       97,200  
Redemptions payable
    63,387       789,804  
 
           
Total liabilities
    1,715,517       1,246,523  
 
           
Partners’ Capital:
               
General Partner, 184.9703 and 281.2556 unit equivalents outstanding at September 30, 2011 and December 31, 2010, respectively
    260,416       557,570  
Limited Partners, 15,545.4614 and 20,739.3934 Redeemable Units outstanding at September 30, 2011 and December 31, 2010, respectively
    21,886,206       41,114,474  
 
           
Total partners’ capital
    22,146,622       41,672,044  
 
           
Total liabilities and partners’ capital
  $ 23,862,139     $ 42,918,567  
 
           
Net asset value per unit
  $ 1,407.88     $ 1,982.43  
 
           
See accompanying notes to financial statements.

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Table of Contents

Tidewater Futures Fund L.P.
Condensed Schedule of Investments
September 30, 2011
(Unaudited)
                         
    Number of             % of Partners’  
    Contracts     Fair Value     Capital  
Futures Contracts Purchased
                       
Currencies
    157     $ (242,230 )     (1.09 )%
Energy
    89       (702,001 )     (3.17 )
Grains
    112       (511,875 )     (2.31 )
Indices
    17       (18,360 )     (0.08 )
Interest Rates U.S.
    84       233,594       1.05  
Interest Rates Non-U.S.
    621       127,666       0.58  
Livestock
    19       43,650       0.20  
Metals
    19       (68,500 )     (0.31 )
Softs
    100       (360,589 )     (1.63 )
 
                   
Total futures contracts purchased
            (1,498,645 )     (6.76 )
 
                   
Futures Contracts Sold
                       
Currencies
    169       60,262       0.27  
Grains
    21       43,375       0.20  
Indices
    85       22,947       0.10  
Livestock
    27       (52,400 )     (0.24 )
Softs
    77       118,759       0.54  
 
                   
Total futures contracts sold
            192,943       0.87  
 
                   
Unrealized Appreciation on Open Forward Contracts
                       
Metals
    98       603,389       2.72  
 
                   
Total unrealized appreciation on open forward contracts
            603,389       2.72  
 
                   
Unrealized Depreciation on Open Forward Contracts
                       
Metals
    47       (758,252 )     (3.42 )
 
                   
Total unrealized depreciation on open forward contracts
            (758,252 )     (3.42 )
 
                   
Net fair value
          $ (1,460,565 )     (6.59 )%
 
                   
See accompanying notes to financial statements.

4


Table of Contents

Tidewater Futures Fund L.P.
Condensed Schedule of Investments
December 31, 2010
                         
    Number of             % of Partners’  
    Contracts     Fair Value     Capital  
Futures Contracts Purchased
                       
Currencies
    251     $ 672,219       1.61 %
Energy
    239       200,124       0.48  
Grains
    562       2,286,361       5.49  
Indices
    782       392,394       0.94  
Interest Rates U.S.
    58       (227,140 )     (0.54 )
Interest Rates Non-U.S.
    700       (2,789 )     (0.01 )
Livestock
    201       421,367       1.01  
Metals
    57       749,650       1.80  
Softs
    353       1,766,647       4.24  
 
                   
Total futures contracts purchased
            6,258,833       15.02  
 
                   
Futures Contracts Sold
                       
Currencies
    238       718,098       1.72  
Indices
    2       6,214       0.02  
Interest Rates Non-U.S.
    92       (14,145 )     (0.03 )
Softs
    259       (516,588 )     (1.24 )
 
                   
Total futures contracts sold
            193,579       0.47  
 
                   
Unrealized Appreciation on Open Forward Contracts
                       
Metals
    133       1,063,713       2.55  
 
                   
Total unrealized appreciation on open forward contracts
            1,063,713       2.55  
 
                   
Unrealized Depreciation on Open Forward Contracts
                       
Metals
    121       (1,120,174 )     (2.69 )
 
                   
Total unrealized depreciation on open forward contracts
            (1,120,174 )     (2.69 )
 
                   
Net fair value
          $ 6,395,951       15.35 %
 
                   
See accompanying notes to financial statements.

5


Table of Contents

Tidewater Futures Fund L.P.
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
  $ 835     $ 8,649     $ 9,818     $ 24,847  
 
                       
 
                               
Expenses:
                               
Brokerage commissions including clearing fees
    352,119       552,382       1,406,518       2,021,226  
Management fees
    134,595       160,037       514,614       585,013  
Other expenses
    39,034       103,139       115,448       179,927  
 
                       
Total expenses
    525,748       815,558       2,036,580       2,786,166  
 
                       
Management fees waived
    0       (53,970 )     0       (53,970 )
 
                       
Net expenses
    525,748       761,588       2,036,580       2,732,196  
 
                       
Net investment income (loss)
    (524,913 )     (752,939 )     (2,026,762 )     (2,707,349 )
 
                       
 
                               
Trading Results
                               
Net gains (losses) on trading of commodity interests:
                               
Net realized gains (losses) on closed contracts
    (3,955,421 )     (5,430,516 )     1,276,991       (8,977,831 )
Change in net unrealized gains (losses) on open contracts
    (1,520,897 )     7,908,748       (7,856,516 )     (662,393 )
 
                       
Total trading results
    (5,476,318 )     2,478,232       (6,579,525 )     (9,640,224 )
 
                       
Net income (loss)
    (6,001,231 )     1,725,293       (8,606,287 )     (12,347,573 )
Subscriptions — Limited Partners
    452,229       1,203,000       1,124,729       1,783,000  
Redemptions — Limited Partners
    (521,278 )     (2,118,158 )     (11,843,864 )     (5,539,328 )
Redemptions — General Partners
    0       0       (200,000 )     (250,000 )
 
                       
Net increase (decrease) in Partners’ Capital
    (6,070,280 )     810,135       (19,525,422 )     (16,353,901 )
Partners’ Capital, beginning of period
    28,216,902       32,564,615       41,672,044       49,728,651  
 
                       
Partners’ Capital, end of period
  $ 22,146,622     $ 33,374,750     $ 22,146,622     $ 33,374,750  
 
                       
Net asset value per unit (15,730.4317 and 22,003.9140 units outstanding at September 30, 2011 and 2010, respectively)
  $ 1,407.88     $ 1,516.76     $ 1,407.88     $ 1,516.76  
 
                       
Net income (loss) per unit *
  $ (380.86 )   $ 80.67     $ (574.55 )   $ (519.07 )
 
                       
Weighted average units outstanding
    15,873.3636       22,692.1401       17,089.2039       23,422.4772  
 
                       
 
*   Based on change in net asset value per unit.
See accompanying notes to financial statements.

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Table of Contents

Tidewater Futures Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)
1. General:
     Tidewater Futures Fund L.P. (the “Partnership”) is a limited partnership organized on February 23, 1995 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 commodity interests that are traded by the Partnership are volatile and involve a high degree of market risk. The Partnership privately and continuously offers redeemable units of limited partnership interest (“Redeemable Units”) in the Partnership to qualified investors. There is no maximum number of Redeemable 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 Chesapeake Capital Corporation (the “Advisor”). The Partnership’s trading of futures, forwards and options contracts, if applicable, on commodities is done primarily on U.S. and foreign commodity exchanges. It engages in such trading through a commodity brokerage account maintained with CGM.
     The General Partner and each limited partner share in the profits and losses of the Partnership in proportion to the amount of Partnership interest owned by each, except that no limited partner shall be liable for obligations of the Partnership in excess of its 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 Partnership’s 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 Partnership’s 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 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.

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Table of Contents

Tidewater Futures Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)
2. Financial Highlights:
     Changes in the net asset value per unit for the three and nine months ended September 30, 2011 and 2010 were as follows:
                                 
    Three Months Ended     Nine Months Ended  
    September 30,     September 30,  
    2011     2010     2011     2010  
Net realized and unrealized gains (losses) *
  $ (369.97 )   $ 89.52     $ (538.18 )   $ (489.84 )
Interest income
    0.05       0.39       0.54       1.08  
Expenses **
    (10.94 )     (9.24 )     (36.91 )     (30.31 )
 
                       
Increase (decrease) for the period
    (380.86 )     80.67       (574.55 )     (519.07 )
Net asset value per unit, beginning of period
    1,788.74       1,436.09       1,982.43       2,035.83  
 
                       
Net asset value per unit, end of period
  $ 1,407.88     $ 1,516.76     $ 1,407.88     $ 1,516.76  
 
                       
 
*   Includes brokerage fees.
 
**   Excludes brokerage fees.
                                 
    Three Months Ended     Nine Months Ended  
    September 30,     September 30,  
    2011     2010     2011     2010  
Ratios to average net assets:***
                               
Net investment income (loss) ****
    (7.7) %     (9.5 )%     (8.0) %     (9.2 )%
 
                       
Operating expenses
    7.7 %     9.6 %*****     8.1 %     9.3 %*****
Incentive fees
    %     %     %     %
 
                       
Total expenses and incentive fee
    7.7 %     9.6 %     8.1 %     9.3 %
 
                       
 
                               
Total return:
                               
Total return before incentive fees
    (21.3) %     5.6 %     (29.0) %     (25.5 )%
Incentive fees
    %     %     %     %
 
                       
Total return after incentive fees
    (21.3) %     5.6 %     (29.0) %     (25.5 )%
 
                       
 
***   Annualized (other than incentive fees).
 
****   Interest income less total expenses.
 
*****   Percentages are after management fee waivers. For the period from August 1, 2010 through September 30, 2010, the Advisor temporarily reduced the management fee it receives from the Partnership from an annual rate of 2% of adjusted net assets to an annual rate of 1% of adjusted net assets.
     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 contracts in a variety of commodity interests, including derivative financial instruments and derivative commodity instruments. The results of the Partnership’s trading activities are shown in the Statements of Income and Expenses and Changes in Partners’ Capital.
     The customer agreement between the Partnership and CGM gives the Partnership the legal right to net unrealized gains and losses on open futures and open forward contracts. The Partnership nets, for financial reporting purposes, the unrealized gains and losses on open futures and on open forward contracts on the Statements of Financial Condition.
     All of the commodity interests owned by the Partnership are held for trading purposes. The monthly average number of futures contracts traded during the three months ended September 30, 2011 and 2010 were 2,002 and 3,392, respectively. The average number of futures contracts traded during the nine months ended September 30, 2011 and 2010 were 2,786 and 4,209, respectively. The monthly average number of metals forward contracts traded during the three months ended September 30, 2011 and 2010 were 98 and 180, respectively. The average number of metal forward contracts traded during the nine months ended September 30, 2011 and 2010 were 122 and 271, respectively.
     Brokerage fees are calculated as a percentage of the Partnership’s adjusted net asset value on the last day of each month and are affected by trading performance, subscriptions and redemptions.

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Table of Contents

Tidewater Futures Fund L.P.
Notes to Financial Statements
September  30, 2011
(Unaudited)
     The following tables indicate the gross fair values of derivative instruments of futures and forward contracts as separate assets and liabilities as of September 30, 2011 and December 31, 2010.
         
    September 30,  
    2011  
Assets
       
Futures Contracts
       
Currencies
  $ 517,516  
Grains
    70,737  
Indices
    101,477  
Interest Rates U.S.
    233,594  
Interest Rates Non-U.S.
    234,815  
Livestock
    43,650  
Softs
    118,759  
 
     
Total unrealized appreciation on open futures contracts
  $ 1,320,548  
 
     
Liabilities
       
Futures Contracts
       
Currencies
  $ (699,484 )
Energy
    (702,001 )
Grains
    (539,237 )
Indices
    (96,890 )
Interest Rates Non-U.S.
    (107,149 )
Livestock
    (52,400 )
Metals
    (68,500 )
Softs
    (360,589 )
 
     
Total unrealized depreciation on open futures contracts
  $ (2,626,250 )
 
     
 
     
Net unrealized depreciation on open futures contracts
  $ (1,305,702 )*
 
     
         
    September 30,  
    2011  
Assets
       
Futures Contracts
       
Metals
  $ 603,389  
 
     
Total unrealized appreciation on open forward contracts
  $ 603,389  
 
     
Liabilitiies
       
Futures Contracts
       
Metals
  $ (758,252 )
 
     
Total unrealized depreciation on open forward contracts
  $ (758,252 )
 
     
Net unrealized depreciation on open forward contracts
  $ (154,863 )**
 
     
 
*   This amount is in “Net unrealized depreciation on open futures contracts” on the Statements of Financial Condition.
 
**   This amount is in “Net unrealized depreciation on open forward contracts” on the Statements of Financial Condition.

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Table of Contents

Tidewater Futures Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)
         
    December 31, 2010  
Assets
       
Futures Contracts
       
Currencies
  $ 1,561,451  
Energy
    296,607  
Grains
    2,286,361  
Indices
    538,181  
Interest Rates Non-U.S.
    77,000  
Livestock
    421,367  
Metals
    749,650  
Softs
    1,788,112  
 
     
Total unrealized appreciation on open futures contracts
  $ 7,718,729  
 
     
Liabilities
       
Futures Contracts
       
Currencies
  $ (171,134 )
Energy
    (96,483 )
Indices
    (139,573 )
Interest Rates U.S.
    (227,140 )
Interest Rates Non-U.S.
    (93,934 )
Softs
    (538,053 )
 
     
Total unrealized depreciation on open futures contracts
  $ (1,266,317 )
 
     
Net unrealized appreciation on open futures contracts
  $ 6,452,412 *
 
     
Assets
       
Forward Contracts
       
Metals
  $ 1,063,713  
 
     
Total unrealized appreciation on open forward contracts
  $ 1,063,713  
 
     
Liabilities
       
Forward Contracts
       
Metals
  $ (1,120,174 )
 
     
Total unrealized depreciation on open forward contracts
  $ (1,120,174 )
 
     
Net unrealized depreciation on open forward contracts
  $ (56,461 )**
 
     
 
*   This amount is in “Net unrealized appreciation on open futures contracts” on the Statements of Financial Condition.
 
**   This amount is in “Net unrealized depreciation on open forward contracts” on the Statements of Financial Condition.
     The following table indicates the trading gains and losses, by market sector, on derivative instruments for the three and nine months ended September 30, 2011 and 2010.
                                 
    Three Months Ended     Three Months Ended     Nine Months Ended     Nine Months Ended  
    September 30, 2011     September 30, 2010     September 30, 2011     September 30, 2010  
Sector   Gain (loss) from trading     Gain (loss) from trading     Gain (loss) from trading     Gain (loss) from trading  
Currencies
  $ (2,256,330 )   $ 46,596     $ (744,996 )   $ (1,099,088 )
Energy
    (789,081 )     116,290       769,031       (2,618,575 )
Grains
    (704,236 )     (1,099,861 )     (2,138,665 )     (1,618,088 )
Indices
    (2,910,763 )     1,803,244       (3,014,293 )     (2,951,309 )
Interest Rates U.S.
    892,977       456,156       838,492       1,277,594  
Interest Rates Non-U.S.
    2,604,105       164,389       1,240,500       3,534,638  
Livestock
    (173,235 )     78,272       (1,232,627 )     (1,062,916 )
Metals
    (939,403 )     1,272,060       (478,067 )     (563,333 )
Softs
    (1,200,352 )     (358,914 )     (1,818,900 )     (4,539,147 )
 
                       
Total
  $ (5,476,318) ***   $ 2,478,232 ***   $ (6,579,525) ***   $ (9,640,224) ***
 
                       
 
***   This amount is in “Total trading results” on the Statements of Income and Expenses and Changes in Partners’ Capital.

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Tidewater Futures Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)
4. Fair Value Measurements:
     Partnership’s Investments. All commodity interests (including derivative financial instruments and derivative commodity instruments) are held for trading purposes. The commodity interests are recorded on trade date and open contracts are recorded at fair value (as described below) at the measurement date. Investments in commodity interests denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Gains or losses are realized when contracts are liquidated. Unrealized gains or losses on open contracts are included as a component of equity in trading account on the Statements of Financial Condition. 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.
     Partnership’s 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, the Partnership’s Level 1 assets and liabilities are actively traded.
     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 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 Partnership did not hold any derivative instruments for which market quotations were not readily available and that were priced by broker-dealers who derive fair values for those assets from observable inputs (Level 2 ) or that were priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3).
                                 
            Quoted Prices in              
            Active Markets     Significant Other     Significant  
            for Identical     Observable Inputs     Unobservable  
    09/30/2011     Assets (Level 1)     (Level 2)     Inputs (Level 3)  
Assets
                               
Futures
  $ 1,320,548     $ 1,320,548     $     $  
Forwards
    603,389       603,389              
 
                       
Total assets
    1,923,937       1,923,937              
 
                       
Liabilities
                               
Futures
    2,626,250       2,626,250              
Forwards
    758,252       758,252              
 
                       
Total liabilities
    3,384,502       3,384,502              
 
                       
Net fair value
  $ (1,460,565 )   $ (1,460,565 )   $     $  
 
                       
                                 
            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
                               
Futures
  $ 7,718,729     $ 7,718,729     $     $  
Forwards
    1,063,713       1,063,713              
 
                       
Total assets
    8,782,442       8,782,442              
 
                       
Liabilities
                               
Futures
    1,266,317       1,266,317              
Forwards
    1,120,174       1,120,174              
 
                       
Total liabilities
    2,386,491       2,386,491              
 
                       
Net fair value
  $ 6,395,951     $ 6,395,951     $     $  
 
                       
 
*   The amounts have been reclassified from December 31, 2010 financial statements to conform to current year presentation.

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Tidewater Futures Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)
5. Financial Instrument Risks:
     In the normal course of business, the Partnership 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 specified terms on specified future dates, or, in the case of derivative commodity instruments, to have a reasonable possibility to be settled in cash, through physical delivery or with another financial instrument. These instruments may be traded on an exchange or over-the-counter (“OTC”). Exchange-traded instruments are standardized and include futures and certain forwards and option contracts. OTC contracts are negotiated between contracting parties and include swaps and certain forwards and option contracts. Each of these instruments is subject to various risks similar to those relating to the underlying financial instruments, including market and credit risk. In general, the risks associated with OTC contracts are greater than those associated with exchange-traded instruments because of the greater risk of default by the counterparty to an OTC contract.
     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 Partnership’s 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 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 is exposed to a market risk equal to the value of futures and forward contracts purchased and unlimited liability on such contracts sold short.
     Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. The Partnership’s 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 Partnership’s risk of loss is reduced through the use of legally enforceable master netting agreements with counterparties that permit the Partnership to offset unrealized gains and losses and other assets and liabilities with such counterparties upon the occurrence of certain events. The Partnership has credit risk and concentration risk as CGM or a CGM affiliate is the sole counterparty or broker with respect to the Partnership’s assets. Credit risk with respect to exchange-traded instruments is reduced to the extent that through CGM, the Partnership’s counterparty is an exchange or clearing organization.
     The General Partner monitors and attempts to control the Partnership’s 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 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 Partnership’s 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.
     Partnership’s Investments. All commodity interests (including derivative financial instruments and derivative commodity instruments) are held for trading purposes. The commodity interests are recorded on trade date and open contracts are recorded at fair value (as described below) at the measurement date. Investments in commodity interests denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Gains or losses are realized when contracts are

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Tidewater Futures Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)
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.
     Partnership’s 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, the Partnership’s Level 1 assets and liabilities are actively traded.
     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 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 Partnership did not hold any derivative instruments for which market quotations were not readily available and that were priced by broker-dealers who derive fair values for those assets from observable inputs (Level 2) or that were priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3).
     Futures Contracts. The Partnership 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 Partnership each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the Partnership. When the contract is closed, the Partnership 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 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.
     London Metals Exchange Forward Contracts. Metal contracts traded on the London Metals Exchange (“LME”) represent a firm commitment to buy or sell a specified quantity of aluminum, copper, lead, nickel, tin or zinc. LME contracts traded by the Partnership are cash settled based on prompt dates published by the LME. Payments (“variation margin”) may be made or received by the Partnership each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the Partnership. A contract is considered offset when all long positions have been matched with a like number of short positions settling on the same prompt date. When the contract is closed at the prompt date, the Partnership 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.
     Income Taxes. Income taxes have not been provided as each partner is individually liable for the taxes, if any, on its share of the Partnership’s 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 Partnership’s 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

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Tidewater Futures Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)
as a tax benefit or expense in the current year. The General Partner concluded that no provision for income tax is required in the Partnership’s 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 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 FASB’s 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 Partnership’s 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 is calculated in accordance with investment company guidance. See Note 2, “Financial Highlights.”

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Item 2. Management’s 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 equity in its trading account, consisting of cash and cash equivalents, net unrealized appreciation on open futures contracts, net unrealized appreciation on open forward contracts, and interest receivable. Because of the low margin deposits normally required in commodity futures trading, relatively small price movements may result in substantial losses to the Partnership. While substantial losses could lead to a material decrease in liquidity, no such illiquidity occurred in the third quarter of 2011.
     The Partnership’s capital consists of the capital contributions of the partners as increased or decreased by gains or losses on trading, and by expenses, interest income, redemptions of Redeemable Units and distributions of profits, if any.
     For the nine months ended September 30, 2011, Partnership capital decreased 46.9% from $41,672,044 to $22,146,622. This decrease was attributable to a net loss from operations of $8,606,287 coupled with redemptions of 5,761.8657 Redeemable Units totaling $11,843,864 and 96.2853 General Partner unit equivalents totaling $200,000, which was partially offset by the subscriptions of 567.9337 Redeemable Units totaling $1,124,729. 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 Partnership’s 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 and Changes in Partners’ Capital.

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Results of Operations
     During the Partnership’s third quarter of 2011, the net asset value per unit decreased 21.3% from $1,788.74 to $1,407.88 as compared to an increase of 5.6% in the third quarter of 2010. The Partnership experienced a net trading loss before brokerage fees and related fees in the third quarter of 2011 of $5,476,318. Losses were primarily attributable to the trading of commodity futures in currencies, energy, grains, livestock, metals, softs and indices, and were partially offset by gains in U.S. and non-U.S. interest rates. The Partnership experienced a net trading gain before brokerage fees and related fees in the third quarter of 2010 of $2,478,232. Gains were primarily attributable to the trading of commodity futures in energy, U.S. and non-U.S. interest rates, livestock, metals and indices and were partially offset by gains in currencies, grains and softs.
     During the third quarter, the Partnership posted a loss in net asset value per unit as losses in stock indices, agriculturals, currencies, metals, and energies offset gains recorded within the global interest rate sector. The most significant losses were incurred within the global stock index markets, primarily during July and August, due to long positions in European and U.S. equity index futures as prices dropped amid Standard & Poor’s downgrade of the United States’ sovereign credit rating and concern about the European sovereign debt crisis. Within the agricultural markets, losses were incurred primarily during September due to long futures positions in corn and soybeans as prices declined on speculation that Europe’s sovereign debt crisis may hinder the global economy, reducing demand for the grains. Within the currency markets, losses were experienced during August primarily from long positions in the Russian ruble, Mexican peso, and South African rand 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 incurred, primarily during August and September, from long positions in the euro versus most other currencies as the value of the euro fell amid concern of a deepening debt crisis in Europe. During September, long positions in the New Zealand dollar, Australian dollar, and Brazilian real versus the U.S. dollar resulted in losses as the value of these “commodity currencies” moved lower in tandem with declining commodity prices. Losses were also incurred in the metals sector, primarily during September, from long futures positions in gold and silver after prices moved lower amid a rise in the value of the U.S. dollar, which reduced demand for the precious metals. Within the energy markets, losses were experienced primarily during August and September due to 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. A portion of the Partnership’s losses for the quarter was offset by gains achieved within the global interest rate sector throughout the majority of the quarter from long positions in European, U.S., and Australian fixed income futures as prices advanced higher due to concern about the European sovereign debt crisis and a faltering global economy.
     During the Partnership’s nine months ended September 30, 2011, the net asset value per unit decreased 29.0% from $1,982.43 to $1,407.88 as compared to a decrease of 25.5% during the nine months ended September 30, 2010. The Partnership experienced a net trading loss before brokerage fees and related fees for the nine months ended September 30, 2011 of $6,579,525. Losses were primarily attributable to the trading of commodity futures in currencies, grains, livestock, metals, softs and indices and were partially offset by gains in energy U.S. and non-U.S. interest rates. The Partnership experienced a net trading loss before brokerage fees and related fees for the nine months ended September 30, 2010 of $9,640,224. Losses were primarily attributable to the trading of commodity futures in currencies, energy, grains, livestock, metals, softs and indices, and were partially offset by gains in U.S. and non-U.S. interest rates.
     During the first nine months of the year, the Partnership posted a loss in net asset value per unit as losses in agriculturals, stock indices, metals, currencies, and energies offset gains in the global interest rate sector. The most significant losses were incurred within the agricultural complex, primarily during June, from long positions in wheat futures as prices fell on speculation that warm weather would aid U.S. crops. Additional losses were recorded during September due to long futures positions in corn and soybeans as prices declined on speculation that Europe’s sovereign debt crisis may hinder the global economy, reducing demand for the grains. Within the global stock index sector, losses were incurred primarily during June from long positions in Pacific Rim and U.S. equity index futures as prices moved lower on concerns about the overall pace of the global economic recovery. During July and August, long positions in European and U.S. equity index futures resulted in additional losses as prices dropped amid Standard & Poor’s downgrade of the United States’ sovereign credit rating and concern about the European sovereign debt crisis. Within the metals markets, losses were experienced primarily during May from long positions in silver futures as prices fell sharply from a 31-year high. In September, long futures positions in gold and silver resulted in losses after prices moved amid a rise in the value of the U.S. dollar, which reduced demand for the precious metals. Losses were incurred within the currency sector during May due to long positions in the euro and British pound versus the U.S. dollar as the value of these currencies moved lower against the U.S. dollar after Standard & Poor’s downgraded Greece’s credit rating. In August, long positions in the Australian dollar, New Zealand dollar, and Canadian dollar versus the U.S. dollar resulted in losses 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. During September, additional losses were incurred due to long positions in the Singapore dollar, Norwegian krone, and New Zealand dollar versus the U.S. dollar after the value of these currencies declined against the U.S. dollar as a deepening debt crisis in Europe diminished demand for higher-yielding currencies. Within the energy markets, losses were recorded during May, June, August, and September from long futures positions in crude oil and its related products as prices moved lower amid signs of a slowing global economic recovery and concern energy demand may falter. A portion of the Partnership’s losses during the first nine months of the year was offset by gains recorded within the global interest rate sector, primarily during the third quarter, from long positions in European, U.S., and Australian fixed income futures as prices advanced higher due to concern about the European sovereign debt crisis and a faltering global economy.

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     Commodity futures markets are highly volatile. Broad price fluctuations and rapid inflation increase the risks involved in commodity trading, but also increase the possibility for profit or loss. The profitability of the Partnership depends on the existence of major price trends and the ability of the Advisor to identify those price trends correctly. Price trends are influenced by, among other things, changing supply and demand relationships, weather, governmental, agricultural, commercial and trade programs and policies, national and international political and economic events and changes in interest rates. To the extent that market trends exist and the Advisor is able to identify them, the Partnership expects to increase capital through operations.
     Interest income on 80% of the average daily equity maintained in cash in the Partnership’s brokerage account 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 for the three and nine months ended September 30, 2011 decreased by $7,814 and $15,029, 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 in the Partnership’s account and upon interest rates over which neither the Partnership nor CGM has control.
     Brokerage fees are calculated as a percentage of the Partnership’s adjusted net asset value on the last day of each month and are affected by trading performance, subscriptions and redemptions. Accordingly, they must be compared in relation to the fluctuations in the monthly net asset values. Brokerage fees for the three and nine months ended September 30, 2011 decreased by $200,263 and $614,708, respectively, as compared to the corresponding periods in 2010. The decrease in brokerage fees is due to lower average adjusted 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 Partnership’s adjusted 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 decreased by $25,442 and $70,399, respectively, as compared to the corresponding periods in 2010. The decrease in management fees is due to lower average adjusted net assets during the three and nine months ended September 30, 2011, as compared to the corresponding periods in 2010.
     Incentive fees are based on the new trading profits generated by the Advisor at the end of the quarter, as defined in the management agreement among the Partnership, the General Partner and the Advisor. There were no incentive fees earned for the three and nine months ended September 30, 2011 or 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 the assets of the Partnership to the Advisor, the General Partner considers the Advisor’s 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.

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Item 3. Quantitative and Qualitative Disclosures about Market Risk
     The Partnership is a speculative commodity pool. The market sensitive instruments held by it are acquired for speculative trading purposes, and all or substantially all of the Partnership’s assets are subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Partnership’s 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 Partnership’s 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 Partnership’s open positions and, consequently, in its earnings and cash balances. The Partnership’s 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 Partnership’s open contracts and the liquidity of the markets in which it trades.
     The Partnership rapidly acquires and liquidates both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the Partnership’s past performance is not necessarily indicative of its future results.
     “Value at Risk” is a measure of the maximum amount which the Partnership could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Partnership’s speculative trading and the recurrence in the markets traded by the Partnership of market movements far exceeding expectations could result in actual trading or non-trading losses far beyond the indicated Value at Risk or the Partnership’s experience to date (i.e., “risk of ruin”). In light of the foregoing as well as the risks and uncertainties intrinsic to all future projections, the inclusion of the quantification in this section should not be considered to constitute any assurance or representation that the Partnership’s losses in any market sector will be limited to Value at Risk or by the Partnership’s attempts to manage its market risk.
     Exchange maintenance margin requirements have been used by the Partnership as the measure of its Value at Risk. Maintenance margin requirements are set by exchanges to equal or exceed the maximum losses reasonably expected to be incurred in the fair value of any given contract in 95%-99% of any one-day interval. Maintenance margin has been used rather than the more generally available initial margin, because initial margin includes a credit risk component, which is not relevant to Value at Risk.

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     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 Partnership’s 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 the twelve months ended December 31, 2010. All open position trading risk exposures of the Partnership have been included in calculating the figures set forth below. As of September 30, 2011, the Partnership’s total capitalization was $22,146,622. There has been no material change in the trading Value at Risk information previously disclosed in the Partnership’s Annual Report on Form 10-K for the year ended December 31, 2010.
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
  $ 1,026,674       4.64 %   $ 1,379,868     $ 999,083     $ 1,159,847  
Energy
    541,704       2.45 %     728,508       541,704       615,173  
Grains
    186,400       0.84 %     539,200       186,400       376,733  
Indices
    558,991       2.52 %     1,854,551       295,731       950,936  
Interest Rates U.S.
    166,900       0.75 %     166,900       78,000       140,950  
Interest Rates Non-U.S.
    957,799       4.32 %     1,020,702       765,801       916,804  
Livestock
    39,970       0.18 %     93,070       39,970       39,970  
Metals
    369,061       1.67 %     813,138       360,549       631,445  
Softs
    401,100       1.81 %     827,662       400,792       531,067  
 
                                   
Total
  $ 4,248,599       19.18 %                        
 
                                   
 
*   Average of month-end Values at Risk.
As of December 31, 2010, the Partnership’s total capitalization was $41,672,044.
December 31, 2010
                                         
Twelve Months Ended December 31, 2010
      % of Total     High Value     Low Value     Average  
Market Sector   Value at Risk     Capitalization     at Risk     at Risk     Value at Risk*  
Currencies
  $ 1,249,666       3.00 %   $ 2,057,069     $ 867,991     $ 1,472,045  
Energy
    661,702       1.59 %     1,012,471       173,691       554,668  
Grains
    1,104,950       2.65 %     1,637,000       163,960       815,322  
Indices
    2,432,046       5.84 %     14,744,438       1,055,959       3,158,056  
Interest Rates U.S.
    108,900       0.26 %     196,300       58,400       123,815  
Interest Rates Non-U.S.
    697,780       1.67 %     1,302,981       634,429       888,963  
Livestock
    208,500       0.50 %     495,950       23,373       257,388  
Metals
    1,124,452       2.70 %     2,458,619       601,999       1,466,625  
Softs
    1,513,817       3.63 %     2,103,301       309,772       1,229,004  
 
                                   
Total
  $ 9,101,813       21.84 %                        
 
                                   
 
*   Annual average of month-end Values at Risk.

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Item 4. Controls and Procedures
     The Partnership’s 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 SEC’s 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 Partnership’s external disclosures.
     The General Partner’s CEO and CFO have evaluated the effectiveness of the Partnership’s 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 Partner’s CEO and CFO have concluded that, at that date, the Partnership’s disclosure controls and procedures were effective.
     The Partnership’s internal control over financial reporting is a process under the supervision of the General Partner’s 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 Partnership’s 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 Partnership’s assets that could have a material effect on the financial statements.
     There were no changes in the Partnership’s internal control over financial reporting process during the fiscal quarter ended September 30, 2011 that materially affected, or are reasonably likely to materially affect, the Partnership’s internal control over financial reporting.

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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 Partnership’s Annual Report on Form 10-K for the fiscal year ended December 31, 2010, as updated by the Partnership’s 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 SEC’s 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 CGM’s 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.).

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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 Partnership’s Annual Report on Form 10-K for the fiscal year ended December 31, 2010 and under Part II, Item 1A. “Risk Factors” in the Partnership’s Quarterly Report 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 subscriptions of 252.2033 Redeemable Units totaling $452,229. 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, forwards and swap contracts.
     The following chart sets forth the purchases of Redeemable Units by the Partnership.
                                           
                           
                                      (d) Maximum Number  
                                      (or Approximate  
                            (c) Total Number       Dollar Value) of Shares  
                            of Shares (or Units)       (or Units) that  
        (a) Total Number       (b) Average       Purchased as Part       May Yet Be  
        of Shares       Price Paid per       of Publicly Announced       Purchased Under the  
  Period     (or Units) Purchased*       Share (or Unit)**       Plans or Programs       Plans or Programs  
                           
 
July 1, 2011 - July 31, 2011
      68.2632       $ 1,864.11         N/A         N/A  
                           
 
August 1, 2011 - August 31, 2011
      183.2433       $ 1,804.38         N/A         N/A  
                           
 
September 1, 2011 - September 30, 2011
      45.0228       $ 1,407.88         N/A         N/A  
                           
 
 
      296.5293       $ 1,757.93                      
 
 
                                   
                           
 
*   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 Partnership’s 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

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Item 6. Exhibits
         
3.1
      Second Amended and Restated Limited Partnership Agreement (filed as Exhibit 3.2 to the general form for registration of securities on Form 10 filed on April 30, 2007 and incorporated herein by reference).
 
       
3.2
      Certificate of Limited Partnership of the Partnership as filed in the office of the Secretary of State of the State of the State of New York (filed as Exhibit 3.1 to the general form for registration of securities on Form 10 filed on April 30, 2007 and incorporated herein by reference).
 
       
 
  (a)   Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated February 26, 1999 (filed as Exhibit 3.1(a) to the general form for registration of securities on Form 10 filed on April 30, 2007 and incorporated herein by reference).
 
       
 
  (b)   Certificate of Change of the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated January 31, 2000 (filed as Exhibit 3.2(g) to the quarterly report on Form 10-Q filed on November 16, 2009 and incorporated herein by reference).
 
       
 
  (c)   Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated April 1, 2001 (filed as Exhibit 3.1(b) to the general form for registration of securities on Form 10 filed on April 30, 2007 and incorporated herein by reference).
 
       
 
  (d)   Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated May 21, 2003 (filed as Exhibit 3.2(c) to the quarterly report on Form 10-Q filed on November 16, 2009 and incorporated herein by reference).
 
       
 
  (e)   Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated September 21, 2005 (filed as Exhibit 3.1(c) to the general form for registration of securities on Form 10 filed on April 30, 2007 and incorporated herein by reference).
 
       
 
  (f)   Certificate of Amendment of 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 3.2(e) to the quarterly report on Form 10-Q filed on November 16, 2009 and incorporated herein by reference).
 
       
 
  (g)   Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated September 30, 2009 (filed as Exhibit 99.1(a) to the current report on Form 8-K filed on September 30, 2009 and incorporated herein by reference).
 
       
 
  (h)   Certificate of Amendment of the Certificate of Limited Partnership dated June 30, 2010 (filed as Exhibit 3.2(h) to the current report on Form 8-K filed on July 2, 2010 and incorporated herein by reference).
 
       
 
  (i)   Certificate of Amendment of the Certificate of Limited Partnership dated September 2, 2011 (filed as Exhibit 3.1 to the current report on Form 8-K filed on September 17, 2011 and incorporated herein by reference).
 
       
10.1
      Amended and Restated Management Agreement among the Partnership, the General Partner and Chesapeake Capital Corporation (filed as Exhibit 10.1 to the current report on Form 8-K filed on September 16, 2010 and incorporated herein by reference).
 
       
10.1(a)
      Letter extending the Management Agreement between the General Partner and Chesapeake Capital Corporation (filed as Exhibit 10.1 (c) to the annual report on Form 10-K, filed March 31, 2011 and incorporated herein by reference).
 
       
10.2
      Second Amended and Restated Customer Agreement between the Partnership and Salomon Smith Barney Inc. (filed as Exhibit 10.2 to the general form for registration of securities on Form 10 filed on April 30, 2007 and incorporated herein by reference).
 
       
10.3
      Amended and Restated Agency Agreement between the Partnership, Smith Barney Futures Management LLC and Salomon Smith Barney Inc. (filed as Exhibit 10.3 to the general form for registration of securities on Form 10 filed on April 30, 2007 and incorporated herein by reference).
 
       
10.4
      Form of Subscription Agreement (filed as Exhibit 10.4 to the quarterly report on Form 10-Q filed on November 16, 2009 and incorporated herein by reference).
 
       
10.5
      Joinder Agreement among Citigroup Managed Futures LLC (the former name of the General Partner), Citigroup Global Markets Inc. and Morgan Stanley Smith Barney LLC (filed as Exhibit 10 to the quarterly report on Form 10-Q filed on August 14, 2009 and in corporated herein by reference).
Exhibit 31.1 — Rule 13a-14(a)/15d-14(a) Certification (Certification of President and Director)
Exhibit 31.2 — Rule 13a-14(a)/15d-14(a) Certification (Certification of Chief Financial Officer)
Exhibit 32.1 — Section 1350 Certification (Certification of President and Director)
Exhibit 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.

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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.
         
  TIDEWATER 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

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