Exhibit 99.3

To the Limited Partners of

CMF Drury Capital Master Fund L.P.

To the best of the knowledge and belief of the undersigned, the information contained herein is accurate and complete.

 

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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Partners of

CMF Drury Capital Master Fund L.P.:

We have audited the accompanying statement of financial condition (liquidation basis), including the condensed schedule of investments (liquidation basis), of CMF Drury Capital Master Fund L.P. (the ‘‘Partnership’’), as of June 30, 2014 (termination of operations) and the related statements of income and expenses (liquidation basis) and changes in partners’ capital (liquidation basis) for the period from January 1, 2014 to June 30, 2014 (termination of operations). In addition, we have audited the accompanying statement of financial condition, including the condensed schedule of investments, of the Partnership as of December 31, 2013, and the related statements of income and expenses and changes in partners’ capital for the years ended December 31, 2013 and 2012. These financial statements are the responsibility of the Partnership’s management. Our responsibility is to express an opinion on these financial statements based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. The Partnership is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Partnership’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

As discussed in Note 1 to the financial statements, the Partnership terminated operations on June 30, 2014. As a result, the Partnership changed its basis of accounting from the going concern basis to the liquidation basis.

In our opinion, such financial statements present fairly, in all material respects, (1) the financial position (liquidation basis) of CMF Drury Capital Master Fund L.P. as of June 30, 2014 (termination of operations), (2) the results of its operations (liquidation basis) and changes in partners’ capital (liquidation basis) for the period from January 1, 2014 to June 30, 2014 (termination of operations), (3) its financial position as of December 31, 2013, and (4) the results of its operations and changes in partners’ capital for the years ended December 31, 2013 and 2012, in conformity with accounting principles generally accepted in the United States of America applied on the bases described in the preceding paragraph.

/s/ Deloitte & Touche LLP

New York, New York

September 26, 2014

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CMF Drury Capital Master Fund L.P.

Statements of Financial Condition

June 30, 2014 (termination of operations) (liquidation basis)

and December 31, 2013

 

		June 30, 2014*				2013
Assets:
Equity in trading account:
Cash (Note 3c)		$	14,250,926			$	17,921,233
Cash Margin (Note 3c)			21,280				5,223,960
Net unrealized appreciation on open futures contracts			—				1,854,365
Total assets		$	14,272,206			$	24,999,558
Liabilities and Partners’ Capital:
Liabilities:
Net unrealized depreciation on open forward contracts		$	21,280			$	317,529
Accrued expenses:
Professional fees			30,350				26,177
Clearing fees due to MS&Co			1,354				1,987
Liquidation redemptions payable			14,219,222				—
Total liabilities			14,272,206				345,693
Partners’ Capital:
General Partner, 0.0000 unit equivalents at June 30, 2014 and December 31, 2013			—				—
Limited Partners’ Capital, 0.0000 and 10,361.2557 Redeemable Units outstanding at June 30, 2014 and December 31, 2013, respectively			—				24,653,865
Total liabilities and partners’ capital		$	14,272,206			$	24,999,558
Net asset value per unit		$	—			$	2,379.43

*	Presented on a liquidation basis of accounting.

See accompanying notes to financial statements.

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CMF Drury Capital Master Fund L.P.

Condensed Schedule of Investments (liquidation basis)

June 30, 2014

(termination of operations)

 

		Notional ($)/Number of Contracts				Fair Value				*% of Partners’ Capital
Unrealized Appreciation on Open Forward Contracts
Currencies		$	22,199,662				256,817				1.81	%
Metals			237				787,192				5.54
Total unrealized appreciation on open forward contracts							1,044,009				7.35
Unrealized Depreciation on Open Forward Contracts
Currencies		$	22,101,973				(71,909	)			(0.51	)
Metals			331				(993,380	)			(6.99	)
Total unrealized depreciation on open forward contracts							(1,065,289	)			(7.50	)
Net fair value						$	(21,280	)			(0.15	)%

*	Calculated based on pre-liquidation redemption

 

See accompanying notes to financial statements.

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CMF Drury Capital Master Fund L.P.

Condensed Schedule of Investments

December 31, 2013

 

		Notional ($)/ Number of Contracts				Fair Value				% of Partners’ Capital
Futures Contracts Purchased
Energy			257			$	(78,269	)			(0.32	)%
Grains			65				21,076				0.09
Indices			396				1,123,975				4.56
Interest Rates U.S.			439				(70,672	)			(0.29	)
Interest Rates Non-U.S.			538				(198,971	)			(0.81	)
Metals			22				40,403				0.16
Softs			73				(17,560	)			(0.07	)
Total futures contracts purchased							819,982				3.32
Futures Contracts Sold
Grains			289				620,561				2.52
Interest Rates U.S.			23				7,807				0.03
Interest Rates Non-U.S.			166				77,264				0.31
Metals			63				338,650				1.38
Softs			47				(9,899	)			(0.04	)
Total futures contracts sold							1,034,383				4.20
Unrealized Appreciation on Open Forward Contracts
Currencies		$	13,998,819				347,425				1.41
Metals			389				839,131				3.40
Total unrealized appreciation on open forward contracts							1,186,556				4.81
Unrealized Depreciation on Open Forward Contracts
Currencies		$	9,168,834				(287,619	)			(1.17	)
Metals			424				(1,216,466	)			(4.93	)
Total unrealized depreciation on open forward contracts							(1,504,085	)			(6.10	)
Net fair value						$	1,536,836				6.23	%

See accompanying notes to financial statements.

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CMF Drury Capital Master Fund L.P.

Statements of Income and Expenses

for the period from January 1, 2014 to June 30, 2014 (termination of operations)

(liquidation basis), and for the years ended December 31, 2013 and 2012

 

		2014*				2013				2012
Investment Income:
Interest income		$	1,991			$	18,281			$	54,105
Expenses:
Clearing fees			34,530				178,073				285,377
Professional fees			57,243				96,152				69,666
Total expenses			91,773				274,225				355,043
Net investment (loss)			(89,782	)			(255,944	)			(300,938	)
Trading Results:
Net gains (loss) on trading of commodity interests:
Net realized gains (losses) on closed contracts			(97,302	)			8,493,507				9,158,639
Change in net unrealized gains (losses) on open contracts			(1,558,116	)			1,010,081				(9,734,834	)
Total trading results			(1,655,418	)			9,503,588				(576,195	)
Net income (loss)		$	(1,745,200	)		$	9,247,644			$	(877,133	)
Net income (loss) per unit** (Notes 6)		$	(127.29	)		$	276.29			$	(48.86	)
Weighted average units outstanding***			9,434.5173				28,314.1192				49,461.3910

 

*	Presented on a liquidation basis of accounting

**	Based on change in net asset value per unit (2014: pre-liquidation)

***	Calculated based on pre-liquidation redemption

See accompanying notes to financial statements.

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CMF Drury Capital Master Fund L.P.

Statements of Changes in Partners’ Capital

for the period from January 1, 2014 to June 30, 2014 (termination of operations)

(liquidation basis), and for the years ended December 31, 2013 and 2012

 

		Partners’ Capital
Partners’ Capital at December 31, 2011			119,504,420
Net income (loss)			(877,133	)
Subscriptions of 596.4641 Redeemable Units			1,400,000
Redemptions of 11,425.9061 Redeemable Units			(26,024,988	)
Distribution of interest to feeder funds			(54,105	)
Partners’ Capital at December 31, 2012			93,948,194
Net income (loss)			9,247,644
Subscriptions of 762.7148 Redeemable Units			1,810,000
Redemptions of 35,057.5057 Redeemable Units			(80,333,692	)
Distribution of interest to feeder funds			(18,281	)
Partners’ Capital at December 31, 2013			24,653,865
Net income (loss)			(1,745,200	)
Redemptions of 10,361.2557 Redeemable Units			(22,906,674	)
Distribution of interest to feeder funds			(1,991	)
Partners’ Capital at June 30, 2014*		$	—

Net asset value per unit:

 

2012:		$	2,103.82
2013:		$	2,379.43
2014:		$	2,251.92	**

 

*	Presented on a liquidation basis of accounting.

**	Pre-liquidation redemption net asset value per unit.

See accompanying notes to financial statements.

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CMF Drury Capital Master Fund L.P.

Notes to Financial Statements (Liquidation Basis)

June 30, 2014

 

1.

Partnership Organization:

CMF Drury Capital Master Fund L.P. (the “Master”) was a limited partnership organized under the partnership laws of the State of New York to engage in the speculative trading of a diversified portfolio of commodity interests, including futures contracts, options, swaps and forward contracts. The sectors traded included currencies, energy, grains, indices, U.S. and non-U.S. interest rates, metals and softs. The commodity interests that were traded by the Master were volatile and involved a high degree of market risk. The Master terminated operations on June 30, 2014. As a result, the Master changed the basis of accounting from the going concern basis to a liquidation basis. Liquidation basis accounting requires the Master to record assets and liabilities at values to be received or paid in liquidation.

Ceres Managed Futures LLC, a Delaware limited liability company, acted as the general partner (the “General Partner”) and commodity pool operator of the Master. The General Partner is wholly owned by Morgan Stanley Smith Barney Holdings LLC (“MSSB Holdings”). MSSB Holdings is ultimately owned by Morgan Stanley. Morgan Stanley is a publicly held company whose shares are listed on the New York Stock Exchange. Morgan Stanley is engaged in various financial services and other businesses. Prior to June 28, 2013, Morgan Stanley indirectly owned a majority equity interest in MSSB Holdings and Citigroup Inc. indirectly owned a minority equity interest in MSSB Holdings.

On August 1, 2005 (commencement of trading operations), Tactical Diversified Futures Fund L.P. (“Tactical Diversified”) and Institutional Futures Portfolio L.P. (“Institutional Portfolio”) allocated a portion of their capital to the Master. Tactical Diversified purchased 120,720.7387 Redeemable Units with cash equal to $117,943,206 and a contribution of open commodity futures and forward contracts with a fair value equal to $2,777,533. Institutional Portfolio purchased 4,860.0990 Redeemable Units with cash equal to $4,860,099. The Master was formed to permit commodity pools managed by Drury Capital, Inc., an Illinois Corporation, (the “Advisor”) using the Diversified Trend-Following Program, the Advisor’s proprietary, systematic trading system, to invest together in one trading vehicle. During the periods included in this report, the Master’s commodity brokers were Citigroup Global Markets Inc. (“CGM”) and/or Morgan Stanley and Company LLC. (“MS&Co.”).

Prior to its termination on June 30, 2014, the Master operated under a structure where its investors consisted of Tactical Diversified and Institutional Portfolio (each a “Feeder,” collectively the “Funds”). Tactical Diversified and Institutional Portfolio owned approximately 84.0% and 16.0% of the Master at June 30, 2014, respectively. Tactical Diversified and Institutional Portfolio owned approximately 90.0% and 10.0% of the Master at December 31, 2013, respectively.

 

2.

Accounting Policies:

 

a.

Use of Estimates.    The preparation of financial statements and accompanying notes in conformity with accounting principles generally accepted in the United States of America (“GAAP”) or with the liquidation basis requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, income and expenses, and related disclosures of contingent assets and liabilities in the financial statements and accompanying notes. As a result, actual results could differ from these estimates.

 

The liquidation basis of accounting requires the Master to record assets and liabilities at values expected to be received or paid in liquidation. The change in basis of accounting from the going concern basis to the liquidation basis did not have a material effect on the Master’s carrying value of assets and liabilities or its results of operations. All carrying values are expected to be realized by management during liquidation. Also, the liquidation basis of accounting requires the financial statements to include a statement of net assets available to shareholders or changes in net assets available. The Statements of Changes in Partners’ Capital (included herein) presents the same information and thus the financial statements include a statement of net assets available to shareholders for the period January 1, 2014 to June 30, 2014.

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CMF Drury Capital Master Fund L.P.

Notes to Financial Statements (Liquidation Basis)

June 30, 2014

 

b.

Statement of Cash Flows.    The Master is not required to provide a Statement of Cash Flows.

 

c.

Master’s Investments.    All commodity interests of the Master including derivative financial instruments and derivative commodity instruments were held for trading purposes. The commodity interests were recorded on trade date, and open contracts were recorded at fair value (as described below) at the measurement date. Investments in commodity interests denominated in foreign currencies were translated into U.S. dollars at the exchange rates prevailing at the measurement date. Gains or losses were realized when contracts were liquidated. Net realized gains or losses were included in the Statements of Income and Expenses.

Master’s Fair Value Measurements. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to fair values derived from unobservable inputs (Level 3). The level in the fair value hierarchy within which the fair value measurement falls in its entirety 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.

Where applicable, the Master separately presented purchases, sales, issuances, and settlements in its reconciliation of Level 3 fair value measurements (i.e., to present such items on a gross basis rather than on a net basis) and made disclosures regarding the level of disaggregation and the inputs and valuation techniques used to measure fair value for measurements that fall within either Level 2 or Level 3 of the fair value hierarchy as required under GAAP.

The Master considered prices for exchange-traded commodity futures, forwards, swaps and options 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 options 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 period ended June 30, 2014 and the year ended December 31, 2013, the Master did not hold any derivative instruments that were priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3). During the six months ended June 30, 2014 and the year ended December 31, 2013, there were no transfers of assets and liabilities between Level 1 and Level 2.

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CMF Drury Capital Master Fund L.P.

Notes to Financial Statements (Liquidation Basis)

June 30, 2014

 

 

 

d.

Futures Contracts.    The Master traded 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 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”) were made or received by the Master each business day, depending on the daily fluctuations in the value of the underlying contracts, and were recorded as unrealized gains or losses by the Master. When the contract was closed, the Master recorded a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Transactions in futures contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the futures broker, directly with the exchange on which the contracts are traded. Net realized gains (losses) and changes in net unrealized gains (losses) on futures contracts are included in the Statements of Income and Expenses.

 

e.

Forward Foreign Currency Contracts.    Forward foreign currency contracts were those contracts where the Master agreed to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed future date. Forward foreign currency contracts were valued daily, and the Master’s net equity therein, representing unrealized gain or loss on the contracts as measured by the difference between the forward foreign exchange rates at the

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CMF Drury Capital Master Fund L.P.

Notes to Financial Statements (Liquidation Basis)

June 30, 2014

 

dates of entry into the contracts and the forward rates at the reporting date, is included in the Statements of Financial Condition. Net realized gains (losses) and changes in net unrealized gains (losses) on foreign currency contracts were recognized in the period in which the contract was closed or the changes occured, respectively, and are included in the Statements of Income and Expenses.

The Master did not isolate that portion of the results of operations arising from the effect of changes in foreign exchange rates on investments from fluctuations from changes in market prices of investments held. Such fluctuations are included in net income (loss) in the Statements of Income and Expenses.

 

f.

London Metals Exchange Forward Contracts.    Metal contracts traded on the London Metals Exchange (“LME”) represent a firm commitment to buy or sell a specified quantity of aluminum, copper, lead, nickel, tin or zinc. LME contracts traded by the Master were cash-settled based on prompt dates published by the LME. Payments (“variation margin”) may be made or received by the Master each business day, depending on the daily fluctuations in the value of the underlying contracts, and were recorded as unrealized gains or losses by the Master. A contract is considered offset when all long positions have been matched with a like number of short positions settling on the same prompt date. When the contract is closed at the prompt date, the Master recorded a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Transactions in LME contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the broker, directly with the LME. Realized gains (losses) on metal contracts are included in the Statements of Income and Expenses.

 

g.

Income and Expenses Recognition.    All of the income and expenses and realized and unrealized gains and losses on trading of commodity interests were determined on each valuation day and allocated pro rata among the Funds at the time of such determination.

 

h.

Income Taxes.    Income taxes have not been provided as each partner is individually liable for the taxes, if any, on its share of the Master’s income and expenses.

GAAP provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements, and requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Master’s financial statements to determine whether the tax positions are “more-likely-than-not” to be sustained by the applicable tax authority. Tax positions with respect to tax at the Master level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. The General Partner has concluded that no provision for income tax is required in the Master’s financial statements.

The Master files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The 2011 through 2013 tax years remain subject to examination by U.S. federal and most state tax authorities. The 2014 tax return, once filed, will be subject to examination for three years. The General Partner does not believe that there are any uncertain tax positions that require recognition of a tax liability.

 

i.

Investment Company Status.    Effective January 1, 2014, the Master adopted ASU 2013-08, “Financial Services — Investment Companies (Topic 946): Amendments to the Scope, Measurement and Disclosure Requirements.” ASU 2013-08 changes the approach to the investment company assessment, requires non-controlling ownership interests in other investment companies to be measured at fair value, and requires additional disclosures about the investment company’s status as an investment company. ASU 2013-08 is effective

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CMF Drury Capital Master Fund L.P.

Notes to Financial Statements (Liquidation Basis)

June 30, 2014

 

for interim and annual reporting periods beginning after December 15, 2013. The adoption of this ASU did not have a material impact on the Master’s financial statements. Based on management’s assessment, the Master has been deemed to be an investment company since inception. It has all of the fundamental characteristics of an investment company. Although, the Master does not possess all of the typical characteristics of an investment company, its activities are consistent with those of an investment company.

 

j.

Net Income (Loss) per unit.    Net income (loss) per unit is calculated in accordance with investment company guidance. See Note 6, “Financial Highlights.”

 

k.

Subsequent Events.    The General Partner evaluates events that occur after the balance sheet date but before financial statements are filed. The General Partner has assessed the subsequent events through the date of filing and determined that, other than that referenced in note 8 to the financial statements, there were no subsequent events requiring adjustment of or disclosure in the financial statements.

 

3.

Agreements:

 

a.

Limited Partnership Agreement:

The General Partner administered the business and affairs of the Master, including selecting one or more advisors to make trading decisions for the Master.

 

b.

Management Agreement:

The General Partner, on behalf of the Master, entered into a management agreement (the “Management Agreement”) with the Advisor, a registered commodity trading advisor. The Advisor was not affiliated with the General Partner or CGM/MS&Co. and was not responsible for the organization or operation of the Master. The Management Agreement provided that the Advisor had sole discretion in determining the investment of the assets of the Master. All management fees in connection with the Management Agreement were borne by the Funds. The Management Agreement was in effect until June 30, 2014.

 

c.

Customer Agreement:

Prior to and during part of the third quarter of 2013, the Master was party to a Customer Agreement with CGM (the “CGM Customer Agreement”). During the third quarter of 2013, the Master entered into a Customer Agreement with MS&Co. (the “MS&Co. Customer Agreement”) and terminated the CGM Customer Agreement. During the second quarter of 2013, the Master also entered into a foreign exchange brokerage account agreement with MS&Co.

Under the CGM Customer Agreement, CGM provided services to the Master, including, among other things, the execution and clearing of transactions for the Master’s account in accordance with orders placed by the Advisor. All exchange, clearing, service, user, give-up, floor brokerage and National Futures Association (“NFA”) fees (collectively the “CGM clearing fees”) were borne by the Master and allocated to the Funds. All other fees including CGM’s direct brokerage fees were borne by the Funds. During the term of the CGM Customer Agreement, all of the Master’s assets were deposited in the Master’s account at CGM. The Master’s cash was deposited by CGM in segregated bank accounts to the extent required by Commodity Futures Trading Commission regulations.

Under the MS&Co. Customer Agreement and the foreign exchange brokerage account agreement, the Master paid MS & Co. trading fees for the clearing and, where applicable, the execution of transactions. Further, all trading, exchange, clearing, user, give-up, floor

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CMF Drury Capital Master Fund L.P.

Notes to Financial Statements (Liquidation Basis)

June 30, 2014

 

brokerage and NFA fees (collectively the “MS&Co clearing fees” and together with the CGM clearing fees, the “clearing fees”) were borne by the Master and allocated to the Funds. All other fees were borne by the Funds. All of the Master’s assets were deposited in the Master’s account at MS&Co. The Master’s cash was deposited by MS&Co. in segregated bank accounts to the extent required by Commodity Futures Trading Commission regulations. At June 30, 2014 and December 31, 2013, the amount of cash held by the Master for margin requirements was $21,280 and $5,223,960, respectively.

 

4.

Trading Activities:

The Master was formed for the purpose of trading contracts in a variety of commodity interests, including derivative financial instruments and derivative commodity interests. The results of the Master’s trading activities are shown in the Statements of Income and Expenses.

The CGM Customer Agreement and the MS&Co. Customer Agreement each gave the Master the legal right to net unrealized gains and losses on open futures and exchange-cleared swap contracts. The Master netted, for financial reporting purposes, the unrealized gains and losses on open futures and exchange-cleared swap contracts on the Statements of Financial Condition as the criteria under ASC 210-20, “Balance Sheet,” were met.

On January 1, 2013, the Master adopted 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 entity’s 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 condition 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 IFRS. The new guidance did not have a significant impact on the Master’s financial statements.

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CMF Drury Capital Master Fund L.P.

Notes to Financial Statements (Liquidation Basis)

June 30, 2014

 

The following tables summarize the valuation of the Master’s investments as of June 30, 2014 (termination of operations) and December 31, 2013:

 

June 30, 2014		Gross Amounts Recognized				Gross Amounts offset in the Statement of Financial Condition				Net Amounts presented in the Statement of Financial Condition
Assets
Forwards		$	1,044,009			$	(1,044,009	)		$	—
Total Assets		$	1,044,009			$	(1,044,009	)		$	—
Liabilities
Forwards		$	(1,065,289	)		$	1,044,009			$	(21,280	)
Total Liabilities		$	(1,065,289	)		$	1,044,009			$	(21,280	)
Net fair value										$	(21,280	)

 

December 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		$	2,470,340			$	(615,975	)		$	1,854,365
Forwards			1,186,556				(1,186,556	)			—
Total Assets			3,656,896				(1,802,531	)		$	1,854,365
Liabilities
Futures		$	(615,975	)		$	615,975			$	—
Forwards			(1,504,085	)			1,186,556				(317,529	)
Total Liabilities		$	(2,120,060	)		$	1,802,531			$	(317,529	)
Net fair value										$	1,536,836

All of the commodity interests owned by the Master were held for trading purposes. The monthly average number of futures contracts traded for the period ended June 30, 2014 and for the year ended December 31, 2013 were 2,067 and 4,606, respectively. The monthly average number of metals forward contracts traded during the period ended June 30, 2014 and for the year ended December 31, 2013 were 453 and 1,540, respectively. The monthly average notional value of currency forward contracts held during the period ended June 30, 2014 and for the year ended December 31, 2013 were $40,874,711 and $216,896,818, respectively.

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CMF Drury Capital Master Fund L.P.

Notes to Financial Statements (Liquidation Basis)

June 30, 2014

 

The following tables indicate the gross fair values of derivative instruments of futures and forward contracts as separate assets and liabilities as of June 30, 2014 (termination of operations) and as of December 31, 2013.

 

Assets		June 30, 2014
Forward Contracts
Currencies		$	256,817
Metals			787,192
Total unrealized appreciation on open forward contracts		$	1,044,009
Liabilities
Forward Contracts
Currencies		$	(71,909	)
Metals			(993,380	)
Total unrealized depreciation on open forward contracts		$	(1,065,289	)
Net unrealized depreciation on open forward contracts		$	(21,280	)*

 

*	This amount is included in “Net unrealized depreciation on open forward contracts” on the Statements of Financial Condition.

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CMF Drury Capital Master Fund L.P.

Notes to Financial Statements (Liquidation Basis)

June 30, 2014

 

Assets		December 31, 2013
Futures Contracts
Energy		$	126,600
Grains			667,867
Indices			1,123,975
Interest Rates U.S.			7,807
Interest Rates Non-U.S.			138,542
Metals			379,053
Softs			26,496
Total unrealized appreciation on open futures contracts		$	2,470,340
Liabilities
Futures Contracts
Energy		$	(204,869	)
Grains			(26,230	)
Interest Rates U.S.			(70,672	)
Interest Rates Non-U.S.			(260,249	)
Softs			(53,955	)
Total unrealized depreciation on open futures contracts		$	(615,975	)
Net unrealized appreciation on open futures contracts		$	1,854,365	*
Assets
Forward Contracts
Currencies		$	347,425
Metals			839,131
Total unrealized appreciation on open forward contracts		$	1,186,556
Liabilities
Forward Contracts
Currencies		$	(287,619	)
Metals			(1,216,466	)
Total unrealized depreciation on open forward contracts		$	(1,504,085	)
Net unrealized depreciation on open forward contracts		$	(317,529	)**

 

*	This amount is included in “Net unrealized appreciation on open futures contracts” on the Statements of Financial Condition.

**	This amount is included in “Net unrealized depreciation on open forward contracts” on the Statements of Financial Condition.

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CMF Drury Capital Master Fund L.P.

Notes to Financial Statements (Liquidation Basis)

June 30, 2014

 

The following tables indicate the trading gains (losses), by market sector, on derivative instruments for the period ended June 30, 2014 (termination of operations) and for the years ended December 31, 2013 and 2012.

 

Sector		June 30, 2014 Gain (loss) from trading				December 31, 2013 Gain (loss) from trading				December 31, 2012 Gain (loss) from trading
Currencies		$	110,738			$	(1,694,531	)		$	(2,188,102	)
Energy			(1,334,664	)			(6,681,122	)			146,304
Grains			(272,567	)			2,215,273				(1,778,521	)
Indices			(303,485	)			10,802,483				7,493,980
Interest Rates U.S.			503,401				(1,048,916	)			1,846,028
Interest Rates Non-U.S.			1,044,986				(1,901,604	)			5,701,244
Metals			(1,414,068	)			7,643,367				(11,312,751	)
Softs			10,241				168,638				(484,377	)
Total		$	(1,655,418	)***		$	9,503,588	***		$	(576,195	)***

 

***	This amount is included in “Total trading results” on the Statements of Income and Expenses.

 

5.

Subscriptions, Distributions and Redemptions:

Subscriptions were accepted monthly from investors and they became limited partners on the first day of the month after their subscription was processed. A limited partner had the right to withdraw all or part of their capital contribution and undistributed profits, if any, from the Master in multiples of the net asset value per Redeemable Unit as of the end of any day (the “Redemption Date”) after a request for redemption had been made to the General Partner at least three business days in advance of the Redemption Date. The Redeemable Units were classified as a liability when the limited partner elected to redeem and informed the Master.

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CMF Drury Capital Master Fund L.P.

Notes to Financial Statements (Liquidation Basis)

June 30, 2014

 

6.

Financial Highlights:

Changes in the net asset value per unit for the period from January 1, 2014 to June 30, 2014 (termination of operations) and the years ended December 31, 2013 and 2012 were as follows:

 

		2014				2013				2012
Net realized and unrealized gains (losses)*		$	(119.97	)		$	280.42			$	(48.53	)
Interest income			0.22				0.68				1.12
Expenses**			(7.54	)			(4.81	)			(1.45	)
Increase (decrease) for the year			(127.29	)			276.29				(48.86	)
Distribution of interest income to feeder funds			(0.22	)			(0.68	)			(1.12	)
Net asset value per unit beginning of period/year			2,379.43				2,103.82				2,153.80
Net asset value per unit, end of period/year***		$	2,251.92				2,379.43				2,103.82
Liquidation redemption per unit at 06/30/14			(2,251.92	)			—				—
Ending net asset value per unit		$	—			$	2,379.43			$	2,103.82

 

*	Includes clearing fees.

**	Excludes clearing fees.

***	Calculated based on pre-liquidation redemption net asset value per unit.

 

		2014				2013				2012
Ratios to average net assets:
Net investment income (loss)*****			(0.9	)%****			(0.4	)%			(0.3	)%
Operating expenses			0.9	%****			0.5	%			0.3	%
Total return			(5.4	)%***			13.1	%			(2.3	)%

 

****	Annualized.

*****

Interest income less total expenses.

The above ratios may vary for individual investors based on the timing of capital transactions during the year. Additionally, these ratios were calculated for the limited partner class using the limited partners’ share of income, expenses and average net assets.

 

7.

Financial Instrument Risks:

In the normal course of business, the Master was party to financial instruments with off-balance sheet risk, including derivative financial instruments and derivative commodity instruments. These financial instruments included forwards, futures, options and swaps whose values were based upon an underlying asset, index, or reference rate, and generally represented 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 have been traded on an exchange, a swap execution facility or over-the-counter (“OTC”). Exchange-traded instruments include futures and certain standardized forwards, swaps and option contracts. Certain swap contracts may also be traded on a swap execution facility or OTC. OTC contracts are negotiated between contracting parties and also include certain forwards, swaps and option contracts. Each of these instruments is subject to various risks similar to those related to the underlying financial instruments including market and credit risk. In general, the risks associated with OTC contracts are greater than those associated with exchange-traded instruments because of the greater risk of default by the counterparty to an OTC contract.

Market risk is the potential for changes in the value of the financial instruments traded by the Master due to market changes, including interest and foreign exchange rate movements and

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CMF Drury Capital Master Fund L.P.

Notes to Financial Statements (Liquidation Basis)

June 30, 2014

 

fluctuations in commodity or security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. The Master was 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 Master’s risk of loss in the event of counterparty default was typically limited to the amounts recognized in the Statements of Financial Condition and not represented by the contract or notional amounts of the instruments. The Master’s risk of loss was reduced through the use of legally enforceable master netting agreements with counterparties that permitted the Master to offset unrealized gains and losses and other assets and liabilities with such counterparties upon the occurrence of certain events. The Master had credit risk and concentration risk during the periods included in this report as CGM and/or MS&Co. or their affiliates were the sole counterparties or brokers with respect to the Master’s assets. Credit risk with respect to exchange-traded instruments was reduced to the extent that through CGM and/or MS&Co, the Master’s counterparty was an exchange or clearing organization.

The General Partner monitored and attempted to control the Master’s risk exposure on a daily basis through financial, credit and risk management monitoring systems and accordingly, believed that it had effective procedures for evaluating and limiting the credit and market risks to which the Master may have been subject. These monitoring systems generally allowed the General Partner to analyze statistically actual trading results with risk-adjusted performance indicators and correlation statistics. In addition, online monitoring systems provided account analysis of futures, forwards and options positions by sector, margin requirements, gain and loss transactions and collateral positions.

The majority of these instruments matured within one year of the inception date. However, due to the nature of the Master’s business, these instruments may not have been held to maturity.

 

8.

Liquidation of the Master:

Distributions of the Master’s Capital to the Funds were initially made between July 2, 2014 and July 22, 2014, with the remainder paid on September 18, 2014.