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EX-32.02 - EX-32.02 - NESTOR PARTNERSc471-20150331ex320247e29.htm

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

 

 

 

Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

 

 

For the Quarterly Period Ended:   March 31, 2015

Or

 

 

 

Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

 

 

Commission File Number: 000-50725

 

NESTOR PARTNERS

 

 

 

 

(Exact name of registrant as specified in its charter)

 

 

 

 

NEW JERSEY

 

22-2149317

(State or other jurisdiction of

 

(I.R.S. Employer

incorporation or organization)

 

Identification No.)

 

 

c/o MILLBURN RIDGEFIELD CORPORATION

411 West Putnam Avenue

Greenwich, Connecticut  06830

 

 

 

 

(Address of principal executive offices) (Zip code)

 

Registrant's telephone number, including area code:  (203) 625-7554

 

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            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            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 “accelerated filer,” “large accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act.

 

 

 

Large accelerated filer

Accelerated filer

Non-accelerated filer (Do not check if a smaller reporting company)

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   

 

 

 

 

 

 

 

 

 

 

 

 

 


 

PART 1. FINANANCIAL INFORMATION

 

 

ITEM 1. FINANCIAL STATEMENTS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Nestor Partners

 

 

 

Financial statements

 

 

 

For the three months ended March 31, 2015 and 2014 (unaudited)

 

 

 

 

 

 

 

 

 

Statements of Financial Condition (a)

 

 

Condensed Schedules of Investments (a)

 

 

Statements of Operations (b)

 

 

Statements of Changes in Partners' Capital (b)

 

 

Statements of Financial Highlights (b)

 

 

Notes to the Financial Statements

 

 

 

 

 

 

 

 

 

(a) At March 31, 2015 and December 31, 2014 (unaudited)

 

(b) For the three months ended March 31, 2015 and 2014 (unaudited)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

 

Nestor Partners

Statements of Financial Condition (UNAUDITED)

 

 

 

 

 

 

 

 

March 31, 2015

 

 

December 31, 2014

ASSETS

 

 

 

 

 

 

 

 

 

 

 

EQUITY IN TRADING ACCOUNTS:

 

 

 

 

 

Investments in U.S. Treasury notes − at fair value

 

 

 

 

 

(amortized cost $21,796,446 and $14,499,118)

$

21,799,332 

 

$

14,499,918 

Net unrealized appreciation on open futures and forward

 

 

 

 

 

currency contracts

 

3,542,182 

 

 

1,396,471 

Due from brokers

 

5,858,999 

 

 

3,100,309 

Cash denominated in foreign currencies (cost $525,423

 

 

 

 

 

and $1,529,032)

 

492,797 

 

 

1,413,316 

 

 

 

 

 

 

Total equity in trading accounts

 

31,693,310 

 

 

20,410,014 

 

 

 

 

 

 

INVESTMENTS IN U.S. TREASURY NOTES − at fair value

 

 

 

 

 

(amortized cost $94,923,875 and $92,253,329)

 

94,945,390 

 

 

92,248,350 

 

 

 

 

 

 

CASH AND CASH EQUIVALENTS

 

18,967,896 

 

 

18,990,245 

 

 

 

 

 

 

ACCRUED INTEREST RECEIVABLE

 

93,699 

 

 

101,013 

 

 

 

 

 

 

TOTAL

$

145,700,295 

 

$

131,749,622 

 

 

 

 

 

 

LIABILITIES AND PARTNERS' CAPITAL

 

 

 

 

 

 

 

 

 

 

 

LIABILITIES:

 

 

 

 

 

Capital contributions received in advance

$

2,047,000 

 

$

3,139,000 

Net unrealized depreciation on open futures and forward

 

 

 

 

 

currency contracts

 

830,726 

 

 

355,846 

Accrued brokerage fees

 

253,670 

 

 

211,866 

Cash denominated in foreign currencies (cost $173,581

 

 

 

 

 

and $179,983)

 

166,979 

 

 

183,943 

Accrued expenses

 

96,058 

 

 

107,844 

Capital withdrawals payable

 

2,251,462 

 

 

1,371,319 

Other liabilities

 

578,058 

 

 

 -

 

 

 

 

 

 

Total liabilities

 

6,223,953 

 

 

5,369,818 

 

 

 

 

 

 

PARTNERS' CAPITAL

 

139,476,342 

 

 

126,379,804 

 

 

 

 

 

 

TOTAL

$

145,700,295 

 

$

131,749,622 

 

 

 

 

 

 

 

 

 

 

 

 

See notes to financial statements (unaudited)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1

 


 

Nestor Partners

Condensed Schedule of Investments

March 31, 2015 (UNAUDITED)

 

 

 

 

 

Futures and Forward Currency Contracts

Net Unrealized
Appreciation/
(Depreciation) as a % of
Partners' Capital

 

 

Net Unrealized
Appreciation/
(Depreciation)

FUTURES CONTRACTS

 

 

 

 

Long futures contracts:

 

 

 

 

Grains

0.00 

%

$

380 

Interest rates:

 

 

 

 

2 Year U.S. Treasury Note (403 contracts, settlement date June 2015)

0.15 

 

 

217,891 

5 Year U.S. Treasury Note (194 contracts, settlement date June 2015)

0.19 

 

 

258,414 

10 Year U.S. Treasury Note (150 contracts, settlement date June 2015)

0.15 

 

 

206,031 

30 Year U.S. Treasury Bond (43 contracts, settlement date June 2015)

0.11 

 

 

150,461 

Other

0.65 

 

 

908,583 

 

 

 

 

 

Total interest rates

1.25 

 

 

1,741,380 

 

 

 

 

 

Metals

(0.05)

 

 

(70,165)

Stock indices

0.34 

 

 

482,495 

 

 

 

 

 

Total long futures contracts

1.54 

 

 

2,154,090 

 

 

 

 

 

Short futures contracts:

 

 

 

 

Energies

0.40 

 

 

562,158 

Grains

0.02 

 

 

25,404 

Interest rates

(0.03)

 

 

(47,159)

Livestock

(0.01)

 

 

(16,390)

Metals

0.27 

 

 

374,170 

Softs

0.30 

 

 

420,094 

Stock indices

0.05 

 

 

69,815 

 

 

 

 

 

Total short futures contracts

1.00 

 

 

1,388,092 

 

 

 

 

 

TOTAL INVESTMENTS IN FUTURES CONTRACTS − Net

2.54 

 

 

3,542,182 

FORWARD CURRENCY CONTRACTS

 

 

 

 

Total long forward currency contracts

(0.06)

 

 

(85,199)

Total short forward currency contracts

(0.54)

 

 

(745,527)

 

 

 

 

 

TOTAL INVESTMENTS IN FORWARD CURRENCY

 

 

 

 

CONTRACTS − Net

(0.60)

 

 

(830,726)

 

 

 

 

 

TOTAL

1.94 

%

$

2,711,456 

 

 

 

 

 

 

 

 

 

(Continued)

 

 

 

 

 

2

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Nestor Partners

Condensed Schedule of Investments

March 31, 2015 (UNAUDITED)

 

 

 

 

 

 

 

 

U.S. TREASURY NOTES

 

 

 

 

 

Face
Amount

Description

Fair Value as a % of Partners' Capital

 

 

Fair Value

 

 

 

 

 

 

 

$

20,040,000 

   U.S. Treasury notes, 0.250%,  05/15/2015

14.37 

%

$

20,044,697 

 

30,970,000 

   U.S. Treasury notes, 0.250%,  07/15/2015

22.22 

 

 

30,986,937 

 

30,780,000 

   U.S. Treasury notes, 0.250%,  09/15/2015

22.08 

 

 

30,799,237 

 

34,890,000 

   U.S. Treasury notes, 0.375%,  04/30/2016

25.03 

 

 

34,913,851 

 

 

 

 

 

 

 

 

 

TOTAL INVESTMENTS IN U.S. TREASURY

 

 

 

 

 

 

NOTES (amortized cost $116,720,321)

83.70 

%

$

116,744,722 

 

 

 

 

 

 

 

 

See notes to financial statements (unaudited)

 

 

 

(Concluded)

 

 

 

 

 

 

 

 

 

 

 

 

3

 


 

  

 

 

 

 

 

 

Nestor Partners

Condensed Schedule of Investments

December 31, 2014

 

 

 

 

 

Futures and Forward Currency Contracts

Net Unrealized
Appreciation/
(Depreciation) as a % of
Partners' Capital

 

 

Net Unrealized
Appreciation/
(Depreciation)

FUTURES CONTRACTS

 

 

 

 

Long futures contracts:

 

 

 

 

Grains

(0.10)

%

$

(132,128)

Interest rates:

 

 

 

 

5 Year U.S. Treasury Note (415 contracts, settlement date March 2015)

0.01 

 

 

17,500 

30 Year U.S. Treasury Bond (34 contracts, settlement date March 2015)

0.03 

 

 

42,875 

Other

0.50 

 

 

624,749 

 

 

 

 

 

Total interest rates

0.54 

 

 

685,124 

 

 

 

 

 

Livestock

(0.01)

 

 

(14,180)

Metals

(0.75)

 

 

(950,059)

Softs

0.00 

 

 

2,730 

Stock indices

0.37 

 

 

469,097 

 

 

 

 

 

Total long futures contracts

0.05 

 

 

60,584 

 

 

 

 

 

Short futures contracts:

 

 

 

 

Energies

0.31 

 

 

392,983 

Interest rates

(0.10)

 

 

(120,616)

Livestock

0.03 

 

 

35,540 

Metals

0.49 

 

 

624,953 

Softs

0.23 

 

 

285,307 

Stock indices

0.07 

 

 

83,917 

 

 

 

 

 

Total short futures contracts

1.03 

 

 

1,302,084 

 

 

 

 

 

TOTAL INVESTMENTS IN FUTURES CONTRACTS − Net

1.08 

 

 

1,362,668 

FORWARD CURRENCY CONTRACTS

 

 

 

 

Total long forward currency contracts

(0.71)

 

 

(895,510)

Total short forward currency contracts

0.45 

 

 

573,467 

 

 

 

 

 

TOTAL INVESTMENTS IN FORWARD CURRENCY

 

 

 

 

CONTRACTS − Net

(0.26)

 

 

(322,043)

 

 

 

 

 

TOTAL

0.82 

%

$

1,040,625 

 

 

 

 

 

 

 

 

 

(Continued)

 

4

 


 

 

 

 

 

 

 

 

 

 

Nestor Partners

Condensed Schedule of Investments

December 31, 2014

 

 

 

 

 

 

 

 

U.S. TREASURY NOTES

 

 

 

 

 

Face
Amount

Description

Fair Value as a % of Partners' Capital

 

 

Fair Value

 

 

 

 

 

 

 

$

34,890,000 

   U.S. Treasury notes, 0.375%,  03/15/2015

27.63 

%

$

34,915,213 

 

10,040,000 

   U.S. Treasury notes, 0.250%,  05/15/2015

7.95 

 

 

10,047,452 

 

30,970,000 

   U.S. Treasury notes, 0.250%,  07/15/2015

24.52 

 

 

30,991,776 

 

30,780,000 

   U.S. Treasury notes, 0.250%,  09/15/2015

24.37 

 

 

30,793,827 

 

 

 

 

 

 

 

 

 

TOTAL INVESTMENTS IN U.S. TREASURY

 

 

 

 

 

 

NOTES (amortized cost $106,752,447)

84.47 

%

$

106,748,268 

 

 

 

 

 

 

 

 

See notes to financial statements (unaudited)

 

 

 

(Concluded)

 

 

 

 

 

 

 

 

 

 

 

 

 

  

5

 


 

 

    

 

 

 

 

 

 

 

 

Nestor Partners

Statements of Operations (UNAUDITED)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

For the three months ended

 

 

March 31, 2015

 

 

March 31, 2014

INVESTMENT INCOME:

 

 

 

 

 

Interest income

$

36,961 

 

$

33,366 

 

 

 

 

 

 

EXPENSES:

 

 

 

 

 

Brokerage fees

 

775,163 

 

 

710,055 

Administrative expenses

 

85,105 

 

 

73,084 

Custody fees and other expenses

 

6,375 

 

 

7,553 

Total expenses

 

866,643 

 

 

790,692 

 

 

 

 

 

 

NET INVESTMENT LOSS

 

(829,682)

 

 

(757,326)

 

 

 

 

 

 

NET REALIZED AND UNREALIZED GAINS (LOSSES):

 

 

 

 

 

Net realized gains on closed positions:

 

 

 

 

 

Futures and forward currency contracts

 

8,110,332 

 

 

4,161,212 

Foreign exchange translation

 

(126,034)

 

 

(34,099)

Net change in unrealized:

 

 

 

 

 

Futures and forward currency contracts

 

1,670,831 

 

 

(1,271,600)

Foreign exchange translation

 

93,652 

 

 

1,730 

Net gains from U.S. Treasury notes:

 

 

 

 

 

Realized

 

 -

 

 

169 

Net change in unrealized

 

28,580 

 

 

272 

Total net realized and unrealized gains

 

9,777,361 

 

 

2,857,684 

 

 

 

 

 

 

NET INCOME

 

8,947,679 

 

 

2,100,358 

LESS PROFIT SHARE TO GENERAL PARTNER

 

579,152 

 

 

1,829 

NET INCOME AFTER PROFIT SHARE TO

 

 

 

 

 

GENERAL PARTNER

$

8,368,527 

 

$

2,098,529 

 

 

 

 

 

 

See notes to financial statements (unaudited)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

6

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Nestor Partners

Statements of Changes in Partners' Capital (UNAUDITED)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

For the three months ended March 31, 2015:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Limited Partners

 

 

Special Limited Partners

 

 

New Profit Memo Account

 

 

General Partner

 

 

Total

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

PARTNERS' CAPITAL-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

January 1, 2015

$

63,032,169 

 

$

60,881,449 

 

$

 -

 

$

2,466,186 

 

$

126,379,804 

Contributions

 

7,493,000 

 

 

 -

 

 

1,094 

 

 

 -

 

 

7,494,094 

Withdrawals

 

(575,351)

 

 

(2,190,732)

 

 

 -

 

 

 -

 

 

(2,766,083)

Net income

 

4,409,852 

 

 

4,357,657 

 

 

61 

 

 

180,109 

 

 

8,947,679 

General Partner's allocation:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

New Profit-Accrued

 

(562,631)

 

 

(16,521)

 

 

 -

 

 

 -

 

 

(579,152)

PARTNERS' CAPITAL-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

March 31, 2015

$

73,797,039 

 

$

63,031,853 

 

$

1,155 

 

$

2,646,295 

 

$

139,476,342 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

For the three months ended March 31, 2014:

 

 

 

 

 

 

 

 

 

 

 

Limited Partners

 

 

Special Limited Partners

 

 

New Profit Memo Account

 

 

General Partner

 

 

Total

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

PARTNERS' CAPITAL-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

January 1, 2014

$

61,875,986 

 

$

53,263,359 

 

$

 -

 

$

2,216,299 

 

$

117,355,644 

Contributions

 

480,000 

 

 

 -

 

 

 -

 

 

 -

 

 

480,000 

Withdrawals

 

(3,391,481)

 

 

(406,954)

 

 

 -

 

 

 -

 

 

(3,798,435)

Net income

 

867,932 

 

 

1,180,261 

 

 

 -

 

 

52,165 

 

 

2,100,358 

General Partner's allocation:

 

 

 

 

 

 

 

 -

 

 

 

 

 

 

New Profit-Accrued

 

(1,829)

 

 

 -

 

 

 -

 

 

 -

 

 

(1,829)

PARTNERS' CAPITAL-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

March 31, 2014

$

59,830,608 

 

$

54,036,666 

 

$

 -

 

$

2,268,464 

 

$

116,135,738 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

See notes to financial statements (unaudited)

 

 

 

 

 

 

 

 

 

 

 

7

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Nestor Partners

Statements of Financial Highlights (UNAUDITED)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

For the three months ended March 31, 2015 and 2014

 

Limited
Partners

 

 

Special Limited
Partners

 

 

 

 

 

 

2015

 

 

2014

 

 

2015

 

 

2014

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to average capital:

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment loss (a)

 

 

(3.86)

%

 

(3.97)

%

 

(0.95)

%

 

(1.12)

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses (a)

 

 

3.97

%

 

4.08

%

 

1.06

%

 

1.23

%

Profit share allocation (b)

 

 

0.80

%

 

0.00

%

 

0.03

%

 

0.00

%

Total expenses and profit share allocation

 

4.77

%

 

4.08

%

 

1.09

%

 

1.23

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total return before profit share allocation (b)

 

6.38

%

 

1.50

%

 

7.16

%

 

2.22

%

Less: profit share allocation (b)

 

 

0.80

%

 

0.00

%

 

0.03

%

 

0.00

%

Total return after profit share allocation

 

5.58

%

 

1.50

%

 

7.13

%

 

2.22

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(a) annualized

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(b) not annualized

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

See notes to financial statements (unaudited)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8

 


 

 

 

NOTES TO FINANCIAL STATEMENTS (UNAUDITED)

 

1. BASIS OF PRESENTATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

 

The accompanying unaudited financial statements, in the opinion of management, include all adjustments (consisting only of normal recurring adjustments) necessary for a fair presentation of Nestor Partners’ (the “Partnership”) financial condition at March 31, 2015 and December 31, 2014 and the results of its operations for the three months ended March 31, 2015 and 2014 (unaudited). These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. It is suggested that these financial statements be read in conjunction with the audited financial statements and notes included in the Partnership's annual report on Form 10-K filed with the Securities and Exchange Commission for the year ended December 31, 2014. The December 31, 2014 information has been derived from the audited financial statements as of December 31, 2014.

 

The preparation of financial statements in conformity with accounting principles generally accepted (“U.S. GAAP”) in the United States of America (the “U.S.”), as detailed in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“Codification”), requires management to make estimates and assumptions that affect the amounts and disclosures reported in the financial statements. Actual results could differ from these estimates.

 

The Partnership enters into contracts that contain a variety of indemnification provisions. The Partnership’s maximum exposure under these arrangements is unknown. The Partnership does not anticipate recognizing any loss related to these arrangements.

 

The Income Taxes topic of the Codification clarifies the accounting for uncertainty in tax positions. This requires that the Partnership recognize in its financial statements the impact of any uncertain tax positions. Based on a review of the Partnership’s open tax years, 2011 to 2014, Millburn Ridgefield Corporation (the “General Partner”) has determined that no reserves for uncertain tax positions were required.

 

There have been no material changes with respect to the Partnership's critical accounting policies, off-balance sheet arrangements or disclosure of contractual obligations as reported in the Partnership's Annual Report on Form 10-K for fiscal year 2014.

  

2. FAIR VALUE

 

The Fair Value Measurements and Disclosures topic of the Codification defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. The three levels of the fair value hierarchy are described below:

 

Level 1: Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;

 

Level 2: Quoted prices in markets that are not active or financial instruments for which all significant inputs are observable, either directly or indirectly; and

 

Level 3: Prices or valuations that require inputs that are both significant to the fair value measurement and unobservable.

 

In determining fair value, the Partnership separates its investments into two categories: cash instruments and derivative contracts.

 

Cash Instruments – The Partnership’s cash instruments are generally classified within Level 1 of the fair value hierarchy because they are typically valued using quoted market prices. The types of instruments valued based on quoted market prices in active markets include U.S. government obligations and an investment in a quoted short-term U.S. government securities money market fund. The General Partner does not adjust the quoted price for such instruments even in situations where the Partnership holds a large position and a sale could reasonably impact the quoted price.

 

Derivative Contracts – Derivative contracts can be exchange-traded or over-the-counter (“OTC”). Exchange-traded futures contracts are valued based on quoted closing settlement prices and typically fall within Level 1 of the fair value hierarchy.

  

Spot currency contracts are valued based on current market prices (“Spot Price”). Forward currency contracts are valued based on pricing models that consider the Spot Price, plus the financing cost or benefit (“Forward Point”). Forward Points from the quotation service providers are generally in periods of one month, two months, three months, six months, nine months and twelve months forward while the contractual forward delivery dates for the forward currency contracts traded by the Partnership may be in between these periods. The General Partner’s policy to determine fair value for forward currency contracts involves first calculating the number of months from the date the forward currency contract is being valued to its maturity date (“Months to Maturity”), then identifying the forward currency contracts for the two forward months that are closest to the Months to Maturity (“Forward Month Contracts”). Linear interpolation is then performed between the dates of these two Forward Month Contracts to calculate the interpolated Forward Point. Model inputs can generally be verified and model selection does not involve significant management judgment. Such instruments are typically classified within Level 2 of the fair value hierarchy.

 

Effective January 1, 2014, the Partnership 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

9

 


 

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

   

During the three months ended March 31, 2015 and 2014, there were no transfers of assets or liabilities between Level 1 and Level 2. The following tables represent the Partnership’s investments by hierarchical level as of March 31, 2015 and December 31, 2014 in valuing the Partnership’s investments at fair value. At March 31, 2015 and December 31, 2014, the Partnership held no assets or liabilities in Level 3.

  

 

 

 

 

 

 

 

 

 

 

Financial assets at fair value as of March 31, 2015

 

 

 

 

 

 

 

 

 

 

 

Level 1

 

 

Level 2

 

 

Total

 

 

 

 

 

 

 

 

 

U.S. Treasury Notes (1)

$

116,744,722 

 

$

 -

 

$

116,744,722 

Short-Term Money Market Fund*

 

18,717,896 

 

 

 -

 

 

18,717,896 

Exchange-Traded Futures Contracts

 

 

 

 

 

 

 

 

Energies

 

562,158 

 

 

 -

 

 

562,158 

Grains

 

25,784 

 

 

 -

 

 

25,784 

Interest rates

 

1,694,221 

 

 

 -

 

 

1,694,221 

Livestock

 

(16,390)

 

 

 -

 

 

(16,390)

Metals

 

304,005 

 

 

 -

 

 

304,005 

Softs

 

420,094 

 

 

 -

 

 

420,094 

Stock indices

 

552,310 

 

 

 -

 

 

552,310 

 

 

 

 

 

 

 

 

 

Total exchange-traded futures contracts

 

3,542,182 

 

 

 -

 

 

3,542,182 

 

 

 

 

 

 

 

 

 

Over-the-Counter Forward Currency Contracts

 

 -

 

 

(830,726)

 

 

(830,726)

 

 

 

 

 

 

 

 

 

Total futures and forward currency contracts (2)

 

3,542,182 

 

 

(830,726)

 

 

2,711,456 

 

 

 

 

 

 

 

 

 

Total financial assets at fair value

$

139,004,800 

 

$

(830,726)

 

$

138,174,074 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Per line item in Statements of Financial Condition

 

 

 

 

 

 

 

 

(1)

 

 

 

 

 

 

 

 

Investments in U.S. Treasury notes held in equity trading accounts (as collateral)

 

 

 

$

21,799,332 

Investments in U.S. Treasury notes

 

 

 

 

 

 

 

94,945,390 

Total investments in U.S. Treasury notes

 

 

 

 

 

 

$

116,744,722 

 

 

 

 

 

 

 

 

 

(2)

 

 

 

 

 

 

 

 

Net unrealized appreciation on open futures and forward currency contracts

 

$

3,542,182 

Net unrealized depreciation on open futures and forward currency contracts

 

 

(830,726)

Total unrealized appreciation on open futures and forward currency contracts

 

$

2,711,456 

 

 

 

 

 

 

 

 

 

*The short-term money market fund is included in Cash and Cash Equivalents on the Statements of Financial Condition.

 

 

 

 

 

 

 

 

 

 

 

10

 


 

 

 

 

 

 

 

 

 

 

 

 

 

Financial assets and liabilities at fair value as of December 31, 2014

 

 

 

 

 

 

 

 

 

 

 

Level 1

 

 

Level 2

 

 

Total

 

 

 

 

 

 

 

 

 

U.S. Treasury Notes (1)

$

106,748,268 

 

$

 -

 

$

106,748,268 

Short-Term Money Market Fund*

 

18,740,245 

 

 

 -

 

 

18,740,245 

Exchange-Traded Futures Contracts

 

 

 

 

 

 

 

 

Energies

 

392,983 

 

 

 -

 

 

392,983 

Grains

 

(132,128)

 

 

 -

 

 

(132,128)

Interest rates

 

564,508 

 

 

 -

 

 

564,508 

Livestock

 

21,360 

 

 

 -

 

 

21,360 

Metals

 

(325,106)

 

 

 -

 

 

(325,106)

Softs

 

288,037 

 

 

 -

 

 

288,037 

Stock indices

 

553,014 

 

 

 -

 

 

553,014 

 

 

 

 

 

 

 

 

 

Total exchange-traded futures contracts

 

1,362,668 

 

 

 -

 

 

1,362,668 

 

 

 

 

 

 

 

 

 

Over-the-Counter Forward Currency Contracts

 

 -

 

 

(322,043)

 

 

(322,043)

 

 

 

 

 

 

 

 

 

Total futures and forward currency contracts (2)

 

1,362,668 

 

 

(322,043)

 

 

1,040,625 

 

 

 

 

 

 

 

 

 

Total financial assets at fair value

$

126,851,181 

 

$

(322,043)

 

$

126,529,138 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Per line item in Statements of Financial Condition

 

 

 

 

 

 

 

 

(1)

 

 

 

 

 

 

 

 

Investments in U.S. Treasury notes held in equity trading accounts (as collateral)

 

$

14,499,918 

Investments in U.S. Treasury notes

 

 

 

 

 

 

 

92,248,350 

Total investments in U.S. Treasury notes

 

 

 

 

 

 

$

106,748,268 

 

 

 

 

 

 

 

 

 

(2)

 

 

 

 

 

 

 

 

Net unrealized appreciation on open futures and forward currency contracts

 

$

1,396,471 

Net unrealized depreciation on open futures and forward currency contracts

 

 

(355,846)

Total unrealized appreciation on open futures and forward currency contracts

 

$

1,040,625 

 

 

 

 

 

 

 

 

 

*The short-term money market fund is included in Cash and Cash Equivalents on the Statements of Financial Condition.

 

 

 

 

 

3. DERIVATIVE INSTRUMENTS

 

The Derivatives and Hedging topic of the Codification requires qualitative disclosure about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivative instruments, and disclosures about credit-risk-related contingent features in derivative agreements.

   

The Partnership’s market risk is influenced by a wide variety of factors, including the level and volatility of interest rates, exchange rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Partnership’s open positions, and the liquidity of the markets in which it trades.

 

The Partnership engages in the speculative trading of futures and forward contracts on currencies, energies, grains, interest rates, livestock, metals, softs and stock indices. The following were the primary trading risk exposures of the Partnership at March 31, 2015, by market sector:

 

Agricultural (grains, livestock and softs) – The Partnership’s primary exposure is to agricultural price movements which are often directly affected by severe or unexpected weather conditions as well as supply and demand factors.

  

Currencies – Exchange rate risk is a principal market exposure of the Partnership. The Partnership’s currency exposure is to exchange rate fluctuations, primarily fluctuations which disrupt the historical pricing relationships between different currencies and currency pairs. The fluctuations are influenced by interest rate changes, as well as political and general economic conditions. The Partnership trades in a large number of currencies, including cross-rates—e.g., positions between two currencies other than the U.S. dollar.

11

 


 

 

Energies – The Partnership’s primary energy market exposure is to gas and oil price movements often resulting from political developments in the oil producing countries and economic conditions worldwide. Energy prices are volatile and substantial profits and losses have been and are expected to continue to be experienced in this market.

 

Interest rates – Interest rate movements directly affect the price of the sovereign bond futures positions held by the Partnership and indirectly the value of its stock index and currency positions. Interest rate movements in one country, as well as relative interest rate movements between countries, may materially impact the Partnership’s profitability. The Partnership’s primary interest rate exposure is to interest rate fluctuations in countries or regions, including Australia, Canada, Japan, Switzerland, the United Kingdom, the U.S. and the Eurozone. However, the Partnership also may take positions in futures contracts on the government debt of other nations. The General Partner anticipates that interest rates in these industrialized countries or areas, both long-term and short-term, will remain the primary interest rate market exposure of the Partnership for the foreseeable future.

 

Metals – The Partnership’s metals market exposure is to fluctuations in the price of aluminum, copper, gold, lead, nickel, platinum, silver, tin and zinc.

 

Stock indices – The Partnership’s equity exposure, through stock index futures, is to equity price risk in the major industrialized countries, as well as other countries.

 

The Derivatives and Hedging topic of the Codification requires entities to recognize in the Statements of Financial Condition all derivative contracts as assets or liabilities. Fair values of futures and forward currency contracts in an asset position by counterparty are recorded in the Statements of Financial Condition as “Net unrealized appreciation on open futures and forward currency contracts.” Fair values of futures and forward currency contracts in a liability position by counterparty are recorded in the Statements of Financial Condition as “Net unrealized depreciation on open futures and forward currency contracts.” The Partnership’s policy regarding fair value measurement is discussed in the Fair Value and Disclosures note, contained herein.

 

Since the derivatives held or sold by the Partnership are for speculative trading purposes, the derivative instruments are not designated as hedging instruments under the provisions of the Derivatives and Hedging guidance. Accordingly, all realized gains and losses, as well as any change in net unrealized gains or losses on open positions from the preceding period, are recognized as part of the Partnership’s trading gains and losses in the Statements of Operations.

12

 


 

The following tables present the fair value of open futures and forward currency contracts, held long or sold short, at March 31, 2015 and December 31, 2014. Fair value is presented on a gross basis even though the contracts are subject to master netting agreements and qualify for net presentation in the Statements of Financial Condition.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fair Value of Futures and Forward Currency Contracts at March 31, 2015

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Unrealized

 

 

Fair Value - Long Positions

 

 

Fair Value - Short Positions

 

 

Gain (Loss) on

Sector

 

Gains

 

 

Losses

 

 

Gains

 

 

Losses

 

 

Open Positions

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Futures contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Energies

$

 -

 

$

 -

 

$

599,383 

 

$

(37,225)

 

$

562,158 

Grains

 

700 

 

 

(320)

 

 

77,008 

 

 

(51,604)

 

 

25,784 

Interest rates

 

1,750,775 

 

 

(9,395)

 

 

20,441 

 

 

(67,600)

 

 

1,694,221 

Livestock

 

 -

 

 

 -

 

 

90 

 

 

(16,480)

 

 

(16,390)

Metals

 

167,694 

 

 

(237,859)

 

 

731,439 

 

 

(357,269)

 

 

304,005 

Softs

 

 -

 

 

 -

 

 

420,814 

 

 

(720)

 

 

420,094 

Stock indices

 

892,097 

 

 

(409,602)

 

 

71,940 

 

 

(2,125)

 

 

552,310 

Total futures contracts

 

2,811,266 

 

 

(657,176)

 

 

1,921,115 

 

 

(533,023)

 

 

3,542,182 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Forward currency contracts

 

743,580 

 

 

(828,779)

 

 

750,583 

 

 

(1,496,110)

 

 

(830,726)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total futures and

 

 

 

 

 

 

 

 

 

 

 

 

 

 

forward currency contracts

$

3,554,846 

 

$

(1,485,955)

 

$

2,671,698 

 

$

(2,029,133)

 

$

2,711,456 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fair Value of Futures and Forward Currency Contracts at December 31, 2014

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Unrealized

 

 

Fair Value - Long Positions

 

 

Fair Value - Short Positions

 

 

Gain (Loss) on

Sector

 

Gains

 

 

Losses

 

 

Gains

 

 

Losses

 

 

Open Positions

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Futures contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Energies

$

 -

 

$

 -

 

$

409,768 

 

$

(16,785)

 

$

392,983 

Grains

 

275 

 

 

(132,403)

 

 

 -

 

 

 -

 

 

(132,128)

Interest rates

 

1,143,514 

 

 

(458,390)

 

 

 -

 

 

(120,616)

 

 

564,508 

Livestock

 

1,280 

 

 

(15,460)

 

 

35,540 

 

 

 -

 

 

21,360 

Metals

 

8,401 

 

 

(958,460)

 

 

645,172 

 

 

(20,219)

 

 

(325,106)

Softs

 

3,120 

 

 

(390)

 

 

294,048 

 

 

(8,741)

 

 

288,037 

Stock indices

 

726,711 

 

 

(257,614)

 

 

115,655 

 

 

(31,738)

 

 

553,014 

Total futures contracts

 

1,883,301 

 

 

(1,822,717)

 

 

1,500,183 

 

 

(198,099)

 

 

1,362,668 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Forward currency contracts

 

347,015 

 

 

(1,242,525)

 

 

1,347,542 

 

 

(774,075)

 

 

(322,043)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total futures and

 

 

 

 

 

 

 

 

 

 

 

 

 

 

forward currency contracts

$

2,230,316 

 

$

(3,065,242)

 

$

2,847,725 

 

$

(972,174)

 

$

1,040,625 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

  

 

13

 


 

 

The effect of trading futures and forward currency contracts is represented on the Statements of Operations for the three months ended March 31, 2015 and 2014 as “Net realized gains (losses) on closed positions: Futures and forward currency contracts” and “Net change in unrealized: Futures and forward currency contracts.” These trading gains and losses are detailed below.

Trading gains (losses) of futures and forward currency contracts for the three months ended March 31, 2015 and 2014 

 

 

 

 

 

 

 

 

 

 

Sector

 

Three months ended: March 31, 2015

 

Three months ended: March 31, 2014

 

 

 

 

 

 

 

Futures contracts:

 

 

 

 

 

 

Energies

 

$

39,884 

 

$

336,377 

Grains

 

 

(438,587)

 

 

822,453 

Interest rates

 

 

4,446,071 

 

 

3,002,908 

Livestock

 

 

46,570 

 

 

223,230 

Metals

 

 

39,257 

 

 

(1,450,825)

Softs

 

 

291,869 

 

 

152,060 

Stock indices

 

 

3,786,212 

 

 

(336,173)

 

 

 

 

 

 

 

Total futures contracts

 

 

8,211,276 

 

 

2,750,030 

 

 

 

 

 

 

 

Forward currency contracts

 

 

1,569,887 

 

 

139,582 

 

 

 

 

 

 

 

Total futures and

 

 

 

 

 

 

forward currency contracts

 

$

9,781,163 

 

$

2,889,612 

 

 

 

 

 

 

 

The following table presents average notional value by sector of open futures and forward currency contracts for the three months ended March 31, 2015 and 2014 in U.S. dollars. The Partnership’s average net asset value for the three months ended March 31, 2015 and 2014 was approximately $136,000,000 and $117,000,000, respectively.

   

Average notional value by sector of futures and forward currency contracts for the three months ended March 31, 2015 and 2014

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2015

 

 

2014

Sector

 

 

Long positions

 

 

Short positions

 

 

Long positions

 

 

Short positions

 

 

 

 

 

 

 

 

 

 

 

 

 

Futures contracts:

 

 

 

 

 

 

 

 

 

 

 

 

Energies

 

$

 -

 

$

14,054,781 

 

$

36,790,833 

 

$

12,269,512 

Grains

 

 

1,710,636 

 

 

3,877,444 

 

 

15,655,725 

 

 

9,827,037 

Interest rates

 

 

208,504,292 

 

 

24,568,313 

 

 

281,038,440 

 

 

24,801,084 

Livestock

 

 

425,230 

 

 

880,980 

 

 

3,675,625 

 

 

1,673,750 

Metals

 

 

1,699,108 

 

 

12,830,101 

 

 

22,856,369 

 

 

8,507,831 

Softs

 

 

203,700 

 

 

3,620,262 

 

 

3,707,819 

 

 

3,387,328 

Stock indices

 

 

101,916,005 

 

 

6,458,779 

 

 

122,580,534 

 

 

1,127,734 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total futures contracts

 

 

314,458,971 

 

 

66,290,660 

 

 

486,305,345 

 

 

61,594,276 

 

 

 

 

 

 

 

 

 

 

 

 

 

Forward currency contracts

 

 

32,617,737 

 

 

57,342,514 

 

 

138,480,127 

 

 

7,883,333 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total futures and

 

 

 

 

 

 

 

 

 

 

 

 

forward currency contracts

 

$

347,076,708 

 

$

123,633,174 

 

$

624,785,472 

 

$

69,477,609 

 

 

 

 

 

 

 

 

 

 

 

 

 

Notional values in the interest rate sector were calculated by converting the notional value in local currency of open interest rate futures positions with maturities less than 10 years to 10-year equivalent fixed income instruments and translated to U.S. dollars at March 31, 2015 and 2014. The 10-year note is often used as a benchmark for many types of fixed-income instruments and the General Partner believes it is a more meaningful representation of notional values of the Partnership’s open interest rate positions.

 

14

 


 

The customer agreements between the Partnership, the futures clearing brokers, including Deutsche Bank Securities Inc. (a wholly-owned subsidiary of Deutsche Bank AG), and J.P. Morgan Securities LLC., as well as the FX prime brokers including Deutsche Bank AG and Morgan Stanley & Co., LLC, gives the Partnership the legal right to net unrealized gains and losses on open futures and foreign currency contracts. The Partnership netted, for financial reporting purposes, the unrealized gains and losses on open futures and forward currency contracts on the Statements of Financial Condition as the criteria under ASC 210-20, “Balance Sheet,” were met. The Partnership ceased clearing trades through Barclays Capital Inc. and Barclays Bank PLC during June 2014 and October 2014, respectively.

 

On January 1, 2013, the Partnership 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 and ASU 2013-01 did not have a significant impact on the Partnership’s financial statements.

 

 

 

 

 

 

 

 

 

 

 

Offsetting derivative assets at March 31, 2015

 

 

 

 

 

 

 

 

 

Assets

 

Gross amounts of
recognized assets

 

 

Gross amounts
offset in the
Statement of
Financial Condition

 

 

Net amounts of
assets presented in
the Statement of
Financial Condition

Futures contracts

 

 

 

 

 

 

 

 

Counterparty C

$

2,154,315 

 

$

(289,688)

 

$

1,864,627 

Counterparty D

 

2,578,066 

 

 

(900,511)

 

 

1,677,555 

Total assets

$

4,732,381 

 

$

(1,190,199)

 

$

3,542,182 

 

 

 

 

 

 

 

 

 

Liabilities

 

Gross amounts of
recognized liabilities

 

 

Gross amounts
offset in the
Statement of
Financial Condition

 

 

Net amounts of
liabilities presented in
the Statement of
Financial Condition

Forward currency contracts

 

 

 

 

 

 

 

 

Counterparty G

$

1,557,258 

 

$

(1,176,018)

 

$

381,240 

Counterparty H

 

767,631 

 

 

(318,145)

 

 

449,486 

Total forward currency contracts

 

2,324,889 

 

 

(1,494,163)

 

 

830,726 

 

 

 

 

 

 

 

 

 

Total liabilities

$

2,324,889 

 

$

(1,494,163)

 

$

830,726 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

15

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Amounts Not Offset in the Statement of Financial Condition

 

 

 

Counterparty

 

 

Net amounts of Assets
presented in the Statement
of Financial Condition

 

 

Financial Instruments

 

 

Collateral Received(1)(2)

 

 

Net Amount(3)(4)

 

 

 

 

 

 

 

 

 

 

 

 

 

Counterparty C

 

$

1,864,627 

 

$

 -

 

$

(1,864,627)

 

$

 -

Counterparty D

 

 

1,677,555 

 

 

 -

 

 

(1,677,555)

 

 

 -

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

$

3,542,182 

 

$

 -

 

$

(3,542,182)

 

$

 -

 

 

 

 

 

 

Amounts Not Offset in the Statement of Financial Condition

 

 

 

Counterparty

 

 

Net amounts of Liabilities
presented in the Statement
of Financial Condition

 

 

Financial Instruments

 

 

Collateral Pledged(1)(2)

 

 

Net Amount(3)(4)

 

 

 

 

 

 

 

 

 

 

 

 

 

Counterparty G

 

$

381,240 

 

$

 -

 

$

(381,240)

 

$

 -

Counterparty H

 

 

449,486 

 

 

 -

 

 

(449,486)

 

 

 -

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

$

830,726 

 

$

 -

 

$

(830,726)

 

$

 -

 

 

 

 

 

 

 

 

 

 

 

 

 

(1) Collateral received includes trades made on exchanges. These trades are subject to central counterparty clearing where settlement is guaranteed by the exchange. Collateral pledged includes both cash and U.S. Treasury notes held at each respective broker.

(2) Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in

the Statement of Financial Condition, for each respective counterparty.

(3) Net amount represents the amount that is subject to loss in the event of a counterparty failure as of March 31, 2015.

(4) Net amount represents the amounts owed by the Partnership to each counterparty as of March 31, 2015.

 

 

 

 

 

 

 

 

 

 

 

Offsetting derivative assets and liabilities at December 31, 2014

 

 

 

 

 

 

 

 

 

Assets

 

Gross amounts of
recognized assets

 

 

Gross amounts
offset in the
Statement of
Financial Condition

 

 

Net amounts of
assets presented in
the Statement of
Financial Condition

Futures contracts

 

 

 

 

 

 

 

 

Counterparty C

$

1,755,738 

 

$

(487,705)

 

$

1,268,033 

Counterparty D

 

1,627,746 

 

 

(1,533,111)

 

 

94,635 

Total futures contracts

 

3,383,484 

 

 

(2,020,816)

 

 

1,362,668 

 

 

 

 

 

 

 

 

 

Forward currency contracts

 

 

 

 

 

 

 

 

Counterparty G

 

566,228 

 

 

(532,425)

 

 

33,803 

Total forward currency contracts

 

566,228 

 

 

(532,425)

 

 

33,803 

 

 

 

 

 

 

 

 

 

Total assets

$

3,949,712 

 

$

(2,553,241)

 

$

1,396,471 

 

 

 

 

 

 

 

 

(Continued)

 

 

 

 

 

 

 

 

 

16

 


 

Liabilities

 

Gross amounts of
recognized liabilities

 

 

Gross amounts
offset in the
Statement of
Financial Condition

 

 

Net amounts of
liabilities presented in
the Statement of
Financial Condition

Forward currency contracts

 

 

 

 

 

 

 

 

Counterparty H

$

1,484,175 

 

$

(1,128,329)

 

$

355,846 

Total liabilities

$

1,484,175 

 

$

(1,128,329)

 

$

355,846 

 

 

 

 

 

 

 

 

(Concluded)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Amounts Not Offset in the Statement of Financial Condition

 

 

 

Counterparty

 

 

Net amounts of Assets
presented in the Statement
of Financial Condition

 

 

Financial Instruments

 

 

Collateral Received(1)(2)

 

 

Net Amount(3)(4)

 

 

 

 

 

 

 

 

 

 

 

 

 

Counterparty C

 

$

1,268,033 

 

$

 -

 

$

(1,268,033)

 

$

 -

Counterparty D

 

 

94,635 

 

 

 -

 

 

(94,635)

 

 

 -

Counterparty G

 

 

33,803 

 

 

 -

 

 

(33,803)

 

 

 -

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

$

1,396,471 

 

$

 -

 

$

(1,396,471)

 

$

 -

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Amounts Not Offset in the Statement of Financial Condition

 

 

 

Counterparty

 

 

Net amounts of Liabilities
presented in the Statement
of Financial Condition

 

 

Financial Instruments

 

 

Collateral Pledged(1)(2)

 

 

Net Amount(3)(4)

 

 

 

 

 

 

 

 

 

 

 

 

 

Counterparty H

 

$

355,846 

 

$

 -

 

$

(355,846)

 

$

 -

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

$

355,846 

 

$

 -

 

$

(355,846)

 

$

 -

 

 

 

 

 

 

 

 

 

 

 

 

 

(1) Collateral received includes trades made on exchanges. These trades are subject to central counterparty clearing where settlement is guaranteed by the exchange. Collateral pledged includes both cash and U.S. Treasury notes held at each respective broker.

(2) Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in

the Statement of Financial Condition, for each respective counterparty.

(3) Net amount represents the amount that is subject to loss in the event of a counterparty failure as of December 31, 2014.

(4) Net amount represents the amounts owed by the Partnership to each counterparty as of December 31, 2014.

 

CONCENTRATION OF CREDIT RISK

 

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. Credit risk is normally reduced to the extent that an exchange or clearing organization acts as a counterparty to futures transactions since typically the collective credit of the members of the exchange is pledged to support the financial integrity of the exchange.

 

The General Partner seeks to minimize credit risk primarily by depositing and maintaining the Partnership’s assets at financial institutions and trading counterparties which the General Partner believes to be creditworthy. In addition, for OTC forward currency contracts, the Partnership enters into master netting agreements with its counterparties. Collateral posted at the various counterparties for trading of futures and forward currency contracts includes cash and U.S. Treasury notes.

17

 


 

  

The Partnership’s forward currency trading activities are cleared by Deutsche Bank AG (“DB”) and Morgan Stanley & Co. LLC (“MS”). The Partnership’s concentration of credit risk associated with DB or MS nonperformance includes unrealized gains inherent in such contracts, which are recognized in the Statements of Financial Condition plus the value of margin or collateral held by DB and MS. The amount of such credit risk was $9,949,923 and $6,737,537 at March 31, 2015 and December 31, 2014, respectively.

 

 

4. PROFIT SHARE

 

The following table indicates the total profit share earned and accrued during the three months ended March 31, 2015 and 2014. Profit share earned (from Limited Partners’ redemptions) is credited to the New Profit Memo Account as defined in the Partnership’s Agreement of Limited Partnership. 

 

 

 

 

 

 

 

 

 

 

 

 

 

Three months ended:

 

 

March 31,

 

 

 

March 31,

 

 

2015

 

 

 

2014

Profit share earned

 

$

1,094 

 

 

 

$

 -

Profit share accrued

 

 

578,058 
(1)

 

 

 

1,829 

Total profit share

 

$

579,152 

 

 

 

$

1,829 

 

 

 

 

 

 

 

 

 

(1) Included in “Other liabilities” in the Statements of Financial Condition.

 

 

 

5. RELATED PARTY TRANSACTIONS

 

The Partnership pays administrative expenses for legal, audit and accounting services, up to 0.25 of 1% per annum of the Partnership's average month-end net assets. A portion of such expenses are paid to an affiliate of the General Partner, The Millburn Corporation (“TMC”), for providing accounting services to the Partnership. The following table indicates the portion relating to administrative expenses as well as the portion relating to legal and accounting services provided to the Partnership by TMC during the three months ended March 31, 2015 and 2014. The General Partner pays all administrative expenses in excess of 0.25 of 1% per annum of the Partnership's average month-end net assets.

 

 

 

 

 

 

Three Months Ended March 31, 2015

Three Months Ended March 31, 2014

Administrative Expenses

$                          85,105

$                          73,084

Legal and Accounting Services Provided by TMC

$                          27,314

$                          36,793

Limited partnership interests (“Interests”) sold through selling agents engaged by the General Partner are generally subject to a 2.5% redemption charge for redemptions made prior to the end of the twelfth month following their sale. All redemption charges will be paid to the General Partner. At March 31, 2015 and December 31, 2014, $0 was owed to the General Partner.

 

ITEM 2.   MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS

 

Reference is made to Item 1, "Financial Statements." The information contained therein is essential to, and should be read in connection with, the following analysis.

 

OPERATIONAL OVERVIEW

 

Due to the nature of the Partnership's business, its results of operations depend on the General Partner's ability to recognize and capitalize on trends and other profit opportunities in different sectors of the global capital and commodity markets. The General Partner's investment and trading methods are confidential so that substantially the only information that can be furnished regarding the Partnership's results of operations is contained in the performance record of its trading. Unlike operating businesses, general economic or seasonal conditions do not directly affect the profit potential of the Partnership and its past performance is not necessarily indicative of future results. The General Partner believes, however, that there are certain market conditions, for example, markets with strong price trends, in which the Partnership has a better likelihood of being profitable than in others.

 

LIQUIDITY AND CAPITAL RESOURCES

 

Interests may be offered for sale as of the beginning, and may be redeemed as of the end, of each month.

 

The amount of capital raised for the Partnership should not have a significant impact on its operations, as the Partnership has no significant capital expenditure or working capital requirements other than for monies to pay trading losses, brokerage commissions and charges. Within broad

18

 


 

ranges of capitalization, the General Partner’s trading positions should increase or decrease in approximate proportion to the size of the Partnership.

 

The Partnership raises additional capital only through the sale of Interests and capital is increased through trading profits (if any). The Partnership does not engage in borrowing.

 

The Partnership trades futures, forwards and spot contracts on interest rate instruments, agricultural commodities, currencies, metals, energy and stock indices, and forward contracts on currencies, and may trade options on the foregoing and swaps thereon. Risk arises from changes in the value of these contracts (market risk) and the potential inability of counterparties or brokers to perform under the terms of their contracts (credit risk). Market risk is generally measured by the face amount of the futures positions acquired and the volatility of the markets traded. The credit risk from counterparty non-performance associated with these instruments is the net unrealized gain, if any, on these positions plus the value of the margin or collateral held by the counterparty. The risks associated with exchange-traded contracts are generally perceived to be less than those associated with OTC transactions because exchanges typically (but not universally) provide clearinghouse arrangements in which the collective credit (in some cases limited in amount, in some cases not) of the members of the exchange is pledged to support the financial integrity of the exchange. In most OTC transactions, on the other hand, traders must rely (typically but not universally) solely on the credit of their respective individual counterparties. Margins which may be subject to loss in the event of a default are generally required in exchange trading and counterparties may require margin or collateral in the OTC markets.

 

The General Partner has procedures in place to control market risk, although there can be no assurance that they will, in fact, succeed in doing so. These procedures primarily focus on (1) real time monitoring of open positions; (2) diversifying positions among various markets; (3) limiting the assets committed as margin or collateral, generally within a range of 5% to 35% of an account’s net assets, though the amount may at any time be higher; and (4) prohibiting pyramiding - that is, using unrealized profits in a particular market as margin for additional positions in the same market. The General Partner attempts to control credit risk by causing the Partnership to deal exclusively with large, well-capitalized financial institutions as brokers and counterparties.

 

The financial instruments traded by the Partnership contain varying degrees of off-balance sheet risk whereby changes in the market values of the futures, forwards and spot contracts or the Partnership’s satisfaction of the obligations may exceed the amount recognized in the Statements of Financial Condition of the Partnership.

 

Due to the nature of the Partnership’s business, substantially all its assets are represented by cash, cash equivalents and U.S. government obligations while the Partnership maintains its market exposure through open futures, forwards and spot currency contract positions.

 

The Partnership’s futures contracts are settled by offset and are cleared by the exchange clearinghouse function. Open futures positions are marked to market each trading day and the Partnership’s trading accounts are debited or credited accordingly. Options on futures contracts are settled either by offset or by exercise. If an option on a future is exercised, the Partnership is assigned a position in the underlying future which is then settled by offset. The Partnership’s spot and forward currency transactions conducted in the interbank market are settled by netting offsetting positions or payment obligations and by cash payments.

 

The value of the Partnership’s cash and financial instruments is not materially affected by inflation. Changes in interest rates, which are often associated with inflation, could cause the value of certain of the Partnership’s debt securities to decline, but only to a limited extent. More importantly, changes in interest rates could cause periods of strong up or down market price trends during which the Partnership’s profit potential generally increases. However, inflation can also give rise to markets which have numerous short price trends followed by rapid reversals, markets in which the Partnership is likely to suffer losses.

 

The Partnership’s assets are generally held as cash or cash equivalents, including U.S. government securities or securities issued by federal agencies (or, to a limited extent, foreign government securities in connection with trading on non-U.S. exchanges), other Commodity Futures Trading Commission authorized investments or bank held or certain other money market instruments (e.g., bankers acceptances and Eurodollar or other time deposits), which are used to margin the Partnership’s futures, forwards and spot currency positions and withdrawn, as necessary, to pay redemptions and expenses. Other than potential market-imposed limitations on liquidity, due, for example, to limited open interest in certain futures markets or to daily price fluctuation limits, which are inherent in the Partnership’s futures, forwards and spot trading, the Partnership’s assets are highly liquid and are expected to remain so.

 

During its operations for the three months ended March 31, 2015, the Partnership experienced no meaningful periods of illiquidity in any of the numerous markets traded by the General Partner.

 

CRITICAL ACCOUNTING ESTIMATES

 

The Partnership records its transactions in futures, forwards and spot contracts, including related income and expenses, on a trade date basis. Open futures contracts traded on an exchange are valued at fair value, which is based on the closing settlement price on the exchange where the futures contract is traded by the Partnership on the day with respect to which net assets are being determined. Open spot currency contracts are valued based on the current Spot Price. Open forward currency contracts are recorded at fair value, based on pricing models that consider the Spot Price and Forward Point. Spot Prices and Forward Points for open forward currency contracts are generally based on the average midpoint of bid/ask quotations at the last second ending at 3:00 P.M. New York time provided by widely used quotation service providers on the day with respect to

19

 


 

which net assets are being determined. Forward Points from the quotation service providers are generally in periods of one month, two months, three months, six months, nine months and twelve months forward while the contractual forward delivery dates for the forward currency contracts traded by the Partnership may be in between these periods. The General Partner’s policy to determine fair value for forward currency contracts involves first calculating the number of Months to Maturity, then identifying the Forward Month Contracts. Linear interpolation is then performed between the dates of these two Forward Month Contracts to calculate the interpolated Forward Point. The General Partner will also compare the calculated price to the forward currency prices provided by dealers to determine whether the calculated price is fair and reasonable.

 

RESULTS OF OPERATIONS

 

Due to the nature of the Partnership’s 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. 

 

 

 

 

 

 

 

Period ended March 31, 2015

 

 

 

Month Ending:

 

Total Partners'
Capital

 

 

 

March 31, 2015

$

139,476,342 

December 31, 2014

 

126,379,804 

 

 

 

 

 

 

 

 

Three Months ended

Change in Partners' Capital

$

13,096,538 

Percent Change

 

10.36% 

 

 

 

THREE MONTHS ENDED MARCH 31, 2015

 

The increase in the Partnership’s net assets of $13,096,538 was attributable to net income after profit share of $8,368,527 and contributions of $7,494,094 which was partially offset by withdrawals of $2,776,083.

 

Brokerage fees are calculated on the net asset value on the last day of each month and are affected by trading performance, subscriptions and redemptions. Brokerage fees for the three months ended March 31, 2015 increased $65,108 relative to the corresponding period in 2014. The increase was due to an increase in average net assets of the Partnership during the three months ended March 31, 2015, relative to the corresponding period in 2014.

 

The Partnership pays administrative expenses for legal, audit and accounting services, up to 0.25 of 1% per annum of the Partnership’s average month-end net assets. Administrative expenses for the three months ended March 31, 2015 increased $12,021 relative to the corresponding period in 2014. The increase was due mainly to an increase in the Partnership’s average net assets during the three months ended March 31, 2015, relative to the corresponding period in 2014.

 

Interest income is derived from cash and U.S. Treasury instruments held at the Partnership’s brokers and custodian. Interest income for the three months ended March 31, 2015 increased $3,595 relative to the corresponding period in 2014. This increase was due predominantly to an increase in average net assets during the three months ended March 31, 2015 relative to the corresponding period in 2014.

 

During the three months ended March 31, 2015, the Partnership experienced net realized and unrealized gains of $9,777,361 from its trading operations (including foreign exchange translations and U.S. Treasury notes). Brokerage fees of $775,163, administrative expenses of $85,105, custody fees and other expenses of $6,375 and an accrued profit share to the General Partner of $579,152 were incurred. Interest income of $36,961 partially offset the Partnership's expenses resulting in net income after profit share to the General Partner of $8,368,527. An analysis of the trading gain (loss) by sector is as follows:

 

 

 

 

 

 

 

 

 

 

 

 

20

 


 

 

 

 

 

 

 

 

 

 

Sector

 

% Gain (Loss)

 

Currencies

 

 

1.21 

%

Energies

 

 

(0.01)

%

Grains

 

 

(0.31)

%

Interest rates

 

 

3.42 

%

Livestock

 

 

0.05 

%

Metals

 

 

0.05 

%

Softs

 

 

0.24 

%

Stock indices

 

 

2.79 

%

 

 

 

 

 

Trading Gain

 

 

7.44 

%

 

MANAGEMENT DISCUSSION – 2015

 

Three months ended March 31, 2015

  

Solid first quarter performance was led by gains from trading of financial markets—interest rate and equity futures, and currency forwards.  Commodity futures trading was nearly flat as losses from trading grain futures were countered by gains from trading soft, metal and livestock futures.

 

The European Central Bank’s historic Quantitative easing announcement, several easing moves by the People’s Bank of China and more than 20 other official interest rate reductions led to sharp gains on long positions in U.S. interest rate futures across the yield curve.  Long positions in German, Italian, French, Canadian and Australian notes and bonds also registered profits.  A long position in short-term sterling rates was profitable as events suggested that any tightening of U.K. monetary policy would be delayed.

 

The more accommodative monetary policy environment and some improvement in growth indicators for Europe led to gains on long positions in Continental European, Chinese, Hong Kong, Japanese and Australian equity futures.  On the other hand, a short Korean kospi futures trade was unprofitable.  Meanwhile, U.S. equity futures, after reaching record levels, stagnated in the wake of the stronger dollar, disappointing earnings reports, and a first quarter growth slowdown. 

 

Currency markets were volatile during the quarter, although a solid U.S. economic outlook, generally higher relative interest rates, and some safe haven cachet underpinned the U.S. dollar. Still, a tentative Russia/ Ukraine ceasefire and temporary bouts of sanity around the Greek crisis periodically took some steam out of the dollar. Overall, long dollar positions versus the euro, Czech koruna, Swedish krona, Turkish lira, Brazilian real and Canadian dollar were profitable. On the other hand, a long dollar/short Swiss franc trade sustained a large loss when, on January 15th, the Swiss National Bank unexpectedly ended the franc’s peg to the euro and the franc soared 15%. Long dollar trades against the South African, Norwegian and New Zealand currencies produced small losses. 

 

Grain prices recovered a bit after the USDA projected a reduction in planting acreage for the current crop year. Consequently, short wheat positions, and to a lesser extent trading of corn, soybeans, soybean meal and bean oil produced minor losses.  Coffee and sugar prices continued to fall and short positions in both were profitable.  A short hog trade was marginally positive.

 

Energy trading was flat as the gains from short WTI crude and natural gas positions offset the losses from short Brent crude, heating oil and London gas oil trades.  Metal trading was also nearly flat with gains from short aluminum, silver and nickel positions and trading of gold marginally outpacing the losses from short copper, zinc and platinum positions and trading of palladium.

 

21

 


 

 

 

 

 

 

 

 

Period ended March 31, 2014

 

 

 

Month Ending:

 

Total Partners'
Capital

 

 

 

March 31, 2014

$

116,135,738 

December 31, 2013

 

117,355,644 

 

 

 

 

 

 

 

 

Three Months ended

Change in Partners' Capital

$

(1,219,906)

Percent Change

 

(1.04)%

THREE MONTHS ENDED MARCH 31, 2014

 

The decrease in the Partnership’s net assets of $1,219,906 was attributable to withdrawals of $3,798,435, which was partially offset by a net income after profit share of $2,098,529 and contributions of $480,000. 

  

Brokerage fees are calculated on the net asset value on the last day of each month and are affected by trading performance, subscriptions and redemptions. Brokerage fees for the three months ended March 31, 2014 decreased $221,218 relative to the corresponding period in 2013. The decrease was due a decrease in average net assets of the Partnership during the three months ended March 31, 2014, relative to the corresponding period in 2013. 

  

The Partnership pays administrative expenses for legal, audit and accounting services, up to 0.25 of 1% per annum of the Partnership’s average month-end net assets. Administrative expenses for the three months ended March 31, 2014 decreased $18,086 relative to the corresponding period in 2013. The decrease was due mainly to a decrease in the Partnership’s average net assets during the three months ended March 31, 2014, relative to the corresponding period in 2013. 

  

Interest income is derived from cash and U.S. Treasury instruments held at the Partnership’s brokers and custodian. Interest income for the three months ended March 31, 2014 decreased $31,308 relative to the corresponding period in 2013. This decrease was due predominantly to a decrease in average net assets during the three months ended March 31, 2014 relative to the corresponding period in 2013. 

  

During the three months ended March 31, 2014, the Partnership experienced net realized and unrealized gains of $2,857,684 from its trading operations (including foreign exchange translations and U.S. Treasury notes). Brokerage fees of $710,055, administrative expenses of $73,084, custody fees and other expenses of $7,553 and an accrued profit share to the General Partner of $1,829 were incurred. Interest income of $33,366 partially offset the Partnership's expenses resulting in net income after profit share to the General Partner of $2,098,529. An analysis of the trading gain (loss) by sector is as follows: 

 

 

 

 

 

 

 

Sector

 

% Gain (Loss)

 

Currencies

 

 

0.14 

%

Energies

 

 

0.31 

%

Grains

 

 

0.70 

%

Interest rates

 

 

2.57 

%

Livestock

 

 

0.18 

%

Metals

 

 

(1.23)

%

Softs

 

 

0.12 

%

Stock indices

 

 

(0.27)

%

 

 

 

 

 

Trading Gain

 

 

2.52 

%

 

 

 

 

 

 

 

22

 


 

MANAGEMENT DISCUSSION –2014

 

Three months ended March 31, 2014

 

After a quarter of significant market volatility, the Partnership produced a profit, predominantly due to gains from long interest rate futures positions. There were also fractional profits from trading agricultural commodities, energy and currencies, but these were largely offset by the losses from trading metals.

   

Shifting perceptions about U.S. and Chinese growth prospects, the future course of Federal Reserve monetary policy, political and economic turmoil in several emerging economies—including Turkey, India, Indonesia, and Thailand, and the impact of the Russia/Ukraine-Crimea situation kept markets off balance during the quarter.

   

Given persistent concerns about worldwide growth, social and political unrest in numerous emerging markets and a lack of inflationary impulses in the developed world, it should come as no surprise that a flight to safety and quality would push up note and bond prices. Consequently, long positions in German, French, Italian, Japanese, Canadian and U.S. note and bond futures were profitable. Long positions in U.S. and German short term interest rate futures also registered gains. On the other hand, trading Australian and British note and bond futures was unprofitable.

   

Equity prices were particularly volatile during the quarter as the markets digested weather related growth problems in the U.S., slowing Chinese growth, the outlook for U.S. quantitative easing, and Chinese policy efforts to wring excess debt and capacity out of the economy without threatening too many corporate defaults or bankruptcies. Losses from trading of and long positions in Chinese, Hong Kong, Korean, Japanese, Singaporean and Australian equity futures slightly outweighed the gains from long U.S., German, Spanish and Canadian equity futures positions.

   

Foreign exchange markets were rattled by the political and economic turmoil in many emerging markets, by monetary policy developments in China and the U.S., as well as by growth concerns. Short U.S. dollar positions against sterling, the Indian rupee, the New Zealand dollar, and the Swiss franc were profitable, as were long dollar trades against Chile and Russia and a long New Zealand/short Canada trade. These gains were partially offset by losses on: short dollar trades against the euro, Czech koruna, Polish zloty and Korean won; a long U.S. short Singapore dollar position; long euro trades versus Australia and Turkey; and trading the Australian dollar relative to the yen and pound sterling.

   

Turning to agricultural commodities, long positions in soybeans, soybean meal, corn, coffee, cocoa, cotton and livestock, and a short wheat trade were profitable. Meanwhile, short sugar and soybean oil trades produced small losses.

   

Metal trading was unprofitable due to losses from long copper, lead, gold and silver trades and from a short aluminum position. A long nickel trade produced a partially offsetting profit. 

   

Energy trading was marginally profitable as gains from a long WTI crude position and trading of natural gas outweighed the losses from long Brent crude and London gas oil positions.

 

OFF-BALANCE SHEET ARRANGEMENTS

 

The Partnership does not engage in off-balance sheet arrangements with other entities.

 

CONTRACTUAL OBLIGATIONS

 

The Partnership does not enter into any contractual obligations or commercial commitments to make future payments of a type that would be typical for an operating company or that would affect its liquidity or capital resources. The Partnership’s sole business is trading futures, forward currency, spot, option and swap contracts, both long (contracts to buy) and short (contacts to sell). The Partnership may also engage in trading swaps. All such contracts are settled by offset, not delivery. Substantially all such contracts are for settlement within four months of the trade date and substantially all such contracts are held by the Partnership for less than four months before being offset or rolled over into new contracts with similar maturities. The financial statements present a Condensed Schedule of Investments setting forth the Partnership’s open futures and forward currency contracts, both long and short, at March 31, 2015.

 

ITEM 3.   QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

 

Not required.

 

ITEM 4.   CONTROLS AND PROCEDURES

 

The General Partner, with the participation of its principal executive officers and principal financial officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures with respect to the Partnership as of the end of the period covered by this quarterly report, and, based on its evaluation, has concluded that these disclosure controls and procedures are effective. There were no changes in the General Partner's internal controls over financial reporting during the quarter ended March 31, 2015 that have materially affected, or are reasonably likely to materially affect, the General Partner's internal controls over financial reporting with respect to the Partnership.

 

23

 


 

PART II.  OTHER INFORMATION

 

ITEM 1.  Legal Proceedings

 

None.

 

ITEM 1A. Risk Factors

 

Not required.

 

ITEM 2.  Unregistered Sales of Equity Securities and Use of Proceeds

 

(a)   Pursuant to the Partnership's Agreement of Limited Partnership, the Partnership may sell Interests at the beginning of each calendar month.  On January 1,  2015,  February 1, 2015 and March 1, 2015, the Partnership sold Interests to new and existing limited partners of $3,139,000, $2,409,000 and  $1,945,000, respectively. There were no underwriting discounts or commissions in connection with the sales of the Interests described above.

 

Each of the foregoing Interests were offered and sold only to “accredited investors” as defined in Rule 501(a) under the Securities Act of 1933 as amended (the “1933 Act”), in reliance on the exemption from registration provided by Rule 506(b) under the 1933 Act.

 

(c)  Pursuant to the Partnership’s Agreement of Limited Partnership, Limited Partners may redeem their Interests at the end of each calendar month at the then current month-end net asset value. The redemption of Interests has no impact on the value of Interests that remain outstanding, and Interests are not reissued once redeemed.

 

 

 

 

 

 

 

 

 

The following table summarizes Interests redeemed during the three months ended March 31, 2015:

 

 

 

 

 

 

 

Date of
Withdrawal

 

Limited
Partners

 

Special Limited
Partners

 

Total

 

 

 

 

 

 

 

January 31, 2015

 

$            (467,504)

 

$                (9,126)

 

$                (476,630)

February 28, 2015

 

(23,467)

 

(14,524)

 

(37,991)

March 31, 2015

 

(84,380)

 

(2,167,082)

 

(2,251,462)

Total

 

$            (575,351)

 

$         (2,190,732)

 

$             (2,766,083)

 

 

 

 

 

 

 

 

ITEM 3.  Defaults Upon Senior Securities

 

None.

 

ITEM 4.  Mine Safety Disclosures

 

Not Applicable.

 

ITEM 5.  Other Information

 

None.

  

ITEM 6.  Exhibits

 

The following exhibits are included herewith:

 

 

 

 

31.01

 

Rule 13(a)-14(a)/15(d)-14(a) Certification of Co-Chief Executive Officer

31.02

 

Rule 13(a)-14(a)/15(d)-14(a) Certification of Co-Chief Executive Officer

31.03

 

Rule 13(a)-14(a)/15(d)-14(a) Certification of Chief Financial Officer

32.01

 

Section 1350 Certification of Co-Chief Executive Officer

32.02

 

Section 1350 Certification of Co-Chief Executive Officer

32.03

 

Section 1350 Certification of Chief Financial Officer

 

 

 

101.INS

 

XBRL Instance Document

101.SCH

 

XBRL Taxonomy Extension Schema Document

101.CAL

 

XBRL Taxonomy Extension Calculation Linkbase Document

24

 


 

101.DEF

 

XBRL Taxonomy Extension Definition Linkbase Document

101.LAB

 

XBRL Taxonomy Extension Label Linkbase Document

101.PRE

 

XBRL Taxonomy Extension Presentation Linkbase Document

 

 

 

 

 

 

 

 

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.

 

 

 

 

By:

Millburn Ridgefield Corporation,

/s/ Michael W. Carter

 

General Partner

Michael W. Carter

 

Vice-President

Date: May 14, 2015

(Principal Accounting Officer)

 

25