Attached files
file | filename |
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EXCEL - IDEA: XBRL DOCUMENT - Ceres Tactical Commodity L.P. | Financial_Report.xls |
EX-31.1 - EX-31.1 - Ceres Tactical Commodity L.P. | d517589dex311.htm |
EX-32.2 - EX-32.2 - Ceres Tactical Commodity L.P. | d517589dex322.htm |
EX-31.2 - EX-31.2 - Ceres Tactical Commodity L.P. | d517589dex312.htm |
EX-32.1 - EX-32.1 - Ceres Tactical Commodity L.P. | d517589dex321.htm |
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 March 31, 2013
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 000-52602
Managed Futures Premier Aventis II L.P.
(Exact name of registrant as specified in its charter)
New York |
20-2718952 | |||
(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)
(855) 672-4468
(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 þ No ¨
Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).
Yes þ 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 þ | 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 þ
As of April 30, 2013, 174,797.5887 Limited Partnership Redeemable Units were outstanding.
Table of Contents
Managed Futures Premier Aventis II L.P.
FORM 10-Q
2
Table of Contents
Managed Futures Premier Aventis II L.P.
Statements of Financial Condition
(Unaudited) March 31, 2013 |
December 31, 2012 |
|||||||
Assets: |
||||||||
Investment in Master, at fair value |
$ | 259,124,762 | $ | 287,674,662 | ||||
Cash |
70,572 | 183,114 | ||||||
|
|
|
|
|||||
Total assets |
$ | 259,195,334 | $ | 287,857,776 | ||||
|
|
|
|
|||||
Liabilities and Partners Capital: |
||||||||
Liabilities: |
||||||||
Accrued expenses: |
||||||||
Brokerage fees |
$ | 809,985 | $ | 899,556 | ||||
Management fees |
322,866 | 478,111 | ||||||
Administrative fees |
107,622 | 119,528 | ||||||
Other |
92,937 | 91,632 | ||||||
Redemptions payable |
2,086,983 | |
8,047,201 |
| ||||
|
|
|
|
|||||
Total liabilities |
3,420,393 | 9,636,028 | ||||||
|
|
|
|
|||||
Partners Capital: |
||||||||
General Partner, 2,098.5145 unit equivalents outstanding at March 31, 2013 and December 31, 2012 |
3,131,319 | 3,129,284 | ||||||
Special Limited Partner, 0.0000 and 800.7772 Redeemable Units outstanding at March 31, 2013 and December 31, 2012, respectively |
0 | 1,194,111 | ||||||
Limited Partners, 169,314.3757 and 183,677.9965 Redeemable Units outstanding at March 31, 2013 and December 31, 2012, respectively |
252,643,622 | 273,898,353 | ||||||
|
|
|
|
|||||
Total partners capital |
255,774,941 | 278,221,748 | ||||||
|
|
|
|
|||||
Total liabilities and partners capital |
$ | 259,195,334 | $ | 287,857,776 | ||||
|
|
|
|
|||||
Net asset value per unit |
$ | 1,492.16 | $ |
1,491.19 |
| |||
|
|
|
|
See accompanying notes to financial statements.
3
Table of Contents
Managed Futures Premier Aventis II L.P.
Statements of Income and Expenses and Changes in Partners Capital
(Unaudited)
Three Months
Ended March 31, |
||||||||
2013 | 2012 | |||||||
Investment Income: |
||||||||
Interest income allocated from Master |
$ | 32,292 | $ | 23,817 | ||||
|
|
|
|
|||||
Expenses: |
||||||||
Expenses allocated from Master |
706,346 | 251,675 | ||||||
Brokerage fees |
2,524,358 | 2,841,873 | ||||||
Management fees |
882,626 | 1,510,035 | ||||||
Administrative fees |
335,426 | 377,509 | ||||||
Other |
51,628 | 83,491 | ||||||
|
|
|
|
|||||
Total expenses |
4,500,384 | 5,064,583 | ||||||
|
|
|
|
|||||
Net investment income (loss) |
(4,468,092 | ) | (5,040,766 | ) | ||||
|
|
|
|
|||||
Trading Results: |
||||||||
Net realized gains (losses) on closed contracts allocated from Master |
(2,218,727 | ) | 29,768,498 | |||||
Change in net unrealized gains (losses) on open contracts allocated from Master |
6,847,796 | 18,841,819 | ||||||
|
|
|
|
|||||
Total trading results allocated from Master |
4,629,069 | 48,610,317 | ||||||
|
|
|
|
|||||
Net income (loss) |
160,977 | 43,569,551 | ||||||
Subscriptions Limited Partners |
6,607,846 | 5,201,000 | ||||||
Redemptions Limited Partners |
(29,215,630 | ) | (13,038,268 | ) | ||||
|
|
|
|
|||||
Net increase (decrease) in Partners Capital |
(22,446,807 | ) | 35,732,283 | |||||
Partners Capital, beginning of period |
278,221,748 | 285,726,309 | ||||||
|
|
|
|
|||||
Partners Capital, end of period |
$ | 255,774,941 | $ | 321,458,592 | ||||
|
|
|
|
|||||
Net asset value per unit (171,412.8902 and 200,447.4166 units outstanding at March 31, 2013 and 2012, respectively) |
$ | 1,492.16 | $ | 1,603.71 | ||||
|
|
|
|
|||||
Net income (loss) per unit* |
$ | 0.97 | $ | 212.77 | ||||
|
|
|
|
|||||
Weighted average units outstanding |
179,326.4332 | 205,751.7924 | ||||||
|
|
|
|
* | Based on change in net asset value per unit. |
See accompanying notes to financial statements.
4
Table of Contents
Managed Futures Premier Aventis II L.P.
Notes to Financial Statements
March 31, 2013
(Unaudited)
1. General:
Managed Futures Premier Aventis II L.P. (formerly known as Bristol Energy Fund L.P.), (the Partnership), is a limited partnership organized on April 20, 2005 under the partnership laws of the State of New York to engage, directly or indirectly, in the speculative trading of commodity interests on U.S. and international futures, options on futures and forward markets. The Partnership may also engage, directly or indirectly, in swap transactions and other derivative transactions with the approval of the General Partner. Initially, the Partnerships investment strategy focused on energy and energy-related investments. While the Partnership is expected to continue to have significant exposure to energy and energy-related markets, such trading will no longer be the Partnerships primary focus. Therefore, the Partnerships past trading performance will not necessarily be indicative of future results. The commodity interests that are traded by the Partnership, through its investment in the Master (defined below), are volatile and involve a high degree of market risk. During the initial offering period, the Partnership sold 11,925 redeemable units of limited partnership interest (Redeemable Units). The Partnership commenced trading on September 6, 2005. The Partnership privately and continously offers 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 Inc. indirectly owns a minority equity interest in MSSB Holdings. Citigroup Inc. also indirectly owns Citigroup Global Markets Inc. (CGM), the commodity broker and a selling agent for the Partnership. Morgan Stanley expects to purchase, subject to regulatory approvals, Citigroup Inc.s remaining interest in MSSB Holdings. 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 Inc.
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 is liable for obligations of the Partnership in excess of its capital contribution and profits, if any, net of distributions and losses, if any.
The accompanying financial statements and accompanying notes are unaudited but, in the opinion of management, include all adjustments, consisting only of normal recurring adjustment, necessary for a fair statement of the Partnerships financial condition at March 31, 2013 and December 31, 2012, and the results of its operations and changes in partners capital for the three months ended March 31, 2013 and 2012. 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, 2012.
The preparation of financial statements and accompanying notes in conformity with accounting principles generally accepted in the United States of America (GAAP) requires the General Partners 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.
5
Table of Contents
Managed Futures Premier Aventis II L.P.
Notes to Financial Statements
March 31, 2013
(Unaudited)
2. Financial Highlights:
Changes in the net asset value per unit for the three months ended March 31, 2013 and 2012 were as follows:
Three Months Ended March 31, | ||||||||||
2013 | 2012 | |||||||||
Net realized and unrealized gains (losses)* |
$ | 8.28 | $ | 222.60 | ||||||
Interest income allocated from Master |
0.19 | 0.12 | ||||||||
Expenses** |
(7.50 | ) | (9.95 | ) | ||||||
|
|
|
|
|||||||
Increase (decrease) for the period |
0.97 | 212.77 | ||||||||
Net asset value per unit, beginning of period |
1,491.19 | 1,390.94 | ||||||||
|
|
|
|
|||||||
Net asset value per unit, end of period |
$ | 1,492.16 | $ | 1,603.71 | ||||||
|
|
|
|
* | Includes Partnership brokerage fees and clearing fees allocated from Master. |
** | Excludes Partnership brokerage fees and clearing fees allocated from Master. |
Three Months Ended March 31, | ||||||||||
2013 | 2012 | |||||||||
Ratios to average net assets:*** |
||||||||||
Net investment income (loss) |
(6.9 | )% | (6.9 | )% | ||||||
Incentive fees |
| % | | % | ||||||
|
|
|
|
|||||||
Net investment income (loss) before incentive fees**** |
(6.9 | )% | (6.9 | )% | ||||||
|
|
|
|
|||||||
Operating expenses |
6.9 | % | 6.9 | % | ||||||
Incentive fees |
| % | | % | ||||||
|
|
|
|
|||||||
Total expenses and incentive fees |
6.9 | % | 6.9 | % | ||||||
|
|
|
|
|||||||
Total return: |
||||||||||
Total return before incentive fees |
0.1 | % | 15.3 | % | ||||||
Incentive fees |
| % | | % | ||||||
|
|
|
|
|||||||
Total return after incentive fees |
0.1 | % | 15.3 | % | ||||||
|
|
|
|
*** | Annualized. |
**** | 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 using the limited partners share of income, expenses and average net assets.
6
Table of Contents
Managed Futures Premier Aventis II L.P.
Notes to Financial Statements
March 31, 2013
(Unaudited)
3. Trading Activities:
The Partnership was formed for the purpose of trading contracts in a variety of commodity interests, including derivative financial instruments and derivative commodity instruments. The 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 and Changes in Partners Capital.
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 contracts and option contracts. The Master nets, for financial reporting purposes, the unrealized gains and losses on open futures and option contracts on the Master Statements of Financial Condition as the criteria under Accounting Standards Codification (ASC) 210-20, Balance Sheet, has been met.
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.
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 March 31, 2013 and 2012, were 5,371 and 2,532, respectively. The monthly average number of option contracts traded during the three months ended March 31, 2013 and 2012, were 72,669 and 2,707, respectively.
On January 1, 2013, the Partnership adopted Accounting Standards Update (ASU) 2011-11, Disclosure about Offsetting Assets and Liabilities and ASU 2013-01, Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities. ASU 2011-11 created a new disclosure requirement about the nature of an entitys rights to setoff and the related arrangements associated with its financial instruments and derivative instruments, while ASU 2013-01 clarified the types of instruments and transactions that are subject to the offsetting disclosure requirements established by ASU 2011-11. Entities are required to disclose both gross information and net information about both instruments and transactions eligible for offset in the statement of financial position and instruments and transactions subject to an agreement similar to a master netting arrangement. The objective of these disclosures is to facilitate comparison between those entities that prepare their financial statements on the basis of U.S. GAAP and those entities that prepare their financial statements on the basis of International Financial Reporting Standards. The new guidance did not have a significant impact on the Partnerships financial statements.
There were no direct investments at March 31, 2013.
4. Fair Value Measurements:
Partnerships and the Masters Investments. All commodity interests held by the Partnership and 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 gain or loss from the preceding period are reported in the Statements of Income and Expenses and Changes in Partners Capital.
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.
GAAP also requires the use of judgment in determining if a formerly active market has become inactive and in determining fair values when the market has become inactive. The General Partner 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, subscriptions, 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.
On October 1, 2012, the Financial Accounting Standards Board (FASB) issued ASU 2012-04 Technical Corrections and Improvements, which makes minor technical corrections and clarifications to Accounting Standards Codification (ASC) 820, Fair Value Measurements and Disclosures. When the FASB issued Statement 157 (codified in ASC 820), it conformed the use of the term fair value in certain pre-Codification standards but not others. ASU 2012-04 conforms the terms use throughout the ASC to fully reflect the fair value measurement and disclosure requirements of ASC 820. ASU 2012-04 also amends the requirements that must be met for an investment company to qualify for the exemption from presenting a statement of cash flows. Specifically, it eliminates the requirements that substantially all of an entitys investments be carried at market value and that the investments be highly liquid. Instead, it requires substantially all of the entitys investments to be carried at fair value and classified as Level 1 or Level 2 measurements under ASC 820. The amendments are effective for fiscal periods beginning after December 15, 2012. The adoption of this ASU did not have a material impact on the Partnerships financial statements.
7
Table of Contents
Managed Futures Premier Aventis II L.P.
Notes to Financial Statements
March 31, 2013
(Unaudited)
The Partnership values its investment in the Master with no 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 March 31, 2013 and December 31, 2012, the Partnership did not hold any derivative instruments that were based on unadjusted quoted prices in active markets for identical assets and liabilities (Level 1) or priced at fair value using unobservable inputs through the application of the General Partners assumptions and internal valuation pricing models (Level 3). During the three months ended March 31, 2013 and twelve months ended December 31, 2012, there were no transfers of assets or liabilities between Level 1 and Level 2.
March 31, 2013 | Quoted Prices in Active Markets for Identical Assets and Liabilities (Level 1) |
Significant Other Observable Inputs (Level 2) |
Significant Unobservable Inputs (Level 3) |
|||||||||||||
Assets |
||||||||||||||||
Investment in Master |
$ | 259,124,762 | $ | 0 | $ | 259,124,762 | $ | 0 | ||||||||
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|
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Net fair value |
$ | 259,124,762 | $ | 0 | $ | 259,124,762 | $ | 0 | ||||||||
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|
|||||||||
December 31, 2012 | Quoted Prices in Active Markets for Identical Assets and Liabilities (Level 1) |
Significant Other Observable Inputs (Level 2) |
Significant Unobservable Inputs (Level 3) |
|||||||||||||
Assets |
||||||||||||||||
Investment in Master |
$ | 287,674,662 | $ | 0 | $ | 287,674,662 | $ | 0 | ||||||||
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|
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|
|
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Net fair value |
$ | 287,674,662 | $ | 0 | $ | 287,674,662 | $ | 0 | ||||||||
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|
5. Investment in Master:
Effective February 1, 2013, all trading decisions for the Partnership are made by Aventis Asset Management, LLC (Aventis), as Aventis replaced SandRidge Capital, L.P. (SandRidge) as the Partnerships sole trading advisor. References to the Advisor herein refers to SandRidge and/or Aventis, as applicable. SandRidge Partners L.P. was a special limited partner (the Special Limited Partner) of the Partnership and received a quarterly profit share allocation to its capital account in the Partnership in the form of units, the value of which was equal to 20% of new trading profits earned on behalf of the Partnership during each calendar quarter. Aventis will not be a special limited partner or receive a profit allocation. Instead, effective February 1, 2013, the Partnership will pay Aventis an incentive fee, payable quarterly, equal to 20% of new trading profits, earned by Aventis for the Partnership during each calendar quarter.
On December 1, 2005, the Partnership allocated substantially all of its capital to CMF SandRidge Master Fund L.P. (SandRidge Master), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 14,410.6191 units of SandRidge Master with cash equal to $14,477,858 and a contribution of open commodity futures and option contracts with a fair value of $(16,018). SandRidge Master was formed in order to permit commodity pools managed by SandRidge using its Energy Program, a proprietary, discretionary trading system, to invest together in one trading vehicle. On January 31, 2013, the Partnership fully redeemed its investment in SandRidge Master for cash equal to $280,445,995.
On February 1, 2013, the Partnership allocated substantially all of its capital to MB Master Fund L.P. (MB Master), a limited partnership organized under the partnership laws of the State of Delaware. The Partnership purchased an interest in MB Master with cash equal to $262,944,186. MB Master was formed in order to permit accounts managed by Aventis using its Aventis Diversified Commodity Strategy, a proprietary, discretionary trading system to invest together in one trading vehicle. References to the Master herein refers to SandRidge Master and/or MB Master, as applicable. 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 structure should 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.
The General Partner is not aware of any material changes to Aventis Diversified Commodity Strategy during the fiscal quarter ended March 31, 2013.
For the period January 1, 2013 to January 31, 2013 trading activity related to SandRidge Master. For the period February 1, 2013 to March 31, 2013 trading activities were traded under MB Master. As such, references in this report to the Master refers to SandRidge Master and MB Master, as applicable.
MB Masters trading of futures and forward contracts, if applicable, on commodities is done primarily on U.S. commodity exchanges and foreign commodity exchanges. The Master engage in such trading through commodity brokerage accounts maintained by CGM.
A limited partner may withdraw all or part of these capital contributions and undistributed profits, if any, from the Master as of the end of any day. Such withdrawals are classified as a liability when the limited partner elects to redeem and informs the Master.
Management and incentive fees are charged at the Partnership level. All exchange, clearing, service, user, give-up, floor brokerage, and National Futures Association fees (collectively, the clearing fees) are borne by the Partnership directly and through its investment in the Master. All other fees including CGMs direct brokerage fees are charged at the Partnership level.
8
Table of Contents
Managed Futures Premier Aventis II L.P.
Notes to Financial Statements
March 31, 2013
(Unaudited)
At March 31, 2013, the Partnership owned approximately 78.6% of MB Master. At December 31, 2012, the Partnership owned approximately 98.4% of SandRidge Master. It is the Partnerships intention 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, swap 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.
MB Masters Statements of Financial Condition and Condensed Schedules of Investments as of March 31, 2013 and December 31, 2012 and Statements of Income and Expenses and Changes in Partners Capital for the three months ended March 31, 2013 and 2012 are presented below. For SandRidge 2012 financial statements see the Partnerships Annual Report on Form 10-K filed with the SEC for the year ended December 31, 2012.
MB Master Fund L.P.
Statements of Financial Condition
(Unaudited) March 31, 2013 |
December 31, 2012 |
|||||||
Assets: |
||||||||
Equity in trading account: |
||||||||
Cash |
$ | 296,210,552 | $ | 61,403,256 | ||||
Cash margin |
39,289,594 | 3,078,882 | ||||||
Net unrealized appreciation on open futures contracts |
| 529,744 | ||||||
Options purchased, at fair value (cost $96,828,086 and $5,038,219 at March 31, 2013 and December 31, 2012, respectively) |
75,081,061 | 4,367,549 | ||||||
|
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|
|
|||||
Total trading equity |
410,581,207 | 69,379,431 | ||||||
Expense Reimbursement |
6,768 | 9,584 | ||||||
|
|
|
|
|||||
Total assets |
$ | 410,587,975 | $ | 69,389,015 | ||||
|
|
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|
|||||
Liabilities and Partners Capital: |
||||||||
Liabilities: |
||||||||
Net unrealized depreciation on open futures contracts |
$ | 147,719 | $ | | ||||
Options premium received, at fair value (premium $109,130,610 and $3,634,578 at March 31, 2013 and December 31, 2012, respectively) |
80,764,887 | 3,440,869 | ||||||
Accrued expenses: |
||||||||
Professional fees |
26,462 | 54,991 | ||||||
|
|
|
|
|||||
Total liabilities |
80,939,068 | 3,495,860 | ||||||
|
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|
|
|||||
Partners Capital: |
||||||||
General Partner |
| | ||||||
Limited Partners |
329,648,907 | 65,893,155 | ||||||
|
|
|
|
|||||
Total liabilities and partners capital |
$ | 410,587,975 | $ | 69,389,015 | ||||
|
|
|
|
9
Table of Contents
Managed Futures Premier Aventis II L.P.
Notes to Financial Statements
March 31, 2013
(Unaudited)
MB Master Fund L.P.
Condensed Schedule of Investments
March 31, 2013
(Unaudited)
Number of Contracts |
Fair Value |
% of Partners Capital |
||||||||||
Futures Contracts Purchased | ||||||||||||
Grains |
1,389 | $ | (2,916,323 | ) | (0.89 | )% | ||||||
Livestock |
673 | 137,428 | 0.04 | |||||||||
Softs |
310 | 89,732 | 0.03 | |||||||||
|
|
|
|
|||||||||
Total futures contracts purchased |
(2,689,163 | ) | (0.82 | ) | ||||||||
|
|
|
|
|||||||||
Futures Contracts Sold | ||||||||||||
Energy |
251 | 94,640 | 0.03 | |||||||||
Grains |
2,070 | 3,139,903 | 0.95 | |||||||||
Livestock |
930 | (758,815 | ) | (0.23 | ) | |||||||
Softs |
853 | 65,716 | 0.02 | |||||||||
|
|
|
|
|||||||||
Total futures contracts sold |
2,541,444 | 0.77 | ||||||||||
|
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|
|
|||||||||
Options Purchased | ||||||||||||
Calls |
||||||||||||
Energy |
84 | 10,920 | 0.00 | * | ||||||||
Grains |
11,029 | 37,266,781 | 11.31 | |||||||||
Livestock |
1,992 | 668,360 | 0.20 | |||||||||
Softs |
3,593 | 148,674 | 0.05 | |||||||||
Puts |
||||||||||||
Energy |
586 | 141,860 | 0.04 | |||||||||
Grains |
39,222 | 36,863,588 | 11.18 | |||||||||
Softs |
269 | (19,122 | ) | (0.00 | )* | |||||||
|
|
|
|
|||||||||
Total options purchased |
75,081,061 | 22.78 | ||||||||||
|
|
|
|
|||||||||
Options Premium Received | ||||||||||||
Calls |
||||||||||||
Grains |
12,008 | (62,666,269 | ) | (19.01 | ) | |||||||
Livestock |
335 | (16,750 | ) | (0.01 | ) | |||||||
Softs |
989 | (169,887 | ) | (0.05 | ) | |||||||
Puts |
||||||||||||
Grains |
31,487 | (17,911,981 | ) | (5.43 | ) | |||||||
|
|
|
|
|||||||||
Total options premium received |
(80,764,887 | ) | (24.50 | ) | ||||||||
|
|
|
|
|||||||||
Net fair value |
$ | (5,831,545 | ) | (1.77 | )% | |||||||
|
|
|
|
|||||||||
* Due to rounding |
10
Table of Contents
Managed Futures Premier Aventis II L.P.
Notes to Financial Statements
March 31, 2013
(Unaudited)
MB Master Fund L.P.
Condensed Schedule of Investments
December 31, 2012
Number of Contracts |
Fair Value | % of Partners Capital |
||||||||||
Futures Contracts Purchased |
||||||||||||
Energy |
185 | $ | 535,926 | 0.81 | % | |||||||
Grains |
873 | (1,267,672 | ) | (1.92 | ) | |||||||
Softs |
662 | (426,869 | ) | (0.65 | ) | |||||||
|
|
|
|
|||||||||
Total futures contracts purchased |
(1,158,615 | ) | (1.76 | ) | ||||||||
|
|
|
|
|||||||||
Futures Contracts Sold |
||||||||||||
Energy |
287 | (415,134 | ) | (0.63 | ) | |||||||
Grains |
773 | 1,362,975 | 2.07 | |||||||||
Softs |
457 | 740,518 | 1.12 | |||||||||
|
|
|
|
|||||||||
Total futures contracts sold |
1,688,359 | 2.56 | ||||||||||
|
|
|
|
|||||||||
Options Purchased |
||||||||||||
Calls |
||||||||||||
Energy |
506 | 164,580 | 0.25 | |||||||||
Grains |
464 | 1,484,181 | 2.25 | |||||||||
Softs |
728 | (397,127 | ) | (0.60 | ) | |||||||
Puts |
||||||||||||
Grains |
2,545 | 2,934,388 | 4.45 | |||||||||
Livestock |
135 | 29,700 | 0.05 | |||||||||
Softs |
287 | 151,827 | 0.23 | |||||||||
|
|
|
|
|||||||||
Total options purchased |
4,367,549 | 6.63 | ||||||||||
|
|
|
|
|||||||||
Options Premium Received |
||||||||||||
Calls |
||||||||||||
Grains |
466 | (2,097,956 | ) | (3.18 | ) | |||||||
Softs |
235 | (30,939 | ) | (0.05 | ) | |||||||
Puts |
||||||||||||
Energy |
304 | (820,090 | ) | (1.24 | ) | |||||||
Grains |
841 | (538,657 | ) | (0.82 | ) | |||||||
Softs |
625 | 46,773 | 0.07 | |||||||||
|
|
|
|
|||||||||
Total options premium received |
(3,440,869 | ) | (5.22 | ) | ||||||||
|
|
|
|
|||||||||
Net fair value |
$ | 1,456,424 | 2.21 | % | ||||||||
|
|
|
|
11
Table of Contents
Managed Futures Premier Aventis II L.P.
Notes to Financial Statements
March 31, 2013
(Unaudited)
MB Master Fund L.P.
Statements of Income and Expenses and Changes in Partners Capital
(Unaudited)
Three Months Ended March 31, |
||||||||
2013 | 2012 | |||||||
Investment Income: |
||||||||
Interest income |
$ | 34,220 | $ | 3,807 | ||||
|
|
|
|
|||||
Expenses: |
||||||||
Clearing fees |
916,331 | 155,949 | ||||||
Professional fees |
21,720 | 17,388 | ||||||
|
|
|
|
|||||
Total expenses |
938,051 | 173,337 | ||||||
Expense reimbursements |
(34,342 | ) | (40,976 | ) | ||||
|
|
|
|
|||||
Net expenses |
903,709 | 132,361 | ||||||
|
|
|
|
|||||
Net investment income (loss) |
(869,489 | ) | (128,554 | ) | ||||
|
|
|
|
|||||
Trading results: |
||||||||
Net gains (losses) on trading of commodity interests: |
||||||||
Net realized gains (losses) on closed contracts |
(560,430 | ) | 1,334,464 | |||||
Change in net unrealized gains (losses) on open contracts |
6,418,196 | (863,400 | ) | |||||
|
|
|
|
|||||
Total trading results |
5,857,766 | 471,064 | ||||||
|
|
|
|
|||||
Net income (loss) |
4,988,277 | 342,510 | ||||||
Subscriptions Limited Partners |
275,616,551 | | ||||||
Redemptions Limited Partners |
(16,814,856 | ) | (553,143 | ) | ||||
Distribution of interest income to feeder funds |
(34,220 | ) | (3,807 | ) | ||||
|
|
|
|
|||||
Net increase (decrease) in Partners capital |
263,755,752 | (214,440 | ) | |||||
Partners Capital, beginning of period |
65,893,155 | 38,874,437 | ||||||
|
|
|
|
|||||
Partners Capital, end of period |
$ | 329,648,907 | $ | 38,659,997 | ||||
|
|
|
|
12
Table of Contents
Managed Futures Premier Aventis II L.P.
Notes to Financial Statements
March 31, 2013
(Unaudited)
The following tables summarize the valuation of the Masters investments as of March 31, 2013 and December 31, 2012.
March 31, 2013 |
March 31, 2013 Gross Amounts Recognized |
Gross Amounts Offset in the Statement of Financial Condition |
Net Amounts Presented in the Statement of Financial Condition |
|||||||||
Assets |
||||||||||||
Futures |
$ | 341,031 | $ | (3,030,194 | ) | $ | (2,689,163 | ) | ||||
Options purchased |
75,563,102 | (482,041 | ) | 75,081,061 | ||||||||
|
|
|
|
|
|
|||||||
Total Assets |
$ | 75,904,133 | $ | (3,512,235 | ) | $ | 72,391,898 | |||||
|
|
|
|
|
|
|||||||
Liabilities |
||||||||||||
Futures |
$ | 3,455,535 | $ | (914,091 | ) | $ | 2,541,444 | |||||
Options premium received |
0 | (80,764,887 | ) | (80,764,887 | ) | |||||||
|
|
|
|
|
|
|||||||
Total Liabilities |
$ | 3,455,535 | $ | (81,678,978 | ) | $ | (78,223,443 | ) | ||||
|
|
|
|
|
|
|||||||
Net unrealized depreciation on open futures contracts |
$ | (147,719 | ) | |||||||||
Total options purchased |
$ | 75,081,061 | ||||||||||
Total options premium received |
$ | (80,764,887 | ) | |||||||||
|
|
|||||||||||
Total net unrealized gain (loss) on total contracts |
$ | (5,831,545 | ) | |||||||||
|
|
|||||||||||
December 31, 2012 |
December 31, 2012 Gross Amounts Recognized |
Gross Amounts Offset in the Statement of Financial Condition |
Net Amounts Presented in the Statement of Financial Condition |
|||||||||
Assets |
||||||||||||
Futures |
$ | 681,482 | $ | (1,840,097 | ) | $ | (1,158,615 | ) | ||||
Options purchased |
4,950,115 | (582,566 | ) | 4,367,549 | ||||||||
|
|
|
|
|
|
|||||||
Total Assets |
$ | 5,631,597 | $ | (2,422,663 | ) | $ | 3,208,934 | |||||
|
|
|
|
|
|
|||||||
Liabilities |
||||||||||||
Futures |
$ | 2,194,719 | $ | (506,360 | ) | $ | 1,688,359 | |||||
Options premium received |
157,433 | (3,598,302 | ) | (3,440,869 | ) | |||||||
|
|
|
|
|
|
|||||||
Total Liabilities |
$ | 2,352,152 | $ | (4,104,662 | ) | $ | (1,752,510 | ) | ||||
|
|
|
|
|
|
|||||||
Net unrealized appreciation on open futures contracts |
$ | 529,744 | ||||||||||
Total options purchased |
$ | 4,367,549 | ||||||||||
Total options premium received |
$ | (3,440,869 | ) | |||||||||
|
|
|||||||||||
Total net unrealized gain (loss) on total contracts |
$ | 1,456,424 | ||||||||||
|
|
13
Table of Contents
Managed Futures Premier Aventis II L.P.
Notes to Financial Statements
March 31, 2013
(Unaudited)
The Master considers prices for exchange-traded commodity futures, forward and option contracts to be based on unadjusted quoted prices in active markets for identical assets and liabilities (Level 1). The values of non-exchange-traded forwards, swaps and certain option contracts for which market quotations are not readily available are priced by broker-dealers that derive fair values for those assets and liabilities from observable inputs (Level 2). As of and for the periods ended March 31, 2013 and December 31, 2012, the Master did not hold any derivative instruments for which market quotations are not readily available and were priced by broker-dealers that 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 the General Partners assumptions and internal valuation pricing models (Level 3). During the three months ended March 31, 2013 and twelve months ended December 31, 2012, there were no transfers of assets or liabilities between Level 1 and Level 2.
March 31, 2013 |
Quoted Prices in Active Markets for Identical Assets and Liabilities (Level 1) |
Significant Other Observable Inputs (Level 2) |
Significant Unobservable Inputs (Level 3) |
|||||||||||||
Assets | ||||||||||||||||
Futures |
$ | 3,796,566 | $ | 3,796,566 | $ | | $ | | ||||||||
Options purchased |
75,563,101 | 75,563,101 | | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total assets |
$ | 79,359,667 | $ | 79,359,667 | $ | | $ | | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Liabilities | ||||||||||||||||
Futures |
$ | 3,944,285 | $ | 3,944,285 | $ | | $ | | ||||||||
Options premium received |
81,246,927 | 81,246,927 | | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total liabilities |
85,191,212 | 85,191,212 | | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net fair value |
$ | (5,831,545 | ) | $ | (5,831,545 | ) | $ | | $ | | ||||||
|
|
|
|
|
|
|
|
|||||||||
December 31, 2012 | Quoted Prices in Active Markets for Identical Assets and Liabilities (Level 1) |
Significant Other Observable Inputs (Level 2) |
Significant Unobservable Inputs (Level 3) |
|||||||||||||
Assets | ||||||||||||||||
Futures |
$ | 2,876,201 | $ | 2,876,201 | $ | | $ | | ||||||||
Options purchased |
5,107,548 | 5,107,548 | | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total assets |
$ | 7,983,749 | $ | 7,983,749 | $ | | $ | | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Liabilities | ||||||||||||||||
Futures |
$ | 2,346,457 | $ | 2,346,457 | $ | | $ | | ||||||||
Options premium received |
4,180,868 | 4,180,868 | | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total liabilities |
6,527,325 | 6,527,325 | | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net fair value |
$ | 1,456,424 | $ | 1,456,424 | $ | | $ | | ||||||||
|
|
|
|
|
|
|
|
Financial Highlights of the Master:
Three Months Ended March 31, | ||||||||||
2013 | 2012 | |||||||||
Ratios to average net assets: |
||||||||||
Net investment income (loss) 2 |
(1.4 | )1% | (1.3 | )1% | ||||||
|
|
|
|
|||||||
Operating expenses3 |
1.4 | 1% | 1.4 | 1% | ||||||
|
|
|
|
|||||||
Total return |
1.5 | % | 0.9 | % | ||||||
|
|
|
|
1 | Annualized. |
2 | Interest income less total expenses. |
3 | Percentages are annualized and after expense reimbursements (equal to 0.1% and 0.4%, respectively). |
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.
14
Table of Contents
Managed Futures Premier Aventis II L.P.
Notes to Financial Statements
March 31, 2013
(Unaudited)
The following tables indicate the Masters gross fair values of derivative instruments of futures and option contracts as separate assets and liabilities as of March 31, 2013 and December 31, 2012.
March 31, 2013 | ||||
Assets |
||||
Futures Contracts |
||||
Energy |
$ | 98,670 | ||
Grains |
3,173,484 | |||
Livestock |
145,760 | |||
Softs |
378,652 | |||
|
|
|||
Total unrealized appreciation on open futures contracts |
$ | 3,796,566 | ||
|
|
|||
Liabilities |
||||
Futures Contracts |
||||
Energy |
$ | (4,030 | ) | |
Grains |
(2,949,904 | ) | ||
Livestock |
(767,147 | ) | ||
Softs |
(223,204 | ) | ||
|
|
|||
Total unrealized depreciation on open futures contracts |
$ | (3,944,285 | ) | |
|
|
|||
Net unrealized depreciation on open futures contracts |
$ | (147,719 | )* | |
|
|
|||
Assets |
||||
Options Purchased |
||||
Energy |
$ | 152,780 | ||
Grains |
74,130,369 | |||
Livestock |
668,360 | |||
Softs |
611,592 | |||
|
|
|||
Total options purchased |
$ | 75,563,101 | ** | |
|
|
|||
Liabilities |
||||
Options Premium Received |
||||
Grains |
$ | (80,578,250 | ) | |
Livestock |
(16,750 | ) | ||
Softs |
(651,927 | ) | ||
|
|
|||
Total options premium received |
$ | (81,246,927 | )*** | |
|
|
* | This amount is in Net unrealized depreciation on open futures 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
Managed Futures Premier Aventis II L.P.
Notes to Financial Statements
March 31, 2013
(Unaudited)
December 31, 2012 | ||||
Assets |
||||
Futures Contracts |
||||
Energy |
$ | 599,467 | ||
Grains |
1,410,345 | |||
Softs |
866,389 | |||
|
|
|||
Total unrealized appreciation on open futures contracts |
$ | 2,876,201 | ||
|
|
|||
Liabilities |
||||
Futures Contracts |
||||
Energy |
$ | (478,675 | ) | |
Grains |
(1,315,042 | ) | ||
Softs |
(552,740 | ) | ||
|
|
|||
Total unrealized depreciation on open futures contracts |
$ | (2,346,457 | ) | |
|
|
|||
Net unrealized appreciation on open futures contracts |
$ | 529,744 | * | |
|
|
|||
Assets |
||||
Option Contracts |
||||
Energy |
$ | 164,580 | ||
Grains |
4,418,569 | |||
Livestock |
29,700 | |||
Softs |
494,699 | |||
|
|
|||
Total options purchased |
$ | 5,107,548 | ** | |
|
|
|||
Liabilities |
||||
Option Contracts |
||||
Energy |
$ | (820,090 | ) | |
Grains |
(2,636,613 | ) | ||
Softs |
(724,165 | ) | ||
|
|
|||
Total options premium received |
$ | (4,180,868 | )** | |
|
|
* | This amount is in Net unrealized appreciation on open futures contracts on the Masters Statements of Financial Condition. |
** | This amount is in Options purchased and Options premium received, at fair value on the Masters Statements of Financial Condition. |
The following table indicates the Masters total trading gains and losses, by market sector, on derivative instruments for the three months ended March 31, 2013 and 2012.
Three Months Ended March 31, |
||||||||
Sector |
2013 | 2012 | ||||||
Energy |
$ | (1,245,536 | ) | $ | (796,695 | ) | ||
Grains |
8,975,887 | 1,254,121 | ||||||
Livestock |
(1,533,375 | ) | 78,490 | |||||
Softs |
(339,210 | ) | 8,873 | |||||
Metals |
0 | (73,725 | ) | |||||
|
|
|
|
|||||
Total |
$ | 5,857,766 | *** | $ | 471,064 | *** | ||
|
|
|
|
*** | This amount is in Total trading results on the Masters Statements of Income and Expenses and Changes in Partners Capital. |
16
Table of Contents
Managed Futures Premier Aventis II L.P.
Notes to Financial Statements
March 31, 2013
(Unaudited)
6. 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, 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 forward and option contracts. OTC contracts are negotiated between contracting parties and include swaps and certain forward and option contracts. Specific market movements of commodities or futures contracts underlying an option cannot accurately be predicted. The purchaser of an option may lose the entire premium paid for the option. The writer, or seller, of an option has unlimited risk. 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. None of the Partnerships contracts are traded OTC, although contracts may be traded OTC in the future.
The risk to the limited partners that have purchased Redeemable Units is limited to the amount of their share of the Partnerships net 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 the 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 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.
SandRidge concentrated the Partnerships/Masters trading in energy-related markets. Concentration in a limited number of commodity interests may subject the Partnerships/Masters account to greater volatility than if a more diversified portfolio of contracts was traded on behalf of the Partnership/Master. Aventis will trade a more diversified portfolio of contracts on behalf of the Partnership/Master, effective February 1, 2013.
As both a buyer and seller of options, the Partnership/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 Partnership/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 Partnership/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, exchange-cleared swaps and options contracts by sector, margin requirements, gain and loss transactions and collateral positions.
The majority of these financial 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.
17
Table of Contents
Managed Futures Premier Aventis II L.P.
Notes to Financial Statements
March 31, 2013
(Unaudited)
7. Critical Accounting Policies:
Use of Estimates. The preparation of financial statements and accompanying notes in conformity with GAAP requires the General Partner 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 and the Masters Investments. All commodity interests held by the Partnership and 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 gain or loss from the preceding period are reported in the Statements of Income and Expenses and Changes in Partners Capital.
Partnerships and 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. The General Partner has concluded that based on available information in the marketplace, the Masters Level 1 assets and liabilities are actively traded.
GAAP also requires the use of judgment in determining if a formerly active market has become inactive and in determining fair values when the market has become inactive. The General Partner has concluded that based on available information in the marketplace, there has not been a significant decrease in the volume and the level of activity in the Partnerships Level 2 assets and liabilities.
The Partnership and 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 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 its 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 March 31, 2013 and December 31, 2012, the Partnership did not hold any derivative instruments that were based on unadjusted quoted prices in active markets for identical assets and liabilities (Level 1) or priced at fair value using unobservable inputs through the application of the General Partners assumptions and internal valuation pricing models (Level 3). During the three months ended March 31, 2013 and twelve months ended December 31, 2012, there were no transfers of assets or liabilities between Level 1 and Level 2.
The Master considers prices for exchange-traded commodity futures, forward and option contracts to be based on unadjusted quoted prices in active markets for identical assets and liabilities (Level 1). The values of non-exchange-traded forwards, swaps and certain option contracts for which market quotations are not readily available are priced by broker-dealers that derive fair values for those assets and liabilities from observable inputs (Level 2). As of and for the periods ended March 31, 2013 and December 31, 2012, the Master did not hold any derivative instruments for which market quotations are not readily available and 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 the General Partners assumptions and internal valuation pricing models (Level 3). During the three months ended March 31, 2013 and twelve months ended December 31, 2012, there were no transfers of assets or liabilities between Level 1 and Level 2.
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 Masters Statements of Income and Expenses and Changes in Partners Capital.
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Managed Futures Premier Aventis II L.P.
Notes to Financial Statements
March 31, 2013
(Unaudited)
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 Masters 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 Masters Statements of Financial Condition and marked to market daily. Net realized gains (losses) and changes in unrealized gains (losses) on option contracts are included in the Masters 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 has 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. The 2009 through 2012 tax years remain subject to examination by U.S. federal and most state tax authorities. The General Partner 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 issued. The General Partner has assessed the subsequent events through the date of issuance and has determined that there were no subsequent events requiring adjustment of or disclosure in the financial statements.
Recent Accounting Pronouncements. In October 2011, the 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 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. In August 2012, the FASB updated the proposed ASU to state that entities regulated under the Investment Company Act of 1940 should qualify to be investment companies within the proposed investment company guidance. The Partnership will evaluate the impact that this proposed update would have on the financial statements once the pronouncement is issued.
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. 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. The Partnerships only assets are its investment in the Master and cash. The Master does not engage in sales of goods or services. The Masters only assets are its equity in its trading accounts, consisting of cash and cash margin and options purchased, at fair value. Because of the low margin deposits normally required in 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 first quarter of 2013.
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 three months ended March 31, 2013, Partnership capital decreased 8.1% from $278,221,748 to $255,774,941. This decrease was attributable to the redemption of 19,567.5020 Redeemable Units totaling $29,215,630, which was partially offset by net income of $160,977, coupled with the subscriptions of 4,403.1040 Redeemable Units totaling $6,607,846. 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 net realized and/or unrealized gains or losses on futures trading, interest income, expenses, redemptions of units and distributions of profits, if any.
For the three months ended March 31, 2013, the Masters capital increased 400.3% from $65,893,155 to $329,648,907. This increase was attributable to net income of $4,988,277 coupled with the subscriptions totaling $275,616,551, which was partially offset by the redemption of $16,814,856 and distribution of interest income to feeder funds totaling $34,220. 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. The General Partner believes that the estimates and assumptions 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 and Changes in Partners Capital.
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Results of Operations
During the Partnerships first quarter of 2013, the net asset value per unit increased 0.1% from $1,491.19 to $1,492.16 as compared to an increase of 15.3% in the first quarter of 2012. The Partnership, through its investment in the Master, experienced a net trading gain before brokerage fees and related fees in the first quarter of 2013 of $4,629,069. Gains were primarily attributable to the Masters trading of commodity futures in grains and were partially offset by losses in livestock, energy and softs. The Partnership, through its investment in SandRidge Master, experienced a net trading gain before brokerage fees and related fees in the first quarter of 2012 of $48,610,317. Gains were primarily attributable to SandRidge Masters trading of commodity futures and other derivatives of NYMEX Natural Gas and were partially offset by losses in ICE Natural Gas.
During the first quarter of 2013, the most significant gains were recorded during February from long futures positions in corn and soybeans as drier weather in South America would lead to depleted soil moisture and increase stress on future crops, thus pushing prices higher. Further gains were recorded during March from short futures positions in corn as prices declined on the last day of the month due to a bearish United States Department of Agriculture (USDA) report.
A portion of these gains was offset by losses in energies from short futures positions in natural gas as prices rallied to a 19-month high during March on forecasts of colder-than-normal weather in the U.S. Further losses were incurred in livestock trading from long futures positions in live cattle and lean hogs as prices declined during February due to weaker domestic demand. Lastly, losses were also incurred in soft commodities during February from long futures positions in cocoa as prices declined due to significant oversupply of the commodity.
Commodity futures markets are highly volatile. Broad price fluctuations and rapid inflation increase the risks involved in commodity trading, but also increase the possibility of profit. The profitability of the Partnership (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 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 (and the Master) expects to increase capital through operations.
Interest income on 80% of the Partnerships daily average 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 months ended March 31, 2013 increased by $8,475, as compared to the corresponding period in 2012. The increase in interest income is due to higher U.S. Treasury bill rates during the three months ended March 31, 2013, as compared to the corresponding period in 2012. 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 Master 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 as of the end 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 and clearing fees for the three months ended March 31, 2013, decreased by $317,515, as compared to the corresponding period in 2012. The decrease in brokerage fees is due to lower average net assets during the three months ended March 31, 2013, as compared to the corresponding period in 2012.
Management fees are calculated as a percentage of the Partnerships adjusted net asset value as of the end of each month and are affected by trading performance, subscriptions and redemptions. Accordingly, they must be analyzed in relation to the fluctuations in the monthly net asset values. Management fees for the three months ended decreased by $627,409, as compared to the corresponding period in 2012. The decrease in management fees is due to lower average net assets during the three months ended March 31, 2013, as compared to the corresponding period in 2012.
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Administrative fees are paid to the General Partner for administering the business and affairs of the Partnership. These fees are calculated as a percentage of the Partnerships adjusted net asset value as of the end 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. Administrative fees for the three months ended March 31, 2013 decreased by $42,083, as compared to the corresponding period in 2012. The decrease in administrative fees is due to lower average net assets during the three months ended March 31, 2013, as compared to the corresponding period in 2012.
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 months ended March 31, 2013 and 2012, respectively. 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.
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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 limited partners will not be liable for losses exceeding the current net asset value of their investment.
Market movements result in frequent changes in the fair value of the Masters open positions and, consequently, in its earnings and cash balances. 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 market sectors. 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. The margin levels are established by dealer and exchanges using historical price studies as well as an assessment of current market volatility (including the implied volatitly of the options on a given futures contract) and the economic fundamentals to provide a probabilistic estimate of the maximum expected near-term one-day price fluctuation. Maintenance margin has been used rather than the more generally available initial margin, because initial margin includes a credit risk component, which is not relevant to Value at Risk.
Value at Risk tables represent a probabilistic assessment of the risk of loss in market sensitive instruments. The following tables indicate the trading Value at Risk associated with the Masters open positions by market category as of March 31, 2013 and December 31, 2012, and the highest, lowest and average value during the three months ended March 31, 2013, and during the twelve months ended December 31, 2012. 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, 2012.
As of March 31, 2013, the Masters total capitalization was $329,648,907 and the Partnership owned approximately 78.6% of the Master. The Partnership invests substantially all of its assets in the Master. The Masters Value at Risk as of March 31, 2013 was as follows:
March 31, 2013
Three months ended March 31, 2013 | ||||||||||||||||||||
Market Sector |
Value at Risk | % of Total Capitalization |
High Value at Risk |
Low Value at Risk |
Average Value at Risk* |
|||||||||||||||
Energy |
$ | 732,902 | 0.22 | % | $ | 4,563,070 | $ | 73,569 | $ | 1,762,814 | ||||||||||
Grains |
21,550,662 | 6.54 | % | 21,550,662 | 1,828,318 | 15,011,359 | ||||||||||||||
Livestock |
1,430,221 | 0.43 | % | 1,606,117 | 20,770 | 1,139,014 | ||||||||||||||
Softs |
2,047,189 | 0.62 | % | 2,621,928 | 365,609 | 1,586,060 | ||||||||||||||
|
|
|
|
|||||||||||||||||
Total |
$ | 25,760,974 | 7.81 | % | ||||||||||||||||
|
|
|
|
* | Average of month-end Values at Risk. |
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As of December 31, 2012, SandRidge Masters total capitalization was $292,148,993 and the Partnership owned approximately 98.4% of the Master. The Partnership invested substantially all of its assets in SandRidge Master. The Masters Value at Risk as of December 31, 2012 was as follows:
December 31, 2012
Twelve months ended December 31, 2012 | ||||||||||||||||||||
Market Sector |
Value at Risk | % of Total Capitalization |
High Value at Risk |
Low Value at Risk |
Average Value at Risk* |
|||||||||||||||
Energy |
$ | 21,675,334 | 7.36 | % | $ | 21,675,334 | $ | 12,624,778 | $ | 16,720,061 | ||||||||||
|
|
|
|
|||||||||||||||||
Total |
$ | 21,675,334 | 7.36 | % | ||||||||||||||||
|
|
|
|
* | Annual average of month-end Values at Risk. |
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Item 4. Controls and Procedures
The Partnerships disclosure controls and procedures are designed to ensure that information required to be disclosed by the Partnership on the reports that it files or submits under the Securities Exchange Act of 1934 (the Exchange Act), is recorded, processed, summarized and reported within the time periods expected in the 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 President and Chief Financial Officer (the 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 President 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 March 31, 2013 and, based on that evaluation, the General Partners President 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 President 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 and correction of unauthorized acquisition, use or disposition of the Partnerships assets that could have a material effect on the financial statements. |
There were no changes in the Partnerships internal control over financial reporting process during the fiscal quarter ended March 31, 2013 that materially affected, or are reasonably likely to materially affect, the Partnerships internal control over financial reporting.
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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, 2012.
Subprime MortgageRelated Litigation and Other Matters
Securities Actions:
On March 13, 2009, defendants filed a motion to dismiss the complaint. On July 12, 2010, the court issued an opinion and order dismissing plaintiffs claims under Section 12 of the Securities Act of 1933, as amended, but denying defendants motion to dismiss certain claims under Section 11. On September 30, 2010, the district court entered a scheduling order in IN RE CITIGROUP INC. BOND LITIGATION. Fact discovery began in November 2010, and plaintiffs motion to certify a class was fully briefed. On March 25, 2013, the United States District Court for the Southern District of New York entered an order preliminarily approving the parties proposed settlement of IN RE CITIGROUP INC. BOND LITIGATION, pursuant to which Citigroup and certain of its subsidiaries will pay $730 million in exchange for a release of all claims asserted on behalf of the settlement class. A fairness hearing is scheduled for July 23, 2013.
RMBS Litigation and Other Matters
Beginning in July 2010, Citigroup and certain of its subsidiaries have been named as defendants in complaints filed by purchasers of mortgage-backed security (MBS) and collateralized debt obligation (CDO) sold or underwritten by Citigroup and certain of its subsidiaries. The MBS-related complaints generally assert that the defendants made material misrepresentations and omissions about the credit quality of the mortgage loans underlying the securities, such as the underwriting standards to which the loans conformed, the loan-to-value ratio of the loans, and the extent to which the mortgaged properties were owner-occupied, and typically assert claims under Section 11 of the Securities Act of 1933, state blue sky laws, and/or common-law misrepresentation-based causes of action. The CDO-related complaints further allege that the defendants adversely selected or permitted the adverse selection of CDO collateral without full disclosure to investors. The plaintiffs in these actions generally seek rescission of their investments, recovery of their investment losses, or other damages. Other purchasers of MBS and CDOs sold or underwritten by Citigroup and certain of its subsidiaries have threatened to file additional suits, for some of which Citigroup and certain of its subsidiaries has agreed to toll (extend) the statute of limitations.
The filed actions generally are in the early stages of proceedings, and certain of the actions or threatened actions have been resolved through settlement or otherwise. The aggregate original purchase amount of the purchases at issue in the filed suits is approximately $12 billion, and the aggregate original purchase amount of the purchases covered by tolling agreements with investors threatening litigation is approximately $6 billion. The largest MBS investor claim against Citigroup and certain of its subsidiaries, as measured by the face value of purchases at issue, has been asserted by the Federal Housing Finance Agency, as conservator for Fannie Mae and Freddie Mac. This suit was filed on September 2, 2011, and has been coordinated in the United States District Court for the Southern District of New York with fifteen other related suits brought by the same plaintiff against various other financial institutions. Motions to dismiss in the coordinated suits have been denied in large part, and discovery is proceeding. An interlocutory appeal currently is pending in the United States Court of Appeals for the Second Circuit on issues common to all of the coordinated suits.
On April 5, 2013, the United States Court of Appeals for the Second Circuit denied defendants appeal from the district courts denial of defendants motion to dismiss in FEDERAL HOUSING FINANCE AGENCY v. UBS AMERICAS, INC., ET AL., a parallel case to FEDERAL HOUSING FINANCE AGENCY v. ALLY FINANCIAL INC., ET AL., FEDERAL HOUSING FINANCE AGENCY v. CITIGROUP INC., ET AL., and FEDERAL HOUSING FINANCE AGENCY v. JPMORGAN CHASE & CO., ET AL.
On March 26, 2013, the United States Court of Appeals for the Second Circuit denied defendants petition for review of the district courts October 15, 2012 order granting lead plaintiffs amended motion for class certification in NEW JERSEY CARPENTERS HEALTH FUND V. RESIDENTIAL CAPITAL LLC, ET AL. Plaintiffs allege federal securities law claims on behalf of a putative class of purchasers of MBSs issued by Residential Accredited Loans, Inc. CGM is named as an underwriter defendant.
On January 18, 2013, defendants filed a notice of appeal from the New York Supreme Courts order granting in part and denying in part defendants motion to dismiss in LORELEY FINANCING (JERSEY) NO. 3 LTD., ET AL. v. CITIGROUP GLOBAL MARKETS INC., ET AL.
Auction-rate Securities-Related Litigation and Other Matters
Antitrust Actions: On March 5, 2013, the United States Court of Appeals for the Second Circuit affirmed the district courts dismissal of two putative class actions brought on behalf of purchasers and issuers of auction rate securities for alleged violations of Section 1 of the Sherman Antitrust Act.
Other Matters
Terra Securities ASA Konkursbo, et al. v. Citigroup Inc., et al.: On August 10, 2009, Norwegian securities firm Terra Securities ASA Konkursbo and seven Norwegian municipalities filed a complaint in the United States District Court for the Southern District of New York against Citigroup and certain of its subsidiaries, including CGM and Citigroup Alternative Investments LLC. The complaint asserts, among other things, claims for fraud and negligent misrepresentation as well as claims under Sections 10 and 20 of the Securities Exchange Act of 1934 arising out of the municipalities purchase of fund-linked notes acquired from the now-defunct securities firm, Terra Securities, which in turn acquired those notes from Citigroup and certain of its subsidiaries. Plaintiffs seek approximately $120 million in compensatory damages, plus punitive damages. Plaintiffs allege that, among other things, the municipalities invested in the notes after receiving purportedly false and materially misleading marketing materials that were allegedly prepared by defendants. On March 28, 2013, the United States District Court for the Southern District of New York granted defendants motion for summary judgment dismissing all remaining claims asserted by seven Norwegian municipalities. Plaintiffs filed a notice of appeal from this ruling to the United States Court of Appeals for the Second Circuit.
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There have been no material changes to the risk factors set forth under Part 1, Item 1A. Risk Factors in the Partnerships Annual Report on Form 10-K for the fiscal year ended December 31, 2012.
As a result of leverage, small changes in the price of the Partnerships positions may result in major losses.
The trading of commodity interests is speculative, volatile and involves a high degree of leverage. A small change in the market price of a commodity interest contract can produce major losses for the Partnership. Market prices can be influenced by, among other things, changing supply and demand relationships, governmental, agricultural, commercial and trade programs and policies, national and international political and economic events, weather and climate conditions, insects and plant disease, purchases and sales by foreign countries and changing interest rates.
An advisor that trades at a higher level of leverage will establish a greater number of positions than it would establish for an account of similar size traded at the advisors standard leverage. Accordingly, a greater amount of the Partnerships assets will be committed to margin in such situations than if the advisor traded its program at standard leverage. Trading at a higher level of leverage may increase the volatility of the Partnerships account.
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Item 2. Unregistered Sales of Equity Securities and Use of Proceeds
For the three months ended March 31, 2013, there were subscriptions of 4,403.1040 Redeemable Units totaling $6,607,846. The Redeemable Units were issued in reliance upon applicable exemptions from registration under Section 4(a)(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. In determining the applicability of the exemption, the General Partner relied on the fact that the Redeemable Units were purchased by accredited investors in a private offering.
Proceeds of net offering were used for the trading of commodity interests, including futures contracts, options, swap and forward contracts and any other interests pertaining thereto, including interests in commodity pools.
The following chart sets forth the purchases of Redeemable Units by the Partnership.
Period |
(a) Total Number of Redeemable |
(b) Average Price Paid per Redeemable Unit** |
(c) Total Number Plans or Programs |
(d) Maximum Number (or Approximate Dollar Value) of Redeemable Units that May Yet Be Purchased Under the Plans or Programs |
||||||||||||||||||||
January 1, 2013 - January 31, 2013 |
11,026.4170 | $ | 1,484.97 | N/A | N/A | |||||||||||||||||||
February 1, 2013 - February 28, 2013 |
7,142.4530 | $ | 1,505.75 | N/A | N/A | |||||||||||||||||||
March 1, 2013 - March 31, 2013 |
1,398.6320 | $ | 1,492.16 | N/A | N/A | |||||||||||||||||||
19,567.5020 | $ | 1,493.07 |
* | 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. No fee will be charged for redemptions. |
Item 3. Defaults Upon Senior Securities None.
Item 4. Mine Safety Disclosures Not Applicable.
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Exhibit
3.1 (a) |
Certificate of Limited Partnership dated April 15, 2005 (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). | |
(b) | Certificate of Amendment of the Certificate of Limited Partnership dated September 21, 2005 (filed as Exhibit 3.1(a) to the General Form for Registration of Securities on Form 10 filed on April 30, 2007 and incorporated herein by reference). | |
(c) | Certificate of Amendment of the Certificate of Limited Partnership dated September 19, 2008 (filed as Exhibit 3.1(c) to the Quarterly Report on Form 10-Q filed on November 16, 2009 and incorporated herein by reference). | |
(d) | Certificate of Amendment of the Certificate of Limited Partnership dated September 28, 2009 (filed as Exhibit 99.1 to the Current Report on Form 8-K filed on September 30, 2009 and incorporated herein by reference). | |
(e) | Certificate of Amendment of the Certificate of Limited Partnership dated June 30, 2010 (filed as Exhibit 3.1(e) to the Current Report on Form 8-K filed on July 2, 2010 and incorporated herein by reference). | |
(f) | Certificate of Amendment of the Certificate of Limited Partnership Agreement dated September 2, 2011 (filed as Exhibit 3.1(f) to the Current Report on Form 8-K filed on September 7, 2011 and incorporated herein by reference). | |
(g) | Certificate of Amendment of the Certificate of Limited Partnership dated January 28, 2013 (file as Exhibit 3.1 to the Current Report on Form 8-K filed on February 4, 2013 and incorporated herein by reference). | |
3.2 | Fourth Amended and Restated Limited Partnership Agreement (filed as Exhibit 3.2 to the Current Report on Form 8-K filed on February 4, 2013 and incorporated herein by reference). | |
10.1 (a) |
Advisory Agreement among the Partnership, the General Partner and SandRidge Capital, L.P. (filed as Exhibit 10.1 to the General Form for Registration of Securities on Form 10 filed on April 30, 2007 and incorporated herein by reference). | |
(b) | Letter from the General Partner to SandRidge Capital, L.P. extending the Advisory Agreement through June 30, 2012 (filed as Exhibit 10.1(b) to the Annual Report on Form 10-K filed on March 30, 2012 and incorporated herein by reference). | |
10.2 (a) |
Customer Agreement between the Partnership, the General Partner and CGM (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). | |
(b) | Addendum to the Customer Agreement between the Partnership, the General Partner and CGM (filed as Exhibit 10.2(a) 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, the General Partner and CGM and Morgan Stanley Smith Barney LLC (filed as Exhibit 10.1 to the Current Report on Form 8-K filed on August 3, 2010 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 14, 2012 and incorporated herein by reference). | |
10.5 | Joinder Agreement among the Partnership, the General Partner, CGM and Morgan Stanley Smith Barney LLC (filed as Exhibit 10 to the Quarterly Report on Form 10-Q filed on August 14, 2009 and incorporated herein by reference). | |
10.6 | Management Agreement among the Partnership, the General Partner and Aventis Asset Management, LLC (filed as Exhibit 10.1 to the Current Report on Form 8-K filed on February 4, 2013 and incorporated herein by reference). | |
10.7 (a) |
Escrow Agreement among Ceres Managed Futures LLC, Morgan Stanley Smith Barney LLC and The Bank of New York (filed as Exhibit 10.7(a) on Form 10-K filed on March 27, 2013 and incorporated herein by reference). | |
(b) | Amendment No. 5 to Escrow Agreement among Ceres Managed Futures LLC, Morgan Stanley Smith Barney LLC and The Bank of New York (filed as Exhibit 10.7(b) on Form 10-K filed on March 27, 2013 and incorporated herein by reference). |
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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 and Director). | |
32.1 | Section 1350 Certification (Certification of President and Director). | |
32.2 | Section 1350 Certification (Certification of Chief Financial Officer and Director). | |
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. | |
101.DEF | XBRL Taxonomy Extension Definition 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.
Managed Futures Premier Aventis II L.P. | ||
By: | Ceres Managed Futures LLC (General Partner) | |
By: | /s/ Walter Davis | |
Walter Davis | ||
President and Director |
Date: May 15, 2013
By: | /s/ Damian George | |
Damian George | ||
Chief Financial Officer and Director (Principal Accounting Officer) |
Date: May 15, 2013
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